Commission Implementing Regulation (EU) 2022/1994 of 21 November 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards own funds, asset encumbrance, liquidity and reporting for the purposes of identifying global systemically important institutions (Text with EEA relevance)
Date: 2022-11-21
Institutions: Directorate-General for Financial Stability, Financial Services and Capital Markets Union, European Commission
Subjects: credit institution, disclosure of information, financial legislation, financial risk, financial solvency, financial supervision, investment company, private-sector liquidity, technical standard, trade information




L_2022329EN.01000101.xml










22.12.2022   


EN


Official Journal of the European Union


L 329/1








            COMMISSION IMPLEMENTING REGULATION (EU) 2022/1994
of 21 November 2022
         
amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards own funds, asset encumbrance, liquidity and reporting for the purposes of identifying global systemically important institutions
(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 amending Regulation (EU) No 648/2012 (1) and in particular to Article 415(3), first subparagraph, Article 415(3a), first subparagraph, Article 430(7), first subparagraph and Article 430(9), second subparagraph thereof,

Whereas:







(1)


Commission Implementing Regulation (EU) 2021/451 (2) lays down technical standards with regard to supervisory reporting and specifies the modalities according to which institutions are required to report information relevant to their compliance with Regulation (EU) No 575/2013. That Implementing Regulation should be amended to reflect the elements introduced in Regulation (EU) No 575/2013 by Regulation (EU) 2019/876 of the European Parliament and of the Council (3).












(2)


Regulation (EU) 2019/876 amended Regulation (EU) No 575/2013 to increase, inter alia, the degree of proportionality of the reporting requirements on liquidity. Therefore, it is necessary to specify the revised the scope of the reporting requirements on additional liquidity monitoring metrics that are applicable to small and non-complex institutions in the Union in accordance with Implementing Regulation (EU) 2021/451. In line with the recommendations from the final report of the European Banking Authority (EBA) on the cost of compliance with reporting requirements referred to in Article 430(8) of Regulation (EU) No 575/2013, institutions that are not small and non-complex, but are neither large institutions, should, to some extent, also benefit from an increased degree of proportionality in additional liquidity monitoring metrics.












(3)


Regulation (EU) 2021/558 of the European Parliament and of the Council (4) together with Regulation (EU) 2021/557 of the European Parliament and of the Council (5) amended Regulation (EU) No 575/2013 and Regulation (EU) 2017/2402 (6), respectively, to introduce targeted adjustments to the securitisations framework. Those targeted adjustments should be reflected in the reporting requirements of Implementing Regulation (EU) 2021/451.












(4)


Regulation (EU) 2019/876 amended Regulation (EU) No 575/2013 with respect to the treatment of prudently valued software assets. In this respect, Commission Delegated Regulation (EU) 2020/2176 (7) amended Delegated Regulation (EU) No 241/2014 (8) to clarify the exemption of software assets from the deduction from Common Equity Tier 1 items. Implementing Regulation (EU) 2021/451 should be amended to provide competent authorities with information on institutions’ implementation of the requirements of that Delegated Regulation.












(5)


The final report of the EBA on the cost of compliance recommended to exempt small and non-complex institutions from the reporting of certain asset encumbrance templates and to adjust the definition of the level of asset encumbrance. The Commission agrees with the recommendations on reducing the cost of compliance included in that report. It is therefore necessary to amend the corresponding provisions on reporting on asset encumbrance on an individual and a consolidated basis of Regulation (EU) 2021/451.












(6)


Implementing Regulation (EU) 2021/451 lays down the requirements for reporting of core information for the purposes of identifying global systemically important institutions (G-SIIs) and assigning G-SII buffer rates in accordance with a Union-specific methodology laid down in Commission Delegated Regulation (EU) No 1222/2014 (9). The indicators through which systemic importance is measured are equally applicable to banking groups and standalone institutions. Therefore, the reporting obligations should be extended to standalone institutions that meet the criteria for being included in the G-SII assessment exercise.












(7)


In order to improve the ability of competent authorities to effectively monitor and assess the institutions’ risk profile, the institutions’ compliance with prudential requirements, and to identify the risks that institutions may pose to the financial sector, a number of Annexes to Implementing Regulation (EU) 2021/451 should be amended.












(8)


In order to give clarity and sufficient time to prepare for the implementation of the reporting requirements introduced by this Regulation, institutions should start reporting in accordance with this Regulation not earlier than six months from its date of entry into force, in accordance with Article 430(7) of Regulation (EU) No 575/2013.












(9)


The provisions in this Regulation are closely linked, since Article 415(3), first subparagraph and Article 415(3a), first subparagraph, concern institutions’ reporting obligations that are substantially aligned to other institutions’ reporting obligations in accordance with Article 430 of Regulation (EU) No 575/2013. To ensure coherence between those provisions, the relevant implementing technical standards should be included in a single Regulation.












(10)


Implementing Regulation (EU) 2021/451 should therefore be amended accordingly.












(11)


This Regulation is based on the draft implementing technical standards submitted to the Commission by EBA.












(12)


EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (10),





HAS ADOPTED THIS REGULATION:



Article 1
Implementing Regulation (EU) 2021/451 is amended as follows:






(1)


Article 18 is replaced by the following:

‘Article 18
Reporting on additional liquidity monitoring metrics on an individual and a consolidated basis
When reporting information on additional liquidity monitoring metrics in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit information as follows:






(a)


large institutions within the meaning of Article 4(1), point (146), of Regulation (EU) No 575/2013 shall submit with a monthly frequency the information set out in template 66.1 of Annex XXII to this Regulation in accordance with the instructions set out in Annex XXIII to this Regulation, templates 67, 68, 69 and 70 of Annex XVIII to this Regulation in accordance with the instructions set out in Annex XIX to this Regulation and template 71 of Annex XX to this Regulation in accordance with the instructions in Annex XXI to this Regulation;










(b)


small and non-complex institution within the meaning of Article 4(1), point (145), of Regulation (EU) No 575/2013 shall submit with a quarterly frequency the information set out in template 66.1 in Annex XXII to this Regulation in accordance with the instructions set out in Annex XXIII to this Regulation, template 67 of Annex XVIII to this Regulation in accordance with the instructions set out in Annex XIX to this Regulation and template 71 of Annex XX to this Regulation in accordance with the instructions set out in Annex XXI to this Regulation;










(c)


institutions that do not fall withing the scope of points (a) and (b) shall submit with a monthly frequency the information set out in template 66.1 of Annex XXII in accordance with the instructions set out in Annex XXIII, templates 67, 68 and 69 of Annex XVIII in accordance with the instructions set out in Annex XIX and template 71 of Annex XX in accordance with the instructions set out in Annex XXI.’;















(2)


Article 19 is amended as follows:






(a)


paragraphs 2 and 3 are replaced by the following:

‘2.   The information referred to in paragraph 1 shall be submitted with the following frequency:






(a)


the information specified in Annex XVI, Parts A, B and D, with a quarterly frequency;










(b)


the information specified in Annex XVI, Part C, with an annual frequency;










(c)


the information specified in Annex XVI, Part E, with a semi-annual frequency.






3.   The information referred to in paragraph 1 shall be submitted as follows:






(a)


institutions shall submit the information specified in Annex XVI, Part A;










(b)


large institutions shall submit the information specified in Annex XVI, Parts B, C and E;










(c)


institutions that are neither large institutions nor small and non-complex institutions shall submit the information specified in Annex XVI, Parts B, C and E, where the asset encumbrance level of the institution, as calculated in accordance with Annex XVII, point 1.6, sub-point 9, is equal to or above 15 %;










(d)


institutions shall report the information specified in Annex XVI, Part D, only where they issue bonds referred to in Article 52(4), first subparagraph, of Directive 2009/65/EC of the European Parliament and of the Council (*1).






(*1)  Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).’;"
                        
The entry and exit criteria of Article 4(3) shall apply.










(b)


paragraph 4 is deleted;














(3)


Article 20 is replaced by the following:

‘Article 20
Supplementary reporting for the purposes of identifying G-SIIs and assigning G-SII buffer rates

1.   When reporting supplementary information for the purposes of identifying G-SIIs and assigning G-SII buffer rates under Article 131 of Directive 2013/36/EU, EU parent institutions, EU parent financial holdings and EU parent mixed financial holdings shall submit the information as specified in Annex XXVI to this Regulation, in accordance with the instructions set out in Annex XXVII to this Regulation, on a consolidated basis with a quarterly frequency, where both of the following conditions are met:






(a)


the total exposure measure of the group, including insurance subsidiaries, is equal to or exceeds EUR 125 000 000 000;










(b)


the EU parent or any of its subsidiaries or any branch operated by the parent or by a subsidiary is located in a participating Member State as referred to in Article 4 of Regulation (EU) No 806/2014 of the European Parliament and of the Council (*2).






2.   In order to report supplementary information for the purposes of identifying G-SIIs and assigning G-SII buffer rates under Article 131 of Directive 2013/36/EU, institutions shall submit the information as specified in Annex XXVI to this Regulation, in accordance with the instructions set out in Annex XXVII to this Regulation, on an individual basis with a quarterly frequency, where all of the following conditions are met:






(a)


the total exposure measure of the institution is equal to or exceeds EUR 125 000 000 000;










(b)


the institution is located in a participating Member State as referred to in Article 4 of Regulation (EU) No 806/2014;










(c)


the institution is not part of a group that is subject to consolidated supervision in accordance with Chapter 1, Title II, Part One of Regulation (EU) No 575/2013 (“standalone institution”).






3.   By way of derogation from Article 3(1), point (b), the information referred to in paragraphs 1 and 2 of this Article shall be submitted by close of business on the following remittance dates: 1 July, 1 October, 2 January and 1 April.


4.   By way of derogation from Article 4, the following shall apply with regard to the thresholds specified in paragraph 1, point (a), and paragraph 2, point (a), of this Article:






(a)


the EU parent institution, EU parent financial holding, EU parent mixed financial holding or standalone institution, as applicable, shall immediately start reporting the information in accordance with this Article where its leverage ratio exposure measure exceeds the specified threshold as of the end of the accounting year, and shall report this information at least for the end of that accounting year and the subsequent three quarterly reference dates;










(b)


the EU parent institution, EU parent financial holding, EU parent mixed financial holding or standalone institution, as applicable, shall immediately stop reporting the information in accordance with this Article where its leverage ratio exposure measure falls below the specified threshold as of the end of their accounting year.







(*2)  Regulation (EU) No 806/2014 of the European Parliament and of the Council of 15 July 2014 establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund and amending Regulation (EU) No 1093/2010 (OJ L 225, 30.7.2014, p. 1).’;"
                        










(4)


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










(5)


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










(6)


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










(7)


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










(8)


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










(9)


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










(10)


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










(11)


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










(12)


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










(13)


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










(14)


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










(15)


Annex XXVII is replaced by the text set out in Annex XII to this Regulation.






Article 2

Entry into force and application

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 11 July 2023.




This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 21 November 2022.


For the Commission


The President

Ursula VON DER LEYEN
            





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

(2)  Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (OJ L 97, 19.3.2021, p. 1).

(3)  Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012 (OJ L 150, 7.6.2019, p. 1).

(4)  Regulation (EU) 2021/558 of the European Parliament and of the Council of 31 March 2021 amending Regulation (EU) No 575/2013 as regards adjustments to the securitisation framework to support the economic recovery in response to the COVID-19 crisis (OJ L 116, 6.4.2021, p. 25).

(5)  Regulation (EU) 2021/557 of the European Parliament and of the Council of 31 March 2021 amending Regulation (EU) 2017/2402 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation to help the recovery from the COVID-19 crisis (OJ L 116, 6.4.2021, p. 1).

(6)  Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ L 347, 28.12.2017, p. 35).

(7)  Commission Delegated Regulation (EU) 2020/2176 of 12 November 2020 amending Delegated Regulation (EU) No 241/2014 as regards the deduction of software assets from Common Equity Tier 1 items (OJ L 433, 22.12.2020, p. 27).

(8)  Commission Delegated Regulation (EU) No 241/2014 of 7 January 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for Own Funds requirements for institutions (OJ L 74, 14.3.2014, p. 8).

(9)  Commission Delegated Regulation (EU) No 1222/2014 of 8 October 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards for the specification of the methodology for the identification of global systemically important institutions and for the definition of subcategories of global systemically important institutions (OJ L 330, 15.11.2014, p. 27).

(10)  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




8.3


C 08.03



CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY PD RANGES



CR IRB 3




8.4


C 08.04



CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS



CR IRB 4




8.5


C 08.05



CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD



CR IRB 5




8.5.1


C 08.05.1



CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD IN ACCORDANCE WITH ARTICLE 180(1), POINT (f) OF REGULATION (EU) No 575/2013 (CR IRB 5B)



CR IRB 5B




8.6


C 08.06



CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH



CR IRB 6




8.7


C 08.07



CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SCOPE OF USE OF IRB AND SA APPROACHES



CR IRB 7




 


 


GEOGRAPHICAL BREAKDOWN


CR GB




9.1


C 09.01



Table 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures)



CR GB 1




9.2


C 09.02



Table 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures)



CR GB 2




9.4


C 09.04



Table 9.4 - Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and 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




13.1


C 13.01


CREDIT RISK: SECURITISATIONS


CR SEC




14


C 14.00


DETAILED INFORMATION ON SECURITISATIONS


CR SEC Details




14.1


C 14.01


DETAILED INFORMATION ON SECURITISATIONS BY APPROACH


CR SEC Details 2




 


 


COUNTERPARTY CREDIT RISK


CCR




34.01


C 34.01



COUNTERPARTY CREDIT RISK: SIZE OF THE DERIVATIVE BUSINESS



CCR 1




34.02


C 34.02



COUNTERPARTY CREDIT RISK: CCR EXPOSURES BY APPROACH



CCR 2




34.03


C 34.03



COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR or SIMPLIFIED SA-CCR



CCR 3




34.04


C 34.04



COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE THE ORIGINAL EXPOSURE METHOD (OEM)



CCR 4




34.05


C 34.05



COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM)



CCR 5




34.06


C 34.06



COUNTERPARTY CREDIT RISK: TOP TWENTY COUNTERPARTIES



CCR 6




34.07


C 34.07



COUNTERPARTY CREDIT RISK: IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE



CCR 7




34.08


C 34.08



COUNTERPARTY CREDIT RISK: COMPOSITION OF COLLATERAL FOR CCR EXPOSURES



CCR 8




34.09


C 34.09



COUNTERPARTY CREDIT RISK: CREDIT DERIVATIVES EXPOSURES



CCR 9




34.10


C 34.10



COUNTERPARTY CREDIT RISK: EXPOSURES TO CCPs



CCR 10




34.11


C 34.11



COUNTERPARTY CREDIT RISK: RWEA FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM



CCR 11




 


 



OPERATIONAL RISK




OPR





16


C 16.00


OPERATIONAL RISK


OPR




 


 


OPERATIONAL RISK: LOSSES AND RECOVERIES


 




17.1


C 17.01



OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR



OPR DETAILS 1




17.2


C 17.02



OPERATIONAL RISK: LARGE LOSS EVENTS



OPR DETAILS 2




 


 



MARKET RISK




MKR





18


C 18.00


MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS


MKR SA TDI




19


C 19.00


MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS


MKR SA SEC




20


C 20.00


MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO


MKR SA CTP




21


C 21.00


MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES


MKR SA EQU




22


C 22.00


MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK


MKR SA FX




23


C 23.00


MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES


MKR SA COM




24


C 24.00


MARKET RISK INTERNAL MODELS


MKR IM




25


C 25.00


CREDIT VALUE ADJUSTMENT RISK


CVA




 


 



PRUDENT VALUATION




MKR





32.1


C 32.01


PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES


PRUVAL 1




32.2


C 32.02


PRUDENT VALUATION: CORE APPROACH


PRUVAL 2




32.3


C 32.03


PRUDENT VALUATION: MODEL RISK AVA


PRUVAL 3




32.4


C 32.04


PRUDENT VALUATION: CONCENTRATED POSITIONS AVA


PRUVAL 4




 


 



GENERAL GOVERNMENTS EXPOSURES




MKR





33


C 33.00


GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY


GOV




 


 



NPE LOSS COVERAGE




NPE LC





35.1


C 35.01


NPE LOSS COVERAGE: THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES


NPE LC1




35.2


C 35.02


NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF THE CRR


NPE LC2




35.3


C 35.03


NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF THE CRR


NPE LC3








C 01.00 - OWN FUNDS (CA1)










Rows




ID




Item




Amount





0010



1




OWN FUNDS



 




0015



1.1




TIER 1 CAPITAL



 




0020



1.1.1




COMMON EQUITY TIER 1 CAPITAL



 




0030



1.1.1.1




Capital instruments eligible as CET1 Capital



 




0040


1.1.1.1.1


Fully paid up capital instruments


 




0045


1.1.1.1.1*


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


 




0050


1.1.1.1.2*


Memorandum item: Capital instruments not eligible


 




0060


1.1.1.1.3


Share premium


 




0070


1.1.1.1.4


(-) Own CET1 instruments


 




0080


1.1.1.1.4.1


(-) Direct holdings of CET1 instruments


 




0090


1.1.1.1.4.2


(-) Indirect holdings of CET1 instruments


 




0091


1.1.1.1.4.3


(-) Synthetic holdings of CET1 instruments


 




0092


1.1.1.1.5


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


 




0130



1.1.1.2




Retained earnings



 




0140


1.1.1.2.1


Previous years retained earnings


 




0150


1.1.1.2.2


Profit or loss eligible


 




0160


1.1.1.2.2.1


Profit or loss attributable to owners of the parent


 




0170


1.1.1.2.2.2


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


 




0180



1.1.1.3




Accumulated other comprehensive income



 




0200



1.1.1.4




Other reserves



 




0210



1.1.1.5




Funds for general banking risk



 




0220



1.1.1.6




Transitional adjustments due to grandfathered CET1 Capital instruments



 




0230



1.1.1.7




Minority interest given recognition in CET1 capital



 




0240



1.1.1.8




Transitional adjustments due to additional minority interests



 




0250



1.1.1.9




Adjustments to CET1 due to prudential filters



 




0260


1.1.1.9.1


(-) Increases in equity resulting from securitised assets


 




0270


1.1.1.9.2


Cash flow hedge reserve


 




0280


1.1.1.9.3


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


 




0285


1.1.1.9.4


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


 




0290


1.1.1.9.5


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


 




0300



1.1.1.10



(-) Goodwill



 




0310


1.1.1.10.1


(-) Goodwill accounted for as intangible asset


 




0320


1.1.1.10.2


(-) Goodwill included in the valuation of significant investments


 




0330


1.1.1.10.3


Deferred tax liabilities associated to goodwill


 




0335


1.1.1.10.4


Accounting revaluation of subsidiaries' goodwill derived from the consolidation of subsidiaries attributable to third persons


 




0340



1.1.1.11



(-) Other intangible assets



 




0350


1.1.1.11.1


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


 




0352


1.1.1.11.1.1


(-) Of which: software assets accounted for as intangible assets before deduction of deferred tax liabilities


 




0360


1.1.1.11.2


Deferred tax liabilities associated to other intangible assets


 




0362


1.1.1.11.2.1


Of which: Deferred tax liabilities associated with software assets accounted for as intangible assets


 




0365


1.1.1.11.3


Accounting revaluation of subsidiaries' other intangible assets derived from the consolidation of subsidiaries attributable to third persons


 




0370



1.1.1.12




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



 




0380



1.1.1.13




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



 




0390



1.1.1.14




(-) Defined benefit pension fund assets



 




0400


1.1.1.14.1


(-) Defined benefit pension fund assets


 




0410


1.1.1.14.2


Deferred tax liabilities associated to defined benefit pension fund assets


 




0420


1.1.1.14.3


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


 




0430



1.1.1.15




(-) Reciprocal cross holdings in CET1 Capital



 




0440



1.1.1.16




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



 




0450



1.1.1.17




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



 




0460



1.1.1.18




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



 




0470



1.1.1.19




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



 




0471



1.1.1.20




(-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250 % risk weight



 




0472



1.1.1.21




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



 




0480



1.1.1.22




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



 




0490



1.1.1.23




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



 




0500



1.1.1.24




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



 




0510



1.1.1.25




(-) Amount exceeding the 17.65% threshold



 




0511



1.1.1.25.1



(-) Amount exceeding the 17.65% threshold related to CET1 instruments of financial sector entities where the institution has a significant investment


 




0512



1.1.1.25.2



(-) Amount exceeding the 17.65% threshold related to deferred tax assets arising from temporary differences


 




0513



1.1.1.25A




(-) Insufficient coverage for non-performing exposures



 




0514



1.1.1.25B




(-) Minimum value commitment shortfalls



 




0515



1.1.1.25C




(-) Other foreseeable tax charges



 




0520



1.1.1.26




Other transitional adjustments to CET1 Capital



 




0524



1.1.1.27




(-) Additional deductions of CET1 Capital due to Article 3 of Regulation (EU) No 575/2013



 




0529



1.1.1.28




CET1 capital elements or deductions - other



 




0530



1.1.2




ADDITIONAL TIER 1 CAPITAL



 




0540



1.1.2.1




Capital instruments eligible as AT1 Capital



 




0551


1.1.2.1.1


Fully paid up, directly issued capital instruments


 




0560


1.1.2.1.2*


Memorandum item: Capital instruments not eligible


 




0571


1.1.2.1.3


Share premium


 




0580


1.1.2.1.4


(-) Own AT1 instruments


 




0590


1.1.2.1.4.1


(-) Direct holdings of AT1 instruments


 




0620


1.1.2.1.4.2


(-) Indirect holdings of AT1 instruments


 




0621


1.1.2.1.4.3


(-) Synthetic holdings of AT1 instruments


 




0622


1.1.2.1.5


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


 




0660



1.1.2.2




Transitional adjustments due to grandfathered AT1 Capital instruments



 




0670



1.1.2.3




Instruments issued by subsidiaries that are given recognition in AT1 Capital



 




0680



1.1.2.4




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



 




0690



1.1.2.5




(-) Reciprocal cross holdings in AT1 Capital



 




0700



1.1.2.6




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



 




0710



1.1.2.7




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



 




0720



1.1.2.8




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



 




0730



1.1.2.9




Other transitional adjustments to AT1 Capital



 




0740



1.1.2.10




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



 




0744



1.1.2.11




(-) Additional deductions of AT1 Capital due to Article 3 of Regulation (EU) No 575/2013



 




0748



1.1.2.12




AT1 capital elements or deductions - other



 




0750



1.2




TIER 2 CAPITAL



 




0760



1.2.1




Capital instruments eligible as T2 Capital



 




0771


1.2.1.1


Fully paid up, directly issued capital instruments


 




0780


1.2.1.2*


Memorandum item: Capital instruments not eligible


 




0791


1.2.1.3


Share premium


 




0800


1.2.1.4


(-) Own T2 instruments


 




0810


1.2.1.4.1


(-) Direct holdings of T2 instruments


 




0840


1.2.1.4.2


(-) Indirect holdings of T2 instruments


 




0841


1.2.1.4.3


(-) Synthetic holdings of T2 instruments


 




0842


1.2.1.5


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


 




0880



1.2.2




Transitional adjustments due to grandfathered T2 Capital instruments



 




0890



1.2.3




Instruments issued by subsidiaries that are given recognition in T2 Capital



 




0900



1.2.4




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



 




0910



1.2.5




IRB Excess of provisions over expected losses eligible



 




0920



1.2.6




SA General credit risk adjustments



 




0930



1.2.7




(-) Reciprocal cross holdings in T2 Capital



 




0940



1.2.8




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



 




0950



1.2.9




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



 




0955



1.2.9A




(-) Excess of deductions from eligible liabilities over eligible liabilities



 




0960



1.2.10




Other transitional adjustments to T2 Capital



 




0970



1.2.11




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



 




0974



1.2.12




(-) Additional deductions of T2 Capital due to Article 3 of Regulation (EU) No 575/2013



 




0978



1.2.13




T2 capital elements or deductions - other



 








C 02.00 - OWN FUNDS REQUIREMENTS (CA2)










Rows




Item




Label




Amount





0010



1




TOTAL RISK EXPOSURE AMOUNT



 




0020


1*



Of which: Investment firms under Article 95, paragraph 2 and Article 98 of Regulation (EU) No 575/2013



 




0030


1**



Of which : Investment firms under Article 96, paragraph 2 and Article 97 of Regulation (EU) No 575/2013



 




0040



1.1




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



 




0050



1.1.1




Standardised approach (SA)



 




0051


1.1.1*


Of which: Additional stricter prudential requirements based on Article 124 of Regulation (EU) No 575/2013


 




0060


1.1.1.1


SA exposure classes excluding securitisation positions


 




0070


1.1.1.1.01


Central governments or central banks


 




0080


1.1.1.1.02


Regional governments or local authorities


 




0090


1.1.1.1.03


Public sector entities


 




0100


1.1.1.1.04


Multilateral Development Banks


 




0110


1.1.1.1.05


International Organisations


 




0120


1.1.1.1.06


Institutions


 




0130


1.1.1.1.07


Corporates


 




0140


1.1.1.1.08


Retail


 




0150


1.1.1.1.09


Secured by mortgages on immovable property


 




0160


1.1.1.1.10


Exposures in default


 




0170


1.1.1.1.11


Items associated with particular high risk


 




0180


1.1.1.1.12


Covered bonds


 




0190


1.1.1.1.13


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


 




0200


1.1.1.1.14


Collective investments undertakings (CIU)


 




0210


1.1.1.1.15


Equity


 




0211


1.1.1.1.16


Other items


 




0212


1.1.1.1.16.1


Of which: software assets accounted for as intangible assets


 




0240



1.1.2




Internal ratings based Approach (IRB)



 




0241


1.1.2*


Of which: Additional stricter prudential requirements based on Article 164 of Regulation (EU) No 575/2013


 




0242


1.1.2**


Of which: Additional stricter prudential requirements based on Article 124 of Regulation (EU) No 575/2013


 




0250


1.1.2.1


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


 




0260


1.1.2.1.01


Central governments and central banks


 




0270


1.1.2.1.02


Institutions


 




0280


1.1.2.1.03


Corporates - SME


 




0290


1.1.2.1.04


Corporates - Specialised Lending


 




0300


1.1.2.1.05


Corporates - Other


 




0310


1.1.2.2


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


 




0320


1.1.2.2.01


Central governments and central banks


 




0330


1.1.2.2.02


Institutions


 




0340


1.1.2.2.03


Corporates - SME


 




0350


1.1.2.2.04


Corporates - Specialised Lending


 




0360


1.1.2.2.05


Corporates - Other


 




0370


1.1.2.2.06


Retail - Secured by real estate SME


 




0380


1.1.2.2.07


Retail - Secured by real estate non-SME


 




0390


1.1.2.2.08


Retail - Qualifying revolving


 




0400


1.1.2.2.09


Retail - Other SME


 




0410


1.1.2.2.10


Retail - Other non-SME


 




0420


1.1.2.3


Equity IRB


 




0450


1.1.2.5


Other non credit-obligation assets


 




0455


1.1.2.5.1


Of which: software assets accounted for as intangible assets


 




0460



1.1.3




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



 




0470



1.1.4




Securitisation positions



 




0490



1.2




TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY



 




0500



1.2.1




Settlement/delivery risk in the non-Trading book



 




0510



1.2.2




Settlement/delivery risk in the Trading book



 




0520



1.3




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



 




0530



1.3.1




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



 




0540


1.3.1.1


Traded debt instruments


 




0550


1.3.1.2


Equity


 




0555


1.3.1.3


Particular approach for position risk in CIUs


 




0556


1.3.1.3*


Memo item: CIUs exclusively invested in traded debt instruments


 




0557


1.3.1.3**


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


 




0560


1.3.1.4


Foreign Exchange


 




0570


1.3.1.5


Commodities


 




0580



1.3.2




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



 




0590



1.4




TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )



 




0600



1.4.1




OpR Basic indicator approach (BIA)



 




0610



1.4.2




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



 




0620



1.4.3




OpR Advanced measurement approaches (AMA)



 




0630



1.5




ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS



 




0640



1.6




TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT



 




0650



1.6.1




Advanced method



 




0660



1.6.2




Standardised method



 




0670



1.6.3




Based on OEM



 




0680



1.7




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



 




0690



1.8




OTHER RISK EXPOSURE AMOUNTS



 




0710



1.8.2




Of which: Additional stricter prudential requirements based on Article 458 of Regulation (EU) No 575/2013



 




0720


1.8.2*


Of which: requirements for large exposures


 




0730


1.8.2**


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


 




0740


1.8.2***


Of which: due to intra financial sector exposures


 




0750



1.8.3




Of which: Additional stricter prudential requirements based on Article 459 of Regulation (EU) No 575/2013



 




0760



1.8.4




Of which: Additional risk exposure amount due to Article 3 of Regulation (EU) No 575/2013



 








C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3)










Rows




ID




Item




Amount





0010



1




CET1 Capital ratio



 




0020



2




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



 




0030



3




T1 Capital ratio



 




0040



4




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



 




0050



5




Total capital ratio



 




0060



6




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



 





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





0130



13




Total SREP capital requirement (TSCR) ratio



 




0140



13*




TSCR: to be made up of CET1 capital



 




0150



13**




TSCR: to be made up of Tier 1 capital



 




0160



14




Overall capital requirement (OCR) ratio



 




0170



14*




OCR: to be made up of CET1 capital



 




0180



14**




OCR: to be made up of Tier 1 capital



 




0190



15




OCR and Pillar 2 Guidance (P2G)



 




0200



15*




OCR and P2G: to be made up of CET1 capital



 




0210



15**




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



 




0220



16




Surplus(+)/Deficit(-) of CET1 capital considering the requirements of Article 92 of Regulation (EU) No 575/2013 and Article 104a of Directive 2013/36/EU



 





Memorandum Items: Capital ratios without application of the transitional provisions on IFRS 9





0300



20




CET1 Capital ratio without application of the transitional provisions on IFRS 9



 




0310



21




T1 Capital ratio without application of the transitional provisions on IFRS 9



 




0320



22




Total capital ratio without application of the transitional provisions on IFRS 9



 








C 04.00 - MEMORANDUM ITEMS (CA4)










Row




ID




Item




Column






Deferred tax assest and liabilities




0010





0010


1



Total deferred tax assets



 




0020


1.1


Deferred tax assets that do not rely on future profitability


 




0030


1.2


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


 




0040


1.3


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


 




0050


2



Total deferred tax liabilities



 




0060


2.1


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


 




0070


2.2


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


 




0080


2.2.1


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


 




0090


2.2.2


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


 




0093


2A



Tax overpayments and tax loss carry backs



 




0096


2B



Deferred Tax Assets subject to a risk weight of 250%



 




0097


2C



Deferred Tax Assets subject to a risk weight of 0%



 





Exception from deductions from CET1





0901


2W



Software assets accounted for as intangible assets exempted from the deduction from CET1



 





Accounting classification of AT1 instruments





0905


2Y



Capital instruments and the related share premium accounts classified as equity under applicable accounting standards



 




0906


2Z



Capital instruments and the related share premium accounts classified as liabilities under applicable accounting standards



 





Credit risk adjustments and expected losses





0100


3



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



 




0110


3.1


Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount


 




0120


3.1.1


General credit risk adjustments


 




0130


3.1.2


Specific credit risk adjustments


 




0131


3.1.3


Additional value adjustments and other own funds reductions


 




0140


3.2


Total expected losses eligible


 




0145


4



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



 




0150


4.1


Specific credit risk adjustments and positions treated similarily


 




0155


4.2


Total expected losses eligible


 




0160


5



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



 




0170


6



Total gross provisions eligible for inclusion in T2 capital



 




0180


7



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



 





Thresholds for Common Equity Tier 1 deductions





0190


8



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



 




0200


9



10% CET1 threshold



 




0210


10



17.65% CET1 threshold



 




0225


11



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



 





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





0230


12



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



 




0240


12.1


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


 




0250


12.1.1


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


 




0260


12.1.2


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


 




0270


12.2


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


 




0280


12.2.1


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


 




0290


12.2.2


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


 




0291


12.3


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


 




0292


12.3.1


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


 




0293


12.3.2


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


 




0300


13



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



 




0310


13.1


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


 




0320


13.1.1


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


 




0330


13.1.2


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


 




0340


13.2


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


 




0350


13.2.1


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


 




0360


13.2.2


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


 




0361


13.3


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


 




0362


13.3.1


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


 




0363


13.3.2


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


 




0370


14



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



 




0380


14.1


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


 




0390


14.1.1


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


 




0400


14.1.2


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


 




0410


14.2


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


 




0420


14.2.1


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


 




0430


14.2.2


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


 




0431


14.3


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


 




0432


14.3.1


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


 




0433


14.3.2


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


 





Investments in the capital of financial sector entities where the institution has a significant investment





0440


15



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



 




0450


15.1


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


 




0460


15.1.1


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


 




0470


15.1.2


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


 




0480


15.2


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


 




0490


15.2.1


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


 




0500


15.2.2


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


 




0501


15.3


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


 




0502


15.3.1


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


 




0503


15.3.2


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


 




0504


15A


Investments in CET1 capital of financial sector entities where the institution has a significant investment - subject to a risk weight of 250%


 




0510


16



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



 




0520


16.1


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


 




0530


16.1.1


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


 




0540


16.1.2


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


 




0550


16.2


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


 




0560


16.2.1


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


 




0570


16.2.2


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


 




0571


16.3


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


 




0572


16.3.1


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


 




0573


16.3.2


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


 




0580


17



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



 




0590


17.1


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


 




0600


17.1.1


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


 




0610


17.1.2


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


 




0620


17.2


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


 




0630


17.2.1


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


 




0640


17.2.2


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


 




0641


17.3


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


 




0642


17.3.1


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


 




0643


17.3.2


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


 





Total risk exposure amounts of holdings not deducted from the corresponding capital category:





0650


18



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



 




0660


19



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



 




0670


20



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



 





Temporary waiver from deduction from own funds





0680


21



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



 




0690


22



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



 




0700


23



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



 




0710


24



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



 




0720


25



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



 




0730


26



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



 





Capital buffers





0740


27



Combined buffer requirement



 




0750


 



Capital conservation buffer



 




0760


 



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



 




0770


 



Institution specific countercyclical capital buffer



 




0780


 



Systemic risk buffer



 




0800


 



Global Systemically Important Institution buffer



 




0810


 



Other Systemically Important Institution buffer



 





Pillar II requirements





0820


28



Own funds requirements related to Pillar II adjustments



 





Additional information for investment firms





0830


29



Initial capital



 




0840


30



Own funds based on Fixed Overheads



 





Additional information for calculation of reporting thresholds





0850


31



Non-domestic original exposures



 




0860


32



Total original exposures



 








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



0010


0020


0030


0040


0050


0060




0010


1



TOTAL ADJUSTMENTS



 


 


 


 


 


 




0020


1.1



GRANDFATHERED INSTRUMENTS



link to {CA1;r0220}


link to {CA1;r0660}


link to {CA1;r0880}


 


 


 




0060


1.1.2



Instruments not constituting state aid



 


 


 


 


 


 




0061


1.1.3



Instruments issued through special purpose vehicles



 


 


 


 


 


 




0062


1.1.4



Instruments issued before 27 June 2019 that do not meet the eligibility criteria related to write-down and conversion powers pursuant to Article 59 BRRD or are subject to set-off or netting arrangements



 


 


 


 


 


 




0063


1.1.4.1*


of which: Instruments without legally or contractually mandatory write-down or conversion upon exercise of powers in accordance with Article 59 of Directive 2014/59/EU


 


 


 


 


 


 




0064


1.1.4.2*


of which: Instruments governed by third-country law without effective and enforceable exercise of powers in accordance with Article 59 of Directive 2014/59/EU


 


 


 


 


 


 




0065


1.1.4.3*


of which: Instruments subject to set-off or netting arrangements


 


 


 


 


 


 




0070


1.2



MINORITY INTERESTS AND EQUIVALENTS



link to {CA1;r0240}


link to {CA1;r0680}


link to {CA1;r0900}


 


 


 




0080


1.2.1



Capital instruments and items that do not qualify as minority interests



 


 


 


 


 


 




0090


1.2.2



Transitional recognition in consolidated own funds of minority interests



 


 


 


 


 


 




0091


1.2.3


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


 


 


 


 


 


 




0092


1.2.4


Transitional recognition in consolidated own funds of qualifying Tier 2 capital


 


 


 


 


 


 




0100


1.3



OTHER TRANSITIONAL ADJUSTMENTS



link to {CA1;r0520}


link to {CA1;r0730}


link to {CA1;r0960}


 


 


 




0111


1.3.1.6



Unrealised gains and losses from certain debt exposures to central governments, regional governments, local authorities and PSEs



 


 


 


 


 


 




0112


1.3.1.6.1


of which: amount A


 


 


 


 


 


 




0140


1.3.2



Deductions



 


 


 


 


 


 




0170


1.3.2.3


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


 


 


 


 


 


 




0380


1.3.2.9


Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment


 


 


 


 


 


 




0385


1.3.2.9a


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


 


 


 


 


 


 




0425


1.3.2.11


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


 


 


 


 


 


 




0430


1.3.3



Additional filters and deductions



 


 


 


 


 


 




0440


1.3.4



Adjustments due to IFRS 9 transitional arrangements



 


 


 


 


 


 




0441


1.3.4.1


Memorandum item: ECL impact of the static component


 


 


 


 


 


 




0442


1.3.4.2


Memorandum item: ECL impact of the dynamic component for the period 01/01/2018 – 31/12/2019


 


 


 


 


 


 




0443


1.3.4.3


Memorandum item: ECL impact of the dynamic component for the period starting on 01/01/2020


 


 


 


 


 


 








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














 



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



0010


0020


0030


0040


0050


0060




0010


1.



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



 


 


 


 


 


link to {CA5.1;r060;c010)




0020


2.



Instruments that qualified for Article 57, point (ca) and Article 154(8) and (9) of Directive 2006/48/EC, subject to the limit of Article 489 of Regulation (EU) No 575/2013



 


 


 


 


 


link to {CA5.1;r060;c020)




0030


2.1


Total instruments without a call or an incentive to redeem


 


 


 


 


 


 




0040


2.2.


Grandfathered instruments with a call and incentive to redeem


 


 


 


 


 


 




0050


2.2.1


Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of Regulation (EU) No 575/2013 after the date of effective maturity


 


 


 


 


 


 




0060


2.2.2


Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 of Regulation (EU) No 575/2013 after the date of effective maturity


 


 


 


 


 


 




0070


2.2.3


Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 of Regulation (EU) No 575/2013 after the date of effective maturity


 


 


 


 


 


 




0080


2.3


Excess on the limit of CET1 grandfathered instruments


 


 


 


 


 


 




0090


3



Items that qualified for Article 57, points (e), (f), (g) or (h) of Directive 2006/48/EC, subject to the limit of Article 490 of Regulation (EU) No 575/2013



 


 


 


 


 


link to {CA5.1;r060;c030)




0100


3.1


Total items without an incentive to redeem


 


 


 


 


 


 




0110


3.2


Grandfathered items with an incentive to redeem


 


 


 


 


 


 




0120


3.2.1


Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of Regulation (EU) No 575/2013 after the date of effective maturity


 


 


 


 


 


 




0130


3.2.2


Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of Regulation (EU) No 575/2013 after the date of effective maturity


 


 


 


 


 


 




0140


3.2.3


Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of Regulation (EU) No 575/2013 after the date of effective maturity


 


 


 


 


 


 




0150


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



 


 



QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL




MEMORANDUM ITEM: GOODWILL (–) / (+) NEGATIVE GOODWILL




OF WHICH: COMMON EQUITY TIER 1




OF WHICH: ADDITIONAL TIER 1




OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT




OF WHICH: (–) GOODWILL / (+) NEGATIVE GOODWILL




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




QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL





0250


0260


0270


0280


0290


0300


0310


0320


0330


0340


0350


0360


0370


0380


0390


0400


0410


0420


0430


0440


0450


0470


0480




0010


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




TYPE OF CODE




NATIONAL CODE




INSTITUTION OR EQUIVALENT (YES / NO)




TYPE OF ENTITY




SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP)




COUNTRY CODE




SHARE OF HOLDING (%)




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



 



QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL




MEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL




OF WHICH: COMMON EQUITY TIER 1




OF WHICH: ADDITIONAL TIER 1




OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT




OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL




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




QUALIFYING TIER 1 INSTRUMENTS INCLUDED 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





0011


0021


0026


0027


0030


0035


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130


0140


0150


0160


0170


0180


0190


0200


0210


0220


0230


0240


0250


0260


0270


0280


0290


0300


0310


0320


0330


0340


0350


0360


0370


0380


0390


0400


0410


0420


0430


0440


0450


0470


0480




 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








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 SUPPORTING FACTORS




(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR




(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR




RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS



 





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




OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK EXCLUDING EXPOSURES CLEARED THROUGH A CCP





0010


0030


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130


0140


0150


0160


0170


0180


0190


0200


0210


0211


0215


0216


0217


0220


0230


0240




0010



TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


Cell linked to CA


 


 




0015



of which: Defaulted exposures in exposure classes “items associated with a particular high risk” and “equity exposures”



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0020



of which: SME



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0030



of which: Exposures subject to SME-supporting factor



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0035



of which: Exposures subject to the Infrastructure supporting factor



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0040



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



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0050



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



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0060



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:





0070



On balance sheet exposures subject to credit risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0080



Off balance sheet exposures subject to credit risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




 



Exposures / Transactions subject to counterparty credit risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0090



Securities Financing Transactions netting sets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0100



of which: centrally cleared through a QCCP



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0110



Derivatives & Long Settlement Transactions netting sets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0120



of which: centrally cleared through a QCCP



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0130



From Contractual Cross Product netting sets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 





BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:





0140



0 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0150



2 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0160



4 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0170



10 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0180



20 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0190



35 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0200



50 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0210



70 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0220



75 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0230



100 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0240



150 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0250



250 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0260



370 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0270



1 250  %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0280



Other risk weights



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 





BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU):





0281



Look-through approach



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0282



Mandate-based approach



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0283



Fall-back approach



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 





MEMORANDUM ITEMS





0290



Exposures secured by mortgages on commercial immovable property



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0300



Exposures in default subject to a risk weight of 100 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0310



Exposures secured by mortgages on residential property



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0320



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 SCALE




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 LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES




EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)




RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS




(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR




(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR




RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS




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




PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT






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






CASH ON DEPOSIT




LIFE INSURANCE POLICIES




INSTRUMENTS HELD BY A THIRD PARTY




REAL ESTATE




OTHER PHYSICAL COLLATERAL




RECEIVABLES





 




0010


0020


0030


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130


0140


0150


0160


0170


0171


0172


0173


0180


0190


0200


0210


0220


0230


0240


0250


0255


0256


0257


0260


0270


0280


0290


0300


0310




0010



TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 



Cell linked to CA



 


 


 


 


 




0015



of which: Exposures subject to SME-supporting factor



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0016



of which: Exposures subject to the Infrastructure supporting factor



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




 



BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:



 




0020



On balance sheet items subject to credit risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0030



Off balance sheet items subject to credit risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




 



Exposures / Transactions subject to counterparty credit risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0040



Securities Financing Transactions netting sets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0050



Derivatives & Long Settlement Transactions netting sets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0060



From Contractual Cross Product netting sets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0070



EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0080



SPECIALIZED LENDING SLOTTING APPROACH: TOTAL



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0160



ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0170



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



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0180



DILUTION RISK: TOTAL PURCHASED 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 SCALE




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 LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES




EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)




RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS




(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR




(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR




RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS




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




PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT






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






CASH ON DEPOSIT




LIFE INSURANCE POLICIES




INSTRUMENTS HELD BY A THIRD PARTY




REAL ESTATE




OTHER PHYSICAL COLLATERAL



 




 




0005


0010


0020


0030


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130


0140


0150


0160


0170


0171


0172


0173


0180


0190


0200


0220


0230


0240


0250


0255


0256


0257


0260


0270


0280


0290


0300


0310




 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








C 08.03 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY PD RANGES (CR IRB 3)


IRB Exposure class:


Own estimates of LGD and/or conversion factors:



















PD RANGE




ON-BALANCE SHEET EXPOSURES




OFF-BALANCE-SHEET EXPOSURES PRE-CONVERSION FACTORS




EXPOSURE WEIGHTED AVERAGE CONVERSION FACTORS




EXPOSURE VALUE POST CONVERSION FACTORS AND POST CRM




EXPOSURE WEIGHTED AVERAGE PD (%)




NUMBER OF OBLIGORS




EXPOSURE WEIGHTED AVERAGE LGD (%)




EXPOSURE WEIGHTED AVERAGE MATURITY (YEARS)




RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS




EXPECTED LOSS AMOUNT




(-) VALUE ADJUST-MENTS AND PROVISIONS





0010


0020


0030


0040


0050


0060


0070


0080


0090


0100


0110




0010



0.00 to <0.15



 


 


 


 


 


 


 


 


 


 


 




0020



0.00 to <0.10



 


 


 


 


 


 


 


 


 


 


 




0030



0.10 to <0.15



 


 


 


 


 


 


 


 


 


 


 




0040



0.15 to <0.25



 


 


 


 


 


 


 


 


 


 


 




0050



0.25 to <0.50



 


 


 


 


 


 


 


 


 


 


 




0060



0.50 to <0.75



 


 


 


 


 


 


 


 


 


 


 




0070



0.75 to <2.5



 


 


 


 


 


 


 


 


 


 


 




0080



0.75 to <1.75



 


 


 


 


 


 


 


 


 


 


 




0090



1.75 to <2.5



 


 


 


 


 


 


 


 


 


 


 




0100



2.5 to <10



 


 


 


 


 


 


 


 


 


 


 




0110



2.5 to <5



 


 


 


 


 


 


 


 


 


 


 




0120



5 to <10



 


 


 


 


 


 


 


 


 


 


 




0130



10 to <100



 


 


 


 


 


 


 


 


 


 


 




0140



10 to <20



 


 


 


 


 


 


 


 


 


 


 




0150



20 to <30



 


 


 


 


 


 


 


 


 


 


 




0160



30 to <100



 


 


 


 


 


 


 


 


 


 


 




0170



100 (Default)



 


 


 


 


 


 


 


 


 


 


 








C 08.04 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS (CR IRB 4)








 



RISK WEIGHTED EXPOSURE AMOUNT





0010




0010



RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING PERIOD



 




0020



ASSET SIZE (+/-)



 




0030



ASSET QUALITY (+/-)



 




0040



MODEL UPDATES (+/-)



 




0050



METHODOLOGY AND POLICY (+/-)



 




0060



ACQUISITIONS AND DISPOSALS (+/-)



 




0070



FOREIGN EXCHANGE MOVEMENTS (+/-)



 




0080



OTHER (+/-)



 




0090



RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIOD



 








C 08.05 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD (CR IRB 5)


IRB Exposure class:


Own estimates of LGD and/or conversion factors:













PD RANGE




ARITHMETIC AVERAGE PD (%)




NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR



 



OBSERVED AVERAGE DEFAULT RATE (%)




AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%)






OF WHICH: DEFAULTED DURING THE YEAR





0010


0020


0030


0040


0050




0010



0.00 to <0.15



 


 


 


 


 




0020



0.00 to <0.10



 


 


 


 


 




0030



0.10 to <0.15



 


 


 


 


 




0040



0.15 to <0.25



 


 


 


 


 




0050



0.25 to <0.50



 


 


 


 


 




0060



0.50 to <0.75



 


 


 


 


 




0070



0.75 to <2.5



 


 


 


 


 




0080



0.75 to <1.75



 


 


 


 


 




0090



1.75 to <2.5



 


 


 


 


 




0100



2.5 to <10



 


 


 


 


 




0110



2.5 to <5



 


 


 


 


 




0120



5 to <10



 


 


 


 


 




0130



10 to <100



 


 


 


 


 




0140



10 to <20



 


 


 


 


 




0150



20 to <30



 


 


 


 


 




0160



30 to <100



 


 


 


 


 




0170



100 (Default)



 


 


 


 


 








C 08.05.1 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD IN ACCORDANCE WITH ARTICLE 180(1), POINT (f) OF REGULATION (EU) No 575/2013 (CR IRB 5B)


IRB Exposure class:


Own estimates of LGD and/or conversion factors:












PD RANGE




EXTERNAL RATING EQUIVALENT




ARITHMETIC AVERAGE PD (%)




NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR



 



AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%)






OF WHICH: DEFAULTED DURING THE YEAR





0005


0006


0010


0020


0030


0050




 


 


 


 


 


 








C 08.06 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH (CR IRB 6)


Type of specialised lending:

















 



ORIGINAL EXPOSURE PRE CONVERSION FACTORS




EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS



 



EXPOSURE VALUE



 



RISK WEIGHT




RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS



 





(-) VALUE ADJUSTMENTS AND PROVISIONS






OF WHICH: OFF BALANCE SHEET ITEMS




OF WHICH: OFF BALANCE SHEET ITEMS




OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK





0010


0020


0030


0040


0050


0060


0070


0080


0100




0010



CATEGORY 1




LESS THAN 2.5 YEARS



 


 


 


 


 


 


50 %


 


 




0020



EQUAL TO OR MORE THAN 2.5 YEARS



 


 


 


 


 


 


70 %


 


 




0030



CATEGORY 2




LESS THAN 2.5 YEARS



 


 


 


 


 


 


70 %


 


 




0040



EQUAL TO OR MORE THAN 2.5 YEARS



 


 


 


 


 


 


90 %


 


 




0050



CATEGORY 3




LESS THAN 2.5 YEARS



 


 


 


 


 


 


115 %


 


 




0060



EQUAL TO OR MORE THAN 2.5 YEARS



 


 


 


 


 


 


115 %


 


 




0070



CATEGORY 4




LESS THAN 2.5 YEARS



 


 


 


 


 


 


250 %


 


 




0080



EQUAL TO OR MORE THAN 2.5 YEARS



 


 


 


 


 


 


250 %


 


 




0090



CATEGORY 5




LESS THAN 2.5 YEARS



 


 


 


 


 


 


—


 


 




0100



EQUAL TO OR MORE THAN 2.5 YEARS



 


 


 


 


 


 


—


 


 




0110



TOTAL




LESS THAN 2.5 YEARS



 


 


 


 


 


 


 


 


 




0120



EQUAL TO OR MORE THAN 2.5 YEARS



 


 


 


 


 


 


 


 


 








C 08.07 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SCOPE OF USE OF IRB AND SA APPROACHES (CR IRB 7)












 



TOTAL EXPOSURE VALUE AS DEFINED IN ARTICLE 166 OF REGULATION (EU) No 575/2013




TOTAL EXPOSURE VALUE SUBJECT TO SA AND IRB




PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO PERMANENT PARTIAL USE OF SA (%)




PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO A ROLL-OUT PLAN (%)




PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO IRB APPROACH (%)





0010


0020


0030


0040


0050




0010



CENTRAL GOVERNMENTS OR CENTRAL BANKS



 


 


 


 


 




0020



OF WHICH: REGIONAL GOVERNMENTS OR LOCAL AUTHORITIES



 


 


 


 


 




0030



OF WHICH: PUBLIC SECTOR ENTITIES



 


 


 


 


 




0040



INSTITUTIONS



 


 


 


 


 




0050



CORPORATES



 


 


 


 


 




0060



OF WHICH: CORPORATES - SPECIALISED LENDING, EXCLUDING SLOTTING APPROACH



 


 


 


 


 




0070



OF WHICH: CORPORATES - SPECIALISED LENDING, INCLUDING SLOTTING APPROACH



 


 


 


 


 




0080



OF WHICH: CORPORATES - SMES



 


 


 


 


 




0090



RETAIL



 


 


 


 


 




0100



OF WHICH RETAIL – SECURED BY REAL ESTATE SMES



 


 


 


 


 




0110



OF WHICH RETAIL – SECURED BY REAL ESTATE NON-SMES



 


 


 


 


 




0120



OF WHICH RETAIL – QUALIFYING REVOLVING



 


 


 


 


 




0130



OF WHICH RETAIL – OTHER SMES



 


 


 


 


 




0140



OF WHICH RETAIL – OTHER NON-SMES



 


 


 


 


 




0150



EQUITY



 


 


 


 


 




0160



OTHER NON-CREDIT OBLIGATION ASSETS



 


 


 


 


 




0170



TOTAL



 


 


 


 


 








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


Country:




















 



ORIGINAL EXPOSURE PRE CONVERSION FACTORS




Observed new defaults for the period




General credit risk adjustments




Specific credit risk adjustments




Write offs




Additional value adjustments and other own funds reductions




Credit risk adjustments/write-offs for observed new defaults




EXPOSURE VALUE




RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS




(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR




(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR




RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS





 



Defaulted exposures





0010


0020


0040


0050


0055


0060


0061


0070


0075


0080


0081


0082


0090




0010


Central governments or central banks


 


 


 


 


 


 


 


 


 


 


 


 


 




0020


Regional governments or local authorities


 


 


 


 


 


 


 


 


 


 


 


 


 




0030


Public sector entities


 


 


 


 


 


 


 


 


 


 


 


 


 




0040


Multilateral Development Banks


 


 


 


 


 


 


 


 


 


 


 


 


 




0050


International Organisations


 


 


 


 


 


 


 


 


 


 


 


 


 




0060


Institutions


 


 


 


 


 


 


 


 


 


 


 


 


 




0070


Corporates


 


 


 


 


 


 


 


 


 


 


 


 


 




0075


of which: SME


 


 


 


 


 


 


 


 


 


 


 


 


 




0080


Retail


 


 


 


 


 


 


 


 


 


 


 


 


 




0085


of which: SME


 


 


 


 


 


 


 


 


 


 


 


 


 




0090


Secured by mortgages on immovable property


 


 


 


 


 


 


 


 


 


 


 


 


 




0095


of which: SME


 


 


 


 


 


 


 


 


 


 


 


 


 




0100


Exposures in default


 


 


 


 


 


 


 


 


 


 


 


 


 




0110


Items associated with particularly high risk


 


 


 


 


 


 


 


 


 


 


 


 


 




0120


Covered bonds


 


 


 


 


 


 


 


 


 


 


 


 


 




0130


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


 


 


 


 


 


 


 


 


 


 


 


 


 




0140


Collective investments undertakings (CIU)


 


 


 


 


 


 


 


 


 


 


 


 


 




0141


Look-through approach


 


 


 


 


 


 


 


 


 


 


 


 


 




0142


Mandate-based approach


 


 


 


 


 


 


 


 


 


 


 


 


 




0143


Fall-back approach


 


 


 


 


 


 


 


 


 


 


 


 


 




0150


Equity exposures


 


 


 


 


 


 


 


 


 


 


 


 


 




0160


Other exposures


 


 


 


 


 


 


 


 


 


 


 


 


 




0170



Total exposures



 


 


 


 


 


 


 


 


 


 


 


 


 








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 SUPPORTING FACTORS



 


(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR



(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR




RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS




EXPECTED LOSS AMOUNT





 



Of which: defaulted



 



Of which: defaulted




Of which: defaulted





0010


0030


0040


0050


0055


0060


0070


0080


0090


0100


0105


0110


0120


0121


0122


0125


0130




0010


Central governments or central banks


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0020


Institutions


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0030


Corporates


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0042


Of Which: Specialised Lending (excl. SL under the slotting approach)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0045


Of Which: Specialised Lending under the slotting approach


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0050


Of Which: SME


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0060


Retail


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0070


Secured by immovable property


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0080


SME


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0090


Non-SME


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0100


Qualifying Revolving


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0110


Other Retail


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0120


SME


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0130


Non-SME


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0140


Equity


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0150



Total exposures



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








C 09.04 - BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB)


Country:










 


Amount


Percentage


Qualitative information




0010


0020


0030





Relevant credit exposures - Credit Risk



 




0010


Exposure value under the Standardised Approach


 


 


 




0020


Exposure value under the IRB Approach


 


 


 





Relevant credit exposures – Market risk



 




0030


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


 


 


 




0040


Value of trading book exposures for internal models


 


 


 





Relevant credit exposures – Securitisation



 




0055


Exposure value of securitisation positions in the banking book


 


 


 





Own funds requirements and weights



 




0070


Total own funds requirements for CCB


 


 


 




0080


Own funds requirements for relevant credit exposures – Credit risk


 


 


 




0090


Own funds requirements for relevant credit exposures – Market risk


 


 


 




0100


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


 


 


 




0110


Own funds requirements weights


 


 


 





Countercyclical capital buffer rates



 




0120


Countercyclical capital buffer rate set by the Designated Authority


 


 


 




0130


Countercyclical capital buffer rate applicable for the country of the institution


 


 


 




0140


Institution-specific countercyclical capital buffer rate


 


 


 





Use of 2 % threshold



 




0150


Use of 2 % threshold for general credit exposure


 


 


 




0160


Use of 2 % threshold for trading book exposure


 


 


 








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

















 



INTERNAL RATING SCALE




ORIGINAL EXPOSURE PRE CONVERSION FACTORS




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




EXPOSURE VALUE



 



EXPOSURE WEIGHTED AVERAGE LGD (%)




RISK WEIGHTED EXPOSURE AMOUNT




MEMORANDUM ITEM:






UNFUNDED CREDIT PROTECTION




SUBSTITUTION OF THE EXPOSURE DUE TO CRM




OF WHICH: OFF BALANCE SHEET ITEMS




EXPECTED LOSS AMOUNT






PD ASSIGNED TO THE OBLIGOR GRADE (%)




(-) GUARANTEES




(-) CREDIT DERIVATIVES




(-) TOTAL OUTFLOWS





0010


0020


0030


0040


0050


0060


0061


0070


0080


0090




0010



TOTAL IRB EQUITY EXPOSURES



 


 


 


 


 


 


 


 


Cell linked to CA


 




0020



PD/LGD APRROACH: TOTAL



 


 


 


 


 


 


 


 


 


 




0050



SIMPLE RISK WEIGHT APPROACH: TOTAL



 


 


 


 


 


 


 


 


 


 




0060



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





0070


RISK WEIGHT: 190 %


 


 


 


 


 


 


 


 


 


 




0080


290 %


 


 


 


 


 


 


 


 


 


 




0090


370 %


 


 


 


 


 


 


 


 


 


 




0100



INTERNAL MODELS APPROACH



 


 


 


 


 


 


 


 


 


 




0110



EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS



 


 


 


 


 


 


 


 


 


 




0120



CIU EXPOSURES SUBJECT TO THE FALL-BACK APPROACH



 


 


 


 


 


 


 


 


 


 








C 10.02 - CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES (CR EQU IRB 2)
















OBLIGOR GRADE (ROW IDENTIFIER)




INTERNAL RATING SCALE




ORIGINAL EXPOSURE PRE CONVERSION FACTORS




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




EXPOSURE VALUE




EXPOSURE WEIGHTED AVERAGE LGD (%)




RISK WEIGHTED EXPOSURE AMOUNT




MEMORANDUM ITEM:






UNFUNDED CREDIT PROTECTION




SUBSTITUTION OF THE EXPOSURE DUE TO CRM




EXPECTED LOSS AMOUNT






PD ASSIGNED TO THE OBLIGOR GRADE (%)




(-) GUARANTEES




(-) CREDIT DERIVATIVES




(-) TOTAL OUTFLOWS





0005


0010


0020


0030


0040


0050


0060


0070


0080


0090




 


 


 


 


 


 


 


 


 


 








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





0010


0020


0030


0040




0010



Total unsettled transactions in the Non-trading Book



 


 


 


Cell linked to CA




0020


Transactions unsettled up to 4 days (Factor 0%)


 


 


 


 




0030


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


 


 


 


 




0040


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


 


 


 


 




0050


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


 


 


 


 




0060


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


 


 


 


 




0070



Total unsettled transactions in the Trading Book



 


 


 


Cell linked to CA




0080


Transactions unsettled up to 4 days (Factor 0%)


 


 


 


 




0090


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


 


 


 


 




0100


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


 


 


 


 




0110


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


 


 


 


 




0120


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


 


 


 


 








C 13.01 - CREDIT RISK: SECURITISATIONS (CR SEC)






































































































 



TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED




SYNTHETIC SECURITIZATIONS: 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*)



 



(-) NON REFUNDABLE PURCHASE PRICE DISCOUNT




(-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES




EXPOSURE VALUE



 


 



BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS




RISK-WEIGHTED EXPOSURE AMOUNT




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




OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402




BEFORE CAP




(-) REDUCTION DUE TO RISK WEIGHT CAP




(-) REDUCTION DUE TO OVERALL CAP




TOTAL RISK-WEIGHTED EXPOSURE AMOUNT




MEMORANDUM ITEM:

RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS TO OTHER EXPOSURE CLASSES






(-) 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




OF WHICH: SUBJECT TO A CCF OF 0%




(-) DEDUCTED FROM OWN FUNDS




SUBJECT TO RISK WEIGHTS




SEC-IRBA




SEC-SA




SEC-ERBA




INTERNAL ASSESSMENT APPROACH




SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS




OTHER (RW=1 250  %)



 



SEC-IRBA




SEC-SA




SEC-ERBA




INTERNAL ASSESSMENT APPROACH




SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS




OTHER (RW=1 250  %)




OF WHICH: SYNTHETIC SECURITISATIONS





 


 



BREAKDOWN BY RW BANDS




OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)



 



BREAKDOWN BY RW BANDS



 



BREAKDOWN BY CREDIT QUALITY STEPS




BREAKDOWN BY REASONS FOR APPLICATION OF SEC-ERBA



 



BREAKDOWN BY RW BANDS



 


 



OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)



 



OF WHICH: RW=1 250 % (W UNKNOWN)



 



AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES




SEC-ERBA OPTION




POSITIONS SUBJECT TO ARTICLE 254(2), POINT (a) OF REGULATION (EU) No 575/2013




POSITIONS SUBJECT TO ARTICLE 254(2), POINT (b) OF REGULATION (EU) No 575/2013




POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) OF REGULATION (EU) No 575/2013




FOLLOWING THE HIERARCHY OF APPROACHES



 



AVERAGE RISK WEIGHT (%)






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




(-) TOTAL OUTFLOWS




TOTAL INFLOWS



 



=< 20 % RW




> 20 % TO 50 % RW




> 50 % TO 100 % RW




> 100 % TO < 1 250  % RW




1 250  % RW



 



= < 20 % RW




> 20 % TO 50 % RW




> 50 % TO 100 % RW




> 100 % TO < 1 250  % RW




1 250  % RW (W UNKNOWN)




1 250  % RW (OTHER)



 



SHORT TERM CREDIT QUALITY STEPS




LONG TERM CREDIT QUALITY STEPS




AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES




SEC-ERBA OPTION




POSITIONS SUBJECT TO ARTICLE 254(2), POINT (a) OF REGULATION (EU) No 575/2013




POSITIONS SUBJECT TO ARTICLE 254(2), POINT (b) OF REGULATION (EU) No 575/2013




POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) OF REGULATION (EU) No 575/2013




FOLLOWING THE HIERARCHY OF APPROACHES



 



=< 20 % RW




> 20 % TO 50 % RW




> 50 % TO 100 % RW




> 100 % TO < 1 250  % RW




1 250  % RW



 


 


 


 


 




 


 


 



CQS 1




CQS 2




CQS 3




ALL OTHER CQS




CQS 1




CQS 2




CQS 3




CQS 4




CQS 5




CQS 6




CQS 7




CQS 8




CQS 9




CQS 10




CQS 11




CQS 12




CQS 13




CQS 14




CQS 15




CQS 16




CQS 17




ALL OTHER CQS



 


 


 


 


 


 




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


0280


0290


0300


0310


0320


0330


0340


0350


0360


0370


0380


0390


0400


0410


0420


0430


0440


0450


0460


0470


0480


0490


0500


0510


0520


0530


0540


0550


0560


0570


0580


0590


0600


0610


0620


0630


0640


0650


0660


0670


0680


0690


0695


0700


0710


0720


0730


0740


0750


0760


0770


0780


0790


0800


0810


0820


0830


0840


0845


0850


0860


0870


0880


0890


0900


0910


0920


0930




0010



TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


Cell linked to CA


 




0020


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0030


QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0040


EXPOSURES IN STS ABCP AND NON-ABCP TRADITIONAL SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0050


GRANDFATHERED SENIOR POSITION IN SME SYNTHETIC SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0051


SENIOR POSITIONS IN STS ON-BALANCE SHEET SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0060


NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0070


RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0080



ORIGINATOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0090


SECURITISATIONS: ON-BALANCE SHEET ITEMS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0100


QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0110


OF WHICH: SENIOR EXPOSURES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0120


NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0121


EXPOSURES IN NON-NPE SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0131


OF WHICH: SENIOR EXPOSURES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0133


EXPOSURES IN NPE SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0134


OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0135


OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0136


OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0140


SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0150


QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0160


OF WHICH: SENIOR EXPOSURES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0170


NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0180


OF WHICH: SENIOR EXPOSURES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0190


RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0200



INVESTOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0210


SECURITISATIONS: ON-BALANCE SHEET ITEMS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0220


QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0230


OF WHICH: SENIOR EXPOSURES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0240


NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0241


EXPOSURES IN NON-NPE SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0251


OF WHICH: SENIOR EXPOSURES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0253


EXPOSURES IN NPE SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0254


OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0255


OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0256


OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0260


SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0270


QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0280


OF WHICH: SENIOR EXPOSURES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0290


NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0300


OF WHICH: SENIOR EXPOSURES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0310


RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0320



SPONSOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0330


SECURITISATIONS: ON-BALANCE SHEET ITEMS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0340


QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0350


OF WHICH: SENIOR EXPOSURES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0360


NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0361


EXPOSURES IN NON-NPE SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0371


OF WHICH: SENIOR EXPOSURES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0373


EXPOSURES IN NPE SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0374


OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0375


OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0376


OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0380


SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0390


QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0400


OF WHICH: SENIOR EXPOSURES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0410


NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0420


OF WHICH: SENIOR EXPOSURES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0430


RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0440



BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: Short term





0450


CQS 1


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0460


CQS 2


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0470


CQS 3


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0480


ALL OTHER CQS AND UNRATED


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0490



BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: Long term





0500


CQS 1


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0510


CQS 2


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0520


CQS 3


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0530


CQS 4


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0540


CQS 5


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0550


CQS 6


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0560


CQS 7


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0570


CQS 8


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0580


CQS 9


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0590


CQS 10


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0600


CQS 11


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0610


CQS 12


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0620


CQS 13


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0630


CQS 14


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0640


CQS 15


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0650


CQS 16


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0660


CQS 17


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0670


ALL OTHER CQS AND UNRATED


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details)


































































INTERNAL CODE




IDENTIFIER OF THE SECURITISATION




INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION?




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




IDENTIFIER OF THE ORIGINATOR




SECURITISATION TYPE




ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?




SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements?




SIGNIFICANT RISK TRANSFER




SECURITISATION OR RE-SECURITISATION?




STS SECURITISATION




SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT




TYPE OF EXCESS SPREAD




AMORTISATION SYSTEM




COLLATERALISATION OPTIONS




RETENTION




NON ABCP PROGRAMMES




SECURITISED EXPOSURES




SECURITISATION STRUCTURE






TYPE OF RETENTION APPLIED




% OF RETENTION AT REPORTING DATE




COMPLIANCE WITH THE RETENTION REQUIREMENT?




ORIGINATION DATE (yyyy-mm-dd)




DATE OF LATEST ISSUANCE (yyyy-mm-dd)




TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE




TOTAL AMOUNT




INSTITUTION'S SHARE (%)




TYPE




% of IRB IN APPROACH APPLIED




NUMBER OF EXPOSURES




EXPOSURES IN DEFAULT W (%)




COUNTRY




LGD (%)




EL (%)




UL (%)




EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS




(-) VALUE ADJUSTMENTS AND PROVISIONS




OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb




% OF RETAIL EXPOSURES IN IRB POOLS




OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa




MEMORANDUM ITEMS




ON-BALANCE SHEET ITEMS




OFF-BALANCE SHEET ITEMS AND DERIVATIVES




MATURITY




MEMORANDUM ITEMS






CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD




SENIOR




MEZZANINE




FIRST LOSS




OVERCOLLATERALISATION AND FUNDED RESERVE ACCOUNTS




SENIOR




MEZZANINE




FIRST LOSS




SYNTHETIC EXCESS SPREAD




FIRST FORESEEABLE TERMINATION DATE




ORIGINATOR'S CALL OPTIONS INCLUDED IN TRANSACTION




ATTACHMENT POINT OF RISK SOLD (%)




DETACHMENT POINT OF RISK SOLD (%)




RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%)






AMOUNT




ATTACHMENT POINT (%)




CQS




AMOUNT




NUMBER OF TRANCHES




CQS OF THE MOST SUBORDINATED TRANCHE




AMOUNT




DETACHMENT POINT (%)




CQS




AMOUNT




OF WHICH: NON-REFUNDABLE PURCHASE PRICE DISCOUNT




AMOUNT




ATTACHMENT POINT (%)




AMOUNT




NUMBER OF TRANCHES




AMOUNT




DETACHMENT POINT (%)





 




0010


0020


0021


0110


0030


0040


0051


0060


0061


0070


0075


0446


0076


0077


0078


0080


0090


0100


0120


0121


0130


0140


0150


0160


0171


0180


0181


0190


0201


0202


0203


0204


0210


0221


0222


0223


0225


0230


0231


0232


0240


0241


0242


0250


0251


0252


0254


0255


0260


0265


0270


0275


0280


0285


0287


0290


0291


0302


0303


0304




 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








C 14.01 - DETAILED INFORMATION ON SECURITISATIONS BY APPROACH (SEC Details Approach)


Approach:
































INTERNAL CODE




IDENTIFIER OF THE SECURITISATION




SECURITISATION POSITIONS




EXPOSURE VALUE



(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS




TOTAL RISK-WEIGHTED EXPOSURE AMOUNT




MEMORANDUM ITEMS




SECURITISATION POSITIONS - TRADING BOOK






ORIGINAL EXPOSURE PRE-CONVERSION FACTORS




MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE CONVERSION FACTORS




RISK-WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA




RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA




CTP OR NON-CTP?




NET POSITIONS






ON-BALANCE SHEET ITEMS




OFF-BALANCE SHEET ITEMS AND DERIVATIVES




DIRECT CREDIT SUBSTITUTES




IRS / CRS




LIQUIDITY FACILITIES




OTHER






SENIOR




MEZZANINE




FIRST LOSS




SENIOR




MEZZANINE



 



FIRST LOSS



 



SYNTHETIC EXCESS SPREAD




BEFORE CAP



(-) REDUCTION DUE TO RISK WEIGHT CAP



(-) REDUCTION DUE TO OVERALL CAP




AFTER CAP






RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT




RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT




LONG




SHORT





0010


0020


0310


0320


0330


0340


0350


0351


0360


0361


0362


0370


0380


0390


0400


0411


0420


0430


0431


0432


0440


0447


0448


0450


0460


0470




 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








C 34.01 COUNTERPARTY CREDIT RISK: SIZE OF THE DERIVATIVE BUSINESS (CCR 1)

















 



MONTH 1




MONTH 2




MONTH 3




QUALITATIVE INFORMATION






LONG DERIVATIVE POSITIONS




SHORT DERIVATIVE POSITIONS




TOTAL




LONG DERIVATIVE POSITIONS




SHORT DERIVATIVE POSITIONS




TOTAL




LONG DERIVATIVE POSITIONS




SHORT DERIVATIVE POSITIONS




TOTAL





0010


0020


0030


0040


0050


0060


0070


0080


0090


0100




0010


Size of the derivative business


 


 


 


 


 


 


 


 


 


 




0020


On- and off-balance sheet derivatives


 


 


 


 


 


 


 


 


 


 




0030


(-) Credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures


 


 


 


 


 


 


 


 


 


 




0040


Total assets


 


 


 


 


 


 


 


 


 


 




0050


Percentage of total assets


 


 


 


 


 


 


 


 


 


 





DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) of Regulation (EU) No 575/2013





0060


Are the conditions of Article 273a (4) of Regulation (EU) No 575/2013 met, including the approval from the competent authority?


 


 


 


 


 


 


 


 


 


 




0070


Method for calculating exposure values at consolidated level


 


 


 


 


 


 


 


 


 


 








C 34.02 COUNTERPARTY CREDIT RISK: CCR EXPOSURES BY APPROACH (CCR 2)


Exposures






























APPROACH




NUMBER OF COUNTERPARTIES




NUMBER OF TRANSACTIONS




NOTIONAL AMOUNTS




CURRENT MARKET VALUE (CMV), POSITIVE




CURRENT MARKET VALUE (CMV), NEGATIVE




VARIATION MARGIN (VM), RECEIVED




VARIATION MARGIN (VM), POSTED




NET INDEPENDENT COLLATERAL AMOUNT (NICA), RECEIVED




NET INDEPENDENT COLLATERAL AMOUNT (NICA), POSTED




REPLACE-MENT COST (RC)




POTENTIAL FUTURE EXPOSURE (PFE)




CURRENT EXPOSURE




EEPE




ALPHA USED FOR COMPUTING REGULATORY EXPOSURE VALUE




EXPOSURE VALUE PRE-CRM




EXPOSURE VALUE POST-CRM




EXPOSURE VALUE




RISK WEIGHTED EXPOSURE AMOUNTS





 



Positions treated with the CR Standardised Approach




Positions treated with the CR IRB Approach



 



Positions treated with the CR Standardised Approach




Positions treated with the CR IRB Approach





0010


0020


0030


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130


0140


0150


0160


0170


0180


0190


0200


0210


0220




0010


ORIGINAL EXPOSURE METHOD (FOR DERIVATIVES)


 


 


 


 


 


 


 


 


 


 


 


 


 


1.4


 


 


 


 


 


 


 


 




0020


SIMPLIFIED SA-CCR (FOR DERIVATIVES)


 


 


 


 


 


 


 


 


 


 


 


 


 


1.4


 


 


 


 


 


 


 


 




0030


SA-CCR (FOR DERIVATIVES)


 


 


 


 


 


 


 


 


 


 


 


 


 


1.4


 


 


 


 


 


 


 


 




0040


IMM (FOR DERIVATIVES AND SFTS)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0050


Securities financing transactions netting sets


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0060


Derivatives and long settlement transactions netting sets


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0070


From contractual cross-product netting sets


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0080


FINANCIAL COLLATERAL SIMPLE METHOD (FOR SFTS)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0090


FINANCIAL COLLATERAL COMPREHENSIVE METHOD (FOR SFTS)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0100


VAR FOR SFTS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0110



TOTAL



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0120


of which: SWWR positions


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0130


Margined business


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0140


Unmargined business


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








C 34.03 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR or SIMPLIFIED SA-CCR (CCR 3)

CCR approach














RISK CATEGORIES




CURRENCY




SECOND CURRENCY IN PAIR




NUMBER OF TRANSACTIONS




NOTIONAL AMOUNTS




CURRENT MARKET VALUE (CMV), POSITIVE




CURRENT MARKET VALUE (CMV), NEGATIVE




ADD-ON





0010


0020


0030


0040


0050


0060


0070




0010



TOTAL



 


 


 


 


 


 


 




0020


of which: Mapped to 2 risk categories


 


 


 


 


 


 


 




0030


of which: Mapped to 3 risk categories


 


 


 


 


 


 


 




0040


of which: Mapped to more than 3 risk categories


 


 


 


 


 


 


 




0050



INTEREST RATE RISK



 


 


 


 


 


 


 




0060


of which: Mapped exclusively to Interest rate risk category


 


 


 


 


 


 


 




0070


of which: Largest currency


 


 


 


 


 


 


 




0080


of which: 2nd largest currency


 


 


 


 


 


 


 




0090


of which: 3rd largest currency


 


 


 


 


 


 


 




0100


of which: 4th largest currency


 


 


 


 


 


 


 




0110


of which: 5th largest currency


 


 


 


 


 


 


 




0120



FOREIGN EXCHANGE RISK



 


 


 


 


 


 


 




0130


of which: Mapped exclusively to Foreign Exchange risk category


 


 


 


 


 


 


 




0140


of which: Largest currency pair


 


 


 


 


 


 


 




0150


of which: 2nd largest currency pair


 


 


 


 


 


 


 




0160


of which: 3rd largest currency pair


 


 


 


 


 


 


 




0170


of which: 4th largest currency pair


 


 


 


 


 


 


 




0180


of which: 5th largest currency pair


 


 


 


 


 


 


 




0190



CREDIT RISK



 


 


 


 


 


 


 




0200


of which: Mapped exclusively to Credit risk category


 


 


 


 


 


 


 




0210


Single-name transactions


 


 


 


 


 


 


 




0220


Multi-names transactions


 


 


 


 


 


 


 




0230



EQUITY RISK



 


 


 


 


 


 


 




0240


of which: Mapped exclusively to Equity risk category


 


 


 


 


 


 


 




0250


Single-name transactions


 


 


 


 


 


 


 




0260


Multi-names transactions


 


 


 


 


 


 


 




0270



COMMODITY RISK



 


 


 


 


 


 


 




0280


of which: Mapped exclusively to Commodity risk category


 


 


 


 


 


 


 




0290


Energy


 


 


 


 


 


 


 




0300


Metals


 


 


 


 


 


 


 




0310


Agricultural goods


 


 


 


 


 


 


 




0320


Climatic conditions


 


 


 


 


 


 


 




0330


Other commodities


 


 


 


 


 


 


 




0340



OTHER RISKS



 


 


 


 


 


 


 








C 34.04 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE ORIGINAL EXPOSURE METHOD (OEM) (CCR 4)













RISK CATEGORIES




NUMBER OF TRANSACTIONS




NOTIONAL AMOUNTS




CURRENT MARKET VALUE (CMV), POSITIVE




CURRENT MARKET VALUE (CMV), NEGATIVE




POTENTIAL FUTURE EXPOSURE (PFE)





0010


0020


0030


0040


0050




0010



TOTAL



 


 


 


 


 




0020


INTEREST RATE RISK


 


 


 


 


 




0030


FOREIGN EXCHANGE RISK


 


 


 


 


 




0040


CREDIT RISK


 


 


 


 


 




0050


EQUITY RISK


 


 


 


 


 




0060


COMMODITY RISK


 


 


 


 


 




0070


of which: electricity


 


 


 


 


 








C 34.05 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM) (CCR 5)


























INSTRUMENTS




MARGINED




UNMARGINED




EXPOSURE VALUE






NUMBER OF TRANSACTIONS




NOTIONAL AMOUNTS




CURRENT MARKET VALUE (CMV), POSITIVE




CURRENT MARKET VALUE (CMV), NEGATIVE




CURRENT EXPOSURE




EEPE




Stress EEPE




EXPOSURE VALUE




NUMBER OF TRANSACTIONS




NOTIONAL AMOUNTS




CURRENT MARKET VALUE (CMV), POSITIVE




CURRENT MARKET VALUE (CMV), NEGATIVE




CURRENT EXPOSURE




EEPE




Stress EEPE




EXPOSURE VALUE





0010


0020


0030


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130


0140


0150


0160


0170




0010



TOTAL



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0020


of which: SWWR positions


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0030


Netting sets treated with the CR Standardised Approach


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0040


Netting sets treated with the CR IRB Approach


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0050



OTC DERIVATIVES




INTEREST RATE



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0060



FOREIGN EXCHANGE



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0070



CREDIT



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0080



EQUITY



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0090



COMMODITY



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0100



OTHER



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0110



TOTAL



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0120



EXCHANGE TRADED DERIVATIVES




INTEREST RATE



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0130



FOREIGN EXCHANGE



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0140



CREDIT



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0150



EQUITY



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0160



COMMODITY



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0170



OTHER



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0180



TOTAL



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0190



SECURITIES FINANCING TRANSACTIONS




BOND UNDERLYING



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0200



EQUITY UNDERLYING



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0210



OTHER UNDERLYING



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0220



TOTAL



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0230



CONTRACTUAL CROSS-PRODUCT NETTING SETS



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








C 34.06 COUNTERPARTY CREDIT RISK: TOP TWENTY COUNTERPARTIES (CCR 6)




















NAME




CODE




TYPE OF CODE




NATIONAL CODE




SECTOR OF THE COUN-TERPARTY




COUNTERPARTY TYPE




RESIDENCY OF THE COUNTERPARTY




NUMBER OF TRANSACTIONS




NOTIONAL AMOUNTS




CURRENT MARKET VALUE (CMV), POSITIVE




CURRENT MARKET VALUE (CMV), NEGATIVE




EXPOSURE VALUE POST-CRM




EXPOSURE VALUE




RISK WEIGHTED EXPOSURE AMOUNTS





0010


0020


0030


0035


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130




 


 


 


 


 


 


 


 


 


 


 


 


 


 








C 34.07 COUNTERPARTY CREDIT RISK: IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE (CCR 7)

IRB Exposure class
Own estimates of LGD and/or conversion factors:














PD scale




Exposure value




Exposure weighted average PD (%)




Number of obligors




Exposure weighted average LGD (%)




Exposure weighted average maturity (years)




Risk weighted exposure amounts




Density of risk weighted exposure amounts





0010


0020


0030


0040


0050


0060


0070




0010


0.00 to <0.15


 


 


 


 


 


 


 




0020


0.00 to <0.10


 


 


 


 


 


 


 




0030


0.10 to <0.15


 


 


 


 


 


 


 




0040


0.15 to <0.25


 


 


 


 


 


 


 




0050


0.25 to <0.50


 


 


 


 


 


 


 




0060


0.50 to <0.75


 


 


 


 


 


 


 




0070


0.75 to <2.50


 


 


 


 


 


 


 




0080


0.75 to <1.75


 


 


 


 


 


 


 




0090


1.75 to <2.5


 


 


 


 


 


 


 




0100


2.50 to <10.00


 


 


 


 


 


 


 




0110


2.50 to <5.00


 


 


 


 


 


 


 




0120


5.00 to <10.00


 


 


 


 


 


 


 




0130


10.00 to <100.00


 


 


 


 


 


 


 




0140


10.00 to <20.00


 


 


 


 


 


 


 




0150


20.00 to <30.00


 


 


 


 


 


 


 




0160


30.00 to <100.00


 


 


 


 


 


 


 




0170


100.00 (Default)


 


 


 


 


 


 


 




0180


Total


 


 


 


 


 


 


 








C 34.08 COUNTERPARTY CREDIT RISK: COMPOSITION OF COLLATERAL FOR CCR EXPOSURES (CCR 8)


























Collateral type




Collateral used in derivative transactions




Collateral used in SFTs






Fair value of collateral received




Fair value of posted collateral




Fair value of collateral received




Fair value of posted collateral






Segregated




Unsegregated




Segregated




Unsegregated




Segregated




Unsegregated




Segregated




Unsegregated






Initial margin




Variation margin




Initial margin




Variation margin




Initial margin




Variation margin




Initial margin




Variation margin




Initial margin




Variation margin




Initial margin




Variation margin




SFT security




Initial margin




Variation margin




Initial margin




Variation margin




SFT security





0010


0020


0030


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130


0140


0150


0160


0170


0180




0010


Cash – domestic currency


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0020


Cash – other currencies


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0030


Domestic sovereign debt


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0040


Other sovereign debt


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0050


Government agency debt


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0060


Corporate bonds


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0070


Equity securities


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0080


Other collateral


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0090



Total



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








C 34.09 COUNTERPARTY CREDIT RISK: CREDIT DERIVATIVES EXPOSURES (CCR 9)












Product type




NOTIONAL AMOUNTS




FAIR VALUES






PROTECTION BOUGHT




PROTECTION SOLD




PROTECTION BOUGHT




PROTECTION SOLD





0010


0020


0030


0040




0010


Single-name credit default swaps


 


 


 


 




0020


Index credit default swaps


 


 


 


 




0030


Total return swaps


 


 


 


 




0040


Credit options


 


 


 


 




0050


Other credit derivatives


 


 


 


 




0060



Total



 


 


 


 





FAIR VALUE BREAKDOWN





0070


Positive fair value (asset)


 


 


 


 




0080


Negative fair value (liability)


 


 


 


 








C 34.10 COUNTERPARTY CREDIT RISK: EXPOSURES TO CCPs (CCR 10)









 



EXPOSURE VALUE




RISK WEIGHTED EXPOSURE AMOUNTS





0010


0020




0010



Exposures to QCCPs (total)



 


 




0020


Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which


 


 




0030








(i)


OTC derivatives






 


 




0040








(ii)


Exchange-traded derivatives






 


 




0050








(iii)


SFTs






 


 




0060








(iv)


Netting sets where cross-product netting has been approved






 


 




0070


Segregated initial margin


 


 




0080


Non-segregated initial margin


 


 




0090


Prefunded default fund contributions


 


 




0100


Unfunded default fund contributions


 


 




0110



Exposures to non-QCCPs (total)



 


 




0120


Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which


 


 




0130








(i)


OTC derivatives






 


 




0140








(ii)


Exchange-traded derivatives






 


 




0150








(iii)


SFTs






 


 




0160








(iv)


Netting sets where cross-product netting has been approved






 


 




0170


Segregated initial margin


 


 




0180


Non-segregated initial margin


 


 




0190


Prefunded default fund contributions


 


 




0200


Unfunded default fund contributions


 


 








C 34.11 COUNTERPARTY CREDIT RISK: RWEA FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM (CCR 11)









 



RISK WEIGHTED EXPOSURE AMOUNTS






QUARTERLY FLOWS




ANNUAL FLOWS





0010


0020




0010



Risk Weighted Exposure Amounts as at the end of the previous reporting period



 


 




0020


Asset size


 


 




0030


Credit quality of counterparties


 


 




0040


Model updates (IMM only)


 


 




0050


Methodology and policy (IMM only)


 


 




0060


Acquisitions and disposals


 


 




0070


Foreign exchange movements


 


 




0080


Other


 


 




0090



Risk Weighted Exposure Amounts as at the end of the current reporting period



 


 








C 16.00 - OPERATIONAL RISK (OPR)





















BANKING ACTIVITIES




RELEVANT INDICATOR




LOANS AND ADVANCES (IN CASE OF ASA APPLICATION)




OWN FUNDS REQUIREMENT




Total operational risk exposure amount




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)





0010


0020


0030


0040


0050


0060


0070


0O71


0080


0090


0100


0110


0120




0010








1.


BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)






 


 


 


 


 


 


 


Cell linked to CA2


 


 


 


 


 




0020








2.


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






 


 


 


 


 


 


 


Cell linked to CA2


 


 


 


 


 




 




SUBJECT TO TSA:




 


 


 


 


 


 


 


 


 


 


 


 


 




0030


CORPORATE FINANCE (CF)


 


 


 


 


 


 


 


 


 


 


 


 


 




0040


TRADING AND SALES (TS)


 


 


 


 


 


 


 


 


 


 


 


 


 




0050


RETAIL BROKERAGE (RBr)


 


 


 


 


 


 


 


 


 


 


 


 


 




0060


COMMERCIAL BANKING (CB)


 


 


 


 


 


 


 


 


 


 


 


 


 




0070


RETAIL BANKING (RB)


 


 


 


 


 


 


 


 


 


 


 


 


 




0080


PAYMENT AND SETTLEMENT (PS)


 


 


 


 


 


 


 


 


 


 


 


 


 




0090


AGENCY SERVICES (AS)


 


 


 


 


 


 


 


 


 


 


 


 


 




0100


ASSET MANAGEMENT (AM)


 


 


 


 


 


 


 


 


 


 


 


 


 




 




SUBJECT TO ASA:




 


 


 


 


 


 


 


 


 


 


 


 


 




0110


COMMERCIAL BANKING (CB)


 


 


 


 


 


 


 


 


 


 


 


 


 




0120


RETAIL BANKING (RB)


 


 


 


 


 


 


 


 


 


 


 


 


 




0130








3.


BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA






 


 


 


 


 


 


 


Cell linked to CA2


 


 


 


 


 








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


 


0010


0020


0030


0040


0050


0060


0070


0080


0090


0100




0010



CORPORATE FINANCE [CF]



Number of events (new events)


 


 


 


 


 


 


 


 


 


 




0020


Gross loss amount (new events)


 


 


 


 


 


 


 


 


 


 




0030


Number of events subject to loss adjustments


 


 


 


 


 


 


 


 


 


 




0040


Loss adjustments relating to previous reporting periods


 


 


 


 


 


 


 


 


 


 




0050


Maximum single loss


 


 


 


 


 


 


 


 


 


 




0060


Sum of the five largest losses


 


 


 


 


 


 


 


 


 


 




0070


Total direct loss recovery


 


 


 


 


 


 


 


 


 


 




0080


Total recovery from insurance and other risk transfer mechanisms


 


 


 


 


 


 


 


 


 


 




0110



TRADING AND SALES [TS]



Number of events (new events)


 


 


 


 


 


 


 


 


 


 




0120


Gross loss amount (new events)


 


 


 


 


 


 


 


 


 


 




0130


Number of events subject to loss adjustments


 


 


 


 


 


 


 


 


 


 




0140


Loss adjustments relating to previous reporting periods


 


 


 


 


 


 


 


 


 


 




0150


Maximum single loss


 


 


 


 


 


 


 


 


 


 




0160


Sum of the five largest losses


 


 


 


 


 


 


 


 


 


 




0170


Total direct loss recovery


 


 


 


 


 


 


 


 


 


 




0180


Total recovery from insurance and other risk transfer mechanisms


 


 


 


 


 


 


 


 


 


 




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



RETAIL BANKING [RB]



Number of events (new events)


 


 


 


 


 


 


 


 


 


 




0420


Gross loss amount (new events)


 


 


 


 


 


 


 


 


 


 




0430


Number of events subject to loss adjustments


 


 


 


 


 


 


 


 


 


 




0440


Loss adjustments relating to previous reporting periods


 


 


 


 


 


 


 


 


 


 




0450


Maximum single loss


 


 


 


 


 


 


 


 


 


 




0460


Sum of the five largest losses


 


 


 


 


 


 


 


 


 


 




0470


Total direct loss recovery


 


 


 


 


 


 


 


 


 


 




0480


Total recovery from insurance and other risk transfer mechanisms


 


 


 


 


 


 


 


 


 


 




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



AGENCY SERVICES [AS]



Number of events (new events)


 


 


 


 


 


 


 


 


 


 




0620


Gross loss amount (new events)


 


 


 


 


 


 


 


 


 


 




0630


Number of events subject to loss adjustments


 


 


 


 


 


 


 


 


 


 




0640


Loss adjustments relating to previous reporting periods


 


 


 


 


 


 


 


 


 


 




0650


Maximum single loss


 


 


 


 


 


 


 


 


 


 




0660


Sum of the five largest losses


 


 


 


 


 


 


 


 


 


 




0670


Total direct loss recovery


 


 


 


 


 


 


 


 


 


 




0680


Total recovery from insurance and other risk transfer mechanisms


 


 


 


 


 


 


 


 


 


 




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



TOTAL BUSINESS LINES



Number of events (new events). Of which:


 


 


 


 


 


 


 


 


 


 




0911


related to losses ≥ 10,000 and < 20,000


 


 


 


 


 


 


 


 


 


 




0912


related to losses ≥ 20,000 and < 100,000


 


 


 


 


 


 


 


 


 


 




0913


related to losses ≥ 100,000 and < 1,000,000


 


 


 


 


 


 


 


 


 


 




0914


related to losses ≥ 1,000,000


 


 


 


 


 


 


 


 


 


 




0920


Gross loss amount (new events). Of which:


 


 


 


 


 


 


 


 


 


 




0921


related to losses ≥ 10,000 and < 20,000


 


 


 


 


 


 


 


 


 


 




0922


related to losses ≥ 20,000 and < 100,000


 


 


 


 


 


 


 


 


 


 




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




Code




Type of code




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


0181


0185


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





0010


0020


0030


0040


0050


0060


0070




0010



TRADED DEBT INSTRUMENTS IN TRADING BOOK



 


 


 


 


 


 


Cell linked to CA2




0011



General risk



 


 


 


 


 


 


 




0012


Derivatives


 


 


 


 


 


 


 




0013


Other assets and liabilities


 


 


 


 


 


 


 




0020


Maturity-based approach


 


 


 


 


 


 


 




0030


Zone 1


 


 


 


 


 


 


 




0040


0 ≤ 1 month


 


 


 


 


 


 


 




0050


> 1 ≤ 3 months


 


 


 


 


 


 


 




0060


> 3 ≤ 6 months


 


 


 


 


 


 


 




0070


> 6 ≤ 12 months


 


 


 


 


 


 


 




0080


Zone 2


 


 


 


 


 


 


 




0090


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


 


 


 


 


 


 


 




0100


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


 


 


 


 


 


 


 




0110


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


 


 


 


 


 


 


 




0120


Zone 3


 


 


 


 


 


 


 




0130


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


 


 


 


 


 


 


 




0140


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


 


 


 


 


 


 


 




0150


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


 


 


 


 


 


 


 




0160


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


 


 


 


 


 


 


 




0170


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


 


 


 


 


 


 


 




0180


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


 


 


 


 


 


 


 




0190


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


 


 


 


 


 


 


 




0200


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


 


 


 


 


 


 


 




0210


Duration-based approach


 


 


 


 


 


 


 




0220


Zone 1


 


 


 


 


 


 


 




0230


Zone 2


 


 


 


 


 


 


 




0240


Zone 3


 


 


 


 


 


 


 




0250



Specific risk



 


 


 


 


 


 


 




0251


Own funds requirement for non-securitisation debt instruments


 


 


 


 


 


 


 




0260


Debt securities under the first category in Table 1


 


 


 


 


 


 


 




0270


Debt securities under the second category in Table 1


 


 


 


 


 


 


 




0280


With residual term ≤ 6 months


 


 


 


 


 


 


 




0290


With a residual term > 6 months and ≤ 24 months


 


 


 


 


 


 


 




0300


With a residual term > 24 months


 


 


 


 


 


 


 




0310


Debt securities under the third category in Table 1


 


 


 


 


 


 


 




0320


Debt securities under the fourth category in Table 1


 


 


 


 


 


 


 




0321


Rated nth-to default credit derivatives


 


 


 


 


 


 


 




0325


Own funds requirement for securitisation instruments


 


 


 


 


 


 


 




0330


Own funds requirement for the correlation trading portfolio


 


 


 


 


 


 


 




0350


Additional requirements for options (non-delta risks)


 


 


 


 


 


 


 




0360


Simplified method


 


 


 


 


 


 


 




0370


Delta plus approach - additional requirements for gamma risk


 


 


 


 


 


 


 




0380


Delta plus approach - additional requirements for vega risk


 


 


 


 


 


 


 




0385


Delta plus approach - non-continuous options and warrants


 


 


 


 


 


 


 




0390


Scenario matrix approach


 


 


 


 


 


 


 








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 RISK WEIGHTS




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




BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES




OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402




BEFORE CAP




AFTER CAP / TOTAL OWN FUND REQUIREMENTS






LONG




SHORT




(-) LONG




(-) SHORT




LONG




SHORT




[0 - 10%]




[10 - 12%]




[12 - 20%]




[20 - 40%]




[40 - 100%]




[100 - 150%]




[150 - 200%]




[200 - 225%]




[225 - 250%]




[250 - 300%]




[300 - 350%]




[350 - 425%]




[425 - 500%]




[500 - 650%]




[650 - 750%]




[750 - 850%]




[850 - 1250%]




[0 - 10%]




[10 - 12%]




[12 - 20%]




[20 - 40%]




[40 - 100%]




[100 - 150%]




[150 - 200%]




[200 - 225%]




[225 - 250%]




[250 - 300%]




[300 - 350%]




[350 - 425%]




[425 - 500%]




[500 - 650%]




[650 - 750%]




[750 - 850%]




[850 - 1250%]




1250%




SEC-IRBA




SEC-SA




SEC-ERBA




INTERNAL ASSESSMENT APPROACH




SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONS




OTHER (RW=1 250 %)




WEIGHTED NET LONG POSITIONS




WEIGHTED NET SHORT POSITIONS





0010


0020


0030


0040


0050


0060


0061


0062


0063


0064


0065


0066


0071


0072


0073


0074


0075


0076


0077


0078


0079


0081


0082


0085


0086


0087


0088


0089


0091


0092


0093


0094


0095


0096


0097


0098


0099


0101


0102


0103


0104


0402


0403


0404


0405


0900


0406


0530


0540


0570


0601




0010



TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


Cell linked to MKR SA TDI {325:060}




0020


Of which: RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0030



ORIGINATOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0040


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0041


OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0050


RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0060



INVESTOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0070


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0071


OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0080


RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0090



SPONSOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0100


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0101


OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0110


RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








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 RISK WEIGHTS




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




BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES




BEFORE CAP




AFTER CAP




TOTAL OWN FUNDS REQUIRE-MENTS






LONG




SHORT




(-) LONG




(-) SHORT




LONG




SHORT




[0 - 10%]




[10 - 12%]




[12 - 20%]




[20 - 40%]




[40 - 100%]




[100 - 250%]




[250 - 350%]




[350 - 425%]




[425 - 650%]




[650 - 1250%]




1250%




[0 - 10%]




[10 - 12%]




[12 - 20%]




[20 - 40%]




[40 - 100%]




[100 - 250%]




[250 - 350%]




[350 - 425%]




[425 - 650%]




[650 - 1250%]




1250%




SEC-IRBA




SEC-SA




SEC-ERBA




INTERNAL ASSESS-MENT APPROACH




SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONS




OTHER (RW = 1250%)




WEIGHTED NET LONG POSITIONS




WEIGHTED NET SHORT POSITIONS




WEIGHTED NET LONG POSITIONS




WEIGHTED NET SHORT POSITIONS





0010


0020


0030


0040


0050


0060


0071


0072


0073


0074


0075


0076


0077


0078


0079


0081


0082


0086


0087


0088


0089


0091


0092


0093


0094


0095


0096


0097


0402


0403


0404


0405


0900


0406


0410


0420


0430


0440


0450




0010



TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


Cell linked to MKR SA TDI {0330:0060}




 



SECURITISATION POSITIONS:





0020



ORIGINATOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0030


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0040


OTHER CTP POSITIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0050



INVESTOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0060


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0070


OTHER CTP POSITIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0080



SPONSOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0090


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0100


OTHER CTP POSITIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




 



N-TH-TO-DEFAULT CREDIT DERIVATIVES:





0110


N-TH-TO-DEFAULT CREDIT DERIVATIVES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0120


OTHER CTP POSITIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








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


National market:














 



POSITIONS




OWN FUNDS REQUIREMENTS




TOTAL RISK EXPOSURE AMOUNT






ALL POSITIONS




NET POSITIONS




POSITIONS SUBJECT TO CAPITAL CHARGE






LONG




SHORT






LONG




SHORT





0010


0020


0030


0040


0050


0060


0070




0010



EQUITIES IN TRADING BOOK



 


 


 


 


 


 


Cell linked to CA




0020


General risk


 


 


 


 


 


 


 




0021


Derivatives


 


 


 


 


 


 


 




0022


Other assets and liabilities


 


 


 


 


 


 


 




0030


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


 


 


 


 


 


 


 




0040


Other equities than exchange traded stock-index futures broadly diversified


 


 


 


 


 


 


 




0050


Specific risk


 


 


 


 


 


 


 




0090


Additional requirements for options (non-delta risks)


 


 


 


 


 


 


 




0100


Simplified method


 


 


 


 


 


 


 




0110


Delta plus approach - additional requirements for gamma risk


 


 


 


 


 


 


 




0120


Delta plus approach - additional requirements for vega risk


 


 


 


 


 


 


 




0125


Delta plus approach - non-continuous options and warrants


 


 


 


 


 


 


 




0130


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





0020


0030


0040


0050


0060


0070


0080


0090


0100




0010



TOTAL POSITIONS



 


 


 


 


 


 


 


 


Cell linked to CA




0020


Currencies closely correlated


 


 


 


 


 


 


 


 


 




0025


of which: reporting currency


 


 


 


 


 


 


 


 


 




0030


All other currencies (including CIUs treated as different currencies)


 


 


 


 


 


 


 


 


 




0040


Gold


 


 


 


 


 


 


 


 


 




0050


Additional requirements for options (non-delta risks)


 


 


 


 


 


 


 


 


 




0060


Simplified method


 


 


 


 


 


 


 


 


 




0070


Delta plus approach - additional requirements for gamma risk


 


 


 


 


 


 


 


 


 




0080


Delta plus approach - additional requirements for vega risk


 


 


 


 


 


 


 


 


 




0085


Delta plus approach - non-continuous options and warrants


 


 


 


 


 


 


 


 


 




0090


Scenario matrix approach


 


 


 


 


 


 


 


 


 





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





0100


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


 


 


 


 


 


 


 


 


 




0110


Off-balance sheet items


 


 


 


 


 


 


 


 


 




0120


Derivatives


 


 


 


 


 


 


 


 


 





Memorandum items: CURRENCY POSITIONS





0130


Euro


 


 


 


 


 


 


 


 


 




0140


Lek


 


 


 


 


 


 


 


 


 




0150


Argentine Peso


 


 


 


 


 


 


 


 


 




0160


Australian Dollar


 


 


 


 


 


 


 


 


 




0170


Brazilian Real


 


 


 


 


 


 


 


 


 




0180


Bulgarian Lev


 


 


 


 


 


 


 


 


 




0190


Canadian Dollar


 


 


 


 


 


 


 


 


 




0200


Czech Koruna


 


 


 


 


 


 


 


 


 




0210


Danish Krone


 


 


 


 


 


 


 


 


 




0220


Egyptian Pound


 


 


 


 


 


 


 


 


 




0230


Pound Sterling


 


 


 


 


 


 


 


 


 




0240


Forint


 


 


 


 


 


 


 


 


 




0250


Yen


 


 


 


 


 


 


 


 


 




0270


Lithuanian Litas


 


 


 


 


 


 


 


 


 




0280


Denar


 


 


 


 


 


 


 


 


 




0290


Mexican Peso


 


 


 


 


 


 


 


 


 




0300


Zloty


 


 


 


 


 


 


 


 


 




0310


Rumanian Leu


 


 


 


 


 


 


 


 


 




0320


Russian Ruble


 


 


 


 


 


 


 


 


 




0330


Serbian Dinar


 


 


 


 


 


 


 


 


 




0340


Swedish Krona


 


 


 


 


 


 


 


 


 




0350


Swiss Franc


 


 


 


 


 


 


 


 


 




0360


Turkish Lira


 


 


 


 


 


 


 


 


 




0370


Hryvnia


 


 


 


 


 


 


 


 


 




0380


US Dollar


 


 


 


 


 


 


 


 


 




0390


Iceland Krona


 


 


 


 


 


 


 


 


 




0400


Norwegian Krone


 


 


 


 


 


 


 


 


 




0410


Hong Kong Dollar


 


 


 


 


 


 


 


 


 




0420


New Taiwan Dollar


 


 


 


 


 


 


 


 


 




0430


New Zealand Dollar


 


 


 


 


 


 


 


 


 




0440


Singapore Dollar


 


 


 


 


 


 


 


 


 




0450


Won


 


 


 


 


 


 


 


 


 




0460


Yuan Renminbi


 


 


 


 


 


 


 


 


 




0470


Other


 


 


 


 


 


 


 


 


 




0480


Croatian Kuna


 


 


 


 


 


 


 


 


 








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














 



ALL POSITIONS




NET POSITIONS




POSITIONS SUBJECT TO CAPITAL CHARGE




OWN FUNDS REQUIREMENTS




TOTAL RISK EXPOSURE AMOUNT






LONG




SHORT






LONG




SHORT





0010


0020


0030


0040


0050


0060


0070




0010



TOTAL POSITIONS IN COMMODITIES



 


 


 


 


 


 


Cell linked to CA




0020


Precious metals (except gold)


 


 


 


 


 


 


 




0030


Base metals


 


 


 


 


 


 


 




0040


Agricultural products (softs)


 


 


 


 


 


 


 




0050


Others


 


 


 


 


 


 


 




0060


Of which energy products (oil, gas)


 


 


 


 


 


 


 




0070


Maturity ladder approach


 


 


 


 


 


 


 




0080


Extended maturity ladder approach


 


 


 


 


 


 


 




0090


Simplified approach: All positions


 


 


 


 


 


 


 




0100


Additional requirements for options (non-delta risks)


 


 


 


 


 


 


 




0110


Simplified method


 


 


 


 


 


 


 




0120


Delta plus approach - additional requirements for gamma risk


 


 


 


 


 


 


 




0130


Delta plus approach - additional requirements for vega risk


 


 


 


 


 


 


 




0135


Delta plus approach - non-continuous options and warrants


 


 


 


 


 


 


 




0140


Scenario matrix approach


 


 


 


 


 


 


 








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 overshootings during 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





0030


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130


0140


0150


0160


0170


0180




0010



TOTAL POSITIONS



 


 


 


 


 


 


 


 


 


 


Cell linked to CA


 


 


 


 


 




 



Memorandum items: BREAKDOWN OF MARKET RISK





0020



Traded debt instruments



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0030



TDI - General risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0040



TDI - Specific Risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0050



Equities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0060



Equities - General risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0070



Equities - Specific Risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0080



Foreign Exchange risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0090



Commodities risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0100



Total amount for general risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0110



Total amount for specific risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








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





0010


0020


0030


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130


0140




0010



CVA risk total



 


 


 


 


 


 


 


 


Link to {CA2;r640;c010}


 


 


 


 


 




0020



According to Advanced method



 


 


 


 


 


 


 


 


Link to {CA2;r650;c010}


 


 


 


 


 




0030



According to Standardised method



 


 


 


 


 


 


 


 


Link to {CA2;r660;c010}


 


 


 


 


 




0040



Based on OEM



 


 


 


 


 


 


 


 


Link to {CA2;r670;c010}


 


 


 


 


 








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


 


 


 


 


 


 


 


 


 




0142


1.1.13


OTHER ASSETS


 


 


 


 


 


 


 


 


 




0143


1.1.14


NON-CURRENT ASSETS AND DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE


 


 


 


 


 


 


 


 


 




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


 


 


 


 


 


 


 


 


 




0220


1.2.7


OTHER LIABILITIES


 


 


 


 


 


 


 


 


 




0230


1.2.8


LIABILITIES INCLUDED IN DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE


 


 


 


 


 


 


 


 


 








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



































 



CATEGORY LEVEL AVA




TOTAL AVA




UPSIDE UNCERTAINTY




FAIR-VALUED ASSETS AND LIABILITIES




QTD REVENUE




IPV DIFFE-RENCE




FAIR VALUE ADJUSTMENTS




DAY 1 P&L




EXPLANATION DESCRIPTION






MARKET PRICE UNCERTAINTY



 



CLOSE-OUT COSTS



 



MODEL RISK



 



CONCENTRATED POSITIONS




FUTURE ADMINIS-TRATIVE COSTS




EARLY TERMINATION




OPERATIONAL RISK




FAIR-VALUED ASSETS




FAIR-VALUED LIABILITIES




MARKET PRICE UNCERTAINTY




CLOSE-OUT COSTS




MODEL RISK




CONCENTRATED POSITIONS




UN-EARNED CREDIT SPREADS




INVES-TING AND FUNDING COSTS




FUTURE ADMINIS-TRATIVE COSTS




EARLY TERMINATION




OPERATIONAL RISK






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) OF DELEGATED REGULATION (EU) 2016/101



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0080


1.1.1****



OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 10(2) AND (3) OF DELEGATED REGULATION (EU) 2016/101



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0090


1.1.1.1


INTEREST RATES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0100


1.1.1.2


FOREIGN EXCHANGE


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0110


1.1.1.3


CREDIT


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0120


1.1.1.4


EQUITIES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0130


1.1.1.5


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 THE EXPERT BASED APPROACH




OF WHICH: AGGRE-GATED USING METHOD 2




FAIR VALUED ASSETS




FAIR VALUED 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 POSITION SIZE




SIZE MEASURE




MARKET VALUE




PRUDENT EXIT PERIOD




CONCEN-TRATED POSITIONS AVA




CONCEN-TRATED POSITION FAIR VALUE ADJUSTMENT




IPV DIFFERENCE





0005


0010


0020


0030


0040


0050


0060


0070


0080


0090


0100




 


 


 


 


 


 


 


 


 


 


 








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





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


0280


0290


0300




0010


Total exposures


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 





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





0020


Exposures under the credit risk framework


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0030


Standardised Approach


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0040


Central governments


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0050


Regional governments or local authorities


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0060


Public sector entities


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0070


International Organisations


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0075


Other general government exposures subject to Standardised Approach


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0080


IRB Approach


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0090


Central governments


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0100


Regional governments or local authorities [Central governments]


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0110


Regional governments or local authorities [Institutions]


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0120


Public sector entities [Central governments]


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0130


Public sector entities [Institutions]


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0140


International Organisations [Central governments]


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0155


Other general government exposures subject to IRB approach


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0160


Exposures under the market risk framework


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 





BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:





0170


[ 0 - 3M]


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0180


[ 3M - 1Y]


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0190


[ 1Y - 2Y]


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0200


[ 2Y - 3Y]


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0210


[3Y - 5Y]


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0220


[5Y - 10Y]


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0230


[10Y - more]


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








C 35.01 - NPE LOSS COVERAGE: THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1)


















 



Time passed since exposures classified as non-performing




Total






<= 1 year




> 1 year <= 2 years




> 2 years <= 3 years




> 3 years <= 4 years




> 4 years <= 5 years




> 5 years <= 6 years




> 6 years <= 7 years




> 7 years <= 8 years




> 8 years <= 9 years




> 9 years





0010


0020


0030


0040


0050


0060


0070


0080


0090


0100


0110




0010



Applicable amount of insufficient coverage



 


 


 


 


 


 


 


 


 


 


 





MINIMUM COVERAGE REQUIREMENT





0020



Total minimum coverage requirement



 


 


 


 


 


 


 


 


 


 


 




0030


Unsecured part of NPEs


 


 


 


 


 


 


 


 


 


 


 




0040


Secured part of NPEs


 


 


 


 


 


 


 


 


 


 


 




0050



Exposure value



 


 


 


 


 


 


 


 


 


 


 




0060


Unsecured part of NPEs


 


 


 


 


 


 


 


 


 


 


 




0070


Secured part of NPEs


 


 


 


 


 


 


 


 


 


 


 





AVAILABLE COVERAGE





0080



Total provisions and adjustments or deductions (capped)



 


 


 


 


 


 


 


 


 


 


 




0090



Total provisions and adjustments or deductions (uncapped)



 


 


 


 


 


 


 


 


 


 


 




0100


Specific credit risk adjustments


 


 


 


 


 


 


 


 


 


 


 




0110


Additional valuation adjustments


 


 


 


 


 


 


 


 


 


 


 




0120


Other own funds reductions


 


 


 


 


 


 


 


 


 


 


 




0130


IRB shortfall


 


 


 


 


 


 


 


 


 


 


 




0140


Difference between the purchase price and the amount owed by the debtor


 


 


 


 


 


 


 


 


 


 


 




0150


Amounts written-off by the institution since the exposure was classified as non-performing


 


 


 


 


 


 


 


 


 


 


 








C 35.02 - NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC2)


















 



Time passed since exposures classified as non-performing




Total






<= 1 year




> 1 year <= 2 years




> 2 years <= 3 years




> 3 years <= 4 years




> 4 years <= 5 years




> 5 years <= 6 years




> 6 years <= 7 years




> 7 years <= 8 years




> 8 years <= 9 years




> 9 years





0010


0020


0030


0040


0050


0060


0070


0080


0090


0100


0110




0010



TOTAL MINIMUM COVERAGE REQUIREMENT



 


 


 


 


 


 


 


 


 


 


 




0020


Unsecured part of NPEs


 


 


 


 


 


 


 


 


 


 


 




0030


Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider


 


 


 


 


 


 


 


 


 


 


 




0040


Part of NPEs secured by other funded or unfunded credit protection


 


 


 


 


 


 


 


 


 


 


 




0050


Part of NPEs guaranteed or insured by an official export credit agency


 


 


 


 


 


 


 


 


 


 


 




0060



EXPOSURE VALUE



 


 


 


 


 


 


 


 


 


 


 




0070


Unsecured part of NPEs


 


 


 


 


 


 


 


 


 


 


 




 



Factor



 


 


0.35


1


1


1


1


1


1


1


 




0080


Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider


 


 


 


 


 


 


 


 


 


 


 




 



Factor



 


 


 


0.25


0.35


0.55


0.7


0.8


0.85


1


 




0090


Part of NPEs secured by other funded or unfunded credit protection


 


 


 


 


 


 


 


 


 


 


 




 



Factor



 


 


 


0.25


0.35


0.55


0.8


1


1


1


 




0100


Part of NPEs guaranteed or insured by an official export credit agency


 


 


 


 


 


 


 


 


 


 


 




 



Factor



 


 


 


 


 


 


 


1


1


1


 








C 35.03 - NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC3)


















 



Time passed since exposures classified as non-performing




TOTAL






<= 1 year




> 1 year <= 2 years




> 2 years <= 3 years




> 3 years <= 4 years




> 4 years <= 5 years




> 5 years <= 6 years




> 6 years <= 7 years




> 7 years <= 8 years




> 8 years <= 9 years




> 9 years





0010


0020


0030


0040


0050


0060


0070


0080


0090


0100


0110




0010



TOTAL MINIMUM COVERAGE REQUIREMENT



 


 


 


 


 


 


 


 


 


 


 




0020



Unsecured part of NPEs



 


 


 


 


 


 


 


 


 


 


 




0030



Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider



 


 


 


 


 


 


 


 


 


 


 




0040



Part of NPEs secured by other funded or unfunded credit protection



 


 


 


 


 


 


 


 


 


 


 




0050



EXPOSURE VALUE



 


 


 


 


 


 


 


 


 


 


 




0060



Unsecured part of NPEs First forbearance measure applied between 1 year and 2 years after classification as non-performing (>1 year; <=2 years)


 


 


 


 


 


 


 


 


 


 


 




 



Factor



 


0


0


1


1


1


1


1


1


1


 




0070



Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider Breakdown by point in time of granting the first forbearance measure


 


 


 


 


 


 


 


 


 


 


 




0080


> 2 and <= 3 years after classification as NPE


 


 


 


 


 


 


 


 


 


 


 




 



Factor



 


 


0


0


0.35


0.55


0.7


0.8


0.85


1


 




0090


> 3 and <= 4 years after classification as NPE


 


 


 


 


 


 


 


 


 


 


 




 



Factor



 


 


 


0.25


0.25


0.55


0.7


0.8


0.85


1


 




0100


> 4 and <= 5 years after classification as NPE


 


 


 


 


 


 


 


 


 


 


 




 



Factor



 


 


 


 


0.35


0.35


0.7


0.8


0.85


1


 




0110


> 5 and <= 6 years after classification as NPE


 


 


 


 


 


 


 


 


 


 


 




 



Factor



 


 


 


 


 


0.55


0.55


0.8


0.85


1


 




0120



Part of NPEs secured by other funded or unfunded credit protection Breakdown by point in time of granting the first forbearance measure


 


 


 


 


 


 


 


 


 


 


 




0130


> 2 and <= 3 years after classification as NPE


 


 


 


 


 


 


 


 


 


 


 




 



Factor



 


 


0


0


0.35


0.55


0.8


1


1


1


 




0140


> 3 and <= 4 years after classification as NPE


 


 


 


 


 


 


 


 


 


 


 




 



Factor



 


 


 


0.25


0.25


0.55


0.8


1


1


1


 




0150


> 4 and <= 5 years after classification as NPE


 


 


 


 


 


 


 


 


 


 


 




 



Factor



 


 


 


 


0.35


0.35


0.8


1


1


1


 




0160


> 5 and <= 6 years after classification as NPE


 


 


 


 


 


 


 


 


 


 


 




 



Factor



 


 


 


 


 


0.55


0.55


1


1


1


’












ANNEX II




                     ‘ANNEX II

INSTRUCTIONS FOR REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS


Table of Contents







PART I: GENERAL INSTRUCTIONS

294










1.

STRUCTURE AND CONVENTIONS
294










1.1.

STRUCTURE
294










1.2.

NUMBERING CONVENTION
294










1.3.

SIGN CONVENTION
294









PART II: TEMPLATE RELATED INSTRUCTIONS

295










1.

CAPITAL ADEQUACY OVERVIEW (“CA”)
295










1.1.

GENERAL REMARKS
295










1.2.

C 01.00 - OWN FUNDS (CA1)
296










1.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
296










1.3.

C 02.00 - OWN FUNDS REQUIREMENTS (CA2)
311










1.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
311










1.4.

C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
317










1.4.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
317










1.5.

C 04.00 - MEMORANDUM ITEMS (CA4)
320










1.5.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
320










1.6.

TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA5)
334










1.6.1.

GENERAL REMARKS
334










1.6.2.

C 05.01 - TRANSITIONAL PROVISIONS (CA5.1)
335










1.6.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
335










1.6.3.

C 05.02 - GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)
339










1.6.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
339










2.

GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
341










2.1.

GENERAL REMARKS
341










2.2.

DETAILED GROUP SOLVENCY INFORMATION
341










2.3.

INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY
342










2.4.

C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL)
342










2.5.

C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
343










3.

CREDIT RISK TEMPLATES
350










3.1.

GENERAL REMARKS
350










3.1.1.

REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT
350










3.1.2.

REPORTING OF COUNTERPARTY CREDIT RISK
350










3.2.

C 07.00 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)
351










3.2.1.

GENERAL REMARKS
351










3.2.2.

SCOPE OF THE CR SA TEMPLATE
351










3.2.3.

ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES UNDER THE STANDARDISED APPROACH
352










3.2.4.

CLARIFICATIONS ON THE SCOPE OF SOME SPECIFIC EXPOSURE CLASSES REFERRED TO IN ARTICLE 112 OF REGULATION (EU) No 575/2013
356










3.2.4.1.

EXPOSURE CLASS “INSTITUTIONS”
356










3.2.4.2.

EXPOSURE CLASS “COVERED BONDS”
356










3.2.4.3.

EXPOSURE CLASS “COLLECTIVE INVESTMENT UNDERTAKINGS”
356










3.2.5.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
356










3.3.

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)
364










3.3.1.

SCOPE OF THE CR IRB TEMPLATE
364










3.3.2.

BREAKDOWN OF THE CR IRB TEMPLATE
365










3.3.3.

C 08.01 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)
366










3.3.3.1

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
366










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)
375










3.3.1.

C 08.03 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (BREAKDOWN BY PD RANGES (CR IRB 3))
376










3.3.1.1.

GENERAL REMARKS
376










3.3.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
376










3.3.2.

C 08.04 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (RWEA FLOW STATEMENTS (CR IRB 4))
378










3.3.2.1.

GENERAL REMARKS
378










3.3.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
378










3.3.3.

C 08.05 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (BACK-TESTING OF PD (CR IRB 5))
380










3.3.3.1.

GENERAL REMARKS
380










3.3.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
380










3.3.4.

C 08.05.1 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD IN ACCORDANCE WITH ARTICLE 180(1), POINT (F), OF REGULATION (EU) No 575/2013 (CR IRB 5B)
381










3.3.4.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
381










3.3.5.

C 08.06 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (SPECIALISED LENDING SLOTTING APPROACH (CR IRB 6))
381










3.3.5.1.

GENERAL REMARKS
381










3.3.5.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
381










3.3.6.

C 08.07 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (SCOPE OF USE OF IRB AND SA APPROACHES (CR IRB 7))
382










3.3.6.1.

GENERAL REMARKS
382










3.3.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
382










3.4.

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN
383










3.4.1.

C 09.01 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)
384










3.4.1.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
384










3.4.2.

C 09.02 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)
387










3.4.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
387










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)
390










3.4.3.1.

GENERAL REMARKS
390










3.4.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
390










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)
393










3.5.1.

GENERAL REMARKS
393










3.5.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS (APPLICABLE TO BOTH CR EQU IRB 1 AND CR EQU IRB 2)
395










3.6.

C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)
397










3.6.1.

GENERAL REMARKS
397










3.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
398










3.7.

C 13.01 - CREDIT RISK – SECURITISATIONS (CR SEC)
400










3.7.1.

GENERAL REMARKS
400










3.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
400










3.8.

DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)
409










3.8.1.

SCOPE OF THE SEC DETAILS TEMPLATE
409










3.8.2

BREAKDOWN OF THE SEC DETAILS TEMPLATE
410










3.8.3

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)
410










3.8.4.

C 14.01 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS 2)
422










3.9.

COUNTERPARTY CREDIT RISK
424










3.9.1.

SCOPE OF THE COUNTERPARTY CREDIT RISK TEMPLATES
424










3.9.2.

C 34.01 - SIZE OF THE DERIVATIVE BUSINESS
425










3.9.2.1.

GENERAL REMARKS
425










3.9.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
425










3.9.3.

C 34.02 - CCR EXPOSURES BY APPROACH
426










3.9.3.1.

GENERAL REMARKS
426










3.9.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
426










3.9.4.

C 34.03 - CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR AND SIMPLIFIED SA-CCR
432










3.9.4.1.

GENERAL REMARKS
432










3.9.4.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
432










3.9.5.

C 34.04 - CCR EXPOSURES TREATED WITH THE ORIGINAL EXPOSURE METHOD (OEM)
434










3.9.5.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
434










3.9.6.

C 34.05 – CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM)
434










3.9.6.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
434










3.9.7.

C 34.06 – TOP TWENTY COUNTERPARTIES
436










3.9.7.1.

GENERAL REMARKS
436










3.9.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
436










3.9.8.

C 34.07 - IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE
437










3.9.8.1.

GENERAL REMARKS
437










3.9.8.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
438










3.9.9.

C 34.08 - COMPOSITION OF COLLATERAL FOR CCR EXPOSURES
439










3.9.9.1.

GENERAL REMARKS
439










3.9.9.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
439










3.9.10.

C 34.09 - CREDIT DERIVATIVES EXPOSURES
440










3.9.10.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
440










3.9.11.

C 34.10 - EXPOSURES TO CCPS
441










3.9.11.1.

GENERAL REMARKS
441










3.9.11.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
441










3.9.12.

C 34.11 - RISK WEIGHTED EXPOSURE AMOUNTS (RWEA) FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM
442










3.9.12.1.

GENERAL REMARKS
442










3.9.12.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
442










4.

OPERATIONAL RISK TEMPLATES
443










4.1.

C 16.00 – OPERATIONAL RISK (OPR)
443










4.1.1.

GENERAL REMARKS
443










4.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
444










4.2.

OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS)
446










4.2.1.

GENERAL REMARKS
446










4.2.2.

C 17.01: OPERATIONAL RISK LOSSES AND RECOVERIES BY BUSINESS LINES AND LOSS EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1)
447










4.2.2.1.

GENERAL REMARKS
447










4.2.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
448










4.2.3.

C 17.02: OPERATIONAL RISK: DETAILED INFORMATION ON THE LARGEST LOSS EVENTS IN THE LAST YEAR (OPR DETAILS 2)
453










4.2.3.1.

GENERAL REMARKS
453










4.2.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
453










5.

MARKET RISK TEMPLATES
454










5.1.

C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
455










5.1.1.

GENERAL REMARKS
455










5.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
455










5.2.

C 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
457










5.2.1.

GENERAL REMARKS
457










5.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
457










5.3.

C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
459










5.3.1.

GENERAL REMARKS
459










5.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
460










5.4.

C 21.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
462










5.4.1.

GENERAL REMARKS
462










5.4.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
462










5.5.

C 22.00 - MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
464










5.5.1.

GENERAL REMARKS
464










5.5.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
464










5.6.

C 23.00 - MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
467










5.6.1.

GENERAL REMARKS
467










5.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
467










5.7.

C 24.00 - MARKET RISK INTERNAL MODEL (MKR IM)
468










5.7.1.

GENERAL REMARKS
468










5.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
468










5.8.

C 25.00 - CREDIT VALUATION ADJUSTMENT RISK (CVA)
471










5.8.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
471










6.

PRUDENT VALUATION (PRUVAL)
473










6.1.

C 32.01 - PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)
473










6.1.1.

GENERAL REMARKS
473










6.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
473










6.2.

C 32.02 - PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)
478










6.2.1.

GENERAL REMARKS
478










6.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
478










6.3.

C 32.03 - PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)
486










6.3.1.

GENERAL REMARKS
486










6.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
486










6.4

C 32.04 - PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)
488










6.4.1.

GENERAL REMARKS
488










6.4.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
489










7.

C 33.00 - EXPOSURES TO GENERAL GOVERNMENTS (GOV)
490










7.1.

GENERAL REMARKS
490










7.2.

SCOPE OF THE TEMPLATE ON EXPOSURES TO “GENERAL GOVERNMENTS”
491










7.3.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
491










8.

NPE LOSS COVERAGE (NPE LC)
500










8.1.

GENERAL REMARKS
500










8.2.

C 35.01 – THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1)
501










8.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
501










8.3.

C 35.02 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF REGULATION (EU) No 575/2013 (NPE LC2)
503










8.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
503










8.4.

C 35.03 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF REGULATION (EU) No 575/2013 (NPE LC3)
505










8.4.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
505




PART I: GENERAL INSTRUCTIONS

1.   STRUCTURE AND CONVENTIONS
1.1.   STRUCTURE








1.


Overall, the framework covers six topics:






(a)


capital adequacy, an overview of regulatory capital; total risk exposure amount; prudent valuation; NPE loss coverage;










(b)


group solvency, an overview of the fulfilment of the solvency requirements by all individual entities included in the scope of consolidation of the reporting entity;










(c)


credit risk (including counterparty, dilution and settlement risks);










(d)


market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk);










(e)


operational risk;










(f)


general governments exposures.
















2.


For each template legal references are provided. Further detailed information on more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as validation rules are included in this part of this Implementing Regulation.












3.


Institutions are to report only those templates that are relevant depending on the approach used for determining own funds requirements.




1.2.   NUMBERING CONVENTION








4.


The document follows the labelling convention set in points 5 to 8, when referring to the columns, rows and cells of the templates. Those numerical codes are extensively used in the validation rules.












5.


The following general notation is followed in the instructions: {Template; Row; Column}.












6.


In the case of validations inside a template, in which only data points of that template are used, notations do not refer to a template: {Row; Column}.












7.


In the case of templates with only one column, only rows are referred to. {Template; Row}












8.


An asterisk sign is used to express that the validation is done for the rows or columns specified before.




1.3.   SIGN CONVENTION








9.


Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the capital requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure is expected to be reported for that item.












10.


[empty]





PART II: TEMPLATE RELATED INSTRUCTIONS

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








11.


The CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and the application of Regulation (EU) No 575/2013 and Directive 2013/36/EU transitional provisions and is structured in five templates:






(a)


Template CA1 contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount. The amount of own funds obtained includes the aggregate effect of the application of Regulation (EU) No 575/2013 and Directive 2013/36/EU transitional provisions per type of capital;










(b)


Template CA2 summarises the total risk exposures amounts as defined in Article 92(3) of Regulation (EU) No 575/2013;










(c)


Template CA3 contains the ratios for which Regulation (EU) No 575/2013 states a minimum level Pillar 2 ratios and some other related data;










(d)


Template CA4 contains memorandums items needed, among others, for calculating items in CA1 as well as information with regard to Directive 2013/36/EU capital buffers;










(e)


Template CA5 contains the data needed for calculating the effect of the application of Regulation (EU) No 575/2013 transitional provisions in own funds. CA5 will cease to exist once those transitional provisions expire.
















12.


The templates are to be used by all reporting entities, irrespective of the accounting standards followed, although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount.












13.


The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common Equity Tier 1 capital (CET1) and Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).












14.


The application of Regulation (EU) No 575/2013 and Directive 2013/36/EU transitional provisions is treated as follows in CA templates:






(a)


The items in CA1 are generally gross of transitional adjustments. That means that figures in CA1 items are calculated in accordance with the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of those transitional provisions. For each type of capital (i.e. CET1; AT1 and T2), there are three different items in which all the adjustments due to those transitional provisions are included.










(b)


Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in Article 36(1), point (j) and Article 56 of Regulation (EU) No 575/2013, point (e) respectively), and thus the items containing those shortfalls may indirectly reflect the effect of those transitional provisions.










(c)


Template CA5 is exclusively used for reporting the effect due to the application of Regulation (EU) No 575/2013 transitional provisions.
















15.


The treatment of Pillar II requirements can be different within the Union (Article 104a(1) of Directive 2013/36/EU has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting required under Regulation (EU) No 575/2013.






a)


The templates CA1, CA2 or CA5 only contain data on Pillar I issues.










b)


The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. It mainly focuses on the target ratios themselves. There is no further link to the templates CA1, CA2 or CA5.










c)


The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. That cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104a(1) of Directive 2013/36/EU which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.








1.2.   C 01.00 - OWN FUNDS (CA1)
1.2.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010


1. Own funds

Article 4(1), point (118), and Article 72 of Regulation (EU) No 575/2013
The own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital.




0015


1.1 Tier 1 capital

Article 25 of Regulation (EU) No 575/2013
The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital




0020


1.1.1 Common Equity Tier 1 capital

Article 50 of Regulation (EU) No 575/2013




0030


1.1.1.1 Capital instruments and share premium eligible as CET1 capital

Articles 26(1), points (a) and (b), Articles 27 to 30, Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013




0040


1.1.1.1.1 Fully paid up capital instruments

Article 26(1), point (a) and Articles 27 to 31 of Regulation (EU) No 575/2013
Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of Regulation (EU) No 575/2013) 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 of Regulation (EU) No 575/2013 are fulfilled.




0045


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

Article 31 of Regulation (EU) No 575/2013
Capital instruments subscribed by public authorities in emergency situations shall be included in CET1 capital if all conditions of Article 31 of Regulation (EU) No 575/2013 are fulfilled.




0050


1.1.1.1.2* Memorandum item: Capital instruments not eligible

Article 28(1), points (b), (l) and (m), of Regulation (EU) No 575/2013
Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.
The amount to be reported shall not include the share premium related to the instruments.




0060


1.1.1.1.3 Share premium

Article 4(1), point (124), Article 26(1), point (b), of Regulation (EU) No 575/2013
Share premium has the same meaning as under the applicable accounting standard.
The amount to be reported in this item shall be the part related to the “Fully paid up capital instruments”.




0070


1.1.1.1.4 (-) Own CET1 instruments

Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013
Own CET1 held by the reporting institution or group at the reporting date and amounts of CET1 instruments which have to be deducted in accordance with Article 28(2) of Commission Delegated Regulation (EU) No 241/2014 (1). Subject to exceptions in Article 42 of Regulation (EU) No 575/2013.
Holdings on shares included as “Capital instruments not eligible” shall not be reported in this row.
The amount to be reported shall include the share premium related to the own shares.
Items 1.1.1.1.4 to 1.1.1.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own CET1 instruments are reported separately in item 1.1.1.1.5.




0080


1.1.1.1.4.1 (-) Direct holdings of CET1 instruments

Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013
Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group and amounts of CET1 instruments which have to be deducted in accordance with Article 28(2) of Delegated Regulation (EU) No 241/2014.
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 Regulation (EU) No 575/2013.




0090


1.1.1.1.4.2 (-) Indirect holdings of CET1 instruments

Article 4(1), point (114), Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013




0091


1.1.1.1.4.3 (-) Synthetic holdings of CET1 instruments

Article 4(1), point (126), Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013




0092


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

Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013
According to Article 36(1), point (f), of Regulation (EU) No 575/2013, “own Common Equity Tier 1 instruments that an institution is under an actual or contingent obligation to purchase by virtue of an existing contractual obligation” shall be deducted.




0130


1.1.1.2 Retained earnings

Article 26(1), point (c), and Article 26(2) of Regulation (EU) No 575/2013
Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits




0140


1.1.1.2.1 Previous years retained earnings

Article 4(1), point (123), and Article 26(1), point (c), of Regulation (EU) No 575/2013
Article 4(1), point (123), of Regulation (EU) No 575/2013 defines retained earnings as “Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting framework”.




0150


1.1.1.2.2 Profit or loss eligible

Article 4(1), point (121), Article 26(2), and Article 36(1), point (a), of Regulation (EU) No 575/2013
Article 26(2) of Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013.




0160


1.1.1.2.2.1 Profit or loss attributable to owners of the parent

Article 26(2) and Article 36(1), point (a), of Regulation (EU) No 575/2013
The amount to be reported shall be the profit or loss reported in the accounting income statement.




0170


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

Article 26(2) of Regulation (EU) No 575/2013
This row shall not present any figure if, for the reference period, the institution has reported losses, because the losses shall be completely deducted from CET1.
If the institution reports profits, the part, which is not eligible according to Article 26(2) of Regulation (EU) No 575/2013 (i.e. profits not audited and foreseeable charges or dividends), shall be reported.
Note that, in case of profits, the amount to be deduced shall be, at least, the interim dividends.




0180


1.1.1.3 Accumulated other comprehensive income

Article 4(1), point (100), and Article 26(1), point (d), of Regulation (EU) No 575/2013
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.




0200


1.1.1.4 Other reserves

Article 4(1), point (117), and Article 26(1), point (e), of Regulation (EU) No 575/2013
Other reserves are defined in Regulation (EU) No 575/2013 as “Reserves within the meaning of the applicable accounting framework that are required to be disclosed under that applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings”.
The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.




0210


1.1.1.5 Funds for general banking risk

Article 4(1), point (112), and Article 26(1), point (f), of Regulation (EU) No 575/2013
Funds for general banking risk are defined in Article 38 of Council 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.




0220


1.1.1.6 Transitional adjustments due to grandfathered CET1 Capital instruments

Article 483, paragraphs 1, 2 and 3 and Articles 484 to 487 of Regulation (EU) No 575/2013
Amount of capital instruments transitionally grandfathered as CET1. The amount to be reported is directly obtained from CA5.




0230


1.1.1.7 Minority interest given recognition in CET1 capital

Article 4(1), point (120), and Article 84 of Regulation (EU) No 575/2013
Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1.




0240


1.1.1.8 Transitional adjustments due to additional minority interests

Articles 479 and 480 of Regulation (EU) No 575/2013
Adjustments to the minority interests due to transitional provisions. This item is obtained directly from CA5.




0250


1.1.1.9 Adjustments to CET1 due to prudential filters

Articles 32 to 35 of Regulation (EU) No 575/2013




0260


1.1.1.9.1 (-) Increases in equity resulting from securitised assets

Article 32(1) of Regulation (EU) No 575/2013
The amount to be reported is the increase in the equity of the institution resulting from securitised assets, in accordance with the applicable accounting standard.
For example, this item includes the future margin income that results in a gain on sale for the institution, or, for originators, the net gains that arise from the capitalisation of future income from the securitised assets that provide credit enhancement to positions in the securitisation.




0270


1.1.1.9.2 Cash flow hedge reserve

Article 33(1), point (a), of Regulation (EU) No 575/2013
The amount to be reported can be positive or negative. It shall be positive if cash flow hedges result in a loss (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.
The amount shall be net of any tax charge to be expected at the moment of the calculation.




0280


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

Article 33(1), point (b), of Regulation (EU) No 575/2013
The amount to be reported can be positive or negative. It shall be positive if there is a loss due to changes in own credit risk (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.
Unaudited profit shall not be included in this item.




0285


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

Article 33(1), point (c), and Article 33(2) of Regulation (EU) No 575/2013
The amount to be reported can be positive or negative. It shall be positive if there is a loss due to changes in own credit risk and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.
Unaudited profit shall not be included in this item.




0290


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

Articles 34 and 105 of Regulation (EU) No 575/2013
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 Regulation (EU) No 575/2013




0300


1.1.1.10 (-) Goodwill

Article 4(1), point (113), Article 36(1), point (b), and Article 37 of Regulation (EU) No 575/2013




0310


1.1.1.10.1 (-) Goodwill accounted for as intangible asset

Article 4(1), point (113), and Article 36(1), point (b), of Regulation (EU) No 575/2013
Goodwill has the same meaning as under the applicable accounting standard.
The amount to be reported here shall be the same as the amount that is reported in the balance sheet.




0320


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

Article 37, point (b), and Article 43 of Regulation (EU) No 575/2013




0330


1.1.1.10.3 Deferred tax liabilities associated to goodwill

Article 37, point (a), of Regulation (EU) No 575/2013
Amount of deferred tax liabilities that would be extinguished if the goodwill became impaired or was derecognised under the relevant accounting standard.




0335


1.1.1.10.4 Accounting revaluation of subsidiaries’ goodwill derived from the consolidation of subsidiaries attributable to third persons

Article 37, point (c), of Regulation (EU) No 575/2013
The amount of the accounting revaluation of the subsidiaries' goodwill derived from the consolidation of subsidiaries attributable to persons other than the undertakings included in the consolidation pursuant to Part One, Title II, Chapter 2.




0340


1.1.1.11 (-) Other intangible assets

Article 4(1), point (115), Article 36(1), point (b), and Article 37, point (a) and (c) of Regulation (EU) No 575/2013
Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.




0350


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

Article 4(1), point (115), and Article 36(1), point (b), of Regulation (EU) No 575/2013
Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also in accordance with the applicable accounting standard.
The amount to be reported here shall correspond to the amount of intangible assets included in the balance sheet in accordance with the applicable accounting standard, excluding goodwill and the amount of prudently valued software assets that is not deducted from CET1 items in accordance with Article 36(1), point (b), of Regulation (EU) No 575/2013.




0352


1.1.1.11.1.1 (-) Of which software assets accounted for as other intangible assets before deduction of deferred tax liabilities

Article 4(1), point (115), of Regulation (EU) No 575/2013 and Article 36(1), point (b), of Regulation (EU) No 575/2013
The amount of software assets accounted for as intangible assets which is deducted from CET1 items in accordance with Article 36(1), pint (b), of Regulation (EU) No 575/2013 and Article 13a of Delegated Regulation (EU) No 241/2014. The amount reported shall not consider the effects related to the application of the treatment established in Article 37, point (a), of Regulation (EU) No 575/2013, with reference to the deferred tax liabilities associated to those software assets.
Where an institution decides to fully deduct its software assets in accordance with Article 3 of Regulation (EU) No 575/2013, instead of applying the treatment of Article 13a of Delegated Regulation (EU) No 241/2014, the amount reported in this row shall correspond to the amount of software assets accounted for as intangible assets in accordance with the applicable accounting standard.




0360


1.1.1.11.2 Deferred tax liabilities associated to other intangible assets

Article 37, point (a), of Regulation (EU) No 575/2013
Amount of deferred tax liabilities that would be extinguished if the intangible assets, other than goodwill and prudently valued software assets exempted from the deduction from CET1 items in accordance with Article 13a of Delegated Regulation (EU) No 241/2014, became impaired or were derecognised under the relevant accounting standard.




0362


1.1.1.11.2.1 Deferred tax liabilities associated with software assets accounted for as intangible assets

Article 37, point (a), of Regulation (EU) No 575/2013
The portion of deferred tax liabilities which is associated with the amount of software assets accounted for as intangible assets that is deducted from CET1 items in accordance with Article 36(1), point (b), of Regulation (EU) No 575/2013 and Article 13a of Delegated Regulation (EU) No 241/2014 or Article 3 of Regulation (EU) No 575/2013.




0365


1.1.1.11.3 Accounting revaluation of subsidiaries’ other intangible assets derived from the consolidation of subsidiaries attributable to third persons

Article 37, point (c), of Regulation (EU) No 575/2013
The amount of the accounting revaluation of the subsidiaries' intangibles assets other than goodwill derived from the consolidation of subsidiaries attributable to persons other than the undertakings included in the consolidation pursuant to Part One, Title II, Chapter 2.




0370


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

Article 36(1), point (c) and Article 38 of Regulation (EU) No 575/2013




0380


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

Article 36(1), point (d), Articles 40, 158 and 159 of Regulation (EU) No 575/2013
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 Regulation (EU) No 575/2013).




0390


1.1.1.14 (-) Defined benefit pension fund assets

Article 4(1), point (109), Article 36(1), point (e), and Article 41 of Regulation (EU) No 575/2013




0400


1.1.1.14.1 (-) Defined benefit pension fund assets

Article 4(1), point (109) and Article 36(1), point (e), of Regulation (EU) No 575/2013
Defined benefit pension fund assets are defined as “the assets of a defined pension fund or plan, as applicable, calculated after they have been reduced by the amount of obligations under the same fund or plan”.
The amount to be reported here shall correspond to the amount reported in the balance sheet (if reported separately).




0410


1.1.1.14.2 Deferred tax liabilities associated to defined benefit pension fund assets

Article 4(1), points (108) and (109), and Article 41(1), point (a), of Regulation (EU) No 575/2013
Amount of deferred tax liabilities that would be extinguished if the defined benefit pension fund assets became impaired or were derecognised under the relevant accounting standard.




0420


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

Article 4(1), point (109), and Article 41(1), point (b), of Regulation (EU) No 575/2013
This item shall only present any amount if there is a prior consent of the competent authority to reduce the amount of defined benefit pension fund assets to be deducted.
The assets included in this row shall receive a risk weight for credit risk requirements.




0430


1.1.1.15 (-) Reciprocal cross holdings in CET1 Capital

Article 4(1), point (122), Article 36(1), point (g) and Article 44 of Regulation (EU) No 575/2013
Holdings in CET1 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) 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.




0440


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

Article 36(1), point (j), of Regulation (EU) No 575/2013
The amount to be reported is directly taken from CA1 item “Excess of deduction from AT1 items over AT1 Capital”. The amount has to be deducted from CET1.




0450


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

Article 4(1), point (36), Article 36(1), point (k)(i), and Articles 89 to 91 of Regulation (EU) No 575/2013
Qualifying holdings are defined as “direct or indirect holding in an undertaking which represents 10 % or more of the capital or of the voting rights or which makes it possible to exercise a significant influence over the management of that undertaking”.
According to point (k)(i) of Article 36(1) of Regulation (EU) No 575/2013 qualifying holdings can, alternatively, be deducted from CET1 (using this item), or be subject to a risk weight of 1 250  %.




0460


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

Articles 244(1), point (b), Article 245(1), point (b), and Article 253(1) of Regulation (EU) No 575/2013.
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 Regulation (EU) No 575/2013), shall be reported in this item.




0470


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

Article 36(1), point (k)(iii) and Article 379(3) of Regulation (EU) No 575/2013
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 Regulation (EU) No 575/2013). In the latter case, they shall be reported in this item.




0471


1.1.1.20 (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB Approach, and can alternatively be subject to a 1 250  % risk weight

Articles 36(1), point (k)(iv) and Article 153(8) of Regulation (EU) No 575/2013
According to Articles 36(1), point (k)(iv) of Regulation (EU) No 575/2013, positions in a basket for which an institution cannot determine the risk weight under the IRB Approach can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250  %.




0472


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

Articles 36(1), point (k)(v) and Article 155(4) of Regulation (EU) No 575/2013
According to Article 36(1), point (k)(v) of Regulation (EU) No 575/2013, equity exposures under an internal models approach can, alternatively, be deducted from CET1 (using this item), or be subject to a risk weight of 1 250  %.




0480


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

Article 4(1), point (27), Article 36(1), point (h), Articles 43 to 46, Article 49, paragraphs 2 and 3 and Article 79 of Regulation (EU) No 575/2013
Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) 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, paragraphs 2 and 3).




0490


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

Article 36(1), point (c); Article 38 and Article 48(1), point (a), of Regulation (EU) No 575/2013
Part of deferred tax assets that rely in future profitability and arise from temporary differences (net of the part of associated deferred tax liabilities allocated to deferred tax assets that arise from temporary differences), which according to Article 38(5), point (b), of Regulation (EU) No 575/2013 has to be deducted applying the 10 % threshold referred to in of Article 48(1), point (a), of that Regulation.




0500


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

Article 4(1), point (27), Article 36(1), point (i); Articles 43, 45, 47, Article 48(2), point (b), Article 49, paragraphs 1, 2 and 3 and Article 79 of Regulation (EU) No 575/2013
Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution has a significant investment that has to be deducted, applying the 10 % threshold referred to in Article 48(1), point (b), of that Regulation.
See alternatives to deduction when consolidation is applied (Article 49, paragraphs 1, 2 and 3 of Regulation (EU) No 575/2013).




0510


1.1.1.25 (-) Amount exceeding the 17.65 % threshold

Article 48(2) of Regulation (EU) No 575/2013
Part of deferred tax assets that rely in future profitability and arise from temporary differences, and direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution has a significant investment that has to be deducted, applying the 17.65 % threshold in Article 48(2) of that Regulation.




0511


1.1.1.25.1 (-) Amount exceeding the 17.65 % threshold related to CET1 instruments of financial sector entities where the institution has a significant investment





0512


1.1.1.25.2 (-) Amount exceeding the 17.65 % threshold related to deferred tax assets arising from temporary differences





0513


1.1.1.25A (-) Insufficient coverage for non-performing exposures

Article 36(1), point (m), and Article 47c of Regulation (EU) No 575/2013




0514


1.1.1.25B (-) Minimum value commitment shortfalls

Article 36(1), point (n), and Article 132c(2) of Regulation (EU) No 575/2013




0515


1.1.1.25C (-) Other foreseeable tax charges

Article 36(1), point (l), of Regulation (EU) No 575/2013
Tax charges relating to CET1 items foreseeable at the moment of the calculation other than tax charges that have been considered already in any of the other rows reflecting CET1 items by reducing the amount of the CET1 item in question.




0520


1.1.1.26 Other transitional adjustments to CET1 Capital

Articles 469 to 478 and 481 of Regulation (EU) No 575/2013
Adjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5.




0524


1.1.1.27 (-) Additional deductions of CET1 Capital due to Article 3 of Regulation (EU) No 575/2013

Article 3 of Regulation (EU) No 575/2013
Where an institution decides to fully deduct its software assets in accordance with Article 3 of Regulation (EU) No 575/2013, instead of applying the treatment of Article 13a of Delegated Regulation (EU) No 241/2014, the additional amount deducted shall not be reported in this row, but in row 0352.




0529


1.1.1.28 CET1 capital elements or deductions - other

This row is intended to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a CET1 capital element or a deduction from a CET1 element cannot be assigned to one of the rows 020 to 524.
This row shall not be used to assign capital items/deductions which are not covered by Regulation (EU) No 575/2013 into the calculation of solvency ratios (e.g. an assignment of national capital items / deductions which are outside the scope of the of Regulation (EU) No 575/2013).




0530


1.1.2 ADDITIONAL TIER 1 CAPITAL

Article 61 of Regulation (EU) No 575/2013




0540


1.1.2.1 Capital instruments and share premium eligible as AT1 Capital

Article 51, point (a), Articles 52, 53 and 54, Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013




0551


1.1.2.1.1 Fully paid up, directly issued capital instruments

Article 51, point (a) and Articles 52, 53 and 54 of Regulation (EU) No 575/2013
The amount to be reported shall not include the share premium related to the instruments




0560


1.1.2.1.2 (*) Memorandum item: Capital instruments not eligible

Article 52(1), points (c), (e) and (f), of Regulation (EU) No 575/2013
Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.
The amount to be reported shall not include the share premium related to the instruments




0571


1.1.2.1.3 Share premium

Article 51, point (b), of Regulation (EU) No 575/2013
Share premium has the same meaning as under the applicable accounting standard.
The amount to be reported in this item shall be the part related to the “fully paid up and directly issued capital instruments”.




0580


1.1.2.1.4 (-) Own AT1 instruments

Article 52(1), point (b), Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013
Own AT1 instruments held by the reporting institution or group at the reporting date and amounts of AT1 instruments which have to be deducted in accordance with Article 28(2) of Delegated Regulation (EU) No 241/2014. Subject to exceptions in Article 57 of Regulation (EU) No 575/2013.
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 AT1 instruments. Actual or contingent obligations to purchase own AT1 instruments are reported separately in item 1.1.2.1.5.




0590


1.1.2.1.4.1 (-) Direct holdings of AT1 instruments

Article 4(1), point (144), Article 52(1), point (b), Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013
Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group and amounts of AT1 instruments which have to be deducted in accordance with Article 28(2) of Delegated Regulation (EU) No 241/2014.




0620


1.1.2.1.4.2 (-) Indirect holdings of AT1 instruments

Article 52(1), point (b)(ii), Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013




0621


1.1.2.1.4.3 (-) Synthetic holdings of AT1 instruments

Article 4(1), point (126), Article 52(1), point (b), Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013




0622


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

Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013
According to Article 56, point (a) of Regulation (EU) No 575/2013, “own Additional Tier 1 instruments that an institution could be obliged to purchase as a result of existing contractual obligations” shall be deducted.




0660


1.1.2.2 Transitional adjustments due to grandfathered AT1 Capital instruments

Article 483, paragraphs 4 and 5, Articles 484 to 487, Articles 489 and 491 of Regulation (EU) No 575/2013
Amount of capital instruments transitionally grandfathered as AT1. The amount to be reported is directly obtained from CA5.




0670


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

Articles 83, 85 and 86 of Regulation (EU) No 575/2013
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 Regulation (EU) No 575/2013) shall be included.




0680


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

Article 480 of Regulation (EU) No 575/2013
Adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions. This item is obtained directly from CA5.




0690


1.1.2.5 (-) Reciprocal cross holdings in AT1 Capital

Article 4(1), point (122), Article 56, point (b) and Article 58 of Regulation (EU) No 575/2013
Holdings in AT1 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution.
The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Additional Tier 1 own-fund insurance items.




0700


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

Article 4(1), point (27), Article 56, point (c); Articles 59, 60 and 79 of Regulation (EU) No 575/2013
Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution does not have a significant investment that has to be deducted from AT1.




0710


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

Article 4(1), point (27), Article 56, point (d), Articles 59 and 79 of Regulation (EU) No 575/2013
Holdings by the institution of AT1 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution has a significant investment are completely deducted




0720


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

Article 56, point (e)of Regulation (EU) No 575/2013
The amount to be reported is directly taken from CA1 item “Excess of deduction from T2 items over T2 Capital (deducted in AT1).




0730


1.1.2.9 Other transitional adjustments to AT1 Capital

Articles 472, 473a, 474, 475, 478 and 481 of Regulation (EU) No 575/2013
Adjustments due to transitional provisions. The amount to be reported is directly obtained from CA5.




0740


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

Article 36(1), point (j), of Regulation (EU) No 575/2013
Additional Tier 1 cannot be negative, but it is possible that AT1 deductions are greater than AT1 Capital plus related share premium. When this happens, AT1 has to be equal to zero, and the excess of AT1 deductions has to be deducted from CET1.
With this item, it is achieved that the sum of items 1.1.2.1 to 1.1.2.12 is never lower than zero. Where this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure.




0744


1.1.2.11 (-) Additional deductions of AT1 Capital due to Article 3 of Regulation (EU) No 575/2013

Article 3 of Regulation (EU) No 575/2013




0748


1.1.2.12 AT1 capital elements or deductions - other

This row is intended to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if an AT1 capital element or a deduction from an AT1 element cannot be assigned to one of the rows 530 to 744.
This row shall not be used to assign capital items/deductions which are not covered by of Regulation (EU) No 575/2013 into the calculation of solvency ratios (e.g. an assignment of national capital items / deductions which are outside the scope of that Regulation).




0750


1.2 TIER 2 CAPITAL

Article 71 of Regulation (EU) No 575/2013




0760


1.2.1 Capital instruments and share premium eligible as T2 Capital

Article 62, point (a), Articles 63 to 65, Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013




0771


1.2.1.1 Fully paid up, directly issued capital instruments

Article 62, point (a), Articles 63 and 65 of Regulation (EU) No 575/2013
The amount to be reported shall not include the share premium related to the instruments.
The capital instruments may consist of equity or liabilities, including subordinated loans that fulfil the eligibility criteria.




0780


1.2.1.2 (*) Memorandum item: Capital instruments not eligible

Article 63, points (c), (e) and (f), and Article 64 of Regulation (EU) No 575/2013
Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.
The amount to be reported shall not include the share premium related to the instruments.
The capital instruments may consist of equity or liabilities, including subordinated loans.




0791


1.2.1.3 Share premium

Article 62, point (b)and Article 65 of Regulation (EU) No 575/2013
Share premium has the same meaning as under the applicable accounting standard.
The amount to be reported in this item shall be the part related to the “fully paid up and directly issued capital instruments”.




0800


1.2.1.4 (-) Own T2 instruments

Article 63, point (b)(i), Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013
Own T2 instruments held by the reporting institution or group at the reporting date and amounts of T2 instruments which have to be deducted in accordance with Article 28(2) of Delegated Regulation (EU) No 241/2014. Subject to exceptions in Article 67 of Regulation (EU) No 575/2013.
Holdings on shares included as “Capital instruments not eligible” shall not be reported in this row.
The amount to be reported shall include the share premium related to the own shares.
Items 1.2.1.4 to 1.2.1.4.3 do not include actual or contingent obligations to purchase own T2 instruments. Actual or contingent obligations to purchase own T2 instruments are reported separately in item 1.2.1.5.




0810


1.2.1.4.1 (-) Direct holdings of T2 instruments

Article 63, point (b), Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013
Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group and amounts of T2 instruments which have to be deducted in accordance with Article 28(2) of Delegated Regulation (EU) No 241/2014.




0840


1.2.1.4.2 (-) Indirect holdings of T2 instruments

Article 4(1), point (114), Article 63, point (b Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013




0841


1.2.1.4.3 (-) Synthetic holdings of T2 instruments

Article 4(1), point (126), Article 63, point (b), Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013




0842


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

Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013
According to Article 66, point (a), of Regulation (EU) No 575/2013, “own Tier 2 instruments that an institution could be obliged to purchase as a result of existing contractual obligations” shall be deducted.




0880


1.2.2 Transitional adjustments due to grandfathered T2 Capital instruments

Article 483, paragraphs 6 and 7, Articles 484, 486, 488, 490 and 491 of Regulation (EU) No 575/2013
Amount of capital instruments transitionally grandfathered as T2. The amount to be reported is directly obtained from CA5.




0890


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

Articles 83, 87 and 88 of Regulation (EU) No 575/2013
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 Regulation (EU) No 575/2013) shall be included.




0900


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

Article 480 of Regulation (EU) No 575/2013
Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions. This item is obtained directly from CA5.




0910


1.2.5 IRB Excess of provisions over expected losses eligible

Article 62, point (d), of Regulation (EU) No 575/2013
For institutions calculating risk-weighted exposure amounts in accordance with IRB Approach, this item shall contain the positive amounts resulting from comparing the provisions and expected losses which are eligible as T2 capital.




0920


1.2.6 SA General credit risk adjustments

Article 62, point (c), of Regulation (EU) No 575/2013
For institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item shall contain the general credit risk adjustments eligible as T2 capital.




0930


1.2.7 (-) Reciprocal cross holdings in T2 Capital

Article 4(1), point (122), Article 66, point (b) and Article 68 of Regulation (EU) No 575/2013
Holdings in T2 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate the own funds of the institution artificially.
The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 2 and Tier 3 own-fund insurance items.




0940


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

Article 4(1), point (27), Article 66, point (c), Articles 68 to 70 and Article 79 of Regulation (EU) No 575/2013
Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution does not have a significant investment that has to be deducted from T2.




0950


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

Article 4(1), point (27), Article 66, point (d), Articles 68, 69 and Article 79 of Regulation (EU) No 575/2013
Holdings by the institution of T2 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution has a significant investment shall be completely deducted.




0955


1.2.9A (-) Excess of deductions from eligible liabilities over eligible liabilities

Article 66 (e) of Regulation (EU) No 575/2013.




0960


1.2.10 Other transitional adjustments to T2 Capital

Articles 472, 473a, 476, 477, 478 and 481 of Regulation (EU) No 575/2013
Adjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5.




0970


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

Article 56, point (e), of Regulation (EU) No 575/2013
Tier 2 cannot be negative, but it is possible that T2 deductions are greater than T2 Capital plus related share premium. When this happens, T2 shall be equal to zero, and the excess of T2 deductions shall be deducted from AT1.
With this item, the sum of items 1.2.1 to 1.2.13 is never lower than zero. Where this item shows a positive figure, item 1.1.2.8 shall be the inverse of that figure.




0974


1.2.12 (-) Additional deductions of T2 Capital due to Article 3 of Regulation (EU) No 575/2013

Article 3 of Regulation (EU) No 575/2013




0978


1.2.13 T2 capital elements or deductions - other

This row provides flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a T2 capital element or a deduction from a T2 element cannot be assigned to one of the rows 750 to 974.
This row shall not be used to assign capital items/deductions which are not covered by Regulation (EU) No 575/2013 into the calculation of solvency ratios (e.g. an assignment of national capital items / deductions which are outside the scope of that Regulation).




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






Row


Legal references and instructions




0010


1. TOTAL RISK EXPOSURE AMOUNT

Article 92(3) and Articles 95, 96 and 98 of Regulation (EU) No 575/2013




0020


1* Of which: Investment firms under Article 95 paragraph 2 and Article 98 of Regulation (EU) No 575/2013

For investment firms under Article 95(2) and Article 98 of Regulation (EU) No 575/2013




0030


1** Of which: Investment firms under Article 96 paragraph 2 and Article 97 of Regulation (EU) No 575/2013

For investment firms under Article 96(2) and Article 97 of Regulation (EU) No 575/2013




0040


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

Article 92(3), points (a) and (f), of Regulation (EU) No 575/2013




0050


1.1.1 Standardised Approach (SA)

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




0051


1.1.1* Of which: Additional stricter prudential requirements based on Article 124 of Regulation (EU) No 575/2013

Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements as communicated to the institutions after having been consulted with EBA, in accordance with Article 124, paragraphs 2 and 5 of Regulation (EU) No 575/2013.




0060


1.1.1.1 SA exposure classes excluding securitisations positions

CR SA template at the level of total exposures. The SA exposure classes are those mentioned in Article 112 of Regulation (EU) No 575/2013, excluding securitisation positions.




0070


1.1.1.1.01 Central governments or central banks

See CR SA template




0080


1.1.1.1.02 Regional governments or local authorities

See CR SA template




0090


1.1.1.1.03 Public sector entities

See CR SA template




0100


1.1.1.1.04 Multilateral Development Banks

See CR SA template




0110


1.1.1.1.05 International Organisations

See CR SA template




0120


1.1.1.1.06 Institutions

See CR SA template




0130


1.1.1.1.07 Corporates

See CR SA template




0140


1.1.1.1.08 Retail

See CR SA template




0150


1.1.1.1.09 Secured by mortgages on immovable property

See CR SA template




0160


1.1.1.1.10 Exposures in default

See CR SA template




0170


1.1.1.1.11 Items associated with particular high risk

See CR SA template




0180


1.1.1.1.12 Covered bonds

See CR SA template




0190


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

See CR SA template




0200


1.1.1.1.14 Collective investments undertakings (CIU)

See CR SA template




0210


1.1.1.1.15 Equity

See CR SA template




0211


1.1.1.1.16 Other items

See CR SA template




0212


1.1.1.1.16.1 Of which: software assets accounted for as intangible assets

The risk weighted exposure amount pertaining to the portion of software assets accounted for as intangible assets that is not deducted from CET1 items in accordance with Article 36(1), point (b), of Regulation (EU) No 575/2013, but risk-weighted in accordance with Article 113(5) of that Regulation.




0240


1.1.2 Internal ratings based Approach (IRB)





0241


1.1.2* Of which: Additional stricter prudential requirements based on Article 164 of Regulation (EU) No 575/2013

Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements as communicated to the institutions after having been notified to EBA, in accordance with Article 164, paragraphs 5 and 7 of Regulation (EU) No 575/2013.




0242


1.1.2** Of which: Additional stricter prudential requirements based on Article 124 of Regulation (EU) No 575/2013

Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements set by the competent authorities after having consulted EBA, as laid down in Article 124, paragraphs 2 and 5 of Regulation (EU) No 575/2013 and which are related to limits on the eligible market value of the collateral as laid down in Article 125(2), point (d) and Article 126(2), point (d), of that Regulation.




0250


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

CR IRB template at the level of total exposures (when own estimates of LGD or CCF are not used)




0260


1.1.2.1.01 Central governments and central banks

See CR IRB template




0270


1.1.2.1.02 Institutions

See CR IRB template




0280


1.1.2.1.03 Corporates - SME

See CR IRB template




0290


1.1.2.1.04 Corporates – Specialised Lending

See CR IRB template




0300


1.1.2.1.05 Corporates – Other

See CR IRB template




0310


1.1.2.2 IRB Approaches when own estimates of LGD and/or Conversion Factor are used

CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are used)




0320


1.1.2.2.01 Central governments and central banks

See CR IRB template




0330


1.1.2.2.02 Institutions

See CR IRB template




0340


1.1.2.2.03 Corporates - SME

See CR IRB template




0350


1.1.2.2.04 Corporates – Specialised Lending

See CR IRB template




0360


1.1.2.2.05 Corporates – Other

See CR IRB template




0370


1.1.2.2.06 Retail – secure by real estate SME

See CR IRB template




0380


1.1.2.2.07 Retail – secure by real estate non-SME

See CR IRB template




0390


1.1.2.2.08 Retail – Qualifying revolving

See CR IRB template




0400


1.1.2.2.09 Retail – Other SME

See CR IRB template




0410


1.1.2.2.10 Retail – Other non-SME

See CR IRB template




0420


1.1.2.3 Equity IRB

See CR EQU IRB template




0450


1.1.2.5 Other non credit-obligation assets

The amount to be reported is the risk weighted exposure amount as calculated in accordance with Article 156 of Regulation (EU) No 575/2013.




0455


1.1.2.5.1 Of which software assets accounted for as intangible assets

The risk weighted exposure amount pertaining to the portion of software assets accounted for as intangible assets that is not deducted from CET1 items in accordance with Article 36(1), point (b), of Regulation (EU) No 575/2013, but risk-weighted in accordance with Article 156 of that Regulation.




0460


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

Articles 307, 308 and 309 of Regulation (EU) No 575/2013




0470


1.1.4 Securitisation positions

See CR SEC template




0490


1.2 TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

Article 92(3), point (c)(ii) and Article 92(4), point (b), of Regulation (EU) No 575/2013




0500


1.2.1 Settlement/delivery risk in the non-Trading book

See CR SETT template




0510


1.2.2 Settlement/delivery risk in the Trading book

See CR SETT template




0520


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

Article 92(3), points (b)(i), (c)(i) and (c)(iii), and Article 92(4), point (b), of Regulation (EU) No 575/2013




0530



1.3.1 Risk exposure amount for position, foreign exchange and commodities risks under Standardised Approaches (SA)





0540


1.3.1.1 Traded debt instruments

MKR SA TDI template at the level of total currencies.




0550


1.3.1.2 Equity

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




0555


1.3.1.3 Particular approach for position risk in CIUs

Article 348(1), Article 350(3), point (c) and Article 364(2), point (a), of Regulation (EU) No 575/2013
Total risk exposure amount for positions in CIUs if capital requirements are calculated in accordance with Article 348(1) of Regulation (EU) No 575/2013 either immediately or as a consequence of the cap laid down in Article 350(3), point (c), of that Regulation. Regulation (EU) No 575/2013 does not explicitly assign those positions to either the interest rate risk or the equity risk.
Where the particular approach laid down in the first sentence of Article 348(1) of Regulation (EU) No 575/2013 is applied, the amount to be reported shall be 32 % of the net position of the CIU exposure in question, multiplied by 12,5.
Where the particular approach laid down in the second sentence of Article 348(1) of Regulation (EU) No 575/2013 is applied, the amount to be reported shall be the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure, multiplied by 12,5 respectively.




0556


1.3.1.3.* Memo item: CIUs exclusively invested in traded debt instruments

Total risk exposure amount for positions in CIUs if the CIU is invested exclusively in instruments subject to interest rate risk.




0557


1.3.1.3.** CIUs invested exclusively in equity instruments or in mixed instruments

Total risk exposure amount for positions in CIUs if the CIU is invested either exclusively in instruments subject to equity risk or in mixed instruments or if the constituents of the CIU are unknown.




0560


1.3.1.4 Foreign Exchange

See MKR SA FX template




0570


1.3.1.5 Commodities

See MKR SA COM template




0580


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

See MKR IM template




0590


1.4 TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR)

Article 92(3), point (e) and Article 92(4), point (b), of Regulation (EU) No 575/2013
For investment firms under Articles 95(2) and 96(2) and Article98 of Regulation (EU) No 575/2013, this element shall be zero.




0600


1.4.1 OpR Basic Indicator approach (BIA)

See OPR template




0610


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

See OPR template




0620


1.4.3 OpR Advanced measurement approaches (AMA)

See OPR template




0630


1.5 ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

Articles 95(2) and 96(2), Article 97 and Article 98(1), point (a), of Regulation (EU) No 575/2013
Only for investment firms under Article 95(2), Article 96(2) and Article 98 of Regulation (EU) No 575/2013. See also Article 97 of Regulation (EU) No 575/2013.
Investment firms under Article 96 of Regulation (EU) No 575/2013 shall report the amount referred to in Article 97 multiplied by 12.5.
Investment firms under Article 95 of Regulation (EU) No 575/2013 shall report as follows:






—


Where the amount referred to in Article 95(2), point (a), of Regulation (EU) No 575/2013 is greater than the amount referred to in point (b), of Article 95(2) of that Regulation, the amount to be reported is zero.










—


Where the amount referred to in Article 95(2), point (b), of Regulation (EU) No 575/2013 is greater than the amount referred to in Article 95(2), point (a), of that Regulation, the amount to be reported is the result of subtracting the latter amount from the former.








0640


1.6 TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

Article 92(3), point (d), of Regulation (EU) No 575/2013
See CVA template.




0650


1.6.1 Advanced method

Own funds requirements for credit valuation adjustment risk in accordance with Article 383 of Regulation (EU) No 575/2013.
See CVA template.




0660


1.6.2 Standardised method

Own funds requirements for credit valuation adjustment risk in accordance with Article 384 of Regulation (EU) No 575/2013.
See CVA template.




0670


1.6.3. Based on OEM

Own funds requirements for credit valuation adjustment risk in accordance with Article 385 of Regulation (EU) No 575/2013.
See CVA template.




0680


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

Article 92(3), point (b)(ii) and Articles 395 to 401 of Regulation (EU) No 575/2013




0690


1.8 OTHER RISK EXPOSURE AMOUNTS

Articles 3, 458 and 459 of Regulation (EU) No 575/2013 and risk exposure amounts which cannot be assigned to one of the items from 1.1 to 1.7.
Institutions shall report the amounts needed to comply with the following:
Stricter prudential requirements imposed by the Commission, in accordance with Articles 458 and 459 of Regulation (EU) No 575/2013.
Additional risk exposure amounts due to Article 3 of Regulation (EU) No 575/2013.
This item does not have a link to a details template.




0710


1.8.2 Of which: Additional stricter prudential requirements based on Article 458 of Regulation (EU) No 575/2013

Article 458 of Regulation (EU) No 575/2013




0720


1.8.2* Of which: requirements for large exposures

Article 458 of Regulation (EU) No 575/2013




0730


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

Article 458 of Regulation (EU) No 575/2013




0740


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

Article 458 of Regulation (EU) No 575/2013




0750


1.8.3 Of which: Additional stricter prudential requirements based on Article 459 of Regulation (EU) No 575/2013

Article 459 of Regulation (EU) No 575/2013




0760


1.8.4 Of which: Additional risk exposure amount due to Article 3 of Regulation (EU) No 575/2013

Article 3 of Regulation (EU) No 575/2013
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 of Regulation (EU) No 575/2013, the amount to be reported is 30).




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






Rows




0010


1 CET1 Capital ratio

Article 92(2), point (a), of Regulation (EU) No 575/2013
The CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount.




0020


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

This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirement set in Article 92(1), point (a), of Regulation (EU) No 575/2013 (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.




0030


3 T1 Capital ratio

Article 92(2), point (b), of Regulation (EU) No 575/2013
The T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount.




0040


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

This item shows, in absolute figures, the amount of T1 capital surplus or deficit relating to the requirement set in Article 92(1), point (b), of Regulation (EU) No 575/2013 (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.




0050


5 Total capital ratio

Article 92(2), point (c), of Regulation (EU) No 575/2013
The total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount.




0060


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

This item shows, in absolute figures, the amount of own funds surplus or deficit relating to the requirement set in Article 92(1), point (c), of Regulation (EU) No 575/2013 (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.




0130


13 Total SREP capital requirement (TSCR) ratio

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






(i)


the total capital ratio (8 %) as specified in Article 92(1), point (c), of Regulation (EU) No 575/2013;










(ii)


the additional own funds requirements (Pillar 2 Requirements – P2R) as referred to in Article 104 (1), point (a), of Directive 2013/36/EU, presented as ratio. They shall be determined in accordance with the criteria specified in the EBA Guidelines on common procedures and methodologies for the supervisory review and evaluation process and supervisory stress testing (EBA SREP GL).




This item shall reflect the total SREP capital requirement (TSCR) ratio as communicated to the institution by the competent authority. The TSCR is defined in Section 7.4 and 7.5 of the EBA SREP GL.
Where no additional own funds requirements were communicated by the competent authority, only point (i) shall be reported.




0140


13* TSCR: to be made up of CET1 capital

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






(i)


the CET1 capital ratio (4.5 %) as per Article 92(1), point (a), of Regulation (EU) No 575/2013;










(ii)


the part of the P2R ratio, referred to in point (ii) of row 0130, which is required by the competent authority to be held in the form of CET1 capital.




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




0150


13** TSCR: to be made up of Tier 1 capital

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






(i)


the Tier 1 capital ratio (6 %) as per Article 92(1), point (b), of Regulation (EU) No 575/2013;










(ii)


the part of P2R ratio, referred to in point (ii) of row 0130, which is required by the competent authority to be held in the form of Tier 1 capital.




Where no additional own funds requirements, to be held in the form of Tier 1 capital, were communicated by the competent authority, then only point (i) shall be reported.




0160


14 Overall capital requirement (OCR) ratio

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






(i)


the TSCR ratio referred to in row 0130;










(ii)


to the extent it is legally applicable, the combined buffer requirement ratio referred to in Article 128, point (6) of Directive 2013/36/EU.




This item shall reflect the Overall capital requirement (OCR) ratio as defined in Section 7.5 of the EBA SREP GL.
Where no buffer requirement is applicable, only point (i) shall be reported.




0170


14* OCR: to be made up of CET1 capital

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






(i)


the TSCR ratio to be made up of CET1 capital referred to in row 0140;










(ii)


to the extent it is legally applicable, the combined buffer requirement ratio referred to in Article 128, point (6) of Directive 2013/36/EU.




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




0180


14** OCR: to be made up of Tier 1 capital

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






(i)


the TSCR ratio to be made up of Tier 1 capital referred to in row 0150;










(ii)


to the extent it is legally applicable, the combined buffer requirement ratio referred to in Article 128, point (6) of Directive 2013/36/EU.




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




0190


15 Overall capital requirement (OCR) and Pillar 2 Guidance (P2G) ratio

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






(i)


the OCR ratio referred to in row 160;










(ii)


where applicable, the guidance on additional own funds communicated by the competent authority (Pillar 2 Guidance - P2G) as referred to in Article 104b(3) of Directive 2013/36/EU, presented as ratio. They shall be defined in accordance with section 7.7.1 of the EBA SREP GL. P2G shall be included only if communicated to the institution by the competent authority.




Where no P2G is communicated by the competent authority, only point (i) shall be reported.




0200


15* OCR and P2G: to be made up of CET1 capital

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






(i)


the OCR ratio to be made up of CET1 capital referred to in row 0170;










(ii)


where applicable, the part of P2G, referred to in point (ii) in row 0190, which is required by the competent authority to be held in the form of CET1 capital. P2G shall be included only if communicated to the institution by the competent authority.




Where no P2G is communicated by the competent authority, only point (i) shall be reported.




0210


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

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






(i)


the OCR ratio to be made up of Tier 1 capital referred to in row 0180;










(ii)


where applicable, the part of P2G, referred to in point (ii) in row 0190, which is required by the competent authority to be held in the form of Tier 1 capital. P2G shall be included only if communicated to the institution by the competent authority.




Where no P2G is communicated by the competent authority, only point (i) shall be reported.




0220



Surplus(+)/Deficit(-) of CET1 capital considering the requirements of Article 92 of Regulation (EU) No 575/2013 and 104a of Directive 2013/36/EU

This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirements set in Article 92(1), point (a), of Regulation (EU) No 575/2013 (4,5 %) and Article 104a of Directive 2013/36/EU – excluding additional own funds required to address the risk of excessive leverage under paragraph 3 of that article–, to the extent that the requirement of Article 104a of that Directive has to be met with CET1 capital. Where an institution has to use its CET1 to meet its requirements of Article 92(1), point (b) and / or (c) of Regulation (EU) No 575/2013 and / or Article 104a of Directive 2013/36/EU beyond the extent to which the latter has to be met with CET1 capital, the reported surplus or deficit shall take this into account.
This amount reflects the CET1 capital available to meet the combined buffer requirement and other requirements.




0300



CET1 Capital ratio without application of the transitional provisions on IFRS 9

Article 92(2), point (a), of Regulation (EU) No 575/2013, Article 473a (8) of that Regulation




0310



T1 Capital ratio without application of the transitional provisions on IFRS 9

Article 92(2), point (b), of Regulation (EU) No 575/2013, Article 473a (8) of that Regulation




0320



Total capital ratio without application of the transitional provisions on IFRS 9

Article 92(2), point (c), of Regulation (EU) No 575/2013, Article 473a (8) of that Regulation




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






Rows




0010


1. Total deferred tax assets

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




0020


1.1 Deferred tax assets that do not rely on future profitability

Article 39(2) of Regulation (EU) No 575/2013
Deferred tax assets that were created before 23 November 2016 and do not rely on future profitability, and thus are subject to the application of a risk weight.




0030


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

Article 36(1), point (c) and Article 38 of Regulation (EU) No 575/2013
Deferred tax assets that rely on future profitability, but do not arise from temporary differences, and thus are not subject to any threshold (i.e. are completely deducted from CET1).




0040


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

Article 36(1), point (c); Article 38, and Article 48(1), point (a), of Regulation (EU) No 575/2013
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 Regulation (EU) No 575/2013.




0050


2 Total deferred tax liabilities

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




0060


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

Article 38, paragraphs 3 and 4 of Regulation (EU) No 575/2013
Deferred tax liabilities for which conditions in Article 38, paragraphs 3 and 4 of Regulation (EU) No 575/2013 are not met. Hence, this item shall include the deferred tax liabilities that reduce the amount of goodwill, other intangible assets or defined benefit pension fund assets required to be deducted, which are reported, respectively, in CA1 items 1.1.1.10.3, 1.1.1.11.2 and 1.1.1.14.2.




0070


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

Article 38 of Regulation (EU) No 575/2013




0080


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

Article 38, paragraphs 3, 4 and 5 of Regulation (EU) No 575/2013
Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, in accordance with Article 38, paragraphs 3 and 4 of Regulation (EU) No 575/2013, and are not allocated to deferred tax assets that rely on future profitability and arise from temporary differences, as laid down in Article 38(5) of Regulation (EU) No 575/2013




0090


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

Article 38, paragraphs 3, 4 and 5 of Regulation (EU) No 575/2013
Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, in accordance with Article 38, paragraphs 3 and 4 of Regulation (EU) No 575/2013, and are allocated to deferred tax assets that rely on future profitability and arise from temporary differences, as laid down in Article 38(5) of Regulation (EU) No 575/2013




0093


2A Tax overpayments and tax loss carry backs

Article 39(1) of Regulation (EU) No 575/2013
The amount of tax overpayments and tax loss carry backs which is not deducted from own funds in accordance with Article 39(1) of Regulation (EU) No 575/2013; the amount reported shall be the amount before the application of risk weights.




0096


2B Deferred Tax Assets subject to a risk weight of 250 %

Article 48(4) of Regulation (EU) No 575/2013
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) of Regulation (EU) No 575/2013, but subject to a risk weight of 250 % in accordance with Article 48(4) of that Regulation, taking into account the effect of Article 470, Article 478(2) and Article 473a(7), point (a), of the same Regulation. The amount reported shall be the amount of DTAs before the application of the risk weight.




0097


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

Article 469(1), point (d), Article 470, Article 472(5) and Article 478 of Regulation (EU) No 575/2013
The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to Article 469(1), point (d), Article 470 of Regulation (EU) No 575/2013, Article 478 (2) and Article 473a (7). point (a), of that Regulation, but subject to a risk weight of 0 % in accordance with Article 472(5) of that Regulation. The amount reported shall be the amount of DTAs before the application of the risk weight.




0901


2W Software assets accounted for as intangible assets exempted from the deduction from CET1

Article 36(1), point (b), of Regulation (EU) No 575/2013
Institutions shall report the amount of prudently valued software assets exempted from the deduction from CET1 items in accordance with Article 13a of Delegated Regulation (EU) No 241/2014.




0905


2Y AT1 Capital instruments and the related share premium accounts classified as equity under applicable accounting standards

The amount of AT1 instruments including their related share premium accounts that are classified as equity under the applicable accounting standard




0906


2Z AT1 Capital instruments and the related share premium accounts classified as liabilities under applicable accounting standards

The amount of AT1 instruments including their related share premium accounts that are classified as liabilities under the applicable accounting standard




0100


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

Article 36(1), point (d), Article 62, point (d), Articles 158 and 159 of Regulation (EU) No 575/2013
This item shall only be reported by IRB institutions.




0110


3.1 Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount

Article 159 of Regulation (EU) No 575/2013
This item shall only be reported by IRB institutions.




0120


3.1.1 General credit risk adjustments

Article 159 of Regulation (EU) No 575/2013
This item shall only be reported by IRB institutions.




0130


3.1.2 Specific credit risk adjustments

Article 159 of Regulation (EU) No 575/2013
This item shall only be reported by IRB institutions.




0131


3.1.3 Additional value adjustments and other own funds reductions

Articles 34, 110 and 159 of Regulation (EU) No 575/2013
This item shall only be reported by IRB institutions.




0140


3.2 Total expected losses eligible

Article 158, paragraphs 5, 6 and 10 and Article 159 of Regulation (EU) No 575/2013
This item shall only be reported by IRB institutions. Only the expected loss related to non-defaulted exposures shall be reported.




0145


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

Article 36(1), point (d), Article 62, point (d) Articles 158 and 159 of Regulation (EU) No 575/2013
This item shall only be reported by IRB institutions.




0150


4.1 Specific credit risk adjustments and positions treated similarly

Article 159 of Regulation (EU) No 575/2013
This item shall only be reported by IRB institutions.




0155


4.2 Total expected losses eligible

Article 158, paragraphs 5, 6 and 10 and Article 159 of Regulation (EU) No 575/2013
This item shall only be reported by IRB institutions. Only the expected loss related to defaulted exposures shall be reported.




0160


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

Article 62, point (d), of Regulation (EU) No 575/2013
For IRB institutions, the excess amount of provisions (to expected losses) eligible for inclusion in Tier 2 capital is capped at 0.6 % of risk-weighted exposure amounts calculated with the IRB Approach, in accordance with Article 62, point (d), of Regulation (EU) No 575/2013.
The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 0.6 %) which is the base for calculating the cap.




0170


6 Total gross provisions eligible for inclusion in T2 capital

Article 62, point (c), of Regulation (EU) No 575/2013
This item includes the general credit risk adjustments that are eligible for inclusion in T2 capital, before cap.
The amount to be reported shall be gross of tax effects.




0180


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

Article 62, point (c), of Regulation (EU) No 575/2013
According to Article 62, point (c), of Regulation (EU) No 575/2013, the credit risk adjustments eligible for inclusion in Tier 2 capital is capped at 1.25 % of risk-weighted exposure amounts.
The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 1.25 %) which is the base for calculating the cap.




0190


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

Article 46(1), point (a), of Regulation (EU) No 575/2013
This item contains the threshold up to which holdings in a financial sector entity where an institution does not have a significant investment are not deducted. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.




0200


9 10 % CET1 threshold

Article 48(1), points (a) and (b), of Regulation (EU) No 575/2013
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 %.




0210


10 17,65 % CET1 threshold

Article 48(1) of Regulation (EU) No 575/2013
This item contains the 17.65 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences, to be applied after the 10 % threshold.
The threshold is to be calculated in such a way that the amount of the two items that is recognised does not exceed 15 % of the final Common Equity Tier 1 capital, i.e. the CET1 capital calculated after all deductions, not including any adjustment due to transitional provisions.




0225


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

Article 4(1), point (71), point (a), of Regulation (EU) No 575/2013




0230


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

Articles 44, 45, 46 and 49 of Regulation (EU) No 575/2013




0240


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

Articles 44, 45, 46 and 49 of Regulation (EU) No 575/2013




0250


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

Articles 44, 46 and 49 of Regulation (EU) No 575/2013
Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, excluding:






a)


Underwriting positions held for 5 working days or fewer;










b)


The amounts relating to the investments for which any alternative in Article 49 is applied; and










c)


Holdings which are treated as reciprocal cross holdings in accordance with Article 36(1), point (g), of Regulation (EU) No 575/2013








0260


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

Article 45 of Regulation (EU) No 575/2013
Article 45, point (a), of Regulation (EU) No 575/2013 allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.




0270


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

Article 4(1), point (114), and Articles 44 and 45 of Regulation (EU) No 575/2013




0280


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

Article 4(1), point (114), and Articles 44 and 45 of Regulation (EU) No 575/2013
The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.
Holdings which are treated as reciprocal cross holdings in accordance with Article 36(1), point (g), of Regulation (EU) No 575/2013 shall not be included




0290


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

Article 4(1), point (114), and Article 45 of Regulation (EU) No 575/2013
Article 45, point (a), of Regulation (EU) No 575/2013 allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.




0291


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

Article 4(1), point (126), and Articles 44 and 45 of Regulation (EU) No 575/2013




0292


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

Article 4(1), point (126), and Articles 44 and 45 of Regulation (EU) No 575/2013




0293


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

Article 4(1), point (126), and Article 45 of Regulation (EU) No 575/2013.
Article 45, point (a), of Regulation (EU) No 575/2013 allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.




0300


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

Articles 58, 59 and 60 of Regulation (EU) No 575/2013




0310


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

Articles 58, 59 and Article 60(2) of Regulation (EU) No 575/2013




0320


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

Article 58 and Article 60(2) of Regulation (EU) No 575/2013
Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, excluding:






a)


Underwriting positions held for 5 working days or fewer; and










b)


Holdings which are treated as reciprocal cross holdings in accordance with Article 56, point (b), of Regulation (EU) No 575/2013








0330


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

Article 59 of Regulation (EU) No 575/2013
Article 59, point (a), of Regulation (EU) No 575/2013 allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.




0340


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

Article 4(1), point (114), and Articles 58 and 59 of Regulation (EU) No 575/2013




0350


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

Article 4(1), point (114), and Articles 58 and 59 of Regulation (EU) No 575/2013
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 Regulation (EU) No 575/2013 shall not be included.




0360


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

Article 4(1), point (114), and Article 59 of Regulation (EU) No 575/2013
Article 59, point (a), of Regulation (EU) No 575/2013 allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.




0361


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

Article 4(1), point (126), and Articles 58 and 59 of Regulation (EU) No 575/2013




0362


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

Article 4(1), point (126), and Articles 58 and 59 of Regulation (EU) No 575/2013




0363


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

Article 4(1), point (126), and Article 59 of Regulation (EU) No 575/2013.
Article 59, point (a), of Regulation (EU) No 575/2013 allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.




0370


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

Articles 68, 69 and 70 of Regulation (EU) No 575/2013




0380


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

Articles 68 and 69 and Article 70(2) of Regulation (EU) No 575/2013




0390


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

Article 68 and Article 70(2) of Regulation (EU) No 575/2013
Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment, excluding:






a)


Underwriting positions held for 5 working days or fewer; and










b)


Holdings which are treated as reciprocal cross holdings in accordance with Article 66, point (b), of Regulation (EU) No 575/2013








0400


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

Article 69 of Regulation (EU) No 575/2013
Article 69, point (a), of Regulation (EU) No 575/2013 allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.




0410


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

Article 4(1), point (114), and Articles 68 and 69 of Regulation (EU) No 575/2013




0420


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

Article 4(1), point (114), and Articles 68 and 69 of Regulation (EU) No 575/2013
The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.
Holdings which are treated as reciprocal cross holdings in accordance with Article 66, point (b), of Regulation (EU) No 575/2013 shall not be included




0430


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

Article 4(1), point (114), and Article 69 of Regulation (EU) No 575/2013
Article 69, point (a), of Regulation (EU) No 575/2013 allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.




0431


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

Article 4(1), point (126), and Articles 68 and 69 of Regulation (EU) No 575/2013




0432


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

Article 4(1), point (126), and Articles 68 and 69 of Regulation (EU) No 575/2013




0433


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

Article 4(1), point (126), and Article 69 of Regulation (EU) No 575/2013.
Article 69, point (a), of Regulation (EU) No 575/2013 allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.




0440


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

Articles 44, 45, 47 and 49 of Regulation (EU) No 575/2013




0450


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

Articles 44, 45, 47 and 49 of Regulation (EU) No 575/2013




0460


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

Articles 44, 45, 47 and 49 of Regulation (EU) No 575/2013
Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment, excluding:






a)


Underwriting positions held for 5 working days or fewer;










b)


The amounts relating to the investments for which any alternative in Article 49 is applied; and










c)


Holdings which are treated as reciprocal cross holdings in accordance with Article 36(1), point (g), of Regulation (EU) No 575/2013








0470


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

Article 45 of Regulation (EU) No 575/2013
Article 45, point (a), of Regulation (EU) No 575/2013 allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.




0480


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

Article 4(1), point (114), and Articles 44 and 45 of Regulation (EU) No 575/2013




0490


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

Article 4(1), point (114), and Articles 44 and 45 of Regulation (EU) No 575/2013
The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.
Holdings which are treated as reciprocal cross holdings in accordance with Article 36(1), point (g), of Regulation (EU) No 575/2013 shall not be included.




0500


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

Article 4(1), point (114), and Article 45 of Regulation (EU) No 575/2013
Article 45, point (a), of Regulation (EU) No 575/2013 allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.




0501


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

Article 4(1), point (126), and Articles 44 and 45 of Regulation (EU) No 575/2013




0502


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

Article 4(1), point (126), and Articles 44 and 45 of Regulation (EU) No 575/2013




0503


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

Article 4(1), point (126), and Article 45 of Regulation (EU) No 575/2013.
Article 45, point (a), of Regulation (EU) No 575/2013 allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.




0504



Investments in CET1 capital of financial sector entities where the institution has a significant investment - subject to a risk weight of 250 %

Article 48(4) of Regulation (EU) No 575/2013
The amount of significant investments in CET1 capital of financial sector entities that are not deducted pursuant to Article 48(1) of Regulation (EU) No 575/2013, but subject to a risk weight of 250 % in accordance with Article 48(4) of that Regulation.
The amount reported shall be the amount of significant investments before the application of the risk weight.




0510


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

Articles 58 and 59 of Regulation (EU) No 575/2013




0520


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

Articles 58 and 59 of Regulation (EU) No 575/2013




0530


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

Article 58 of Regulation (EU) No 575/2013
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), of Regulation (EU) No 575/2013); and










b)


Holdings which are treated as reciprocal cross holdings in accordance with Article 56, point (b), of Regulation (EU) No 575/2013.








0540


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

Article 59 of Regulation (EU) No 575/2013
Article 59, point (a), of Regulation (EU) No 575/2013 allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.




0550


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

Article 4(1), point (114), and Articles 58 and 59 of Regulation (EU) No 575/2013




0560


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

Article 4(1), point (114), and Articles 58 and 59 of Regulation (EU) No 575/2013
The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.
Holdings which are treated as reciprocal cross holdings in accordance with Article 56, point (b), of Regulation (EU) No 575/2013 shall not be included.




0570


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

Article 4(1), point (114), and Article 59 of Regulation (EU) No 575/2013
Article 59, point (a), of Regulation (EU) No 575/2013 allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.




0571


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

Article 4(1), point (126), and Articles 58 and 59 of Regulation (EU) No 575/2013




0572


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

Article 4(1), point (126), and Articles 58 and 59 of Regulation (EU) No 575/2013




0573


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

Article 4(1), point (126), and Article 59 of Regulation (EU) No 575/2013.
Article 59, point (a)of Regulation (EU) No 575/2013 allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.




0580


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

Articles 68 and 69 of Regulation (EU) No 575/2013




0590


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

Articles 68 and 69 of Regulation (EU) No 575/2013




0600


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

Article 68 of Regulation (EU) No 575/2013
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), of Regulation (EU) No 575/2013); and










b)


Holdings which are treated as reciprocal cross holdings in accordance with Article 66, point (b), of Regulation (EU) No 575/2013








0610


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

Article 69 of Regulation (EU) No 575/2013
Article 69, point (a), of Regulation (EU) No 575/2013 allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.




0620


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

Article 4(1), point (114), and Articles 68 and 69 of Regulation (EU) No 575/2013




0630


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

Article 4(1), point (114), and Articles 68 and 69 of Regulation (EU) No 575/2013
The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.
Holdings which are treated as reciprocal cross holdings in accordance with Article 66, point (b), of Regulation (EU) No 575/2013 shall not be included




0640


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

Article 4(1), point (114), and Article 69 of Regulation (EU) No 575/2013
Article 69, point (a), of Regulation (EU) No 575/2013 allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.




0641


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

Article 4(1), point (126), and Articles 68 and 69 of Regulation (EU) No 575/2013




0642


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

Article 4(1), point (126), and Articles 68 and 69 of Regulation (EU) No 575/2013




0643


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

Article 4(1), point (126), and Article 69 of Regulation (EU) No 575/2013.
Article 69, point (a), of Regulation (EU) No 575/2013 allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.




0650


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

Articles 46(4), 48(4) and 49(4) of Regulation (EU) No 575/2013




0660


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

Article 60(4) of Regulation (EU) No 575/2013




0670


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

Article 70(4) of Regulation (EU) No 575/2013




0680


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

Article 79 of Regulation (EU) No 575/2013
A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, where it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.
Note that those instruments shall also be reported on item 12.1.




0690


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

Article 79 of Regulation (EU) No 575/2013
A competent authority may waive the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.
Note that those instruments shall also be reported on item 15.1.




0700


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

Article 79 of Regulation (EU) No 575/2013
A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.
Note that these instruments shall also be reported on item 13.1.




0710


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

Article 79 of Regulation (EU) No 575/2013
A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.
Note that these instruments shall also be reported on item 16.1.




0720


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

Article 79 of Regulation (EU) No 575/2013
A competent authority may waive the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.
Note that those instruments shall also be reported on item 14.1.




0730


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

Article 79 of Regulation (EU) No 575/2013
A competent authority may waive the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.
Note that those instruments shall also be reported on item 17.1.




0740


27 Combined buffer requirement

Article 128, point (6) of Directive 2013/36/EU




0750



Capital conservation buffer

Article 128, point (1) and Article 129 of Directive 2013/36/EU
In accordance with Article 129(1) of Directive 2013/36/EU, the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2.5 % is stable, an amount shall be reported in this row.




0760



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

Article 458(2), point (d)(iv) of Regulation (EU) No 575/2013
In this row, the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested in accordance with Article 458 of Regulation (EU) No 575/2013 in addition to the capital conservation buffer, shall be reported.
The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.




0770



Institution specific countercyclical capital buffer

Article 128, point (2) and Articles 130, 135 to 140 of Directive 2013/36/EU
The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.




0780



Systemic risk buffer

Article 128, point (5), Articles 133 and 134 of Directive 2013/36/EU
The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.




0800



Global Systemically Important Institution buffer

Article 128, point (3) and Article 131 of Directive 2013/36/EU
The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.




0810



Other Systemically Important Institution buffer

Article 128, point (4) and Article 131 of Directive 2013/36/EU
The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.




0820


28 Own funds requirements related to Pillar II adjustments

Article 104a(1) of Directive 2013/36/EU.
If a competent authority decides that an institution has to calculate additional own funds requirements for Pillar II reasons, those additional own funds requirements shall be reported in this row.




0830


29 Initial capital

Articles 12 and 28 to 31 of Directive 2013/36/EU and Article 93 of Regulation (EU) No 575/2013




0840


30 Own funds based on Fixed Overheads

Article 95(2), point b, Article 96(2), point (b), Article 97 and Article 98(1), point (a), of Regulation (EU) No 575/2013
The amount reported shall be the own funds requirement resulting from the application of the abovementioned Articles.




0850


31 Non-domestic original exposures

Information necessary to calculate the threshold for reporting of the CR GB template in accordance with Article 5(5) of this Implementing Regulation. The calculation of the threshold shall be done at the basis of the original exposure pre-conversion factor.
Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.
By derogation from Article 21(1), point (a), of this Implementing Regulation, this row shall always be filled in.




0860


32 Total original exposures

Information necessary to calculate the threshold for reporting of the CR GB template in accordance with Article 5(5) of this Implementing Regulation. The calculation of the threshold shall be done at the basis of the original exposure pre-conversion factor
Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.
By derogation from Article 21(1), point (a), of this Implementing Regulation, this row shall always be filled in.




1.6.   TRANSITIONAL PROVISIONS and GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA5)
1.6.1.   General remarks








16.


CA5 summarises the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491, 494a and 494b of Regulation (EU) No 575/2013.












17.


CA5 is structured as follows:






(a)


Template CA5.1 summarises the total adjustments which need to be made to the different components of own funds (reported in CA1 in accordance with the final provisions) as a consequence of the application of the transitional provisions. The elements of this template are presented as “adjustments” to the different capital components in CA1, in order to reflect in own funds components the effects of the transitional provisions.










(b)


Template 5.2 provides further details on the calculation of those grandfathered instruments which do not constitute state aid.
















18.


Institutions shall report in the first four columns the adjustments to Common Equity Tier 1 capital, Additional Tier 1 capital and Tier 2 capital as well as the amount to be treated as risk weighted assets. Institutions are also required to report the applicable percentage in column 0050 and the eligible amount without the recognition of transitional provisions in column 0060.












19.


Institutions shall only report elements in CA5 during the period where transitional provisions laid down in Part Ten Regulation (EU) No 575/2013 apply.












20.


Some of the transitional provisions require a deduction from Tier 1. If this is the case the residual amount of a deduction or deductions is applied to Tier 1 and there is insufficient AT1 to absorb this amount then the excess shall be deducted from CET1.




1.6.2.   C 05.01 - Transitional provisions (CA5.1)








21.


Institutions shall report in CA5.1 template the transitional provisions to own funds components as laid down in Articles 465 to 491, 494a and 494b of Regulation (EU) No 575/2013, compared to applying the final provisions laid down in Part Two, Title II of that Regulation (EU) No 575/2013.












22.


Institutions shall report in rows 0060 to 0065 information about the transitional provisions of grandfathered instruments. The figures to be reported in row 0060 of CA5.1 reflect the transitional provisions included in the of Regulation (EU) No 575/2013 in the version applicable until 26 June 2019 and can be derived from the respective sections of CA5.2. Rows 0061 to 0065 capture the effect of the transitional provisions of Articles 494a and 494b of Regulation (EU) No 575/2013.












23.


Institutions shall report in rows 0070 to 0092 information about the transitional provisions of minority interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 of Regulation (EU) No 575/2013).












24.


In rows 0100 onwards institutions shall report information about the effect of the transitional provisions regarding unrealised gains and losses, deductions, additional filters and deductions and IFRS 9.












25.


There might be cases where the transitional deductions of CET1, AT1 or T2 capital exceed the CET1, AT1 or T2 capital of an institution. That effect – if it results from transitional provisions – shall be shown in the CA1 template using the respective cells. As a consequence, the adjustments in the columns of the CA5 template shall not include any spill-over effects in the case of insufficient capital available.




1.6.2.1.   Instructions concerning specific positions






Columns




0010



Adjustments to CET1





0020



Adjustments to AT1





0030



Adjustments to T2





0040



Adjustments included in RWAs

Column 0040 includes the relevant amounts adjusting the total risk exposure amount of Article 92(3) of Regulation (EU) No 575/2013 due to transitional provisions. The amounts reported shall consider the application of provisions of Part Three, Title II, Chapter 2 or 3 or of Part Three, Title IV in accordance with Article 92(4) of Regulation (EU) No 575/2013. That means that transitional amounts subject to Part Three, Title II, Chapter 2 or 3 shall be reported as risk weighted exposure amounts, whereas transitional amounts subject to Part Three, Title IV shall represent the own funds requirements multiplied by 12,5.
Whereas columns 0010 to 0030 have a direct link to the CA1 template, the adjustments to the total risk exposure amount do not have a direct link to the relevant templates for credit risk. If there are adjustments stemming from the transitional provisions to the total risk exposure amount, those adjustments shall be included directly in the CR SA, CR IRB, CR EQU IRB, MKR SA TDI, MKR SA EQU or MKR IM. Additionally, those effects shall be reported in column 0040 of CA5.1. As a consequence, those amounts shall be memorandum items only.




0050



Applicable percentage





0060



Eligible amount without transitional provisions

This column includes the amount of each instrument prior the application of transitional provisions, i.e. the basis amount relevant to calculate the adjustments.













Rows




0010


1. Total adjustments

This row reflects the overall effect of transitional adjustments in the different types of capital, plus the risk weighted amounts arising from those adjustments




0020


1.1 Grandfathered instruments

Articles 483 to 491 of Regulation (EU) No 575/2013
This row reflects the overall effect of instruments transitionally grandfathered in the different types of capital.




0060


1.1.2 Instruments not constituting state aid

The amounts to be reported shall be obtained from column 060 of CA5.2 template




0061


1.1.3 Instruments issued through special purpose vehicles

Article 494a of Regulation (EU) No 575/2013




0062


1.1.4 Instruments issued before 27 June 2019 that do not meet the eligibility criteria related to write-down and conversion powers pursuant to Article 59 of Directive 2014/59/EU or are subject to set-off or netting arrangements

Article 494b of Regulation (EU) No 575/2013
Institutions shall report the amount of instruments within the scope of Article 494b of Regulation (EU) No 575/2013 that do not meet one or several eligibility criteria of Article 52(1), points (p), (q) and (r), of that Regulation or Article 63 points (n), (o) and (p), of that Regulation, as applicable.
In case of Tier 2 instruments eligible in accordance with Article 494b(2) of Regulation (EU) No 575/2013, the amortisation provisions of Article 64 of that Regulation shall be observed.




0063


1.1.4.1* of which: Instruments without legally or contractually mandatory write-down or conversion upon exercise of powers in accordance with Article 59 of Directive 2014/59/EU

Article 494b, Article 52(1), point (p) and Article 63, point (n), of Regulation (EU) No 575/2013
Institutions shall report the amount of instruments within the scope of Article 494b of Regulation (EU) No 575/2013 that do not meet the eligibility criteria of Article 52(1), point (p) or point (n), of Article 63 of that Regulation, as applicable.
This shall also include instruments that additionally do not meet the eligibility criteria of Article 52(1), points (q) or (r), of Regulation (EU) No 575/2013 or Article 63, points (o) or (p), of that Regulation , as applicable.




0064


1.1.4.2* of which: Instruments governed by third-country law without effective and enforceable exercise of powers in accordance with Article 59 of Directive 2014/59/EU

Article 494b, Article 52(1), point (q) and Article 63, point (o), of Regulation (EU) No 575/2013
Institutions shall report the amount of instruments within the scope of Article 494b of Regulation (EU) No 575/2013 that do not meet the eligibility criteria of Article 52(1), point (q) or Article 63, point (o), of that Regulation, as applicable.
This shall include also instruments that additionally do not meet the eligibility criteria of Article 52(1), points (p) or (r), of Regulation (EU) No 575/2013 or Article 63, points (n) or (p), of that Regulation , as applicable.




0065


1.1.4.3* of which: Instruments subject to set-off or netting arrangements

Article 494b, Article 52(1), point (r) and Article 63, point (p), of Regulation (EU) No 575/2013
Institutions shall report the amount of instruments within the scope of Article 494b of Regulation (EU) No 575/2013 that do not meet the eligibility criteria of Article 52(1), point (r), of that Regulation or Article 63, point (p), of the Regulation, as applicable.
This shall also include instruments that additionally do not meet the eligibility criteria of Article 52(1), point (p) or (q) of Regulation (EU) No 575/2013 or Article 63, points (n) or (o), of that Regulation, as applicable.




0070


1.2 Minority interests and equivalents

Articles 479 and 480 of Regulation (EU) No 575/2013
This row reflects the effects of transitional provisions in the minority interests eligible as CET1; the qualifying T1 instruments eligible as consolidated AT1; and the qualifying own funds eligible as consolidated T2.




0080


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

Articles 479 of Regulation (EU) No 575/2013
The amount to be reported in column 060 of this row shall be the amount qualifying as consolidated reserves in accordance with prior regulation.




0090


1.2.2 Transitional recognition in consolidated own funds of minority interests

Articles 84 and 480 of Regulation (EU) No 575/2013
The amount to be reported in column 0060 of this row shall be the eligible amount without transitional provisions.




0091


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

Articles 85 and 480 of Regulation (EU) No 575/2013
The amount to be reported in column 0060 of this row shall be the eligible amount without transitional provisions.




0092


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

Articles 87 and 480 of Regulation (EU) No 575/2013
The amount to be reported in column 0060 of this row shall be the eligible amount without transitional provisions.




0100


1.3 Other transitional adjustments

Articles 468 to 478 and Article 481 of Regulation (EU) No 575/2013
This row reflects the overall effect of transitional adjustments in the deduction to different types of capital, unrealised gains and losses, additional filters and deductions plus the risk weighted amounts arising from these adjustments.




0111


1.3.1.6 Unrealised gains and losses from certain debt exposures to central governments, regional governments, local authorities and PSEs

Article 468 of Regulation (EU) No 575/2013




0112


1.3.1.6.1 of which: amount A

The amount A, as calculated in accordance with the formula referred to in Article 468(1) of Regulation (EU) No 575/2013




0140


1.3.2 Deductions

Article 36(1) and Articles 469 to 478 of Regulation (EU) No 575/2013
This row reflects the overall effect of transitional provisions on deductions.




0170


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

Article 36(1), point (c), Articles 469(1) and 472(5) and Article 478 of Regulation (EU) No 575/2013
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 Regulation (EU) No 575/2013 relating to the reduction of DTA by deferred tax liabilities.
The amount to be reported in column 0060 of this row: Total amount in accordance with Article 469(1) of Regulation (EU) No 575/2013.




0380


1.3.2.9 Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment

Article 470, paragraphs 2 and 3 of Regulation (EU) No 575/2013
The amount to be reported in column 0060 of this row: Article 470(1) of Regulation (EU) No 575/2013




0385



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

Article 469(1), point (c) ,Article 472(5) and Article 478 of Regulation (EU) No 575/2013
Part of deferred tax assets that rely in future profitability and arise from temporary differences which exceeds the 10 % threshold in Article 470(2), point (a), of Regulation (EU) No 575/2013.




0425


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

Article 471 of Regulation (EU) No 575/2013




0430


1.3.3 Additional filters and deductions

Article 481 of Regulation (EU) No 575/2013
This row reflects the overall effect of transitional provisions on additional filters and deductions.
In accordance with Article 481 of Regulation (EU) No 575/2013, institutions shall report in item 1.3.3 information relating to the filters and deductions required under the national transposition measures for Articles 57 and 66 of Directive 2006/48/EC and for Articles 13 and 16 of Directive 2006/49/EC, and which are not required in accordance with Part Two.




0440


1.3.4 Adjustments due to IFRS 9 transitional arrangements

Article 473a of Regulation (EU) No 575/2013
Institutions shall report information in relation with the transitional arrangements due to IFRS 9 in accordance with the applicable legal provisions.




0441



Memorandum item: ECL impact of the static component

The sum of A2,SA and A2, IRB as referred to in Article 473a(1) of Regulation (EU) No 575/2013
In case of A2, IRB the amount reported is the amount net of expected lossess as required by Article 473a(5), point (a), of Regulation (EU) No 575/2013.




0442



Memorandum item: ECL impact of the dynamic component for the period 01/01/2018 – 31/12/2019

The sum of and as referred to in Article 473a(1) of Regulation (EU) No 575/2013




0443



Memorandum item: ECL impact of the dynamic component for the period starting on 01/01/2020

The sum of A4,SA and A4, IRB as referred to in Article 473a(1) of Regulation (EU) No 575/2013
In case of A4, IRB the amount reported is the amount net of expected losses as required by Article 473a (5), points (b) and (c), of Regulation (EU) No 575/2013.




1.6.3   C 05.02 - Grandfathered instruments: instruments not constituing state aid (CA5.2)








26.


Institutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting state aid (Articles 484 to 491 of Regulation (EU) No 575/2013).




1.6.3.1   Instructions concerning specific positions






Columns




0010



Amount of instruments plus related share premium

Article 484, paragraphs 3, 4 and 5 of Regulation (EU) No 575/2013
Instruments which are eligible for each respective row, including their related share premiums.




0020



Base for calculating the limit

Article 486, paragraphs 2, 3 and 4 of Regulation (EU) No 575/2013




0030



Applicable percentage

Article 486(5) of Regulation (EU) No 575/2013




0040



Limit

Article 486, paragraphs 2 to 5 of Regulation (EU) No 575/2013




0050



(-) Amount that exceeds the limits for grandfathering

Article 486(2) to (5) of Regulation (EU) No 575/2013




0060



Total grandfathered amount

The amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA5.1.













Rows




0010


1. Instruments that qualified for Article 57, point (a), of Directive 2006/48/EC

Article 484(3) of Regulation (EU) No 575/2013
The amount to be reported shall include the related share premium accounts.




0020


2. Instruments that qualified for Article 57, point (ca) and Article 154(8) and (9) of Directive 2006/48/EC, subject to the limit of Article 489 of Regulation (EU) No 575/2013

Article 484(4) of Regulation (EU) No 575/2013




0030


2.1 Total instruments without a call or an incentive to redeem

Article 484(4) and Article 489 of Regulation (EU) No 575/2013
The amount to be reported shall include the related share premium accounts.




0040


2.2 Grandfathered instruments with a call and incentive to redeem

Article 489 of Regulation (EU) No 575/2013




0050


2.2.1 Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of Regulation (EU) No 575/2013 after the date of effective maturity

Article 489(3) and Article 491, point (a), of Regulation (EU) No 575/2013
The amount to be reported shall include the related share premium accounts.




0060


2.2.2 Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 of Regulation (EU) No 575/2013 after the date of effective maturity

Article 489(5) and Article 491, point (a), of Regulation (EU) No 575/2013
The amount to be reported shall include the related share premium accounts.




0070


2.2.3 Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 of Regulation (EU) No 575/2013 after the date of effective maturity

Article 489(6) and Article 491, point (c), of Regulation (EU) No 575/2013
The amount to be reported shall include the related share premium accounts




0080


2.3 Excess on the limit of CET1 grandfathered instruments

Article 487(1) of Regulation (EU) No 575/2013
The excess on the limit of CET1 grandfathered instruments may be treated as instruments which can be grandfathered as AT1 instruments.




0090


3. Items that qualified for Article 57, points (e), (f), (g) or (h), of Directive 2006/48/EC, subject to the limit of Article 490 of Regulation (EU) No 575/2013

Article 484(5) of Regulation (EU) No 575/2013




0100


3.1 Total items without an incentive to redeem

Article 490 of Regulation (EU) No 575/2013




0110


3.2 Grandfathered items with an incentive to redeem

Article 490 of Regulation (EU) No 575/2013




0120


3.2.1 Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of Regulation (EU) No 575/2013 after the date of effective maturity

Article 490(3) and Article 491, point (a), of Regulation (EU) No 575/2013
The amount to be reported shall include the related share premium accounts.




0130


3.2.2 Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of Regulation (EU) No 575/2013 after the date of effective maturity

Article 490(5) and Article 491, point (a) of Regulation (EU) No 575/2013
The amount to be reported shall include the related share premium accounts.




0140


3.2.3 Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of Regulation (EU) No 575/2013 after the date of effective maturity

Article 490(6) and Article 491, point (c), of Regulation (EU) No 575/2013
The amount to be reported shall include the related share premium accounts.




0150


3.3 Excess on the limit of AT1 grandfathered instruments

Article 487(2) of Regulation (EU) No 575/2013
The excess on the limit of AT1 grandfathered instruments may be treated as instruments which can be grandfathered as T2 instruments.




2.   GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
2.1.   GENERAL REMARKS








27.


Templates C 06.01 and C 06.02 shall be reported if own funds requirements are calculated on a consolidated basis. Template C 06.02 consists of four parts in order to gather different information on all individual entities (including the reporting institution) included in the scope of consolidation.






(a)


Entities within the scope of consolidation;










(b)


Detailed group solvency information;










(c)


Information on the contribution of individual entities to group solvency;










(d)


Information on capital buffers;
















28.


Institutions that obtained a waiver in accordance with Article 7 of Regulation (EU) No 575/2013 shall only report the columns 0010 to 0060 and 0250 to 0400.












29.


The figures reported take into account all applicable transitional provisions of Regulation (EU) No 575/2013 which are applicable at the respective reporting date.




2.2.   DETAILED GROUP SOLVENCY INFORMATION








30.


The second part of template C 06.02 (detailed group solvency information) in columns 0070 to 0210 is designed to gather information on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for each risk category and the own funds for solvency purposes.












31.


In the case of proportional consolidation of participations, the figures related to own funds requirements and own funds shall reflect the respective proportional amounts.




2.3.   INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY








32.


The objective of the third part of template C 06.02 and template C 06.01 (information on the contributions of all entities within Regulation (EU) No 575/2013 scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 0250 to 0400, is to identify which entities within the group generate the risks and raise own funds from the market, based on data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared to each other.












33.


The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds.












34.


As this third part of the template refers to “contributions”, the figures to be reported herein shall defer, when applicable, from the figures reported in the columns referring to detailed group solvency information.












35.


The principle is to delete the cross-exposures within the same groups in a homogeneous way both in terms of risks or own funds, in order to cover the amounts reported in the group’s consolidated CA template by adding the amounts reported for each entity in “Group Solvency” template. A direct link to the CA template is not possible where the 1 % threshold is not exceeded.












36.


The institutions shall define the most appropriate breakdown method between the entities to take into account the possible diversification effects for market risk and operational risk.












37.


It is possible for one consolidated group to be included within another consolidated group. That means that the entities within a subgroup shall be reported entity-by-entity in the GS of the entire group, even if the sub-group itself is subject to reporting requirements. A subgroup that is subject to reporting requirements shall also report the GS template on an entity-by-entity basis, although those details are included in the GS template of a higher consolidated group.












38.


An institution shall report data of the contribution of an entity when its contribution to the total risk exposure amount exceeds 1 % of the total risk exposure amount of the group or when its contribution to the total own funds exceeds 1 % of the total own funds of the group. That threshold does not apply in the case of subsidiaries or subgroups that provide own funds (in the form of minority interests or qualifying AT1 or T2 instruments included in own funds) to the group.




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






Columns


Instructions




0250-0400



ENTITIES WITHIN SCOPE OF CONSOLIDATION

See instructions for C 06.02




0410-0480



CAPITAL BUFFERS

See instructions for C 06.02













Rows


Instructions




0010



TOTAL

The Total shall represent the sum of the values reported in all rows of template C 06.02.




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






Columns


Instructions




0011-0060



ENTITIES WITHIN SCOPE OF CONSOLIDATION

This template is designed to gather information on all entities on an entity-by-entity-basis within the scope of consolidation in accordance with Part One, Title II, Chapter 2 of Regulation (EU) No 575/2013.




0011



NAME

Name of the entity within the scope of consolidation.




0021



CODE

The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.




0026



TYPE OF CODE

The institutions shall identify the type of code reported in column 0021 as a “LEI code” or “Non-LEI code”. The type of code shall always be reported.




0027



NATIONAL CODE

Institutions may additionally report the national code when they report LEI code as identifier in the “Code” column.




0030



INSTITUTION OR EQUIVALENT (YES / NO)

“YES” shall be reported where the entity is subject to own funds requirements pursuant to Regulation (EU) No 575/2013 and Directive 2013/36/EU or provisions at least equivalent to Basel provisions.
“NO” shall be reported otherwise.




Minority interests:
Article 81(1), point (a)(ii) and Article 82(1), point (a)(ii) of Regulation (EU) No 575/2013
To the effects of minority interests and AT1 and T2 instruments issued by subsidiaries, the subsidiaries whose instruments can be eligible shall be institutions or undertakings subject to the requirements of Regulation (EU) No 575/2013 by virtue of applicable national law.




0035



TYPE OF ENTITY

The type of entity shall be reported based on the following categories:






(a)


credit institution
Article 4(1), point (1), of Regulation (EU) No 575/2013;










(b)


investment firm
Article 4(1), point (2), of Regulation (EU) No 575/2013;










(c)


financial institution (other)
Article 4(1), points (20), (21) and (26), of Regulation (EU) No 575/2013
Financial institutions within the meaning of Article 4(1), point (26), of Regulation (EU) No 575/2013 which are not included in any of the categories (d), (f) or (g);










(d)


(mixed) financial holding company
Article 4(1), points (20) and (21), of Regulation (EU) No 575/2013;










(e)


ancillary services undertaking
Article 4(1), point (18), of Regulation (EU) No 575/2013;










(f)


securitisation special purpose entity (SSPE),
Article 4(1), point (66), of Regulation (EU) No 575/2013;










(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 Regulation (EU) No 575/2013 and Directive 2013/36/EU, but subject to provisions at least equivalent to Basel provisions, the relevant category shall be determined on a best effort basis.




0040



SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP)

“SF” shall be reported for individual subsidiaries fully consolidated.
“SP” shall be reported for individual subsidiaries partially consolidated.




0050



COUNTRY CODE

Institutions shall report the two-letter country code referred to in ISO 3166-2.




0060



SHARE OF HOLDING (%)

This percentage refers to the actual share of capital the parent undertaking holds in subsidiaries. In case of full consolidation of a direct subsidiary, the actual share is e.g. 70 %. In accordance with Article 4(1), point (16), of Regulation (EU) No 575/2013, the share of holding of a subsidiary to be reported results from a multiplication of the shares between the subsidiaries concerned.




0070-0240



INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT

The section of detailed information (i.e. columns 0070 to 0240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Part One, Title II, Chapter 2 of Regulation (EU) No 575/2013), are effectively subject to solvency requirements laid down in Regulation (EU) No 575/2013 or provisions at least equivalent to Basel provisions (i.e, reported yes in column 0030).
Information shall be included about all individual institutions of a consolidated group that are subject to own funds requirements, regardless where they are located.
The information reported in this part shall reflect the local solvency rules of the jurisdiction in which the institution is operating (therefore, for this template, it is not necessary to do a double calculation on an individual basis on the basis of the parent institution’s rules). When local solvency rules differ from Regulation (EU) No 575/2013 and a comparable breakdown is not given, the information shall be completed where data are available in the respective granularity. Therefore, this part is a factual template that summarises the calculations that the individual institutions of a group shall carry out, bearing in mind that some of those institutions may be subject to different solvency rules.

Reporting of fixed overheads of investment firms:

Investment firms shall include own funds requirements related to fixed overheads in their calculation of capital ratio pursuant to Articles 95, 96, 97 and 98 of Regulation (EU) No 575/2013.
The part of the total risk exposure amount related to fixed overheads shall be reported in column 0100 of this template.




0070



TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 0080 to 0110 shall be reported.




0080



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

The amount to be reported in this column shall correspond to the sum of risk weighted exposure amounts that are equal or equivalent to the ones that must be reported in row 0040 “RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES” and the amounts of own funds requirements that are equal or equivalent to the ones that must be reported in row 0490 “TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS” of template CA2.




0090



POSITION, FX AND COMMODITY RISKS

The amount to be reported in this column shall correspond to the amount of own funds requirements that are equal or equivalent to the ones that must be reported in row 0520 “TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS” of template CA2.




0100



OPERATIONAL RISK

The amount to be reported in this column shall correspond to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 0590 “TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR)” of the template CA2.
Fixed overheads shall be included in this column including the row 0630 “ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS” of template CA2.




0110



OTHER RISK EXPOSURE AMOUNTS

The amount to be reported in this column shall correspond to the risk exposure amount not especially listed above. It shall be the sum of the amounts of rows 0640, 0680 and 0690 of template CA2.




0120-0240



DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS

The information reported in the following columns shall reflect the local solvency rules of the Member State in which the entity or subgroup is operating.




0120



OWN FUNDS

The amount to be reported in this column corresponds to the amount of own funds that are equal or equivalent to the ones that must be reported in row 0010 “OWN FUNDS” of the template CA1.




0130



OF WHICH: QUALIFYING OWN FUNDS

Article 82 of Regulation (EU) No 575/2013
This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated and that are institutions.
Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings, share premium accounts and other reserves) owned by persons other than the undertakings and included in the of Regulation (EU) No 575/2013 consolidation.
The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting.




0140



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

Article 87(1), point (b), of Regulation (EU) No 575/2013




0150



TOTAL TIER 1 CAPITAL

Article 25 of Regulation (EU) No 575/2013




0160



OF WHICH: QUALIFYING TIER 1 CAPITAL

Article 82 of Regulation (EU) No 575/2013
This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated and that are institutions.
Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the Regulation (EU) No 575/2013 consolidation.
The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.




0170



RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

of Article 85(1), point (b), of Regulation (EU) No 575/2013




0180



COMMON EQUITY TIER 1 CAPITAL

Article 50 of Regulation (EU) No 575/2013




0190



OF WHICH: MINORITY INTERESTS

Article 81 of Regulation (EU) No 575/2013
This column shall only be reported for subsidiaries that are fully consolidated and that are institutions, except for the subsidiaries referred to in Article 84(3) of Regulation (EU) No 575/2013. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required by Article 84 of Regulation (EU) No 575/2013, where relevant, in accordance with Article 84(2), otherwise on a solo basis.
Minority interests are, for the subsidiaries specified above, the CET1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the Regulation (EU) No 575/2013 consolidation.
The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting.




0200



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

Article 84(1), point (b), of Regulation (EU) No 575/2013




0210



ADDITIONAL TIER 1 CAPITAL

Article 61 of Regulation (EU) No 575/2013




0220



OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

Articles 82 and 83 of Regulation (EU) No 575/2013
This column shall only be provided for the subsidiaries that are fully consolidated and that are institutions, except for the subsidiaries referred to in Article 85(2) of Regulation (EU) No 575/2013. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required in Article 85 of Regulation (EU) No 575/2013, where relevant, in accordance with Article 85(2), otherwise on a solo basis.
Minority interests are, for the subsidiaries specified above, the AT1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the Regulation (EU) No 575/2013 consolidation.
The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting.




0230



TIER 2 CAPITAL

Article 71 of Regulation (EU) No 575/2013




0240



OF WHICH: QUALIFYING TIER 2 CAPITAL

Articles 82 and 83 of Regulation (EU) No 575/2013
This column shall only be provided for the subsidiaries that are fully consolidated and that are institutions, except for subsidiaries referred to in Article 87(2) of Regulation (EU) No 575/2013. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in Article 87 of Regulation (EU) No 575/2013, if relevant, in accordance with Article 87(2) of that Regulation , otherwise on a solo basis.
Minority interests are, for the subsidiaries specified above, the T2 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the Regulation (EU) No 575/2013 consolidation.
The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the reference date.




0250-0400



INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP





0250-0290



CONTRIBUTION TO RISKS

The information reported in the following columns shall be in accordance with the solvency rules applicable to the reporting institution.




0250



TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 0260 to 0290 shall be reported.




0260



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

The amount to be reported shall be the risk weighted exposure amounts for credit risk and own funds requirements of settlement/delivery risk in accordance with Regulation (EU) No 575/2013, excluding any amount related to transactions with other entities included in the group consolidated solvency ratio computation.




0270



POSITION, FX AND COMMODITY RISKS

Risk exposure amounts for market risks are to be computed at each entity level in accordance with Regulation (EU) No 575/2013. Entities shall report the contribution to the total risk exposure amounts for position, FX and commodity risk of the group. The sum of amounts reported here shall correspond to the amount reported in row 0520 “TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS” of the consolidated report.




0280



OPERATIONAL RISK

In case of AMA, the reported risk exposure amounts for operational risk shall include the effect of diversification.
Fixed overheads shall be included in this column.




0290



OTHER RISK EXPOSURE AMOUNTS

The amount to be reported in this column shall correspond to the risk exposure amount for risks other than listed above.




0300-0400



CONTRIBUTION TO OWN FUNDS

This part of the template is not intended to impose on institutions a full computation of the total capital ratio at the level of each entity.
Columns 0300 to 0350 shall be reported for those consolidated entities which contribute to own funds by minority interest, qualifying Tier 1 capital or qualifying own funds. Subject to the threshold referred to in the last paragraph of chapter 2.3 of Part II above, columns 0360 to 0400 shall be reported for all consolidated entities which contribute to the consolidated own funds.
Own funds brought to an entity by the rest of entities included within the scope of the reporting entity shall not to be taken into account, only the net contribution to the group own funds shall be reported in this column (mainly the own funds raised from third parties and accumulated reserves).
The information reported in the following columns shall be in accordance with the solvency rules applicable to the reporting institution.




0300-0350



QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

The amount to be reported as “QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS” shall be the amount as derived from Part Two, Title II of Regulation (EU) No 575/2013, excluding any fund brought in by other group entities.




0300



QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

Article 87 of Regulation (EU) No 575/2013




0310



QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

Article 85 of Regulation (EU) No 575/2013




0320



MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

Article 84 of Regulation (EU) No 575/2013
The amount to be reported shall the amount of minority interests of a subsidiary that is included in consolidated CET1 in accordance with the Regulation (EU) No 575/2013.




0330



QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

Article 86 of Regulation (EU) No 575/2013
The amount to be reported shall the amount of qualifying T1 capital of a subsidiary that is included in consolidated AT1 in accordance with the Regulation (EU) No 575/2013.




0340



QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

Article 88 of Regulation (EU) No 575/2013
The amount to be reported shall the amount of qualifying own funds of a subsidiary that is included in consolidated T2 in accordance with the Regulation (EU) No 575/2013.




0350



MEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL





0360-0400



CONSOLIDATED OWN FUNDS

Article 18 of Regulation (EU) No 575/2013
The amount to be reported as “CONSOLIDATED OWN FUNDS” shall be the amount as derived from the balance sheet, excluding any fund brought in by other group entities.




0360



CONSOLIDATED OWN FUNDS





0370



OF WHICH: COMMON EQUITY TIER 1





0380



OF WHICH: ADDITIONAL TIER 1





0390



OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

The contribution of each entity to the consolidated result (profit or loss (-)) shall be reported. That includes the results attributable to minority interests.




0400



OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL

Goodwill or negative goodwill of the reporting entity on the subsidiary shall be reported here.




0410-0480



CAPITAL BUFFERS

The structure of the reporting of capital buffers for the GS template shall follow the general structure of the template CA4, using the same reporting concepts. When reporting the capital buffers for the GS template, the relevant amounts shall be reported in accordance with the provisions applicable to determine the buffer requirement for the consolidated situation of a group. Therefore, the reported amounts of capital buffers shall represent the contributions of each entity to group capital buffers. The amounts reported shall be based on the national provisions transposing Directive 2013/36/EU and on Regulation (EU) No 575/2013, including any transitional provisions provided for therein.




0410



COMBINED BUFFER REQUIREMENT

Article 128, point (6) of Directive 2013/36/EU




0420



CAPITAL CONSERVATION BUFFER

Article 128, point (1) and Article 129 of Directive 2013/36/EU
In accordance with Article 129(1) of Directive 2013/36/EU, the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2.5 % is stable, an amount shall be reported in this cell.




0430



INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER

Article 128, point (2), Article 130 and Articles 135 to 140 of Directive 2013/36/EU
The concrete amount of the countercyclical buffer shall be reported in this cell.




0440



CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE

Article 458(2),point (d)(iv) of Regulation (EU) No 575/2013
The amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested in accordance with Article 458 of Regulation (EU) No 575/2013 in addition to the capital conservation buffer, shall be reported in this cell.




0450



SYSTEMIC RISK BUFFER

Article 128, point (5), Articles 133 and 134 of Directive 2013/36/EU
The amount of the systemic risk buffer shall be reported in this cell.




0470



GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Article 128, point (3) and Article 131 of Directive 2013/36/EU
The amount of the Global Systemically Important Institution buffer shall be reported in this cell.




0480



OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Article 128, point (4) and Article 131 of Directive 2013/36/EU
The amount of the Other Systemically Important Institution buffer shall be reported in this cell.




3.   CREDIT RISK TEMPLATES
3.1.   GENERAL REMARKS








39.


There are different sets of templates for the Standardised approach and the IRB approach for credit risk. Additionally, separate templates for the geographical breakdown of positions subject to credit risk shall be reported if the relevant threshold set out in Article 5(5) of this Implementing Regulation is exceeded.




3.1.1.   Reporting of CRM techniques with substitution effect








40.


Exposures to obligors (immediate counterparties) and guarantors which are assigned to the same exposure class shall be reported as an inflow as well as an outflow to the same exposure class.












41.


The exposure type shall not change because of unfunded credit protection.












42.


If an exposure is secured by an unfunded credit protection, the secured part shall be assigned as an outflow e.g. in the exposure class of the obligor and as an inflow in the exposure class of the guarantor. However, the type of the exposure shall not change due to the change of the exposure class.












43.


The substitution effect in the COREP reporting framework shall reflect the risk weighting treatment effectively applicable to the covered part of the exposure. As such, the covered part of the exposure shall be risk weighted in accordance with the Standardised approach and shall be reported in the CR SA template.




3.1.2.   Reporting of Counterparty Credit Risk








44.


Exposures stemming from Counterparty Credit Risk positions shall be reported in templates CR SA or CR IRB independent from whether they are Banking Book items or Trading Book items.




3.2.   C 07.00 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)
3.2.1.   General remarks








45.


The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk in accordance with the Standardised approach. In particular, they provide detailed information on:






a)


the distribution of the exposure values according to the different, exposure types, risk weights and exposure classes;










b)


the amount and type of credit risk mitigation techniques used for mitigating the risks.








3.2.2.   Scope of the CR SA template








46.


In accordance with Article 112 of Regulation (EU) No 575/2013 each SA exposure shall be assigned to one of the 16 SA exposure classes to calculate the own funds requirements.












47.


The information in CR SA is required for the total exposure classes and individually for each of the exposure classes under the Standardised approach. The total figures as well as the information of each exposure class are reported in a separate dimension.












48.


However the following positions are not within the scope of CR SA:






(a)


Exposures assigned to exposure class “items representing securitisation positions” as referred to in Article 112, point (m), of Regulation (EU) No 575/2013, which shall be reported in the CR SEC templates.










(b)


Exposures deducted from own funds.
















49.


The scope of the CR SA template shall cover the following own funds requirements:






(a)


Credit risk in accordance with Chapter 2 (Standardised approach) of Part Three, Title II of Regulation (EU) No 575/2013 in the banking book, among which Counterparty credit risk in accordance with Part Three, Title II, Chapters 4 and 6 of that Regulation in the banking book;










(b)


Counterparty credit risk in accordance with Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013 in the trading book;










(c)


Settlement risk arising from free deliveries in accordance with Article 379 of Regulation (EU) No 575/2013 in respect of all the business activities.
















50.


The template shall include all exposures for which the own funds requirements are calculated in accordance with Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013 in conjunction with Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013. Institutions that apply Article 94(1) of Regulation (EU) No 575/2013 also need to report their trading book positions referred to in Article 92(3), point (b), of that Regulation in this template when they apply Part Three, Title II, Chapter 2 of that Regulation to calculate the own funds requirements thereof (Part Three, Title II, Chapters 2 and 6 and Part Three, Title V of that Regulation). Therefore the template shall not only provide detailed information on the type of the exposure (e.g. on balance sheet/ off balance sheet items), but also information on the allocation of risk weights within the respective exposure class.












51.


In addition, CR SA includes memorandum items in rows 0290 to 0320 to collect further information about exposures secured by mortgages on immovable property and exposures in default.












52.


Those memorandum items shall only be reported for the following exposure classes:






(a)


Central governments or central banks (Article 112, point (a), of Regulation (EU) No 575/2013 of Regulation (EU) No 575/2013);










(b)


Regional governments or local authorities (Article 112, point (b), of Regulation (EU) No 575/2013);










(c)


Public sector entities (Article 112, point (c), of Regulation (EU) No 575/2013);










(d)


Institutions (Article 112, point (f), of Regulation (EU) No 575/2013);










(e)


Corporates (Article 112, point (g), of Regulation (EU) No 575/2013);










(f)


Retail (Article 112, point (h), of Regulation (EU) No 575/2013).
















53.


The reporting of the memorandum items shall affect neither the calculation of the risk weighted exposure amounts of the exposure classes referred to in Article 112, points (a) to (c) and (f) to (h), of Regulation (EU) No 575/2013 nor of the exposure classes referred to in Article 112, points (i) and (j), of that Regulation reported in template CR SA.












54.


The memorandum rows provide additional information about the obligor structure of the exposure classes “in default” or “secured by immovable property”. Exposures shall be reported in these rows where the obligors would have been reported in the exposure classes “Central governments or central banks”, “Regional governments or local authorities”, “Public sector entities”, “Institutions”, “Corporates” and “Retail” of CR SA, if those exposures were not assigned to the exposure classes “in default” or “secured by immovable property”. The figures reported, however, are the same as used to calculate the risk weighted exposure amounts in the exposure classes “in default” or “secured by immovable property”.












55.


E.g. if an exposure, the risk exposure amounts of which are calculated in accordance with Article 127 of Regulation (EU) No 575/2013and the value adjustments are less than 20 %, then that information shall be reported in CR SA, row 0320 in the total and in the exposure class “in default”. If this exposure, before it defaulted, was an exposure to an institution, then that information shall also be reported in row 0320 of exposure class “institutions”.




3.2.3.   Assignment of exposures to exposure classes under the Standardised approach








56.


In order to ensure a consistent categorisation of exposures into the different exposure classes referred to in Article 112 of Regulation (EU) No 575/2013 the following sequential approach shall be applied:






(a)


In a first step, the Original exposure pre-conversion factors shall be classified into the corresponding (original) exposure class referred to in Article 112 of Regulation (EU) No 575/2013, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.










(b)


In a second step the exposures may be redistributed to other exposure classes due to the application of credit risk mitigation (CRM) techniques with substitution effects on the exposure (e.g. guarantees, credit derivatives, financial collateral simple method) via inflows and outflows.
















57.


The following criteria shall apply to for the classification of the Original exposure pre-conversion factors into the different exposure classes (first step) without prejudice to the subsequent redistribution caused by the use of CRM techniques with substitution effects on the exposure or to the treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.












58.


For the purpose of classifying the original exposure pre-conversion factor in the first step, the CRM techniques associated to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class referred to in Article 112, point (i), of Regulation (EU) No 575/2013 (exposures secured by mortgages on immovable property).












59.


Article 112 of Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013) and exposures to institutions (Article 112, point (f), of Regulation (EU) No 575/2013)/ exposures to corporates ( Article 112, point (g), of Regulation (EU) No 575/2013). In that case, it is clear that there is an implicit prioritisation in that Regulation since it shall be assessed first if a certain exposure is fit for being assigned to Short-term exposures to institutions and corporates and only afterwards assessed if it fits for being assigned to exposures to institutions or exposures to corporates. Otherwise it is obvious that the exposure class referred to in Article 112, point (n), of Regulation (EU) No 575/2013 shall never be assigned an exposure. The example provided is one of the most obvious examples but is not the only one. It is worth noting that the criteria used for establishing the exposure classes under the Standardised approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is the underlying reason for non-disjoint groupings.












60.


For a homogeneous and comparable reporting it is necessary to specify prioritisation assessment criteria for the assignment of the Original exposure pre-conversion factor by exposure classes, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. The prioritisation criteria presented below, using a decision tree scheme, are based on the assessment of the conditions explicitly laid down in Regulation (EU) No 575/2013 for an exposure to fit in a certain exposure class and, if that is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. Therefore, the outcome of the exposure assignment process for reporting purposes shall be in line with Regulation (EU) No 575/2013 provisions. That does not prohibit institutions from applying other internal assignment procedures that may also be consistent with all relevant Regulation (EU) No 575/2013 provisions and its interpretations issued by the appropriate fora.












61.


An exposure class shall be given priority to others in the assessment ranking in the decision tree (i.e. it shall be first assessed if an exposure can be assigned to an exposure class, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. That will be the case where in the absence of prioritisation criteria one exposure class is a subset of others. Therefore, the criteria graphically depicted in the following decision tree would work on a sequential process.












62.


With this background the assessment ranking in the decision tree mentioned below shall follow the following order:






1.


Securitisation positions;










2.


Items associated with particular high risk;










3.


Equity exposures










4.


Exposures in default;










5.


Exposures in the form of units or shares in collective investment undertakings (“CIU”)/ Exposures in the form of covered bonds (disjoint exposure classes);










6.


Exposures secured by mortgages on immovable property;










7.


Other items;










8.


Exposures to institutions and corporates with a short-term credit assessment;










9.


All other exposure classes (disjoint exposure classes) which include Exposures to central governments or central banks; Exposures to regional governments or local authorities; Exposures to public sector entities; Exposures to multilateral development banks; Exposures to international organisations; Exposures to institutions; Exposures to corporate and Retail exposures.
















63.


In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach or the mandate-based approach (Article 132a, points (1) and (2), of Regulation (EU) No 575/2013) is used, the underlying individual (in the case of the look through approach) and individual group of (in the case of the mandate-based approach) exposures shall be considered and classified into their corresponding risk weight line according to their treatment. However, all the individual exposures shall be classified within the exposure class of Exposures in the form of units or shares in collective investment undertakings (“CIU”).












64.


“nth” to default credit derivatives, as specified in Article 134(6) of Regulation (EU) No 575/2013 that are rated shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the “Other items” exposure class. In that latter case, the nominal amount of the contract shall be reported as the Original exposure pre-conversion factors in the line for “Other risk weights” (the risk weight used shall be that specified by the sum indicated under Article 134(6) of Regulation (EU) No 575/2013.












65.


In a second step, as a consequence of credit risk mitigation techniques with substitution effects, exposures shall be reallocated to the exposure class of the protection provider.




DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE-CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH IN ACCORDANCE WITH REGULATION (EU) No 575/2013







Original exposure pre-conversion factors


 


 




Does it fit for being assigned to the exposure class of Article 112, point (m), of Regulation (EU) No 575/2013?

YES







Securitisation positions



NO







 


 




Does it fit for being assigned to the exposure class of Article 112, point (k), of Regulation (EU) No 575/2013?

YES







Items associated with particular high risk (see also Article 128 of Regulation (EU) No 575/2013)



NO







 


 




Does it fit for being assigned to the exposure class of Article 112, point (p), of Regulation (EU) No 575/2013?

YES







Equity exposures (see also Article 133 of Regulation (EU) No 575/2013)



NO







 


 




Does it fit for being assigned to the exposure class of Article 112, point (j), of Regulation (EU) No 575/2013?

YES







Exposures in default



NO







 


 




Does it fit for being assigned to the exposure classes of Article 112, points (l) and (o), of Regulation (EU) No 575/2013?

YES







Exposures in the form of units or shares in collective investment undertakings (CIU)
Exposures in the form of covered bonds (see also Article 129 of Regulation (EU) No 575/2013)
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), of Regulation (EU) No 575/2013?

YES







Exposures secured by mortgages on immovable property (see also Article 124 of Regulation (EU) No 575/2013)



NO







 


 




Does it fit for being assigned to the exposure class of Article 112, point (q), of Regulation (EU) No 575/2013?

YES







Other items



NO







 


 




Does it fit for being assigned to the exposure class of Article 112, point (n), of Regulation (EU) No 575/2013?

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 Regulation (EU) No 575/2013
3.2.4.1.   Exposure Class “Institutions”








66.


Intra-group exposures referred to in Article 113, paragraphs 6 and 7 of Regulation (EU) No 575/2013 shall be reported as follows:












67.


Exposures which fulfil the requirements of Article 113(7) of Regulation (EU) No 575/2013 shall be reported in the respective exposure classes where they would be reported if they were not intra-group exposures.












68.


According to Article 113, paragraphs 6 and 7 of Regulation (EU) No 575/2013 an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of that Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC. That means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings within the meaning of Article 12(1) of Council Directive 83/349/EEC (2). Therefore intra-group exposures shall be reported in the corresponding exposure class.




3.2.4.2.   Exposure Class “Covered Bonds”








69.


SA exposures shall be assigned to the exposure class “covered bonds” as follows:












70.


Bonds referred to in Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council (3) shall fulfil the requirements of Article 129, paragraphs 1 and 2 of Regulation (EU) No 575/2013 to be classified in the exposure class “Covered Bonds”. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds referred to in Article 52(4) of Directive 2009/65/EC and issued before 31 December 2007 shall also be assigned to the exposure class “Covered Bonds” pursuant to Article 129(6) of Regulation (EU) No 575/2013.




3.2.4.3.   Exposure class “Collective Investment Undertakings”








71.


Where the possibility referred to in Article 132a (2) of Regulation (EU) No 575/2013 is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items in accordance with the first sentence in Article 111(1) of Regulation (EU) No 575/2013.




3.2.5.   Instructions concerning specific positions






Columns




0010



ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Exposure value calculated in accordance with Article 111 of Regulation (EU) No 575/2013 without taking into account value adjustments and provisions, deductions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) of Regulation (EU) No 575/2013:






1.


For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to counterparty credit risk (Part Three, Title II, Chapter 4 or Chapter 6 of Regulation (EU) No 575/2013) the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk (see instructions to column 0210).










2.


Exposure values for leases shall be subject to Article 134(7) of Regulation (EU) No 575/2013. In particular, the residual value shall be included at its accounting value (i.e. the discounted estimated residual value at the end of the lease term).










3.


In the case of on-balance sheet netting as laid down in Article 219 of Regulation (EU) No 575/2013, the exposure values shall be reported taking into account the amount of the received cash collateral.




Where institutions make use of the derogation of Article 473a(7a) of Regulation (EU) No 575/2013, they shall report the amount ABSA that is risk weighted at 100 % in the exposure class “other items” in this column.




0030



(-) Value adjustments and provisions associated with the original exposure Article 24 and 111 of Regulation (EU) No 575/2013

Value adjustments and provisions for credit losses (credit risk adjustments in accordance with Article 110) made in accordance with the accounting framework to which the reporting entity is subject, as well as prudential value adjustments (additional value adjustments in accordance with Article 34 and 105, amounts deducted in accordance with Article 36(1), point (m) and other own funds reductions related to the asset item).




0040



Exposure net of value adjustments and provisions

Sum of columns 0010 and 0030




0050 - 0100



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

Credit risk mitigation techniques as defined in Article 4(1), point (57), of Regulation (EU) No 575/2013 that reduce the credit risk of an exposure or exposures via the substitution of exposures as described below in “Substitution of the exposure due to CRM”.
Collateral that has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value.
Items to be reported here:






—


collateral, incorporated in accordance with the Financial Collateral Simple Method;










—


eligible unfunded credit protection.




Please also see instructions of point 3.1.1.




0050 - 0060



Unfunded credit protection: adjusted values (GA)


Article 235 of Regulation (EU) No 575/2013
Article 239(3) of Regulation (EU) No 575/2013 contains the formula for the calculation of the adjusted value GA of an unfunded credit protection.




0050



Guarantees

Article 203 of Regulation (EU) No 575/2013
Unfunded Credit Protection as defined in Article 4(1), point (59), of Regulation (EU) No 575/2013 which does not include Credit Derivatives.




0060



Credit derivatives

Article 204 of Regulation (EU) No 575/2013




0070 – 0080



Funded credit protection

These columns refer to funded credit protection as defined in Article 4(1), point (58), of Regulation (EU) No 575/2013 and subject to the rules laid down in Articles 196, 197 and 200 of that Regulation. The amounts shall not include master netting agreements (already included in Original Exposure pre-conversion factors).
Investments in credit linked notes as referred to in Article 218 of Regulation (EU) No 575/2013 and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 of Regulation (EU) No 575/2013 shall be treated as cash collateral.




0070



Financial collateral: simple method

Article 222, paragraphs 1 and 2 of Regulation (EU) No 575/2013.




0080



Other funded credit protection

Article 232 of Regulation (EU) No 575/2013.




0090 - 0100



SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Article 222(3), Article 235, paragraphs 1 and 2 and Article 236 of Regulation (EU) No 575/2013
Outflows shall correspond to the covered part of the Original Exposure pre-conversion factors that is deducted from the obligor's exposure class and subsequently assigned to the protection provider's exposure class. That amount shall be considered as an inflow into the protection provider's exposure class.
Inflows and outflows within the same exposure classes shall also be reported.
Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.




0110



NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS

Amount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE




0120-0140



CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD

Articles 223 to 228 of Regulation (EU) No 575/2013. They also include credit linked notes (Article 218 of Regulation (EU) No 575/2013)
Credit linked notes as referred to in Article 218 of Regulation (EU) No 575/2013 and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 of that Regulation shall be treated as cash collateral.
The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, shall be calculated in accordance with Articles 223 to 228 of Regulation (EU) No 575/2013.




0120



Volatility adjustment to the exposure

Article 223, paragraphs 2 and 3 of Regulation (EU) No 575/2013.
The amount to be reported is the impact of the volatility adjustment to the exposure (Eva-E) = E*He




0130



(-) Financial collateral adjusted value (Cvam)

Article 239(2) of Regulation (EU) No 575/2013.
For trading book operations, financial collateral and commodities eligible for trading book exposures in accordance with Article 299(2), points (c) to (f), of Regulation (EU) No 575/2013 shall be included.
The amount to be reported corresponds to Cvam= C*(1-Hc-Hfx)*(t-t*)/(T-t*). For a definition of C, Hc, Hfx, t, T and t* see Part Three, Title II, Chapter 4, Sections 4 and 5 of Regulation (EU) No 575/2013.




0140



(-) Of which: Volatility and maturity adjustments

Article 223(1) of Regulation (EU) No 575/2013 and Article 239(2) of that Regulation.
The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva)= C*(1-Hc-Hfx)*[(t-t*)/(T-t*)-1]




0150



Fully adjusted exposure value (E*)

Article 220(4), Article 223(2) to (5) and Article 228(1) of Regulation (EU) No 575/2013.




0160 - 0190



Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors

Article 111(1) and Article 4(1), point (56), of Regulation (EU) No 575/2013. See also Articles 222(3) and 228(1) of Regulation (EU) No 575/2013.
The figures reported shall be the fully adjusted exposure values before application of the conversion factor.




0200



Exposure value

Article 111 of Regulation (EU) No 575/2013 and Part Three, Title II, Chapter 4, Section 4 of that Regulation.
Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights in accordance with Article 113 and Part Three, Title II, Chapter 2, Section 2 of Regulation (EU) No 575/2013.
Exposure values for leases are subject to Article 134(7) of Regulation (EU) No 575/2013. In particular, the residual value shall be included at its discounted residual value after taking into account value adjustments, all credit risk mitigants and credit conversion factors.
Exposure values for CCR business shall be the same as reported in column 0210.




0210



Of which: Arising from Counterparty Credit Risk

Exposure value for CCR business calculated in accordance with the methods laid down in Part Three, Title II, Chapter 4 and Chapter 6 of Regulation (EU) No 575/2013, which is the relevant amount for the calculation of risk weighted exposure amounts, i.e. having applied CRM techniques as applicable in accordance with Part Three, Title II, Chapter 4 and Chapter 6 of Regulation (EU) No 575/2013 and considering the deduction of the incurred CVA loss as referred to in Article 273(6) of that Regulation.
The exposure value for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 of Regulation (EU) No 575/2013.
For cases in which more than one CCR approach is used for a single counterparty, the incurred CVA loss, which is deducted at counterparty level, shall be assigned to the exposure value of the different netting sets in rows 0090 - 0130 reflecting the proportion of the exposure value post-CRM of the respective netting sets to the total exposure value post-CRM of the counterparty. For this purpose, the exposure value post-CRM as per the instructions to column 0160 of template C 34.02 shall be used.




0211



Of which: Arising from Counterparty Credit Risk excluding exposures cleared through a CCP

Exposures reported in column 0210 excluding those arising from contracts and transactions listed in Article 301(1) of Regulation (EU) No 575/2013 as long as they are outstanding with a central counterparty (CCP), including CCP-related transactions defined in point (2) of Article 300 of that Regulation.




0215



Risk weighted exposure amount pre supporting factors

Article 113, paragraphs 1 to 5 of Regulation (EU) No 575/2013, without taking into account the SME and infrastructure supporting factors laid down in Article 501 and Article 501a of that Regulation
The risk weighted exposure amount of the residual value of leasing assets shall be subject to sentence 5 of Article 134(7) and shall be calculated according to the formula “1/t * 100 % * residual value”. In particular, residual value is undiscounted estimated residual value at the end of the lease term which is reassessed periodically to ensure continued appropriateness.




0216



(-) Adjustment to the risk-weighted exposure amount due to SME supporting factor

Deduction of the difference of the risk-weighted exposure amounts for non-defaulted exposures to an SME (RWEA), which are calculated in accordance with Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013, as applicable and RWEA* in accordance with Article 501, point (1) of that Regulation




0217



(-) Adjustment to the risk-weighted exposure amount due to the infrastructure supporting factor

Deduction of the difference of the risk weighted exposure amounts calculated in accordance with Part Three, Title II of Regulation (EU) No 575/2013 and the adjusted RWEA for credit risk for exposures to entities that operate or finance physical structures or facilities, systems and networks that provide or support essential public services in accordance with Article 501a of that Regulation.




0220



Risk weighted exposure amount after supporting factors

Article 113, paragraphs 1 to 5 of Regulation (EU) No 575/2013, taking into account the SME and infrastructure supporting factors laid down in Article 501 and Article 501a of that Regulation
The risk weighted exposure amount of the residual value of leasing assets is subject to sentence 5 of Article 134(7) and shall be calculated according to the formula “1/t * 100 % * residual value”. In particular, residual value is undiscounted estimated residual value at the end of the lease term which is reassessed periodically to ensure continued appropriateness.




0230



Of which: with a credit assessment by a nominated ECAI

Article 112, points (a) to (d), (f), (g), (l), (n), (o) and (q), of Regulation (EU) No 575/2013




0240



Of which: with a credit assessment derived from central government

Article 112, points (b) to (d), (f), (g), (l) and (o), of Regulation (EU) No 575/2013













Rows


Instructions




0010



Total exposures





0015



of which: Defaulted exposures in exposure classes “items associated with a particular high risk” and “equity exposures”

Article 127 of Regulation (EU) No 575/2013
This row shall only be reported in exposure classes “Items associated with a particular high risk” and “Equity exposures”.
An exposure that is either listed in Article 128(2) of Regulation (EU) No 575/2013 or meets the criteria set in Article 128(3) or Article 133 of Regulation (EU) No 575/2013 shall be assigned to the exposure class “Items associated with particular high risk” or “Equity exposures”. Consequently, there shall be no other allocation, even in case of an exposure in default as referred to in Article 127 of Regulation (EU) No 575/2013.




0020



of which: SME

All exposures to SME shall be reported here.




0030



of which: Exposures subject to the SME supporting factor

Only exposures which meet the requirements of Article 501 of Regulation (EU) No 575/2013 shall be reported here.




0035



of which: Exposures subject to the infrastructure supporting factor

Only exposures which meet the requirements of Article 501a of Regulation (EU) No 575/2013 shall be reported here.




0040



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

Article 125 of Regulation (EU) No 575/2013
Only reported in exposure class “Secured by mortgages on immovable property”




0050



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

Exposures to which the Standardised approach has been applied in accordance with Article 150(1) of Regulation (EU) No 575/2013




0060



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

Article 148(1) of Regulation (EU) No 575/2013




0070-0130



BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES

Reporting institution's “banking book” positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.
Exposures to counterparty credit risk arising from the trading book business of the institution as referred to in Article 92(3), point (f) and Article 299(2) of Regulation (EU) No 575/2013 shall be assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) of Regulation (EU) No 575/2013 also break down their “trading book” positions referred to in Article 92(3), point (b), of that Regulation following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.




0070



On balance sheet exposures subject to credit risk

Assets referred to in Article 24 of Regulation (EU) No 575/2013 not included in any other category.
Exposures that are subject to counterparty credit risk shall be reported in rows 0090-0130-, and therefore shall not be reported in this row.
Free deliveries as referred to in Article 379(1) of Regulation (EU) No 575/2013 (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.




0080



Off balance sheet exposures subject to credit risk

Off-balance sheet positions comprise the items listed in Annex I of Regulation (EU) No 575/2013.
Exposures that are subject to counterparty credit risk shall be reported in rows 0090 – 0130 and therefore shall not be reported in this row.




0090-0130



Exposures / Transactions subject to counterparty credit risk

Transactions subject to counterparty credit risk, i.e. derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions.




0090



Securities Financing Transactions netting sets

Netting sets containing only SFTs, as defined in Article 4(1), point (139), of Regulation (EU) No 575/2013.
SFTs that are included in a contractual cross product netting set and therefore reported in row 0130 shall not be reported in this row.




0100



Of which: centrally cleared through a QCCP

Contracts and transactions listed in Article 301(1) of Regulation (EU) No 575/2013 as long as they are outstanding with a qualifying central counterparty (QCCP) as defined in Article 4(1), point (88), of that Regulation, including QCCP-related transactions, for which the risk weighted exposure amounts are calculated in accordance with Part Three, Title II, Chapter 6, Section 9 of that Regulation. QCCP-related transaction has the same meaning as CCP-related transaction in Article 300(2) of Regulation (EU) No 575/2013, when the CCP is a QCCP.




0110



Derivatives and Long Settlement Transactions netting sets

Netting sets containing only derivatives listed in Annex II of Regulation (EU) No 575/2013 and long settlement transactions as defined in Article 272(2) of that Regulation.
Derivatives and Long Settlement Transactions that are included in a contractual Cross Product Netting set and therefore reported in row 0130, shall not be reported in this row.




0120



Of which: centrally cleared through a QCCP

See instructions to row 0100.




0130



From Contractual Cross Product netting sets

Netting sets containing transactions of different product categories (Article 272(11) of Regulation (EU) No 575/2013), i.e. derivatives and SFTs, for which a contractual cross product netting agreement as defined in Article 272(25) of Regulation (EU) No 575/2013 exists.




0140-0280



BREAKDOWN OF EXPOSURES BY RISK WEIGHTS





0140



0  %





0150



2 %

Article 306(1) of Regulation (EU) No 575/2013




0160



4 %

Article 305(3) of Regulation (EU) No 575/2013




0170



10  %





0180



20  %





0190



35  %





0200



50  %





0210



70 %

Article 232(3), point (c), of Regulation (EU) No 575/2013.




0220



75  %





0230



100  %





0240



150  %





0250



250 %

Articles 133(2) and 48(4) of Regulation (EU) No 575/2013




0260



370 %

Article 471 of Regulation (EU) No 575/2013




0270



1 250  %

Article 133(2) and Article 379 of Regulation (EU) No 575/2013




0280



Other risk weights

This row is not available for exposure classes Government, Corporates, Institutions and Retail.
For reporting those exposures not subject to the risk weights listed in the template.
Article 113, paragraphs 1 to 5 of Regulation (EU) No 575/2013.
Unrated nth-to-default credit derivatives under the Standardised approach (Article 134(6) of Regulation (EU) No 575/2013) shall be reported in this row under the exposure class “Other items”.
See also Article 124(2) and Article 152(2), point (b), of Regulation (EU) No 575/2013.




0281-0284



BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU)

These rows shall only be reported for the exposure class Collective investments undertakings (CIU), in line with Articles 132, 132a, 132b and 132c of Regulation (EU) No 575/2013.




0281



Look-through approach

Article 132a(1) of Regulation (EU) No 575/2013.




0282



Mandate-based approach

Article 132a(2) of Regulation (EU) No 575/2013.




0283



Fall-back approach

Article 132(2) of Regulation (EU) No 575/2013.




0290-0320



Memorandum Items

For rows 0290 to 0320, see also the explanation of the purpose of the memorandum items in the general section of the CR SA.




0290



Exposures secured by mortgages on commercial immovable property

Article 112, point (i), of Regulation (EU) No 575/2013
This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property as referred to in Article 124 and 126 of Regulation (EU) No 575/2013 the exposures shall be broken down and reported in this row if the exposures are secured by commercial real estate.




0300



Exposures in default subject to a risk weight of 100 %

Article 112, point (j), of Regulation (EU) No 575/2013
Exposures included in the exposure class “exposures in default” which shall be included in this exposure class if they were not in default.




0310



Exposures secured by mortgages on residential property

Article 112, point (i), of Regulation (EU) No 575/2013
This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property in accordance with Article 124 and 125 of Regulation (EU) No 575/2013 the exposures shall be broken down and reported in this row if the exposures are secured by real estate property.




0320



Exposures in default subject to a risk weight of 150 %

Article 112, point (j) of Regulation (EU) No 575/2013
Exposures included in the exposure class “exposures in default” which shall be included in this exposure class if they were not in default.




3.3.   CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)
3.3.1.   Scope of the CR IRB template








72.


The scope of the CR IRB template covers:






i.


Credit risk in the banking book, among which:






—


Counterparty credit risk in the banking book;










—


Dilution risk for purchased receivables;














ii.


Counterparty credit risk in the trading book;










iii.


Free deliveries resulting from all business activities.
















73.


The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated in accordance with Part Three, Title II, Chapter 3, Articles 151 to 157 of Regulation (EU) No 575/2013 (IRB approach).












74.


The CR IRB template does not cover the following data:






i.


Equity exposures, which are reported in the CR EQU IRB template;










ii.


Securitisation positions, which are reported in the CR SEC and/or CR SEC Details templates;










iii.


“Other non credit-obligation assets”, as referred to in Article 147(2), point (g), of Regulation (EU) No 575/2013. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, in accordance with Article 156 of Regulation (EU) No 575/2013. The risk weighted exposure amounts for this exposure class shall be reported directly in the CA-Template;










iv.


Credit valuation adjustment risk, which is reported on the CVA Risk template;
The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown shall be reported in the template CR GB.
Items i) and iii) do not apply to template CR IRB 7.
















75.


In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors, the following information shall be provided for each reported exposure class:

                                    “NO” = in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)

                                    “YES” = in case own estimates of LGD and credit conversion factors are used (Advanced IRB). This includes all retail portfolios.
In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.




3.3.2.   Breakdown of the CR IRB template








76.


The CR IRB consists of seven templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate risk weighted exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools (exposures reported under row 0070 of CR IRB 1). CR IRB 3 provides all relevant parameters used for the calculation of credit risk capital requirements for IRB models. CR IRB 4 presents a flow statement explaining changes in risk weighted exposure amounts determined under the IRB approach for credit risk. CR IRB 5 provides information on the results of backtesting of PDs for the models reported. CR IRB 6 provides all relevant parameters used for the calculation of credit risk capital requirements under the slotting criteria for specialised lending. CR IRB 7 provides an overview of percentage of exposure value subject to SA or IRB approaches for each relevant exposure class. The templates CR IRB 1, CR IRB 2, CR IRB 3 and CR IRB 5 shall be reported separately for the following exposure and sub-exposure classes:






1)


Total
(The Total template must be reported for the Foundation IRB approach and, separately for the Advanced IRB approach.)










2)


Central banks and central governments
(Article 147(2), point (a), of Regulation (EU) No 575/2013)










3)


Institutions
(Article 147(2), point (b), of Regulation (EU) No 575/2013)










4.1)


Corporate – SME
(Article 147(2), point (c), of Regulation (EU) No 575/2013). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes.










4.2)


Corporate – Specialised lending
(Article 147(8) of Regulation (EU) No 575/2013)










4.3)


Corporate – Other
(All exposures to corporates as referred to in Article 147(2), point (c), of Regulation (EU) No 575/2013, not reported under 4.1 and 4.2).










5.1)


Retail – Secured by immovable property SME
(Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 in conjunction with Article 154(3) of that Regulation which are secured by immovable property). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes.










5.2)


Retail – Secured by immovable property non-SME
(Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 which are secured by immovable property and not reported under 5.1).
Under 5.1 and 5.2, retail exposures secured by immovable property shall be considered any retail exposures secured by immovable property recognised as collateral, regardless of the ratio of the value of collateral to the exposure or of the purpose of the loan.










5.3)


Retail – Qualifying revolving
(Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 in conjunction with Article 154(4) of that Regulation).










5.4)


Retail – Other SME
(Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 not reported under 5.1 and 5.3). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes.










5.5)


Retail – Other non – SME
(Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 which were not reported under 5.2 and 5.3).








3.3.3.   C 08.01 - Credit and counterparty credit risks and free deliveries: IRB approach to Capital Requirements (CR IRB 1)
3.3.3.1   Instructions concerning specific positions






Columns


Instructions




0010



INTERNAL RATING SCALE/ PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of Regulation (EU) No 575/2013. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures), the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 0110) shall be used for the calculation of the exposure-weighted average PD.
For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating scale approved by the respective competent authority.
It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating scale or is able to report in accordance with an internal master scale, that scale shall be used.
Otherwise, the different rating scales shall be merged and ordered in accordance with the following criteria: Obligor grades of the different rating scales shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. The same applies for continuous rating scales: a reduced number of grades to be reported shall be agreed with the competent authorities.
Institutions shall contact their competent authority in advance if they want to report a different number of grades in comparison with the internal number of grades.
The last rating grade or grades shall be dedicated for defaulted exposures with PD of 100 %.
For the purposes of weighting the average PD, the exposure value reported in column 110 shall be used. The exposure weighted average PD shall be computed taking into account all exposures reported in a given row. In the row where only defaulted exposures are reported the average PD shall be of 100 %.




0020



ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Institutions shall report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors.
The original exposure value shall be reported in accordance with Article 24 of Regulation (EU) No 575/2013 and Article 166, paragraphs 1, 2, 4, 5, 6 and 7 of that Regulation.
The effect resulting from Article 166(3) of Regulation (EU) No 575/2013 (effect of on balance sheet netting of loans and deposits) shall be reported separately as Funded Credit Protection and shall therefore not reduce the Original Exposure.
For derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to counterparty credit risk (Part Three, Title II, Chapter 4 or Chapter 6 of Regulation (EU) No 575/2013), the original exposure shall correspond to the exposure value arising from counterparty credit risk (see instructions to column 0130).




0030



OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the original exposure pre-conversion factor for all exposures of entities referred to in Article 142(1), points (4) and (5), of Regulation (EU) No 575/2013 subject to the higher coefficient of correlation determined in accordance with Article 153(2) of that Regulation.




0040-0080



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

Credit risk mitigation as defined in Article 4(1), point (57), of Regulation (EU) No 575/2013 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”.




0040-0050



UNFUNDED CREDIT PROTECTION

Unfunded credit protection as defined in Article 4(1), point (59), of Regulation (EU) No 575/2013.
Unfunded credit protection that has an effect on the exposure (e.g. used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value.




0040



GUARANTEES:

Where own estimates of LGD are not used, the Adjusted Value (GA) as defined in Article 236(3) of Regulation (EU) No 575/2013 shall be provided.
When own estimates of LGD are used in accordance with Article 183 of Regulation (EU) No 575/2013 (except for paragraph 3), the relevant value used in the internal model shall be reported.
Guarantees shall be reported in column 0040 where the adjustment is not made in the LGD. Where the adjustment is made in the LGD, the amount of the guarantee shall be reported in column 0150.
Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 0220.




0050



CREDIT DERIVATIVES:

Where own estimates of LGD are not used, the Adjusted Value (GA) as defined in Article 236(3) of Regulation (EU) No 575/2013 shall be provided.
Where own estimates of LGD are used in accordance with Article 183, paragraph 3 of Regulation (EU) No 575/2013, the relevant value used in the internal modelling shall be reported.
Where the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 0160.
Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 0220.




0060



OTHER FUNDED CREDIT PROTECTION

Collateral that has an effect on the PD of the exposure shall be capped at the value of the original exposure pre conversion factors.
Where own estimates of LGD are not used, Article 232(1) of Regulation (EU) No 575/2013 applies.
Where own estimates of LGD are used, those credit risk mitigation techniques that have effects on PD shall be reported. The relevant nominal or market value shall be reported.
Where an adjustment is made in the LGD, that amount shall be reported in column 170.




0070-0080



SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Outflows shall correspond to the covered part of the original exposure pre-conversion factors, that is deducted from the obligor's exposure class and, where relevant, obligor grade or pool, and subsequently assigned to the guarantor's exposure class and, where relevant, obligor grade or pool. That amount shall be considered as an inflow into the guarantor's exposure class and, where relevant, obligor grades or pools.
Inflows and outflows within the same exposure classes and, where relevant, obligor grades or pools, shall also be considered.
Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.
These columns shall only be used where institutions have obtained permission from their competent authority to treat these secured exposures under the permanent partial use of the Standardised approach in accordance with Article 150 of Regulation (EU) No 575/2013 or to classify the exposures to exposure classes in accordance with the characteristic of the guarantor.




0090



EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS

Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure.




0100, 0120



Of which: Off Balance Sheet Items

See CR-SA instructions




0110



EXPOSURE VALUE

The exposure values determined in accordance with Article 166 of Regulation (EU) No 575/2013 and the second sentence of Article 230(1) of that Regulation shall be reported.
For the instruments referred to in Annex I, credit conversion factors and percentages in accordance with Article 166, paragraphs 8, 9 and 10 of Regulation (EU) No 575/2013 are applied, irrespective of the approach chosen by the institution.
Exposure values for CCR business shall be the same as reported in column 0130.




0130



Of which: Arising from counterparty Credit Risk

See the corresponding CR SA instructions in column 0210.




0140



OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the exposure value for all exposures to entities referred to in Article 142(1), points (4) and (5), of Regulation (EU) No 575/2013 subject to the higher coefficient of correlation determined in accordance with Article 153(2) of that Regulation.




0150-0210



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

CRM techniques that have an impact on LGD estimates as a result of the application of the substitution effect of CRM techniques shall not be included in these columns.
The reported collateral values shall be capped at the exposures value.
Where own estimates of LGD are not used, Article 228(2), Article 230(1) and (2) and Article 231 of Regulation (EU) No 575/2013 shall be taken into account.
Where own estimates of LGD are used:






—


Regarding unfunded credit protection, for exposures to central governments and central banks, institutions and corporates, Article 161(3) of Regulation (EU) No 575/2013 shall be taken into account. For retail exposures, Article 164(2) of Regulation (EU) No 575/2013 shall be taken into account.










—


Regarding funded credit protection, the collateral shall be taken into account in the LGD estimates in accordance with Article 181(1), points (e) and (f), of Regulation (EU) No 575/2013.








0150



GUARANTEES

See instructions to column 0040.




0160



CREDIT DERIVATIVES

See instructions to column 0050.




0170



OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION

The relevant value used in the internal modelling of the institution.
Those credit risk mitigants that comply with the criteria in Article 212 of Regulation (EU) No 575/2013.




0171



CASH ON DEPOSIT

Article 200, point (a), of Regulation (EU) No 575/2013
Cash on deposit with, or cash assimilated instruments held by third party institution in a non-custodial arrangement and pledged to the lending institution. The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure.




0172



LIFE INSURANCE POLICIES

Article 200, point (b), of Regulation (EU) No 575/2013
The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure.




0173



INSTRUMENTS HELD BY A THIRD PARTY

Article 200, point (c), of Regulation (EU) No 575/2013
This includes instruments issued by a third party institution, which will be repurchased by that institution on request. The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure. This column shall exclude those exposures covered by instruments held by a third party where, in accordance with Article 232(4) of Regulation (EU) No 575/2013, institutions treat instruments repurchased on request that are eligible under Article 200, point (c), of that Regulation as a guarantee by the issuing institution.




0180



ELIGIBLE FINANCIAL COLLATERAL

For trading book operations, financial instruments and commodities eligible for trading book exposures in accordance with Article 299(2), points (c) to (f), of Regulation (EU) No 575/2013 shall be included. Credit linked notes and on -balance sheet netting in accordance with Part Three, Title II, Chapter 4, Section 4 of Regulation (EU) No 575/2013 shall be treated as cash collateral.
Where own estimates of LGD are not used, for eligible financial collateral in accordance with Article 197 of Regulation (EU) No 575/2013, the adjusted value (Cvam) as set out in Article 223(2) of that Regulation shall be reported.
Where own estimates of LGD are used, the financial collateral shall be taken into account in the LGD estimates in accordance with Article 181(1), points (e) and (f), of Regulation (EU) No 575/2013. The amount to be reported shall be the estimated market value of the collateral.




0190-0210



OTHER ELIGIBLE COLLATERAL

Where own estimates of LGD are not used, values shall be determined in accordance with Article 199, paragraphs 1 to 8 of Regulation (EU) No 575/2013 and Article 229 of that Regulation.
Where own estimates of LGD are used, other collateral shall be taken into account in the LGD estimates in accordance with Article 181(1), points (e) and (f), of Regulation (EU) No 575/2013.




0190



REAL ESTATE

Where own estimates of LGD are not used, values shall be determined in accordance with Article 199, paragraphs 2, 3 and 4 of Regulation (EU) No 575/2013 and shall be reported in this column. Leasing of real estate property shall also be included (see Article 199(7) of Regulation (EU) No 575/2013). See also Article 229 of Regulation (EU) No 575/2013.
Where own estimates of LGD are used, the amount to be reported shall be the estimated market value.




0200



OTHER PHYSICAL COLLATERAL

Where own estimates of LGD are not used, values shall be determined in accordance with Article 199, paragraphs 6 and 8 of Regulation (EU) No 575/2013 and shall be reported in this column. Leasing of property different from real estate shall also be included (see Article 199(7) of Regulation (EU) No 575/2013). See also Article 229(3) of Regulation (EU) No 575/2013.
Where own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.




0210



RECEIVABLES

Where own estimates of LGD are not used, values shall be determined in accordance with Articles 199(5) and 229(2) of Regulation (EU) No 575/2013 and shall be reported in this column.
Where own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.




0220



SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION

Guarantees and credit derivatives covering exposures subject to the double default treatment in accordance with Article 153(3) of Regulation (EU) No 575/2013 and taking into account Article 202 and Article 217(1) of that Regulation.
The values to be reported shall not exceed the value of the corresponding exposures.




0230



EXPOSURE WEIGHTED AVERAGE LGD (%)

All the impact of CRM techniques on LGD values as specified in Part Three, Title II, Chapters 3 and 4 of Regulation (EU) No 575/2013 shall be considered. In case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) of Regulation (EU) No 575/2013.
For defaulted exposures, Article 181(1), point (h), of Regulation (EU) No 575/2013 shall be taken into account.
The exposure value referred to in column 0110 shall be used for the calculation of the exposure-weighted averages.
All effects shall be considered (so the effects of the floor applicable to exposures secured by immovable property in accordance with Article 164(4) of Regulation (EU) No 575/2013 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 shall be reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* as referred to in Article 228(2) of Regulation (EU) No 575/2013.
The exposure weighted average LGD associated to each PD “obligor grade or pool” shall result from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, weighted by the respective exposure value of column 0110.
Where own estimates of LGD are applied, Article 175 and Article 181, paragraphs 1 and 2 of Regulation (EU) No 575/2013 shall be taken into account.
In case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) of Regulation (EU) No 575/2013.
The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating scale approved by the respective competent authority.
Data shall not be reported for specialised lending exposures referred to in Article 153(5) of Regulation (EU) No 575/2013. Where PD is estimated for specialised lending exposures, data shall be reported based on own estimates of LGDs or regulatory LGDs.
Exposures and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 0230, but only be included in the calculation of column 0240.




0240



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

Exposure weighted average LGD (%) for all exposures to large financial sector entities as defined in Article 142(1), point (4) of Regulation (EU) No 575/2013 and to unregulated financial sector entities as defined in Article 142(1), point (5) of Regulation (EU) No 575/2013 subject to the higher coefficient of correlation determined in accordance with Article 153(2) of Regulation (EU) No 575/2013




0250



EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

The value reported shall be determined in accordance with Article 162 of Regulation (EU) No 575/2013. The exposure value (column 0110) shall be used for the calculation of the exposure-weighted averages. The average maturity shall be reported in days.
This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts. That means that this column shall not be filled in for the exposure class “retail”.




0255



RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

For central governments and central banks, corporate and institutions, see Article 153, paragraphs 1, 2, 3 and 4 of Regulation (EU) No 575/2013; For retail, see Article 154(1) of Regulation (EU) No 575/2013
The SME and infrastructure supporting factors laid down in Articles 501 and 501a of Regulation (EU) No 575/2013 shall not be taken into account.




0256



(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

Deduction of the difference of the risk-weighted exposure amounts for non-defaulted exposures to an SME (RWEA), which are calculated in accordance with Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013, as applicable and RWEA* in accordance with Article 501 of that Regulation.




0257



(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

Deduction of the difference of the risk weighted exposure amounts calculated in accordance with Part Three, Title II of Regulation (EU) No 575/2013 and the adjusted RWEA for credit risk for exposures to entities that operate or finance physical structures or facilities, systems and networks that provide or support essential public services in accordance with Article 501a of that Regulation




0260



RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

For central governments and central banks, corporate and institutions, see Article 153, paragraphs 1, 2, 3 and 4 of Regulation (EU) No 575/2013. For retail, see Article 154(1) of Regulation (EU) No 575/2013.
The SME and infrastructure supporting factors laid down in Articles 501 and 501a of Regulation (EU) No 575/2013 shall be taken into account.




0270



OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the risk weighted exposure amount after SME supporting factor for all exposures to large financial sectors entities as defined in Article 142(1), point (4) of Regulation (EU) No 575/2013 and to unregulated financial sector entities as defined in Article 142(1), point (5) of that Regulation , subject to the higher coefficient of correlation determined in accordance with Article 153(2) of that Regulation.




0280



EXPECTED LOSS AMOUNT

For the definition of Expected Loss, see Article 5(3) of Regulation (EU) No 575/2013 and, for the calculation of expected loss amounts, see Article 158 of that Regulation. For defaulted exposures, see Article 181(1), point (h), of Regulation (EU) No 575/2013. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating scale approved by the respective competent authority.




0290



(-) VALUE ADJUSTMENTS AND PROVISIONS

Value Adjustments as well as specific and general credit risk adjustments in accordance with Article 159 of Regulation (EU) No 575/2013 shall be reported. General credit risk adjustments shall be reported by assigning the amount pro rata on the basis of the expected loss of the different obligor grades.




0300



NUMBER OF OBLIGORS

Article 172, paragraphs 1 and 2 of Regulation (EU) No 575/2013.
For all exposure classes, with the exception of the exposure class retail and the cases mentioned in the second sentence of Article 172(1), point (e), of Regulation (EU) No 575/2013, the institution shall report the number of legal entities/obligors which were separately rated, regardless of the number of different loans or exposures granted.
Within the exposure class retail, or if separate exposures to the same obligor are assigned to different obligor grades in accordance with the second sentence of Article 172(1), point (e), of Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013 applies, an obligor may be considered in more than one grade.
As this column deals with an element of the structure of the rating scales, it relates to the original exposures pre-conversion factor assigned to each obligor grade or pool without taking into account the effect of CRM techniques (in particular redistribution effects).




0310



PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT

Institutions shall report hypothetical risk weighted exposure amount to be calculated as the RWEA without the recognition of the eligible credit derivative as a CRM technique as specified in Article 204 of Regulation (EU) No 575/2013. The amounts shall be presented in the exposure classes relevant for the exposures to the original obligor.













Rows


Instructions




0010



TOTAL EXPOSURES





0015



of which: Exposures subject to the SME supporting factor

Only exposures which meet the requirements of Article 501 of Regulation (EU) No 575/2013 shall be reported here.




0016



of which: Exposures subject to the infrastructure supporting factor

Only exposures which meet the requirements of Article 501a of Regulation (EU) No 575/2013 shall be reported here.




0020-0060


BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:




0020



On balance sheet items subject to credit risk

Assets referred to in Article 24 of Regulation (EU) No 575/2013 shall not be included in any other category.
Exposures that are subject to counterparty credit risk shall be reported in rows 0040-0060 and, therefore, shall not be reported in this row.
Free deliveries as referred to in Article 379(1) of Regulation (EU) No 575/2013 (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.




0030



Off balance sheet items subject to credit risk

Off-balance sheet items shall comprise items in accordance with Article 166(8) of Regulation (EU) No 575/2013, as well as those items that are listed in Annex I of that Regulation.
Exposures that are subject to counterparty credit risk shall be reported in rows 0040-0060 and, therefore, shall not be in this row.




0040-0060



Exposures / Transactions subject to counterparty credit risk

See the corresponding CR SA instructions in rows 0090-0130.




0040



Securities Financing Transactions netting sets

See the corresponding CR SA instructions in row 0090.




0050



Derivatives and Long Settlement Transactions netting sets

See the corresponding CR SA instructions in row 0110.




0060



From Contractual Cross Product netting sets

See the corresponding CR SA instructions in row 0130.




0070



EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

For exposures to corporates, institutions and central governments and central banks, see Article 142(1), point (6) and Article 170(1), point (c), of Regulation (EU) No 575/2013.
For retail exposures see Article 170(3), point (b), of Regulation (EU) No 575/2013. For exposures arising from purchased receivables, see Article 166(6) of Regulation (EU) No 575/2013.
Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 0180.
Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.
A supervisory master scale is not used. Instead, institutions shall determine the scale to be used themselves.




0080



SPECIALISED LENDING SLOTTING APPROACH: TOTAL

Article 153(5) of Regulation (EU) No 575/2013. This shall only apply to the exposure classe corporate – specialised lending.




0160



ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

Article 193, paragraphs 1 and 2, Article 194, paragraphs 1 to 7 and Article 230(3) of Regulation (EU) No 575/2013.
This alternative is available only for institutions using Foundation-IRB approach.




0170



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

Exposures arising from free deliveries for which the alternative treatment referred to in the last sentence of the Article 379(2), first subparagraph of Regulation (EU) No 575/2013 is used, or for which a 100 % risk weight is applied in accordance with the last subparagraph of Article 379(2) of Regulation (EU) No 575/2013. Unrated nth-to-default credit derivatives in accordance with Article 153(8) of Regulation (EU) No 575/2013 and any other exposure subject to risk weights not included in any other row shall be reported in this row.




0180



DILUTION RISK: TOTAL PURCHASED RECEIVABLES

See Article 4(1), point (53), of Regulation (EU) No 575/2013 for a definition of dilution risk. For calculation of risk weighted exposure amounts for dilution risk see Article 157 of Regulation (EU) No 575/2013. Dilution risk shall be reported for corporate and retail purchased receivables.




3.3.4.   C 08.02 - Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements: breakdown by obligor grades or pools (CR IRB 2 template)






Column


Instructions




0005



Obligor grade (row identifier)

This is a row identifier and shall be unique for each row on a particular sheet of the template. It shall follow the numerical order 1, 2, 3, etc.
The first grade (or pool) to be reported is the best, then the second-best and so on. The last reported grade or grades (or pool) shall be that of exposures in default.




0010-0300


Instructions for each of these columns are the same as for the corresponding numbered columns in CR IRB 1 template.













Row


Instructions




0010-0001 – 0010-NNNN


Values reported in these rows must be filled in in the order corresponding to the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned in accordance with the PD of the obligor and shall not be reported in this template.




3.3.1.   C 08.03 - Credit risk and free deliveries: IRB approach to Capital Requirements (breakdown by PD ranges (CR IRB 3))
3.3.1.1.   General remarks








77.


Institutions shall report the information included in this template in application of Article 452(g), points (i) to (v), of Regulation (EU) No 575/2013, in order to provide information on the main parameters used for the calculation of capital requirements for IRB approach. Information reported in this template shall not include data on specialised lending referred to in Article 153(5) of Regulation (EU) No 575/2013, which is included in template C 08.06. This template excludes counterparty credit risk (CCR) exposures (Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013).




3.3.1.2.   Instructions concerning specific positions






Columns


Instructions




0010



ON-BALANCE SHEET EXPOSURES

Exposure value calculated in accordance with Article 166(1) to (7) of Regulation (EU) No 575/2013 without taking into account any credit risk adjustments




0020



OFF-BALANCE SHEET EXPOSURES PRE-CONVERSION FACTORS

Exposure value in accordance with Article 166, paragraphs (1) to (7) of Regulation (EU) No 575/2013, without taking into account any credit risk adjustments and any conversion factors, neither own estimates nor conversion factors specified in Article 166(8) of Regulation (EU) No 575/2013, or any percentages specified in Article 166(10) of that Regulation
Off balance sheet exposures shall comprise all committed but undrawn amounts and all off-balance sheet items, as listed in Annex I of Regulation (EU) No 575/2013.




0030



EXPOSURE WEIGHTED AVERAGE CONVERSION FACTORS

For all exposures included in each bucket of the fixed PD range, the average conversion factor used by institutions in their calculation of risk-weighted exposure amounts, weighted by the off-balance sheet exposure pre-CCF as reported in column 0020




0040



EXPOSURE VALUE POST CONVERSION FACTORS AND POST CRM

Exposure value in accordance with Article 166 of Regulation (EU) No 575/2013
This column shall include the sum of exposure value of on-balance sheet exposures and off-balance sheet exposures post conversion factors in accordance with Article 166, paragraphs (8) to (10) of Regulation (EU) No 575/2013 and after CRM techniques.




0050



EXPOSURE WEIGHTED AVERAGE PD (%)

For all exposures included in each bucket of the fixed PD range, the average PD estimate of each obligor, weighted by the exposure value post-CCF and CRM as reported in column 0040.
This column does not need to be filled in for the total of all exposures classes.




0060



NUMBER OF OBLIGORS

The number of legal entities or obligors allocated to each bucket of the fixed PD range
The number of obligors shall be counted in accordance with the instructions in column 0300 of template C 08.01. Joint obligors shall be treated the same as for the purpose of PD calibration.




0070



EXPOSURE WEIGHTED AVERAGE LGD (%)

For all exposures included in each bucket of the fixed PD range, the average of the LGD estimates for each exposure, weighted by the exposure value post-CCF and post-CRM as reported in column 0040
The LGD reported shall correspond to the final LGD estimate used in the calculation of risk weighted amounts obtained after considering any CRM effects and downturn conditions where relevant. For retail exposures secured by immovable properties the LGD reported shall take into account the floors specified in Article 164(4) of Regulation (EU) No 575/2013.
In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected in accordance with Article 161 (4) of Regulation (EU) No 575/2013.
For defaulted exposures under A-IRB approach, provisions laid down in Article 181(1), point (h), of Regulation (EU) No 575/2013 shall be considered. The LGD reported shall correspond to the estimate of LGD in-default in accordance with the applicable estimation methodologies.
This column does not need to be filled in for the total of all exposures classes.




0080



EXPOSURE-WEIGHTED AVERAGE MATURITY (YEARS)

For all exposures included in each bucket of the fixed PD range, the average maturity of each exposure, weighted by the exposure value post-CCF as reported in column 0040
The maturity value reported shall be determined in accordance with Article 162 of Regulation (EU) No 575/2013.
The average maturity shall be reported in years.
This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts in accordance with Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013. This means that this column shall not be filled in for the exposure class “retail”.




0090



RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

For exposures to central governments and central banks, institutions and corporates, the risk weighted exposure amount calculated in accordance with Article 153, paragraphs (1) to (4); for retail exposures, the risk weighted exposure amount calculated in accordance with Article 154 of Regulation (EU) No 575/2013
The SME and infrastructure supporting factors laid down in Articles 501 and Article 501a of Regulation (EU) No 575/2013 shall be taken into account.




0100



EXPECTED LOSS AMOUNT

The expected loss amount calculated in accordance with Article 158 of Regulation (EU) No 575/2013
The expected loss amount to be reported shall be based on the actual risk parameters used in the internal rating scale approved by the respective competent authority.




0110



(-) VALUE ADJUSTMENTS AND PROVISIONS

Specific and general credit risk adjustments in accordance with the Commission Delegated Regulation (EU) No 183/2014, additional value adjustments in accordance with Articles 34 and 110 of Regulation (EU) No 575/2013, as well as other own funds reductions related to the exposures allocated to each bucket on the fixed PD range
These value adjustments and provisions shall be those considered for the implementation of Article 159 of Regulation (EU) No 575/2013.
General provisions shall be reported by assigning the amount pro rata – in accordance with the expected loss of different obligor grades.













Rows


Instructions




PD RANGE


Exposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution effects due to CRM). Institutions shall map exposure by exposure to the PD range provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %.
{r0170, c0050} and {r0170, c0070} shall be reported for each exposure class, but not for the total of all exposures classes.




3.3.2.   C 08.04 - Credit risk and free deliveries: IRB approach to Capital Requirements (RWEA flow statements (CR IRB 4))
3.3.2.1.   General remarks








78.


Institutions shall report the information included in this template in application of Article 438, point (h), of Regulation (EU) No 575/2013 of Regulation (EU) No 575/2013. This template excludes counterparty credit risk (CCR) exposures ( Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013).












79.


Institutions shall report the flows of RWEA as the changes between the risk-weighted exposure amounts at the reference date and the risk-weighted exposure amounts at the prior reference date. In the case of quarterly reporting, end-of-quarter prior to the quarter of the reporting reference date shall be reported.




3.3.2.2.   Instructions concerning specific positions






Column


Instructions




0010



RISK WEIGHTED EXPOSURE AMOUNT

Total risk weighted exposure amount for credit risk calculated under the IRB approach, taking into account supporting factors in accordance with Article 501 and 501a of Regulation (EU) No 575/2013.













Rows


Instructions




0010



RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING PERIOD

Risk weighted exposure amount at the end of the previous reporting period after the application of the SME and infrastructure supporting factors laid down in Articles 501 and 501a of Regulation (EU) No 575/2013




0020



ASSET SIZE (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to asset size, i.e. organic changes in book size and composition (including the origination of new businesses and maturing loans) but excluding changes in book size due to acquisitions and disposal of entities
Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.




0030



ASSET QUALITY (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to asset quality, i.e. changes in the assessed quality of the institution’s assets due to changes in borrower risk, such as rating grade migration or similar effects
Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.




0040



MODEL UPDATES (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to model updates, i.e changes due to implementation of new models, changes in the models, changes in model scope, or any other changes intended to address model weaknesses
Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.




0050



METHODOLOGY AND POLICY (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to methodology and policy i.e. changes due to methodological changes in calculations driven by regulatory policy changes, including both revisions to existing regulations and new regulations, excluding changes in models, which are included in row 0040
Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.




0060



ACQUISITIONS AND DISPOSALS (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to acquisitions and disposals, i.e. changes in book sizes due to acquisitions and disposal of entities
Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.




0070



FOREIGN EXCHANGE MOVEMENTS (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to foreign exchange movements, i.e. changes arising from foreign currency translation movements
Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.




0080



OTHER (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to other drivers
This category shall be used to capture changes that cannot be attributed to any other category.
Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.




0090



RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIOD

Risk weighted exposure amount in the reporting period after the application of the SME and infrastructure supporting factors laid down in Articles 501 and 501a of Regulation (EU) No 575/2013




3.3.3.   C 08.05 - Credit risk and free deliveries: IRB approach to Capital Requirements (Back-testing of PD (CR IRB 5))
3.3.3.1.   General remarks








80.


Institutions shall report the information included in this template in application of Article 452, point (h), of Regulation (EU) No 575/2013. Institution shall consider the models used within each exposure class and they shall explain the percentage of risk weighted exposure amount of the relevant exposure class covered by the models for which back-testing results are reported here. This template excludes counterparty credit risk (CCR) exposures (Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013).




3.3.3.2.   Instructions concerning specific positions






Columns


Instructions




0010



ARITHMETIC AVERAGE PD (%)

Arithmetic average of PD at the beginning of the reporting period of the obligors that fall within the bucket of the fixed PD range and counted in column 0020 (average weighted by the number of obligors)




0020



NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR

Number of obligors at the end of the previous year subject to reporting
All obligors carrying a credit obligation at the relevant point in time shall be included.
The number of obligors shall be counted in accordance with the instructions in column 0300 of template C 08.01. Joint obligors shall be treated the same as for the purpose of PD calibration.




0030



OF WHICH: DEFAULTED DURING THE YEAR

Number of obligors which defaulted during the year (i.e. the observation period of the default rate calculation)
Defaults shall be determined in accordance with Article 178 of Regulation (EU) No 575/2013.
Each defaulted obligor is counted only once in the numerator and denominator of the one-year default rate calculation, even if the obligor defaulted more than once during the relevant one-year period.




0040



OBSERVED AVERAGE DEFAULT RATE (%)

One-year default rate referred to in Article 4(1), point (78), of Regulation (EU) No 575/2013
Institutions shall ensure:






(a)


that the denominator consists of the number of non-defaulted obligors with any credit obligation observed at the beginning of the one-year observation period (i.e. beginning of the year prior to the reporting reference date); in this context a credit obligation refers to both of the following: (i) any on-balance sheet item, including any amount of principal, interest and fees; (ii) any off-balance sheet items, including guarantees issued by the institution as a guarantor.










(b)


that the numerator includes all those obligors considered in the denominator that had at least one default event during the one-year observation period (year prior to the reporting reference date).




Regarding the calculation of the number of obligors see column 0300 of template C 08.01.




0050



AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%)

The simple average of the annual default rate of the five most recent years (obligors at the beginning of each year that are defaulted during that year/total obligors at the beginning of the year) is a minimum. The institution may use a longer historical period that is consistent with the institution’s actual risk management practices.













Rows


Instructions




PD RANGE


Exposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD estimated at the beginning of the reporting period for each obligor assigned to this exposure class (without considering any substitution effects due to CRM). Institutions shall map exposure by exposure to the PD range provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %.




3.3.4.   C 08.05.1 - Credit risk and free deliveries: IRB approach to Capital Requirements: Back-testing of PD in accordance with Article 180(1), point (f), of Regulation (EU) No 575/2013 (CR IRB 5B)
3.3.4.1.   Instructions concerning specific positions








81.


In addition to template C 08.05, institutions shall report information included in template C 08.05.1 in case that they apply Article 180(1), point (f), of Regulation (EU) No 575/2013 for PD estimation and only for PD estimates in accordance with the same Article. Instructions are the same than for template C 08.05, with the following exceptions:






Columns


Instructions




0005



PD RANGE

Institutions shall report the PD ranges in accordance with their internal grades that they map to the scale used by the external ECAI, instead of a fixed external PD range.




0006



EXTERNAL RATING EQUIVALENT

Institutions shall report one column for each ECAI considered following Article 180(1), point (f), of Regulation (EU) No 575/2013. Institutions shall include in these columns the external rating to which their internal PD ranges are mapped.








3.3.5.   C 08.06 - Credit risk and free deliveries: IRB approach to Capital Requirements (Specialised lending slotting approach (CR IRB 6))
3.3.5.1.   General remarks








82.


Institutions shall report the information included in this template in application of Article 438, point (e), of Regulation (EU) No 575/2013. Institutions shall report information on the following types of specialised lending exposures referred to in Table 1 of Article 153(5):






(a)


Project finance










(b)


Income-producing real estate and high volatility commercial real estate










(c)


Object finance










(d)


Commodities finance








3.3.5.2.   Instructions concerning specific positions






Columns


Instructions




0010



ORIGINAL EXPOSURE PRE CONVERSION FACTORS

See CR-IRB instructions.




0020



EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

See CR-IRB instructions.




0030, 0050



OF WHICH: OFF-BALANCE SHEET ITEMS

See CR-SA instructions.




0040



EXPOSURE VALUE

See CR-IRB instructions.




0060



OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

See CR SA instructions.




0070



RISK WEIGHT

Article 153(5) of Regulation (EU) No 575/2013
This is a fixed column for information purposes. It shall not be altered.




0080



RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

See CR-IRB instructions.




0090



EXPECTED LOSS AMOUNT

See CR-IRB instructions.




0100



(-) VALUE ADJUSTMENTS AND PROVISIONS

See CR-IRB instructions.













Rows


Instructions




0010-0120


Exposures shall be allocated to the appropriate category and maturity in accordance with Article 153(5), table 1 of Regulation (EU) No 575/2013.




3.3.6.   C 08.07 - Credit risk and free deliveries: IRB approach to Capital Requirements (Scope of use of IRB and SA approaches (CR IRB 7))
3.3.6.1.   General remarks








83.


For the purpose of this template, institutions calculating the risk-weighted exposure amounts under the IRB approach to credit risk shall allocate their exposures subject to Standardised approach laid down in Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013 or to the IRB approach laid down in Part Three, Title II, Chapter 3 of that Regulation, as well as the part of each exposure class subject to a roll-out plan. Institutions shall include the information in this template by exposure classes, in accordance with the breakdown of exposure classes included in the rows of the template.












84.


Columns 0030 to 0050 should cover the full spectrum of exposures, so the sum of each row for those three columns should be 100 % of all exposure classes except of securitisation positions and deducted positions.




3.3.6.2.   Instructions concerning specific positions






Columns


Instructions




0010



TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 OF REGULATION (EU) No 575/2013

Institutions shall use the exposure value before CRM in accordance with Article 166 of Regulation (EU) No 575/2013.




0020



TOTAL EXPOSURE VALUE SUBJECT TO SA AND IRB

Institutions shall use the exposure value before CRM in accordance with Article 429(4) of Regulation (EU) No 575/2013 to report the total exposure value, including both the exposures under the standardized approach and the exposures under the IRB approach.




0030



PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO PERMANENT PARTIAL USE OF SA (%)

Part of exposure for each exposure class subject to the Standardised approach (exposure subject to the Standardised approach before CRM over the total exposure in that exposure class in column 0020), respecting the scope of permission for permanent partial use of the Standardised approach received from a competent authority in accordance with Article 150 of Regulation (EU) No 575/2013.




0040



PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO A ROLL-OUT PLAN (%)

Part of exposure for each exposure class subject to the sequential implementation of IRB approach pursuant to Article 148 of Regulation (EU) No 575/2013. This shall include:






—


both exposures where institutions plan to apply IRB approach with or without their own estimation of LGD and conversion factors (F-IRB and A-IRB);










—


immaterial equity exposures not included in columns 0020 or 0040;










—


exposures already under F-IRB where an institution is planning to apply A-IRB in the future;










—


specialised lending exposures under the supervisory slotting approach not included in column 0040.








0050



PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO IRB APPROACH (%)

Part of exposure for each exposure class subject to the IRB approach (exposure subject to the IRB approach before CRM over the total exposure in that exposure class), respecting the scope of permission received from a competent authority to use the IRB Approach in accordance with Article 143 of Regulation (EU) No 575/2013. This shall include both exposures where institutions have the permission to use their own estimation of LGD and conversion factors or not (F-IRB and A-IRB), including supervisory slotting approach for specialised lending exposures and equity exposures under the simple risk weight approach, as well as those exposures reported in row 0170 of template C 08.01.













Rows


Instructions




EXPOSURE CLASSES


Institutions shall include the information in this template by exposure classes, in accordance with the breakdown of exposure classes included in the rows of the template.




3.4.   CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN








85.


All institutions shall submit information aggregated at a total level. Additionally, institutions fulfilling the threshold set in Article 5(5) of this Implementing Regulation shall submit information broken down by country regarding the domestic country as well as any non-domestic country. The threshold shall be considered only in relation to the CR GB 1 and CR GB 2 templates. Exposures to supranational organisations shall be assigned to the geographical area “other countries”.












86.


The term “residence of the obligor” refers to the country of incorporation of the obligor. This concept can be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques with substitution effects can change the allocation of an exposure to a country. Exposures to supranational organisations shall not be assigned to the country of residence of the institution but to the geographical area “Other countries”, irrespective of the exposure class where the exposure to supranational organisations is assigned.












87.


Data regarding “original exposure pre-conversion factors” shall be reported referring to the country of residence of the immediate obligor. Data regarding “exposure value” and “Risk weighted exposure amounts” shall be reported as of the country of residence of the ultimate obligor.




3.4.1.   C 09.01 – Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1)
3.4.1.1.   Instructions concerning specific positions






Columns




0010



ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Same definition as for column 0010 of CR SA template




0020



Defaulted exposures

Original exposure pre-conversion factors for those exposures which have been classified as “exposures in default” and for defaulted exposures assigned to the exposure classes “exposures associated with particularly high risk” or “equity exposures”.
This “memorandum item” shall provide additional information about the obligor structure of defaulted exposures. Exposures classified as “exposures in default” as referred to in Article 112, point (j), of Regulation (EU) No 575/2013 shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes “exposures in default”.
This information is a “memorandum item” – hence does not affect the calculation of risk weighted exposure amounts of exposure classes “exposures in default”, “exposures associated with particularly high risk” or “equity exposures” as referred to in Article 112, points (j), (k) and (p), of Regulation (EU) No 575/2013.




0040



Observed new defaults for the period

The amount of original exposures which have moved into exposure class “Exposures in default” during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.




0050



General credit risk adjustments

Credit risk adjustments as referred to in Article 110 of Regulation (EU) No 575/2013, as well as Regulation (EU) 183/2014.
This item shall include the general credit risk adjustments that are eligible for inclusion in T2 capital, before the application of the cap referred to in Article 62, point (c), of Regulation (EU) No 575/2013.
The amount to be reported shall be gross of tax effects.




0055



Specific credit risk adjustments

Credit risk adjustments as referred to in Article 110 of Regulation (EU) No 575/2013, as well as Regulation (EU) 183/2014.




0060



Write-offs

Write-offs as referred to in IFRS 9.5.4.4 and B5.4.9.




0061



Additional value adjustments and other own funds reductions

In line with Article 111 of Regulation (EU) No 575/2013.




0070



Credit risk adjustments/write-offs for observed new defaults

Sum of credit risk adjustments and write-offs for those exposures which were classified as “defaulted exposures” during the 3-month period since the last data submission.




0075



Exposure value

Same definition as for column 0200 of CR SA template




0080



RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

Same definition as for column 0215 of CR SA template




0081



(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE SME SUPPORTING FACTOR

Same definition as for column 0216 of CR SA template




0082



(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

Same definition as for column 0217 of CR SA template




0090



RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

Same definition as for column 0220 of CR SA template













Rows




0010



Central governments or central banks

Article 112, point (a), of Regulation (EU) No 575/2013




0020



Regional governments or local authorities

Article 112, point (b), of Regulation (EU) No 575/2013




0030



Public sector entities

Article 112, point (c), of Regulation (EU) No 575/2013




0040



Multilateral developments banks

Article 112, point (d), of Regulation (EU) No 575/2013




0050



International organisations

Article 112, point (e), of Regulation (EU) No 575/2013




0060



Institutions

Article 112, point (f), of Regulation (EU) No 575/2013




0070



Corporates

Article 112, point (g), of Regulation (EU) No 575/2013




0075



of which: SME

Same definition as for row 0020 of CR SA template




0080



Retail

Article 112, point (h), of Regulation (EU) No 575/2013




0085



of which: SME

Same definition as for row 0020 of CR SA template




0090



Secured by mortgages on immovable property

Article 112, point (i), of Regulation (EU) No 575/2013




0095



of which: SME

Same definition as for row 0020 of CR SA template




0100



Exposures in default

Article 112, point (j), of Regulation (EU) No 575/2013




0110



Items associated with particularly high risk

Article 112, point (k), of Regulation (EU) No 575/2013




0120



Covered bonds

Article 112, point (l), of Regulation (EU) No 575/2013




0130



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

Article 112, point (n), of Regulation (EU) No 575/2013




0140



Collective investments undertakings (CIU)

Article 112, point (o), of Regulation (EU) No 575/2013
Sum of rows 0141 to 0143




0141



Look-through approach

Same definition as for row 0281 of CR SA template




0142



Mandate-based approach

Same definition as for row 0282 of CR SA template




0143



Fall-back approach

Same definition as for row 0283 of CR SA template




0150



Equity exposures

Article 112, point (p), of Regulation (EU) No 575/2013




0160



Other exposures

Article 112, point (q), of Regulation (EU) No 575/2013




0170



Total exposures





3.4.2.   C 09.02 – Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2)
3.4.2.1.   Instructions concerning specific positions






Columns


 




0010



ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Same definition as for column 0020 of CR IRB template




0030



Of which defaulted

Original exposure value for those exposures which have been classified as defaulted exposures in accordance with Article 178 of Regulation (EU) No 575/2013




0040



Observed new defaults for the period

The amount of original exposures which were classified as “defaulted exposures” during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.




0050



General credit risk adjustments

Credit risk adjustments as referred to in Article 110 of Regulation (EU) No 575/2013, as well as Regulation (EU) 183/2014




0055



Specific credit risk adjustments

Credit risk adjustments as referred to in Article 110 of Regulation (EU) No 575/2013, as well as Regulation (EU) 183/2014




0060



Write-offs

Write-offs as referred to in IFRS 9.5.4.4 and B5.4.9




0070



Credit risk adjustments/write-offs for observed new defaults

Sum of credit risk adjustments and write-offs for those exposures which were classified as “defaulted exposures” during the 3-month period since the last data submission




0080



INTERNAL RATING SCALE/ PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

Same definition as for column 0010 of CR IRB template




0090



EXPOSURE WEIGHTED AVERAGE LGD (%)

Same definition as for columns 0230 and 0240 of CR IRB template: the exposure weighted average LGD (%) shall refer to all exposures, including exposures to large financial sector entities and unregulated financial entities. Article 181(1), point (h), of Regulation (EU) No 575/2013 shall apply.
For specialised lending exposures where the PD is estimated, the reported value should be either the estimated or the regulatory LGD. For specialised lending exposures referred to in Article 153(5) of Regulation (EU) No 575/2013, data cannot be reported as it is not available.




0100



Of which: defaulted

Exposure weighted LGD for those exposures which have been classified as defaulted exposures in accordance with Article 178 of Regulation (EU) No 575/2013




0105



Exposure value

Same definition as for column 0110 of CR IRB template




0110



RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

Same definition as for column 0255 of CR IRB template




0120



Of which defaulted

Risk weighted exposure amount for those exposures which have been classified as defaulted exposures in accordance with Article 178(1) of Regulation (EU) No 575/2013




0121



(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

Same definition as for column 0256 of CR IRB template




0122



(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

Same definition as for column 0257 of CR IRB template




0125



RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

Same definition as for column 0260 of CR IRB template




0130



EXPECTED LOSS AMOUNT

Same definition as for column 0280 of CR IRB template













Rows


 




0010



Central banks and central governments

Article 147(2), point (a), of Regulation (EU) No 575/2013




0020



Institutions

Article 147(2), point (b), of Regulation (EU) No 575/2013




0030



Corporates

All exposures to corporates as referred to in Article 147(2), point (c), of Regulation (EU) No 575/2013




0042



Of which: Specialised lending (excl. SL subject under the slotting approach)

Article 147(8), point (a), of Regulation (EU) No 575/2013
Data shall not be reported for specialised lending exposures as referred to in Article 153(5) of Regulation (EU) No 575/2013.




0045



Of which: Specialised lending under the slotting approach

Article 147(8), point (a), and Article 153(5) of Regulation (EU) No 575/2013




0050



Of which: SME

Article 147(2), point (c), of Regulation (EU) No 575/2013
Under the IRB approach, the reporting entities shall use their internal definition of SME, as applied in internal risk management processes.




0060



Retail

All retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013




0070



Retail – Secured by immovable property

Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 which are secured by real estate
Retail exposures secured by immovable property will be considered any retail exposures secured by immovable property recognised as collateral, regardless of the ratio of the value of collateral to the exposure or of the purpose of the loan.




0080



SME

Retail exposures as referred to in Article 147(2), point (d) and Article 154(3) of Regulation (EU) No 575/2013 which are secured by real estate




0090



non-SME

Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 which are secured by real estate




0100



Retail – Qualifying revolving

Retail exposures as referred to in Article 147(2), point (d) in conjunction with Article 154(4) of Regulation (EU) No 575/2013




0110



Other Retail

Other retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 which are not reported in rows 0070 – 0100




0120



SME

Other retail exposures to SMEs as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013




0130



non-SME

Other retail exposures to individuals as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013




0140



Equity

Equity exposures as referred to in Article 147(2), point (e), of Regulation (EU) No 575/2013




0150



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








88.


This template aims at receiving more information regarding the elements of the institution-specific countercyclical capital buffer. The information required refers to the own funds requirements determined in accordance with Part Three, Title II and Title IV of Regulation (EU) No 575/2013 and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution-specific countercyclical capital buffer (CCB) in accordance with Article 140 of Directive 2013/36/EU (relevant credit exposures).












89.


Information in template C 09.04 shall be reported for the “Total” of relevant credit exposures across all jurisdictions where those exposures are located and individually for each of the jurisdictions in which relevant credit exposures are located. The total figures as well as the information of each jurisdiction shall be reported in a separate dimension.












90.


The threshold set in Article 5(5) of this Implementing Regulation shall not apply for the reporting of this breakdown.












91.


In order to determine the geographical location, the exposures shall be allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014 (4). Therefore, CRM techniques shall not change the allocation of an exposure to its geographical location for the purpose of reporting information set out in this template.




3.4.3.2.   Instructions concerning specific positions






Columns


 




0010



Amount

The value of the relevant credit exposures and their associated own-funds requirements determined in accordance with the instructions for the respective row.




0020



Percentage





0030



Qualitative Information

This information shall only be reported for the country of residence of the institution (the jurisdiction corresponding to its home Member State) and the “Total” of all countries.
Institutions shall report either {y} or {n} in accordance with the instructions for the relevant row.













Rows


 




0010-0020



Relevant credit exposures – Credit risk

Relevant credit exposures as referred to in Article 140(4), point (a), of Directive 2013/36/EU.




0010



Exposure value under the Standardised approach

Exposure value calculated in accordance with Article 111 of Regulation (EU) No 575/2013 for relevant credit exposures as referred to in Article 140(4), point (a), of Directive 2013/36/EU.
The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 0055.




0020



Exposure value under the IRB approach

Exposure value calculated in accordance with Article 166 of Regulation (EU) No 575/2013 for relevant credit exposures as referred to in Article 140(4), point (a), of Directive 2013/36/EU.
The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 0055.




0030-0040



Relevant credit exposures – Market risk

Relevant credit exposures as referred to in Article 140(4), point (b), of Directive 2013/36/EU.




0030



Sum of long and short positions of trading book exposures for Standardised approach

Sum of net long and net short positions in accordance with Article 327 of Regulation (EU) No 575/2013 of relevant credit exposures as referred to in Article 140(4), point (b), of Directive 2013/36/EU subject to own funds requirements under Part Three, Title IV, Chapter 2of Regulation (EU) No 575/2013:






—


exposures to debt instruments other than securitisation;










—


exposures to securitisation positions in the trading book;










—


exposures to correlation trading portfolios;










—


exposures to equity securities;










—


exposures to CIUs where capital requirements are calculated in accordance with Article 348 of Regulation (EU) No 575/2013.








0040



Value of trading book exposures under internal models

For relevant credit exposures as referred to in Article 140(4), point (b), of Directive 2013/36/EU subject to own funds requirements under Part Three, Title IV, Chapters 2 and 5 of Regulation (EU) No 575/2013, the sum of the following shall be reported:






—


Fair value of non-derivative positions, that represent relevant credit exposures as referred to in Article 140(4), point (b), of Directive 2013/36/EU, determined in accordance with Article 104 of Regulation (EU) No 575/2013.










—


Notional value of derivatives, that represent relevant credit exposures as referred to in Article 140(4), point (b), of Directive 2013/36/EU.








0055



Relevant credit exposures – Securitisation positions in the banking book

Exposure value calculated in accordance with Article 248 of Regulation (EU) No 575/2013 for relevant credit exposures as referred to in Article 140(4), point (c), of Directive 2013/36/EU.




0070-0110



Own funds requirements and weights





0070



Total own funds requirements for CCB

The sum of rows 0080, 0090 and 0100.




0080



Own funds requirements for relevant credit exposures – Credit risk

Own funds requirements calculated in accordance with Part Three, Title II, Chapters 1 to 4 and Chapter 6 of Regulation (EU) No 575/2013 for relevant credit exposures as referred to in Article 140(4), point (a), of Directive 2013/36/EU, in the country in question.
Own fund requirements for securitisation positions in the banking book shall be excluded from this row and reported in row 0100.
The own-funds requirements are 8 % of the risk-weighted exposure amount determined in accordance with Part Three, Title II, Chapters 1 to 4 and Chapter 6 of Regulation (EU) No 575/2013.




0090



Own funds requirements for relevant credit exposures – Market risk

Own funds requirements calculated in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013for specific risk, or in accordance with of of Part Three, Title IV, Chapter 5 of Regulation (EU) No 575/2013 for incremental default and migration risk for relevant credit exposures as referred to in Article 140(4), point (b), of Directive 2013/36/EU, in the country in question.
The own funds requirements for relevant credit exposures under the market risk framework shall include, among others, the own fund requirements for securitisation positions calculated in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013 and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 of that Regulation.




0100



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

Own funds requirements calculated in accordance with Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013 for relevant credit exposures as referred to in Article 140(4), point (c), of Directive 2013/36/EU in the country in question.
The own-funds requirements are 8 % of the risk-weighted exposure amount calculated in accordance with Part Three, Title II, Chapter 5of Regulation (EU) No 575/2013.




0110



Own funds requirements weights

The weight applied to the countercyclical buffer rate in each country shall be calculated as a ratio of own fund requirements, determined as follows:






1.


Numerator: The total own funds requirements that relate to the relevant credit exposures in the country in question [r0070; c0010; country sheet ],










2.


Denominator: The total own funds requirements that relate to all credit exposures relevant for the calculation of the countercyclical buffer as referred to in Article 140(4) of Directive 2013/36/EU [r0070; c0010; “Total”].




Information on the Own fund requirements weights shall not be reported for the “Total” of all countries.




0120-0140



Countercyclical buffer rates





0120



Countercyclical capital buffer rate set by the Designated Authority

Countercyclical capital buffer rate set for the country in question by the Designated Authority of that country in accordance with Articles 136, 137, 139, Article 140(2), points (a) and (c), and Article 140(3), point (b), of Directive 2013/36/EU.
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.




0130



Countercyclical capital buffer rate applicable for the country of the institution

Countercyclical capital buffer rate applicable for the country in question which was set by the Designated Authority of the country of residence of the institution, in accordance with Articles 137, 138, 139 and Article 140(2), point (b) and Article 140(3), point (a), of Directive 2013/36/EU. 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.




0140



Institution-specific countercyclical capital buffer rate

Institution-specific countercyclical capital buffer rate, calculated in accordance with Article 140(1) of Directive 2013/36/EU.
The institution-specific countercyclical capital buffer rate shall be calculated as the weighted average of the countercyclical buffer rates that apply in the jurisdictions where the relevant credit exposures of the institution are located or are applied for the purposes of Article 140 by virtue of Article 139, paragraphs 2 or 3 of Directive 2013/36/EU. The relevant countercyclical buffer rate shall reported in [r0120; c0020; country sheet], or [r0130; c0020; country sheet], as applicable.
The weight applied to the countercyclical buffer rate in each country shall be the share of own funds requirements in total own funds requirements, and shall be reported in [r0110; c0020; country sheet].
Information on the institution-specific countercyclical capital buffer rate shall only be reported for the “Total” of all countries and not for each country separately.




0150 - 0160



Use of the 2 % threshold





0150



Use of 2 % threshold for general credit exposure

In accordance with Article 2(5), point (b), of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, the aggregate of which does not exceed 2 % of the aggregate of the general credit, trading book and securitisation exposures of that institution, may be allocated to the institutions’ home member state. The aggregate of the general credit, trading book and securitisation exposures shall be calculated by excluding the general credit exposures located in accordance with 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 template for the jurisdiction corresponding to its home Member State and for the “Total” of all countries.
If an institution does not make use of this derogation, it shall indicate “n” in the respective cell.




0160



Use of 2 % threshold for trading book exposure

In accordance with Article 3(3) of Commission Delegated Regulation (EU) No 1152/2014, institutions may allocate trading book exposures to their home Member State where the total trading book exposures do not exceed 2 % of their total general credit, trading book and securitisation exposures.
If the institution makes use of this derogation, it shall indicate “y” in the template for the jurisdiction corresponding to its home Member State and for the “Total” of all countries.
If an institution does not make use of this derogation, it shall indicate “n” in the respective cell.




3.5.   C 10.01 AND C 10.02 – EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2)
3.5.1.   General remarks








92.


The CR EQU IRB template consists of two templates: CR EQU IRB 1 provides a general overview of IRB exposures of the equity exposure class and the different methods to calculate total risk exposure amounts. CR EQU IRB 2 provides a breakdown of total exposures assigned to obligor grades in the context of the PD/LGD approach. “CR EQU IRB” refers to both “CR EQU IRB 1” and “CR EQU IRB 2” templates, as applicable, in the following instructions.












93.


The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (Article 92(3), point (a), of Regulation (EU) No 575/2013) in accordance with Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013 for equity exposures as referred to in of Article 147(2), point (e), of that Regulation.












94.


In accordance with Article 147(6) of Regulation (EU) No 575/2013, the following exposures shall be assigned to the equity exposure class:






(a)


non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer;










(b)


debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance of which is similar to the exposures specified in point (a).
















95.


Collective investment undertakings treated in accordance with the simple risk weight approach as referred to in Article 152(4), point (a), of Regulation (EU) No 575/2013 or treated in accordcnace with the fall-back approach of Article 152(6) of that Regulation shall also be reported in the CR EQU IRB template.












96.


In accordance with Article 151(1) of Regulation (EU) No 575/2013, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 of Regulation (EU) No 575/2013:






—


the Simple Risk Weight approach;










—


the PD/LGD approach;










—


the Internal Models approach.




In accordance with Article 155 of Regulation (EU) No 575/2013, 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.
Moreover, institutions applying the IRB approach shall also report in the CR EQU IRB template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the Standardised approach for credit risk), e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) of Regulation (EU) No 575/2013, respectively a risk-weight of 370 % in accordance with Article 471(2) of the Regulation.












97.


The following equity claims shall not be reported in the CR EQU IRB template:






—


Equity exposures in the trading book (where institutions are not exempted from calculating own funds requirements for trading book positions (Article 94 of Regulation (EU) No 575/2013)).










—


Equity exposures subject to the partial use of the Standardised approach (Article 150 of Regulation (EU) No 575/2013), including:










—


Equity exposures grandfathered in accordance with Article 495(1) of Regulation (EU) No 575/2013;










—


Equity exposures to entities the credit obligations of which are assigned a 0 % risk weight under the Standardised approach, including those publicly sponsored entities where a 0 % risk weight can be applied (Article 150(1), point (g), of Regulation (EU) No 575/2013),










—


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 Regulation (EU) No 575/2013),










—


Equity exposures to ancillary services undertakings the risk weighted exposure amounts of which may be calculated in accordance with the treatment of “other non credit-obligation assets” (Article 155(1) of Regulation (EU) No 575/2013),










—


Equity claims deducted from own funds in accordance with Articles 46 and 48 of Regulation (EU) No 575/2013.








3.5.2.   Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2)






Columns




0005



OBLIGOR GRADE (ROW IDENTIFIER)

The obligor grade shall be a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.




0010



INTERNAL RATING SCALE


PD ASSIGNED TO THE OBLIGOR GRADE (%)

Institutions applying the PD/LGD approach shall report in column 0010 the probability of default (PD) calculated in accordance with Article 165(1) of Regulation (EU) No 575/2013.
The PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements laid down in Part Three, Title II, Chapter 3, Section 6 of Regulation (EU) No 575/2013. For each individual grade or pool, the PD assigned to that specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating scale approved by the respective competent authority.
For figures corresponding to an aggregation of obligor grades or pools (e.g. “total exposures”), the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. All exposures, including defaulted exposures, are to be considered for the purpose of the calculation of the exposure weighted average PD. For the calculation of the exposure-weighted average PD, the exposure value taking into account unfunded credit protection (column 0060) shall be used for weighting purposes.




0020



ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Institutions report in column 0020 the original exposure value (pre-conversion factors). In accordance with Article 167 of Regulation (EU) No 575/2013, the exposure value for equity exposures shall be the accounting value remaining after specific credit risk adjustments. The exposure value of off-balance sheet equity exposures shall be its nominal value after specific credit risk adjustments.
Institutions shall also include in column 0020 the off balance sheet items referred to in Annex I of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013) shall also take into account the offsetting referred to in Article 155(2), second subparagraph of Regulation (EU) No 575/2013.




0030-0040



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


UNFUNDED CREDIT PROTECTION


GUARANTEES


CREDIT DERIVATIVES

Irrespective of the approach adopted for the calculation of risk weighted exposure amounts for equity exposures, institutions may recognise unfunded credit protection obtained on equity exposures (Article 155, paragraphs 2, 3 and 4 of Regulation (EU) No 575/2013). Institutions applying the Simple Risk Weight approach or the PD/LGD approach shall report in columns 0030 and 0040 the amount of unfunded credit protection under the form of guarantees (column 0030) or credit derivatives (column 0040) recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of Regulation (EU) No 575/2013.




0050



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


SUBSTITUTION OF THE EXPOSURE DUE TO CRM


(-) TOTAL OUTFLOWS

Institutions shall report in column 0050 the part of the original exposure pre-conversion factors covered by unfunded credit protection recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of Regulation (EU) No 575/2013.




0060



EXPOSURE VALUE

Institutions applying the Simple Risk Weight approach or the PD/LGD approach shall report in column 0060 the exposure value, taking into account substitution effects stemming from unfunded credit protection (Article 155, paragraphs 2 and 3 and Article 167 of Regulation (EU) No 575/2013).
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 Regulation (EU) No 575/2013).




0061



OF WHICH: OFF BALANCE SHEET ITEMS

See CR-SA instructions




0070



EXPOSURE WEIGHTED AVERAGE LGD (%)

Institutions applying the PD/LGD approach shall report the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation
The exposure value taking into account unfunded credit protection (column 0060) shall be used for the calculation of the exposure-weighted average LGD.
Institutions shall take into account Article 165(2) of Regulation (EU) No 575/2013.




0080



RISK WEIGHTED EXPOSURE AMOUNT

Institutions shall report risk-weighted exposure amounts for equity exposures calculated in accordance with Article 155 of Regulation (EU) No 575/2013.
Where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 of Regulation (EU) No 575/2013, a scaling factor of 1,5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) of Regulation (EU) No 575/2013).
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 Regulation (EU) No 575/2013).




0090



MEMORANDUM ITEM: EXPECTED LOSS AMOUNT

Institutions shall report in column 0090 the expected loss amount for equity exposures calculated in accordance with Article 158, paragraphs 4, 7, 8 and 9 of Regulation (EU) No 575/2013.












98.


[Deleted]










Rows




CR EQU IRB 1 - row 0020,



PD/LGD APRROACH: TOTAL

Institutions applying the PD/LGD approach (Article 155(3) of Regulation (EU) No 575/2013) shall report the required information in row 0020 of the CR EQU IRB 1 template.




CR EQU IRB 1 - rows 0050- 0090



SIMPLE RISK WEIGHT APPROACH: TOTAL


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

Institutions applying the Simple Risk Weight approach (Article 155(2) of Regulation (EU) No 575/2013) shall report the required information in accordance with the characteristics of the underlying exposures in rows 0050 to 0090.




CR EQU IRB 1 - row 0100



INTERNAL MODELS APPROACH

Institutions applying the Internal Models approach (Article 155(4) of Regulation (EU) No 575/2013) shall report the required information in row 0100.




CR EQU IRB 1 - row 0110



EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS

Institutions applying the IRB Approach shall report risk weighted exposure amounts for those equity exposures which attract a fixed risk weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised approach), including the following exposures:






—


the risk weighted exposure amount of equity positions in financial sector entities treated in accordance with Article 48(4) of Regulation (EU) No 575/2013, as well as










—


equity positions risk-weighted with 370 % in accordance with Article 471(2) of Regulation (EU) No 575/2013 shall be reported in row 0110.








CR EQU IRB 1 - row 0120



CIU EXPOUSURES SUBJECT TO THE FALL-BACK APPROACH

Exposures in the form of units or shares in CIUs treated in accordance with the fall-back approach of Article 152(6) of Regulation (EU) No 575/2013 shall also be reported in this row.




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 Regulation (EU) No 575/2013) shall report the required information in the CR EQU IRB 2 template.
Institutions using the PD/LGD approach that apply a unique rating scale or that are able to report in accordance with an internal master scale shall report in CR EQU IRB 2 the rating grades or pools associated to this unique rating scale/master scale. In any other case, the different rating scales shall be merged and ordered in accordance with the following criteria: Obligor grades or pools of the different rating scales shall be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher.




3.6.   C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)
3.6.1.   General remarks








99.


This template requests information on both trading and non-trading book transactions which are unsettled after their due delivery dates, and their corresponding own funds requirements for settlement risk as referred to in Article 92(3), point (c)(ii) and Article 378 of Regulation (EU) No 575/2013.












100.


Institutions shall report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book.












101.


In accordance with Article 378 of Regulation (EU) No 575/2013, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to own funds requirements for settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates shall nevertheless be subject to own funds requirements for settlement/delivery risk as determined in Article 378 of Regulation (EU) No 575/2013.












102.


In case of unsettled transactions after the due delivery date, institutions shall calculate the price difference to which they are exposed. That is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the institution.












103.


Institutions shall multiply that difference by the appropriate factor of Article 378, Table 1 of Regulation (EU) No 575/2013 to determine the corresponding own funds requirements.












104.


In accordance with Article 92(4), point (b), of Regulation (EU) No 575/2013, the own funds requirements for settlement/delivery risk shall be multiplied by 12,5 to calculate the risk exposure amount.












105.


Note that own funds requirements for free deliveries as laid down in Article 379 of Regulation (EU) No 575/2013 are not within the scope of the CR SETT template. Those own funds requirements shall be reported in the credit risk templates (CR SA, CR IRB).




3.6.2.   Instructions concerning specific positions






Columns




0010



UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE

Institutions shall report the unsettled transactions after their due delivery date at the respective agreed settlement prices as referred to in Article 378 of Regulation (EU) No 575/2013.
All unsettled transactions shall be included in this column, irrespective of whether or not they are at a gain or at a loss after the due settlement date.




0020



PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS

Institutions shall report the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution, as referred to in Article 378 of Regulation (EU) No 575/2013.
Only unsettled transactions at a loss after the due settlement date shall be reported in this column.




0030



OWN FUNDS REQUIREMENTS

Institutions shall report the own funds requirements calculated in accordance with Article 378 of Regulation (EU) No 575/2013.




0040



TOTAL SETTLEMENT RISK EXPOSURE AMOUNT

In accordance with Article 92(4), point (b), of Regulation (EU) No 575/2013, institutions shall multiply their own funds requirements reported in column 0030 by 12.5 in order to obtain the settlement risk exposure amount.













Rows




0010



Total unsettled transactions in the Non-trading Book

Institutions shall report aggregated information about settlement/delivery risk for non-trading book positions (as referred to in Article 92(3), point (c)(ii) and Article 378 of Regulation (EU) No 575/2013).
Institutions shall report in {r0010;c0010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.
Institutions shall report in {r0010;c0020} the aggregated information for price difference exposure due to unsettled transactions at a loss.
Institutions shall report in {r0010;c0030] the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the “price difference” reported in column 0020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Article 378, Table 1 of Regulation (EU) No 575/2013).




0020-0060



Transactions unsettled up to 4 days (Factor 0 %)


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


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


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


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

Institutions shall report in rows 0020 to 0060 the information about settlement/delivery risk for non-trading book positions in accordance with the categories referred to in Article 378, Table 1 of Regulation (EU) No 575/2013.
No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.




0070



Total unsettled transactions in the Trading Book

Institutions shall report aggregated information about settlement/delivery risk for trading book positions (as referred to in Article 92(3), point (c)(ii) and Article 378 of Regulation (EU) No 575/2013).
Institutions shall report in {r0070;c0010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.
Institutions shall report in {r0070;c0020} the aggregated information for price difference exposure due to unsettled transactions at a loss.
Institutions shall report in {r0070;c0030} the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the “price difference” reported in column 0020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Article 378, Table 1 of Regulation (EU) No 575/2013).




0080-0120



Transactions unsettled up to 4 days (Factor 0 %)


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


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


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


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

Institutions shall report in rows 0080 to 0120 the information about settlement/delivery risk for trading book positions in accordance with the categories referred to in Article 378, Table 1 of Regulation (EU) No 575/2013.
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 13.01 - CREDIT RISK – SECURITISATIONS (CR SEC)
3.7.1.   General remarks








106.


Where institution acts as originator, the information in this template shall be required for all securitisations for which a significant risk transfer is recognised. Where the institution acts as investor, all exposures shall be reported.












107.


The information to be reported shall be contingent on the role of the institution in the securitisation process. As such, specific reporting items shall be applicable for originators, sponsors and investors.












108.


This template shall gather joint information on both traditional and synthetic securitisations held in the banking book.




3.7.2.   Instructions concerning specific positions






Columns




0010



TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED

Originator institutions shall report the outstanding amount at the reporting date of all current securitisation exposures originated in the securitisation transaction, irrespective of who holds the positions. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, credit default swaps, etc.) that have been originated in the securitisation shall be reported.
In case of traditional securitisations where the originator does not hold any position, the originator shall not consider that securitisation in the reporting of this template. For that purpose, securitisation positions held by the originator shall include early amortisation provisions, as defined in Article 242(16) of Regulation (EU) No 575/2013, in a securitisation of revolving exposures.




0020-0040



SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

Articles 251 and 252 of Regulation (EU) No 575/2013.
Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure.




0020



(-) FUNDED CREDIT PROTECTION (CVA)


The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which shall be reported in this column is laid down in Article 223(2) of Regulation (EU) No 575/2013.




0030



(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

Following the general rule for “inflows” and “outflows”, the amounts reported under this column shall appear as “inflows” in the corresponding credit risk template (CR SA or CR IRB) and exposure class to which the reporting entity allocates the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection).
The calculation procedure of the “foreign exchange risk”- adjusted nominal amount of the credit protection (G*) is laid down in Article 233(3) of Regulation (EU) No 575/2013.




0040



NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount.
The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection.




0050



SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

This column shall include the exposure values of securitisation positions held by the reporting institution, calculated in accordance with Article 248, paragraphs 1 and 2 of Regulation (EU) No 575/2013, without applying credit conversion factors, gross of value adjustments and provisions, and any non-refundable purchase price discounts on the securitised exposures as referred to in Article 248(1), point (d), of Regulation (EU) No 575/2013, and gross of value adjustments and provisions on the securitisation position.
Netting shall only be relevant with respect to multiple derivative contracts provided to the same SSPE, covered by an eligible netting agreement.
In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest shall be the result of the aggregation of columns 0010 to 0040.




0060



(-) VALUE ADJUSTMENTS AND PROVISIONS

Article 248 of Regulation (EU) No 575/2013. Value adjustments and provisions to be reported in this column shall only refer to securitisation positions. Value adjustments of securitised exposures shall not be considered.




0070



EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

This column shall include the exposure values of securitisation positions calculated in accordance with Article 248(1) and (2) of Regulation (EU) No 575/2013, net of value adjustments and provisions, without applying conversion factors and gross of any non-refundable purchase price discounts on the securitised exposures as referred to in Article 248(1), point (d), of Regulation (EU) No 575/2013, and net of value adjustments and provisions on the securitisation position.




0080-0110



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

Article 4(1), point (57), Part Three, Title II, Chapter 4 and Article 249 of Regulation (EU) No 575/2013
Institutions shall report in these columns information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows).
Collateral that has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value.
Items to be reported here:






1.


collateral, incorporated in accordance with Article 222 of Regulation (EU) No 575/2013 (Financial Collateral Simple Method);










2.


eligible unfunded credit protection.








0080



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


Unfunded credit protection as defined in Article 4(1), point (59), Articles 234 to 236 of Regulation (EU) No 575/2013.




0090



(-) FUNDED CREDIT PROTECTION

Funded credit protection as defined in Article 4(1), point (58), of Regulation (EU) No 575/2013, as referred to in the Article 249(2), first subparagraph of that Regulation and as regulated in Articles 195, 197 and 200 of that Regulation.
Credit linked notes and on-balance sheet netting as referred to in Articles 218 and 219 of Regulation (EU) No 575/2013 shall be treated as cash collateral.




0100-0110



SUBSTITUTION OF THE EXPOSURE DUE TO CRM:

Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall be reported.




0100



(-) TOTAL OUTFLOWS

Article 222(3), Article 235, paragraphs 1 and 2 and Article 236 of Regulation (EU) No 575/2013.
Outflows shall correspond to the covered part of the “Exposure net of value adjustments and provisions” that is deducted from the obligor's exposure class and, where relevant, risk weight or obligor grade, and subsequently assigned to the protection provider's exposure class and, where relevant, risk weight or obligor grade.
That amount shall be considered as an Inflow into the protection provider's exposure class and, where relevant, risk weights or obligor grades.




0110



TOTAL INFLOWS

Securitisation positions which are debt securities and are used as eligible financial collateral in accordance with Article 197(1) of Regulation (EU) No 575/2013 and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column.




0120



NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS

This column shall include the exposures assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to “Credit risk mitigation (CRM) techniques with substitution effects on the exposure”.




0130



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

Articles 223 to 228 of Regulation (EU) No 575/2013
The reported amount shall also include credit linked notes (Article 218 of Regulation (EU) No 575/2013).




0140



FULLY ADJUSTED EXPOSURE VALUE (E*)

The exposure value of securitisation positions calculated in accordance with Article 248 of Regulation (EU) No 575/2013, but without applying the conversion factors laid down in Article 248(1), point (b), of that Regulation




0150



OF WHICH: SUBJECT TO A CCF OF 0 %

Article 248(1), point (b), of Regulation (EU) No 575/2013
In this respect, Article 4(1), point (56), of Regulation (EU) No 575/2013 defines a conversion factor.
For reporting purposes, fully adjusted exposure values (E*) shall be reported for the 0 % conversion factor.




0160



(-)NON REFUNDABLE PURCHASE PRICE DISCOUNT

In accordance with Article 248(1), point (d), of Regulation (EU) No 575/2013, an originator institution may deduct from the exposure value of a securitisation position which is assigned a 1 250  % risk weight any non-refundable purchase price discounts connected with such underlying exposures to the extent that such discounts have caused the reduction of own funds.




0170



(-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES

In accordance with Article 248(1), point (d), of Regulation (EU) No 575/2013, an originator institution may deduct from the exposure value of a securitisation position, which is assigned a 1 250  % risk weight or is deducted from Common Equity Tier 1, the amount of the specific credit risk adjustments on the underlying exposures as determined in accordance with Article 110 of Regulation (EU) No 575/2013.




0180



EXPOSURE VALUE

The exposure value of securitisation positions calculated in accordance with Article 248 of Regulation (EU) No 575/2013




0190



(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

In accordance with Article 244(1), point (b), Article 245(1), point (b) and Article 253(1) of Regulation (EU) No 575/2013, in case of a securitisation position to which a 1 250  % risk weight applies, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position.




0200



EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

Exposure value minus the exposure value deducted from own funds.




0210



SEC-IRBA

Article 254(1), point (a), of Regulation (EU) No 575/2013




0220-0260



BREAKDOWN BY RW BANDS

SEC-IRBA exposures broken down by risk-weight bands.




0270



OF WHICH: CALCULATED UNDER ARTICLE 255(4) (PURCHASED RECEIVABLES)

Article 255(4) of Regulation (EU) No 575/2013
For the purpose of this column, retail exposures shall be treated as purchased retail receivables and non-retail exposures as purchased corporate receivables.




0280



SEC-SA

Article 254(1), point (b), of Regulation (EU) No 575/2013




0290-0340



BREAKDOWN BY RW BANDS

SEC-SA exposures broken down by risk-weight bands.
For the RW = 1 250  % (W unknown), Article 261(2), point (b), fourth paragraph of Regulation (EU) No 575/2013 stipulates that the position in the securitisation shall be risk-weighted at 1 250  % where the institution does not know the delinquency status for more than 5 % of underlying exposures in the pool.




0350



SEC-ERBA

Article 254(1), point (c), of Regulation (EU) No 575/2013




0360-0570



BREAKDOWN BY CREDIT QUALITY STEPS (SHORT/LONG TERM CREDIT QUALITY STEPS)

Article 263 of Regulation (EU) No 575/2013
SEC-ERBA Securitisation positions with an inferred rating as referred to in Article 254(2) of Regulation (EU) No 575/2013 shall be reported as positions with a rating.
Exposure values subject to risk weights shall be broken down by short and long-term and credit quality steps (CQS) as laid down in Article 263, Tables 1 and 2 and Article 264, Tables 3 and 4 of Regulation (EU) No 575/2013.




0580-0630



BREAKDOWN BY REASON FOR APPLICATION OF SEC-ERBA

For each securitisation position, institutions shall consider one of the following options in columns 0580-0620.




0580



AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES

Article 254(2), point (c), of Regulation (EU) No 575/2013
All auto loans, auto leases and equipment leases shall be reported in this column, even if they qualify for Article 254(2), point (a) or (b) of Regulation (EU) No 575/2013.




0590



SEC-ERBA OPTION

Article 254(3) of Regulation (EU) No 575/2013




0600



POSITIONS SUBJECT TO ARTICLE 254(2), POINT (a), OF REGULATION (EU) No 575/2013

Article 254(2), point (a), of Regulation (EU) No 575/2013




0610



POSITIONS SUBJECT TO ARTICLE 254(2), POINT (b), OF REGULATION(EU) No 575/2013

Article 254(2), point (b), of Regulation (EU) No 575/2013




0620



POSITIONS SUBJECT TO ARTICLES 254(4) OR 258(2) OF REGULATION (EU) No 575/2013

Securitisation positions subject to SEC-ERBA, where the application of SEC-IRBA or SEC-SA has been precluded by the competent authorities in accordance with Articles 254(4) or 258(2) of Regulation (EU) No 575/2013




0630



FOLLOWING THE HIERARCHY OF APPROACHES

Securitisation positions where SEC-ERBA is applied by following the hierarchy of approaches laid down in Article 254(1) of Regulation (EU) No 575/2013




0640



INTERNAL ASSESSMENT APPROACH

Article 254(5) of Regulation (EU) No 575/2013 on the “Internal Assessment Approach” (IAA) for positions in ABCP programmes




0650-0690



BREAKDOWN BY RW BANDS

Internal Assessment Approach exposures broken down by risk-weight bands




0695



SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS

Article 269a(3) of Regulation (EU) No 575/2013




0700



OTHER (RW=1 250  %)

Where none of the previous approaches is applied, a risk weight of 1 250  % shall be assigned to securitisation positions in accordance with Article 254(7) of Regulation (EU) No 575/2013.




0710-0860



RISK-WEIGHTED EXPOSURE AMOUNT

Total risk-weighted exposure amount calculated in accordance with Section 3 of Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013, prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template.




0840



IAA: AVERAGE RISK WEIGHT (%)

The exposure-weighted average risk weights of the securitisation positions shall be reported in this column.




0860



RWEA OF WHICH: SYNTHETIC SECURITISATIONS

For synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch.




0870



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

Maturity mismatches in synthetic securitisations RW*-RW(SP), as calculated in accordance with Article 252 of Regulation (EU) No 575/2013, shall be included, except in the case of tranches subject to a risk weighting of 1 250  % where the amount to be reported shall be zero. RW(SP) shall not only include the risk weighted exposure amounts reported under column 0650, but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.




0880



OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402
 (5)

In accordance with Article 270a of Regulation (EU) No 575/2013, whenever certain requirements are not met by the institution, competent authorities shall impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1 250  %) which would apply to the relevant securitisation positions under Part Three, Title II, Chapter 5, Section 3 of Regulation (EU) No 575/2013.




0890



BEFORE CAP

Total risk-weighted exposure amount calculated in accordance with Part Three, Title II, Chapter 5, Section 3 of Regulation (EU) No 575/2013, before applying the limits specified in Articles 267 and 268 of that Regulation or in case of qualifying traditional NPE securitisations before Article 269a of Regulation (EU) No 575/2013 is applied.




0900



(-) REDUCTION DUE TO RISK WEIGHT CAP

In accordance with Article 267 of Regulation (EU) No 575/2013, an institution which has knowledge at all times of the composition of the underlying exposures may assign the senior securitisation position a maximum risk weight equal to the exposure-weighted-average risk weight that would be applicable to the underlying exposures as if the underlying exposures had not been securitised. For qualifying traditional NPE securitisations, Article 269a of Regulation (EU) No 575/2013, and in particular paragrapsh (6) and (7) thereof, shall be applied.




0910



(-) REDUCTION DUE TO OVERALL CAP

In accordance with Article 268 of Regulation (EU) No 575/2013, an originator institution, a sponsor institution or other institution using the SEC-IRBA or an originator institution or sponsor institution using the SEC-SA or the SEC-ERBA may apply a maximum capital requirement for the securitisation position it holds equal to the capital requirements that would be calculated under Part Three, Title II, Chapter 2 or 3 of Regulation (EU) No 575/2013 in respect of the underlying exposures had they not been securitised. For qualifying traditional NPE securitisations, Article 269a of Regulation (EU) No 575/2013, and in particular paragraphs (5) and (7) thereof, shall be applied.




0920



TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

Total risk-weighted exposure amount calculated in accordance with Part Three, Title II, Chapter 5, Section 3 of Regulation (EU) No 575/2013, considering the total risk weight as specified in Article 247(6) of that Regulation.




0930



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

Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions.












109.


The template is divided into three major blocks of rows which gather data on the originated / sponsored / retained or purchased exposures by originators, investors and sponsors. For each of them, the information shall be broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as if it is subject to differentiated capital treatment or not.












110.


Positions treated in accordance with the SEC-ERBA and unrated positions (exposures at reporting date) shall be broken down in accordance with the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.










Rows




0010



TOTAL EXPOSURES

Total exposures refer to the total amount of outstanding securitisations and re-securitisations. This row summarises all the information reported by originators, sponsors and investors in subsequent rows.




0020



SECURITISATION POSITIONS

Total amount of outstanding securitisation positions, as defined in Article 4(1), point (62), of Regulation (EU) No 575/2013, which are not re-securitisations as defined in Article 4(1), point (63), of Regulation (EU) No 575/2013.




0030



QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Total amount of securitisation positions which fulfil the criteria of Article 243, 270 or 494c of Regulation (EU) No 575/2013 and therefore qualify for differentiated capital treatment.




0040



EXPOSURES IN STS ABCP AND NON-ABCP TRADITIONAL SECURITISATIONS

Total amount of STS securitisation positions that meet the requirements set out in Article 243 of Regulation (EU) No 575/2013.




0050



GRANDFATHERED SENIOR POSITION IN SMEs SYNTHETIC SECURITISATIONS

Total amount of grandfathered senior synthetic securitisation positions in SMEs which meet the conditions set out in Article 494c of Regulation (EU) No 575/2013.




0051



SENIOR POSITIONS IN STS ON-BALANCE SHEET SECURITISATIONS

Total amount of senior securitisation positions in STS on-balance sheet securitisations which meet the conditions set out in Article 270 of Regulation (EU) No 575/2013.




0060, 0120, 0170, 0240, 0290, 0360 and 0410



NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Article 254, paragraphs 1, 4, 5 and 6 and Articles 259, 261, 263, 265, 266 and 269 of Regulation (EU) No 575/2013
Total amount of securitisation positions which do not qualify for differentiated capital treatment.




0070, 0190, 0310 and 0430



RE-SECURITISATION POSITIONS

Total amount of outstanding re-securitisations positions as defined in Article 4(1), point (64), of Regulation (EU) No 575/2013.




0080



ORIGINATOR: TOTAL EXPOSURES

This row summarises information on on-balance items and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of originator, as defined in Article 4(1), point (13), of Regulation (EU) No 575/2013.




0090-0136, 0210-0250 and 0330-0370



SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS

In accordance with Article 248(1), point (a), of Regulation (EU) No 575/2013, the exposure value of an on-balance sheet securitisation position shall be its accounting value remaining after any relevant specific credit risk adjustments on the securitisation position have been applied in accordance with Article 110 of Regulation (EU) No 575/2013.
On-balance sheet items shall be broken down to capture information regarding application of differentiated capital treatment, as referred to in Article 243 of Regulation (EU) No 575/2013, in rows 0100 and 0120 and on the total amount of senior securitisation positions, as defined in Article 242(6) of that Regulation, in rows 0110 and 0130.




0100, 0220 and 0340



QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Total amount of securitisation positions which fulfil the criteria of Article 243 of Regulation (EU) No 575/2013 and therefore qualify for differentiated capital treatment.




0110, 0131, 0134, 0160, 0180, 0230, 0251, 0254, 0280, 0300, 0350, 0371, 0374 0400 and 0420



OF WHICH: SENIOR EXPOSURES

Total amount of senior securitisation positions as defined in Article 242(6) of Regulation (EU) No 575/2013.




0121, 0241 and 0361



EXPOSURES IN NON-NPE SECURITISATIONS

Total amount of exposures which do not meet the conditions set out in Article 269a (1), point (a), of Regulation (EU) No 575/2013.




0133, 0253 and 0373



EXPOSURES IN NPE SECURITISATIONS

Total amount of exposures which meet the conditions set out in Article 269a (1), point (a), of Regulation (EU) No 575/2013.




0134, 0254 and 0374



OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS

Total amount of exposures which meet the conditions set out in Article 269a (1), point (b), of Regulation (EU) No 575/2013.




0135, 0255 and 0375



OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS

Total amount of exposures which do not meet the conditions set out in Article 269a (1), point (b), of Regulation (EU) No 575/2013.




0136, 0256 and 0376



OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS

Total amount of exposures which meet the conditions set out in Article 269a (1), point (a), of Regulation (EU) No 575/2013 and which do not meet the conditions set out in Article 269a (1), point (b), of Regulation (EU) No 575/2013.




0140-0180, 0260-0300 and 0380-0420



SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

These rows shall gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion factor unless otherwise specified.
Off-balance sheet securitisation positions arising from a derivative instrument listed in Annex II to the of Regulation (EU) No 575/2013, shall be determined in accordance with Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II to the of Regulation (EU) No 575/2013 shall be determined in accordance with Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013.
For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount.
For interest rate and currency swaps, the exposure value (calculated in accordance with Article 248(1) of Regulation (EU) No 575/2013) shall be provided.
Off-balance sheet items and derivatives shall be broken down to capture information regarding the application of differentiated capital treatment, as referred to in Article 270 of Regulation (EU) No 575/2013, in rows 0150 and 0170 and on the total amount of senior securitisation positions, as defined in Article 242(6) of Regulation (EU) No 575/2013, in rows 0160 and 0180. The same legal references as for rows 0100 to 0130 shall apply.




0150, 0270 and 0390



QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Total amount of securitisation positions which fulfil the criteria of Article 243 of Regulation (EU) No 575/2013 or, for originators only, Article 270 or Article 494c of Regulation (EU) No 575/2013 and therefore qualify for differentiated capital treatment.




0200



INVESTOR: TOTAL EXPOSURES

This row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of an investor.
For the purposes of this template, an investor shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.




0320



SPONSOR: TOTAL EXPOSURES

This row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of a sponsor, as defined in Article 4(1), point (14), of Regulation (EU) No 575/2013. If a sponsor is also securitising its own assets, it shall fill in the originator's rows with the information regarding its own securitised assets.




0440-0670



BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION

These rows gather information on outstanding positions (at reporting date) for which a credit quality step (as laid down in Article 263, Tables 1 and 2 and Article 264, Tables 3 and 4 of Regulation (EU) No 575/2013) was determined at origination date (inception). For securitisations positions treated under IAA, the CQS shall be the one at the time an IAA rating was first assigned. In the absence of this information, the earliest CQS-equivalent data available shall be reported.
These rows are only to be reported for columns 0180-0210, 0280, 0350-0640, 0700-0720, 0740, 0760-0830 and 0850.




3.8.   DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)
3.8.1.   Scope of the SEC DETAILS template








111.


These templates gather information on a transaction basis (versus the aggregate information reported in CR SEC, MKR SA SEC, MKR SA CTP, CA1 and CA2 templates) on all securitisations the reporting institution is involved in. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements shall be reported.












112.


These template are to be reported for:






a.


Securitisations originated / sponsored by the reporting institution, including where it holds no position in the securitisation. In cases where institutions hold at least one position in the securitisation, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 6 of Regulation (EU) 2017/2402 and, where Article 43(6) of that Regulation applies, Article 405 of Regulation (EU) No 575/2013 in the version applicable on 31 December 2018.










b.


Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. That underlying could include covered bonds or other liabilities and shall be identified as such in column 0160.










c.


Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).
Template C 14.01 shall only be reported for those securitisation positions treated under the securitisations framework.
















113.


These templates shall be reported by consolidated groups and stand-alone institutions (6) located in the same country where they are subject to own funds requirements. In case of securitisations involving more than one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided.












114.


Because of Article 5 of Regulation (EU) 2017/2402, which establishes that institutions investing in securitisation positions shall acquire a great deal of information on them in order to comply with due diligence requirements, the reporting scope of the template shall be applied to investors to a limited extent. In particular, they shall report columns 0010-0040; 0070-0110; 0160; 0190; 0290-0300; 0310-0470.












115.


Institutions playing the role of original lenders (not performing also the role of originators or sponsors in the same securitisation) shall generally report the template to the same extent as investors.




3.8.2   Breakdown of the SEC DETAILS template








116.


The SEC DETAILS consists of two templates. SEC DETAILS provides a general overview of the securitisations. SEC DETAILS 2 provides a breakdown of the securitisation positions subject to own funds requirements in accordance with Part Three, Title II, chapter 5, section 3 of Regulation (EU) No 575/2013 by approach applied.












117.


Securitisation positions in the trading book shall only be reported in columns 0010-0020, 0420, 0430, 0431, 0432, 0440 and 0450-0470. For columns 0420, 0430 and 0440, institutions shall take into account the RW corresponding to the own funds requirement of the net position.




3.8.3   C 14.00 – Detailed information on securitisations (SEC DETAILS)






Columns




0010



INTERNAL CODE

Internal (alpha-numerical) code used by the institution to identify the securitisation
The internal code shall be associated to the identifier of the securitisation transaction.




0020



IDENTIFIER OF THE SECURITISATION

Code used for the legal registration of the securitisation transaction or, if not available, the name by which the securitisation transaction is known in the market, or within the institution in case of an internal or private securitisation
Where the International Securities Identification Number -ISIN- is available (i.e. for public transactions), the characters that are common to all tranches of the securitisation shall be reported in this column.




0021



INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION?

This column identifies whether the securitisation is an intra-group, private or public securitisation.
Institutions shall report one of the following:






—


Private placement;










—


Intra-group;










—


Public placement.








0110



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

Institutions shall report one of the following:






—


Originator;










—


Sponsor;










—


Investor.










—


Original Lender.




Originator as defined in Article 4(1), point (13), of Regulation (EU) No 575/2013 and Sponsor as defined in Article 4(1), point (14), of that Regulation. Investors are assumed to be those institutions to which Article 5 of Regulation (EU) 2017/2402 applies. In case Article 43(5) of Regulation (EU) 2017/2402 applies, Articles 406 and 407 of Regulation (EU) No 575/2013 in the version applicable on 31 December 2018 shall apply.




0030



IDENTIFIER OF THE ORIGINATOR

The LEI code applicable to the originator, or, if not available, the code given by the supervisory authority to the originator or, if that is not available, the name of the institution itself shall be reported in this column.
In the case of multi-seller securitisations where the reporting institution is involved as originator, sponsor or original lender, the reporting institution shall provide the identifier of all the entities within its consolidated group that are involved (as originator, sponsor or original lender) in the transaction. If the code is not available or is not known by the reporting institution, the name of the institution shall be reported.
In the case of multi-seller securitisations where the reporting institution holds a position in the securitisation as an investor, the reporting institution shall provide the identifier of all the different originators involved in the securitisation, or, if not available, the names of the different originators. Where the names are not known by the reporting institution, the reporting institution shall report that the securitisation is “multi-seller”.




0040



SECURITISATION TYPE

Institutions shall report one of the following:






—


ABCP programme;










—


ABCP transaction;










—


Traditional securitisations other than NPE securitisations;










—


Non-qualifying NPE securitisations;










—


Qualifying NPE securitisations;










—


Synthetic transaction;




The definitions of “Asset Backed Commercial Paper Programme”, “Asset Backed Commercial Paper Transaction”, “traditional securitisation” and “synthetic securitisation” are provided in Article 242, points (11) to (14), of Regulation (EU) No 575/2013; the definitions of “qualifying traditional NPE securitisations” and “NPE securitisations” are provided in Article 269a(1) of Regulation (EU) No 575/2013.




0051



ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?

Institutions as originators, sponsors and original lenders shall report one of the following:






—


“K – totally kept”, if the securitised exposures remain entirely recognised;










—


“P – partially removed”, if the securities exposures are partially derecognised;










—


“R – totally removed”, if the securities exposures are entirely derecognised;










—


“N – Not applicable”, if not applicable.




This column summarises the accounting treatment of the transaction. Significant risk transfer (SRT) under Articles 244 and 245 of Regulation (EU) No 575/2013 shall not affect the accounting treatment of the transaction under the relevant accounting framework.
In the case of securitisations of liabilities, originators shall not report this column.
Option “P” (partially removed) shall be reported where the securitised assets are recognised in the balance sheet to the extent of the reporting entity’s continuing involvement in accordance with IFRS 9.3.2.16 – 3.2.21.




0060



SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS?

Articles 109, 244 and 245 of Regulation (EU) No 575/2013
Originators, only, shall report one of the following:






—


Not subject to own funds requirements;










—


Banking book;










—


Trading book;










—


Partially in banking and trading book.




This column shall summarise the solvency treatment of the securitisation scheme by the originator. It shall indicate whether own funds requirements are calculated on the basis of securitised exposures or securitisation positions (banking book/trading book).
Where own funds requirements are based on securitised exposures (as no significant risk transfer was achieved) the calculation of own funds requirements for credit risk shall be reported in the CR SA template, for those securitised exposures for which the Standardised Approach is used, or in the CR IRB template for those securitised exposures for which the Internal Ratings Based Approach is used by the institution.
Conversely, where own funds requirements are based on securitisation positions held in the banking book (as a significant risk transfer was achieved), the information on the calculation of own funds requirements for credit risk shall be reported in the CR SEC template. In case of securitisation positions held in the trading book, the information on the calculation of own funds requirements for market risk shall be reported in the MKR SA TDI (standardised general position risk) and in the MKR SA SEC or MKR SA CTP (standardised specific position risk) or in the MKR IM (internal models) templates.
In the case of the securitisations of liabilities, originators shall not report this column.




0061



SIGNIFICANT RISK TRANSFER

Originators, only, shall report one of the following:






—


Not applied for SRT - reporting entity risk weights its securitised exposures;










—


Achieved SRT under Article 244(2), point (a), or Article 245(2), point (a), of Regulation (EU) No 575/2013;










—


Achieved SRT under Article 244(2), point (b), or Article 245(2), point (b), of Regulation (EU) No 575/2013;










—


Achieved SRT under Article 244(3), point (a), or Article 245(3), point (a), of Regulation (EU) No 575/2013;










—


Applying a 1 250  % RW or deducting retained positions in accordance with Article 244(1), point (b), or Article 245(1), point (b), of Regulation (EU) No 575/2013.




This column shall summariss whether a significant transfer has been achieved and, if so, by which means. The achievement of SRT will determine the appropriate solvency treatment by the originator.




0070



SECURITISATION OR RE-SECURITISATION?

In accordance with the definition of “securitisation” in Article 4(1), point (61), of Regulation (EU) No 575/2013 and the definition of “re-securitisation” in Article 4(1), point (63), of Regulation (EU) No 575/2013, the type of securitisation using the following abbreviations shall be reported:






—


Securitisation;










—


Re-securitisation.








0075



STS SECURITISATION

Article 18 of Regulation (EU) 2017/2402
Institutions shall report one of the following abbreviations:






Y


– Yes;




N


– No.








0446



SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Articles 243, 270 and 494c of Regulation (EU) No 575/2013
Institutions shall report one of the following abbreviations:






Y


– Yes;




N


– No.




“Yes” shall be reported in the following cases:






—


STS securitisations qualifying for the differentiated capital treatment in accordance with Article 243 of Regulation (EU) No 575/2013










—


Senior positions in STS on-balance sheet securitisations eligible for this treatment in accordance with Article 270 of Regulation (EU) No 575/2013










—


Grandfathered SME synthetics in accordance with Article 494c of Regulation (EU) No 575/2013.








0076



TYPE OF EXCESS SPREAD

Article 2, point (29) of Regulation (EU) 2017/2402
Institutions shall report one of the following:






—


No excess spread










—


Excess spread, fixed amount - “use it or lose it” mechanism










—


Excess spread, fixed amount – trapped mechanism










—


Excess spread, variable amount - “use it or lose it” mechanis










—


Excess spread, variable amount – trapped mechanism.








0077



AMORTISATION SYSTEM

Institutions shall report one of the following:






—


Sequential amortisation










—


Pro-rata amortisation










—


Pro-rata amortisation changing to sequential amortisation. Compliant with STS criteria for on-balance sheet securitisations
(Article 26c (5) of Regulation (EU) 2017/2402).










—


Pro-rata amortisation changing to sequential amortisation. Compliant with STS criteria for non-ABCP transactions
(Guidelines on STS criteria for non-ABCP transactions and Article 21 (5) of Regulation (EU) 2017/2402










—


Pro-rata amortisation changing to sequential amortisation. Not compliant










—


Other amortisation system








0078



COLLATERALISATION OPTIONS

Article 26e of Regulation (EU) 2017/2402
Institutions shall report one of the following options for collateralization of the credit protection agreement:






—


Collateral in the form of 0 % risk-weighted debt securities
Article 26e(10), first subparagraph, point (a), of Regulation (EU) 2017/2402










—


Collateral in the form of cash held with a third-party credit institution with credit quality step 3 or above
Article 26e(10), first subparagraph, point (b), of Regulation (EU) 2017/2402










—


Collateral in the form of cash on deposit with the originator, or one of its affiliates, if the originator or one of its affiliates qualifies as a minimum for credit quality step 2










—


Article 26e(10), second subparagraph of Regulation (EU) 2017/2402










—


Collateral in the form of cash on deposit with the originator, or one of its affiliates, if the originator or one of its affiliates qualifies as a minimum for credit quality step 3










—


Article 26e(10), third subparagraph of Regulation (EU) 2017/2402










—


Requirement satisfied in the case of investments in credit linked notes issued by the originator










—


Article 26e(10), fourth subparagraph of Regulation (EU) 2017/2402










—


No collateral, the investor qualifies for a 0 % RW










—


Article 26e(8), point (a), of Regulation (EU) 2017/2402










—


No collateral, the investor benefits from a counter-guarantee of an entity that qualifies for a 0 % RW










—


Article 26e(8), point (b), of Regulation (EU) 2017/2402










—


Other types of collateral: debt securities not compliant with Article 26e of Regulation (EU) 2017/2402










—


Other types of collateral: cash not compliant with Article 26e of Regulation (EU) 2017/2402










—


No collateral, not compliant with STS criteria for on-balance sheet securitisation










—


Cases different from those where there is no collateral, but the investor qualifies for a 0 % RW or benefits from a counter-guarantee of an entity that qualifies for a 0 % RW




This column shall only be reported if column 0040 is reported as “Synthetic transaction”.




0080-0100



RETENTION

Article 6 of Regulation (EU) 2017/2402; in case Article 43(6) of Regulation (EU) 2017/2402 applies, Article 405 of Regulation (EU) No 575/2013 in the version of that Regulation applicable on 31 December 2018.




0080



TYPE OF RETENTION APPLIED

For each securitisation scheme originated, the relevant type of retention of net economic interest as envisaged in Article 6 of Regulation (EU) 2017/2402 shall be reported:






 


A - Vertical slice (securitisation positions): “retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to the investors”;










 


V - Vertical slice (securitised exposures): retention of no less than 5 % of the credit risk of each of the securitised exposures, if the credit risk thus retained with respect to such securitised exposures always ranks pari passu with, or is subordinated to, the credit risk that has been securitised with respect to those same exposures;










 


B - Revolving exposures: “in the case of securitisations of revolving exposures, retention of the originator’s interest of no less than 5 % of the nominal value of the securitised exposures”;










 


C- On-balance sheet: “retention of randomly selected exposures, equivalent to no less than 5 % of the nominal amount of the securitised exposures, where such exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is no less than 100 at origination”;










 


D- First loss: “retention of the first loss tranche and, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, so that the retention equals in total no less than 5 % of the nominal value of the securitised exposures”;










 


E – Exempted. This code shall be reported for those securitisations affected by the application of Article 6(6) of Regulation (EU) 2017/2402;










 


U – In breach or unknown. This code shall be reported where the reporting institution does not know with certainty which type of retention is being applied, or in case of non-compliance.








0090



% OF RETENTION AT REPORTING DATE

The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be not less than 5 % (at origination date).
This column shall not be reported where code “E” (exempted) is reported under column 0080 (Type of retention applied).




0100



COMPLIANCE WITH THE RETENTION REQUIREMENT?

Institutions shall report the following abbreviations:






Y


- Yes;




N


- No.




This column shall not be reported where code “E” (exempted) is reported under column 0080 (Type of retention applied).




0120-0130



NON ABCP PROGRAMMES

Because of the special character of ABCP programmes resulting from the fact that they comprise several single securitisation positions, ABCP programmes (as defined in Article 242(11) of Regulation (EU) No 575/2013) shall be exempted from reporting in columns 0120, 0121 and 0130.




0120



ORIGINATION DATE (yyyy-mm-dd)

The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported in the following format: “mm/yyyy”.
For each securitisation scheme, the origination date cannot change between reporting dates. In the particular case of securitisation schemes backed by open pools, the origination date shall be the date of the first issuance of securities.
This piece of information shall be reported even where the reporting entity does not hold any positions in the securitisation.




0121



DATE OF LATEST ISSUANCE (yyyy-mm-dd)

The month and year of the date of the latest issuance of securities in the securitisation shall be reported in the following format: “yyyy-mm-dd”.
Regulation (EU) 2017/2402 only applies to securitisations the securities of which are issued on or after 1 January 2019. The date of the latest issuance of securities determines whether each securitisation scheme falls under the scope of Regulation (EU) 2017/2402.
This information shall be reported even where the reporting entity does not hold any positions in the securitisation.




0130



TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE

This column gathers the amount (calculated on the basis of original exposures pre-conversion factors) of the securitised portfolio at the origination date.
For securitisation schemes backed by open pools, the amount referring to the origination date of the first issuance of securities shall be reported. For traditional securitisations, no other assets of the securitisation pool shall be included. For multi-seller securitisation schemes (i.e. with more than one originator), only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. For securitisations of liabilities, only the amounts issued by the reporting entity shall be reported.
This information shall be reported even where the reporting entity does not hold any positions in the securitisation.




0140-0225



SECURITISED EXPOSURES

Columns 0140 to 0225 request information on several features of the securitised portfolio by the reporting entity.




0140



TOTAL AMOUNT

Institutions shall report the value of the securitised portfolio at reporting date, i.e. the outstanding amount of the securitised exposures. In the case of traditional securitisations, no other assets of the securitisation pool shall be included. In the case of multi-seller 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 information shall be reported even where the reporting entity does not hold any positions in the securitisation.




0150



INSTITUTION'S SHARE (%)

Institution’s share (percentage with two decimals) at reporting date in the securitised portfolio. The figure to be reported in this column is, by default, 100 %, except for multi-seller securitisation schemes. In that case, the reporting entity shall report its current contribution to the securitised portfolio (equivalent to column 0140 in relative terms).
This information shall be reported even where the reporting entity does not hold any positions in the securitisation.




0160



TYPE

This column gathers information on the type of assets (“Residential mortgages” to “Other wholesale exposures”) or liabilities (“Covered bonds” and “Other liabilities”) of the securitised portfolio. The institution shall report one of the following options, considering the highest EAD:






 



Retail:







 


Residential mortgages;










 


Credit card receivables;










 


Consumer loans;










 


Loans to SMEs (treated as retail);










 


Other retail exposures.














 



Wholesale:







 


Commercial mortgages;










 


Leasing;










 


Loans to corporates;










 


Loans to SMEs (treated as corporates);










 


Trade receivables;










 


Other wholesale exposures.














 



Liabilites:







 


Covered bonds;










 


Other liabilities.








Where the pool of securitised exposures is a mix of the types listed above, the institution shall indicate the most important type. In case of re-securitisations, the institution shall refer to the ultimate underlying pool of assets.
For securitisation schemes backed by closed pools the type cannot change between reporting dates.
Liabilities should be understood in the sense of liabilities originally issued by the reporting institution (see paragraph 112, point (b), of section 3.2.1 of this annex).




0171



% OF IRB IN APPROACH APPLIED

This column gathers information on the approach(es) that at the reporting date the institution would apply to the securitised exposures.
Institutions shall report the percentage of the securitised exposures, measured by exposure value, to which the Internal Ratings Based Approach applies at the reporting date.
This information shall be reported even where the reporting entity does not hold any positions in the securitisation. This column shall, however, not apply to securitisations of liabilities.




0180



NUMBER OF EXPOSURES

Article 259(4) of Regulation (EU) No 575/2013
This column shall be compulsory for those institutions using the SEC-IRBA approach to the securitisation positions (and, therefore, reporting more than 95 % in column 171). The institution shall report the effective number of exposures.
This column shall not be reported in case of a securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets). This column shall not be reported where the reporting institution does not hold any positions in the securitisation. This column shall not be reported by investors.




0181



EXPOSURES IN DEFAULT “W” (%)

Article 261(2) of Regulation (EU) No 575/2013
Even where the institution is not applying the SEC-SA approach to the securitisation positions, the institution shall report the “W” factor (relating to the underlying exposures in default) which is to be calculated as indicated in Article 261(2) of Regulation (EU) No 575/2013.




0190



COUNTRY

Institutions shall report the code (ISO 3166-1 alpha-2) of the country of origin of the ultimate underlying of the transaction, i.e. the country of the immediate obligor of the original securitised exposures (look through). Where the pool of the securitisation consists of different countries, the institution shall indicate the most important country. Where no country exceeds a 20 % threshold based on the amount of assets/liabilities, then “other countries” shall be reported.




0201



LGD (%)

The exposure-weighted average loss-given-default (LGD) shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 0170). The LGD is to be calculated as indicated in Article 259(5) of Regulation (EU) No 575/2013.
This column shall not be reported in case of a securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets).




0202



EL (%)

The exposure-weighted average expected loss (EL) of the securitised assets shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 0171). In the case of SA securitised assets, the EL reported shall be the specific credit risk adjustments as referred to in Article 111 of Regulation (EU) No 575/2013. The EL shall be calculated as indicated in Part Three, Title II, Chapter 3, Section 3 of Regulation (EU) No 575/2013. This column shall not be reported in case of securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets).




0203



UL (%)

The exposure-weighted average unexpected loss (UL) of the securitised assets shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 0170). The UL of assets equals the risk-weighted exposure amount (RWEA) times 8 %. RWEA shall be calculated as indicated in Part Three, Title II, Chapter 3, Section 2 of Regulation (EU) No 575/2013. This column shall not be reported in case of securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in the case of a securitisation of assets).




0204



EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS

The exposure-weighted average maturity (WAM) of the securitised assets at the reporting date shall be reported by all institutions regardless of the approach used for calculating capital requirements. Institutions shall calculate the maturity of each asset in accordance with Article 162(2), points (a) and (f), of Regulation (EU) No 575/2013, without applying the 5 year cap.




0210



(-) VALUE ADJUSTMENTS AND PROVISIONS

Value adjustments and provisions (Article 159 of Regulation (EU) No 575/2013) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments shall include any amount recognised in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on assets purchased when in default as referred to in Article 166(1) of Regulation (EU) No 575/2013. Provisions shall include accumulated amounts of credit losses in off-balance sheet items.
This column gathers information on the value adjustments and provisions applied to the securitised exposures. This column shall not be reported in the case of a securitisation of liabilities.
This information shall be reported even where the reporting entity does not hold any positions in the securitisation.




0221



OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) KIRB


This column shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 171) and gathers information on KIRB, as referred to in Article 255 of Regulation (EU) No 575/2013. KIRB shall be expressed as a percentage (with two decimals).
This column shall not be reported in case of a securitisation of liabilities. In case of a securitisation of assets, this information shall be reported even where the reporting entity does not hold any positions in the securitisation.




0222



% OF RETAIL EXPOSURES IN IRB POOLS

IRB pools as defined in Article 242(7) of Regulation (EU) No 575/2013, provided that the institution is able to calculate KIRB in accordance with Part Three, Title II, Chapter 6, Section 3 of Regulation (EU) No 575/2013 on a minimum of 95 % of the underlying exposure amount (Article 259(2) of Regulation (EU) No 575/2013)




0223



OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa


Even where the institution does not apply the SEC-SA approach to the securitisation positions, the institution shall report this column. This column gathers information on KSA, as referred to in Article 255(6) of Regulation (EU) No 575/2013. KSA shall be expressed as a percentage (with two decimals).
This column shall not be reported in case of a securitisation of liabilities. In case of a securitisation of assets, this information shall be reported even where the reporting entity does not hold any positions in the securitisation.




0225



MEMORANDUM ITEMS: CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD

Article 110 of Regulation (EU) No 575/2013




0230-0304



SECURITISATION STRUCTURE

This block of columns gathers information on the structure of the securitisation on the basis of on/off balance sheet positions, tranches (senior/mezzanine/ first loss) and maturity at reporting date.
For multi-seller securitisations, only the amount corresponding or attributed to the reporting institution shall be reported.




0230-0255



ON-BALANCE SHEET ITEMS

This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss).




0230-0232



SENIOR





0230



AMOUNT

The amount of senior securitisation positions as defined in Article 242(6) of Regulation (EU) No 575/2013.




0231



ATTACHMENT POINT (%)

The attachment point (%) as referred to in Article 256(1) of Regulation (EU) No 575/2013




0232 and 0252



CQS

Credit quality steps (CQS) as envisaged for institutions applying SEC-ERBA (Article 263, Table 1 and 2 and Article 264, Tables 3 and 4 of Regulation (EU) No 575/2013). These columns shall be reported for all rated transactions irrespective of the approach applied.




0240-0242



MEZZANINE





0240



AMOUNT

The amount to be reported includes:






—


mezzanine securitisation positions as defined in Article 242(18) of Regulation (EU) No 575/2013;










—


additional securitisation positions which are not those positions that are defined in Article 242(6), (17) or (18) of Regulation (EU) No 575/2013.








0241



NUMBER OF TRANCHES

Number of mezzanine tranches.




0242



CQS OF THE MOST SUBORDINATED TRANCHE

CQS, as determined in accordance with Article 263, Table 2 and Article 264, Table 3 of Regulation (EU) No 575/2013, of the most subordinated mezzanine tranche.




0250-0252



FIRST LOSS





0250



AMOUNT

The amount of first loss tranche as defined in Article 242(17) of Regulation (EU) No 575/2013




0251



DETACHMENT POINT (%)

The detachment point (%) as referred to in Article 256(2) of Regulation (EU) No 575/2013




0252



CQS





0254-0255



OVERCOLLATERALISATION AND FUNDED RESERVE ACCOUNTS

Articles 256(3) and (4) of Regulation (EU) No 575/2013.
Amounts of collateralisation and funded reserve accounts not meeting the definition of “tranche” of Article 2(6) of Regulation (EU) 2017/2402, but considered as tranches for the purposes of calculating attachment and detachment points in accordance with Article 256(3) of Regulation (EU) No 575/2013.




0254



AMOUNT





0255



OF WHICH: NON-REFUNDABLE PURCHASE PRICE DISCOUNT

Article 2, point (31) of Regulation (EU) No 2017/2402.
Institutions shall report the non-refundable purchase price discount in accordance with Article 269a(7),of Regulation (EU) No 575/2013 at the reporting date, which shall be adjusted downwards taking into account the realised losses, as indicated in the second subparagraph. This column shall only be reported if column 0040 is reported as “Qualyfing NPE securitisation” or “Non-Qualifying NPE securitisation”,




0260-0287



OFF-BALANCE SHEET ITEMS AND DERIVATIVES

This block of columns gathers information on off-balance sheet items and derivatives before conversion factors, broken down by tranches (senior/mezzanine/first loss).




0260 - 0285



SENIOR / MEZZANINE / FIRST LOSS

The same criteria of classification among tranches and identification of the attachment point, the number of tranches and the detachment point used for on-balance sheet items (see instructions on columns 0230 to 0252) shall be applied here.




0287



SYNTHETIC EXCESS SPREAD

Articles 242, point (20), 248(1), point (e) and 256(6) of Regulation (EU) No 575/2013.
This column shall be reported only if column 0110 is reported as “Originator”.




0290-0300



MATURITY





0290



FIRST FORESEEABLE TERMINATION DATE

The likely termination date of the whole securitisation in the light of its contractual clauses and the currently expected financial conditions. Generally, it would be the earliest of the following dates:






(i)


the date when a clean-up call option (as defined in Article 242(1) of Regulation (EU) No 575/2013) might first be exercised, taking into account the maturity of the underlying exposure(s) as well as their expected pre-payment rate or potential re-negotiation activities;










(ii)


the date on which the originator may first exercise any other call option embedded in the contractual clauses of the securitisation which would result in the total redemption of the securitisation.




The day, month and year of the first expected termination date shall be reported. The exact day shall be reported where that information is available, otherwise the first day of the month shall be reported.




0291



ORIGINATOR’S CALL OPTIONS INCLUDED IN TRANSACTION

Type of call relevant for the first expected termination date:






—


Clean-up call option meeting the requirements of Article 244(4), point (g), of Regulation (EU) No 575/2013;










—


Other clean-up call option;










—


Other type of call option.








0300



LEGAL FINAL MATURITY DATE

The date upon which all principal and interest of the securitisation must be legally repaid (based on the transaction documentation).
The day, month and year of the legal final maturity date shall be reported. The exact day shall be reported where that information is available, otherwise the first day of the month shall be reported.




0302-0304



MEMORANDUM ITEMS





0302



ATTACHMENT POINT OF RISK SOLD (%)

Originators, only, shall report the attachment point of the most subordinated tranche sold to, for traditional securitisations, or protected by, for synthetic securitisations, third parties.




0303



DETACHMENT POINT OF RISK SOLD (%)

Originators, only, shall report the detachment point of the most senior tranche sold to, fortraditional securitisations, or protected by, for synthetic securitisations, third parties.




0304



RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%)

Originators, only, shall report the Expected Loss (EL) plus the Unexpected loss (UL) of the securitised assets transferred to third parties as a percentage of the total EL plus UL. The EL and UL of the underlying exposures shall be reported, which shall then be allocated via the securitisation waterfall to the respective tranches of the securitisation. For SA banks, EL shall be the specific credit risk adjustment of the securitised assets and the UL shall be the capital requirement of the securitised exposures.




3.8.4.   C 14.01 – Detailed information on securitisations (SEC DETAILS 2)








118.


The template SEC DETAILS 2 shall be reported separately for the following approaches:






1)


SEC-IRBA;










2)


SEC-SA;










3)


SEC-ERBA;










4)


1 250 %;










5)


Internal assessment approach










6)


Specific treatment for senior tranches of qualifying NPE securitisations.














Columns




0010



INTERNAL CODE

Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation transaction.




0020



IDENTIFIER OF THE SECURITISATION

Code used for the legal registration of the securitisation position, or transaction in case of several positions that can be reported in the same row, or, if not available, the name by which the securitisation position or transaction is known in the market, or within the institution in the case of an internal or private securitisation. Where the International Securities 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.




0310-0400



SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

This block of columns gathers information on the securitisation positions broken down by on/off balance sheet positions and the tranches (senior/mezzanine/ first loss) at reporting date.




0310-0330



ON-BALANCE SHEET ITEMS

The same criteria of classification among tranches used for columns 0230, 0240 and 0250 of template C 14.00 shall be applied here.




0340-0362



OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among tranches used for columns 0260 to 0287 of template C 14.00 shall be applied here.




0351 and 0361



RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT

% RW of the eligible guarantor or % RW of the corresponding instrument that provides credit protection in accordance with Article 249 of Regulation (EU) No 575/2013.




0362



SYNTHETIC EXCESS SPREAD

Articles 242 (20), 248 (1), point (e) and 256(6) of Regulation (EU) No 575/2013.
This column shall be reported only if column 0110 is reported as “Originator”.




0370-0400



MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE-CONVERSION FACTORS

This block of columns gathers additional information on the total off-balance sheet items and derivatives (which are already reported under a different breakdown in columns 0340-0361).




0370



DIRECT CREDIT SUBSTITUTES (DCS)

This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS).
In accordance with Annex I to of Regulation (EU) No 575/2013, the following full risk off-balance sheet items shall be regarded as DCS:






—



Guarantees having the character of credit substitutes.











—



Irrevocable standby letters of credit having the character of credit substitutes.









0380



IRS / CRS

IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. Those derivatives are listed in Annex II to the of Regulation (EU) No 575/2013.




0390



LIQUIDITY FACILITIES

Liquidity facilities (LF) as defined in Article 242(3) of Regulation (EU) No 575/2013.




0400



OTHER

Remaining off-balance sheet items.




0411



EXPOSURE VALUE

This information is closely related to column 0180 in the CR SEC template.




0420



(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

This information is closely related to column 0190 in the CR SEC template.
A negative figure shall be reported in this column.




0430



TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP

This column gathers information on the risk weighted exposure amount before cap applicable to the securitisation positions calculated in accordance with Part Three, Title II, chapter 5, section 3 of Regulation (EU) No 575/2013.
In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 0570 of MKR SA SEC, or columns 0410 and 0420 (the relevant for the own funds requirement) of MKR SA CTP, respectively.




0431



(-) REDUCTION DUE TO RISK WEIGHT CAP

Articles 267 and 269a of Regulation (EU) No 575/2013




0432



(-) REDUCTION DUE TO OVERALL CAP

Articles 268 and 269a of Regulation (EU) No 575/2013




0440



TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP

This column gathers information on the risk weighted exposure amount after caps applicable to the securitisation positions calculated in accordance with Part Three, Title II, chapter 5, section 3 of Regulation (EU) No 575/2013.
In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 0601 of MKR SA SEC, or column 0450 of MKR SA CTP, respectively.




0447-0448



MEMORANDUM ITEMS





0447



RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA

Articles 263 and 264 of Regulation (EU) No 575/2013. This column shall only be reported for rated transactions before cap and it shall not be reported for transactions under SEC-ERBA.




0448



RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA

Articles 261 and 262 of Regulation (EU) No 575/2013. This column shall be reported before cap and it shall not be reported for transactions under SEC-SA.




0450-0470



SECURITISATION POSITIONS - TRADING BOOK





0450



CTP OR NON-CTP?

Institutions shall report one of the following:






 


“CTP” - Correlation Trading Portfolio;










 


“Non-CTP”.








0460-0470



NET POSITIONS - LONG/SHORT

See columns 0050 / 0060 of MKR SA SEC or MKR SA CTP, respectively.




3.9.   COUNTERPARTY CREDIT RISK
3.9.1.   Scope of the counterparty credit risk templates








119.


The counterparty credit risk templates cover information on exposures subject to counterparty credit risk in application Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013.












120.


The templates exclude the own funds requirements for CVA risk (Article 92(3), point (d) and Part Three, Title VI of Regulation (EU) No 575/2013), which are reported in the CVA risk template.












121.


Counterparty credit risk exposures to central counterparties (Part Three, Title II, Chapter 4 and Chapter 6, Section 9 of of Regulation (EU) No 575/2013) should be included in the CCR figures, unless otherwise stated. However, default fund contributions calculated in accordance with Articles 307 to 310 of Regulation (EU) No 575/2013 shall not be reported in the counterparty credit risk templates, with the exception of template C 34.10, in particular the corresponding rows. Generally, the risk weighted exposure amounts of default fund contributions are directly reported in template C 02.00 row 0460.




3.9.2.   C 34.01 - Size of the derivative business
3.9.2.1.   General remarks








122.


In accordance with Article 273a of Regulation (EU) No 575/2013 an institution may calculate the exposure value of its derivative positions in accordance with the method set out in Part Three Title II, Chapter 6, Section 4 or 5 of Regulation (EU) No 575/2013, provided that the size of its on- and off-balance-sheet derivative business is equal to or less than pre-defined thresholds, respectively. The corresponding assessment is to be carried out on a monthly basis using the data as of the last day of the month. This template provides the information on the compliance with those thresholds and, more generally, important information on the size of the derivative business.












123.


Month 1, Month 2 and Month 3 refer to the first, second and last month, respectively, of the quarter that is being reported. Information shall be reported only for month-ends after the 28 June 2021.




3.9.2.2.   Instructions concerning specific positions






Columns




0010,0040, 0070



LONG DERIVATIVE POSITIONS


Article 273a(3) of Regulation (EU) No 575/2013

The sum of the absolute market values of long derivative positions on the last date of the month shall be reported.




0020,0050,
0080



SHORT DERIVATIVE POSITIONS


Article 273a(3) of Regulation (EU) No 575/2013

The sum of the absolute market values of short derivative positions on the last date of the month shall be reported.




0030,0060,
0090



TOTAL

Article 273a(3), point (b), of Regulation (EU) No 575/2013
The sum of the absolute value of long derivative positions and the absolute value of short derivative positions.













Rows




0010



Size of the derivative business

Article 273a(3) of Regulation (EU) No 575/2013
All on- and off-balance sheet derivatives shall be included, except credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures.




0020



On- and off-balance sheet derivatives

Article 273a(3), point (a) and (b) of Regulation (EU) No 575/2013
The total market value of the on- and off-balance sheet derivative positions as of the last day of the month shall be reported. Where the market value of a position is not available on that date, institutions shall take a fair value for the position on that date; where the market value and fair value of a position are not available on that date, institutions shall take the most recent of the market value or fair value for that position.




0030



(-) Credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures

Article 273a(3), point (c), of Regulation (EU) No 575/2013
The total market value of the credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures.




0040



Total assets

The total assets in accordance with the applicable accounting standards.
For consolidated reporting the institution shall report the total assets following the prudential scope of consolidation in accordance with Part One, Title II, Chapter ,2 Section 2 of Regulation (EU) No 575/2013.




0050



Percentage of total assets

Ratio to be calculated taking the size of the derivative business (row 0010) divided by total assets (row 0040).





DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) OF REGULATION (EU) No 575/2013





0060



Are the conditions of article 273a (4) of Regulation (EU) No 575/2013 met, including the approval from the competent authority?

Article 273a(4) of Regulation (EU) No 575/2013
Institutions that exceed the thresholds to use a simplified approach for counterparty credit risk but which are still using one of them on the basis of Article 273a(4) of Regulation (EU) No 575/2013, shall indicate (with Yes/No) whether they meet all the conditions of that article.
This item shall be reported only by those institutions applying the derogation in accordance with Article 273a(4) of Regulation (EU) No 575/2013.




0070



Method for calculating exposure values at consolidated level

Article 273a(4) of Regulation (EU) No 575/2013
The method for calculating the exposure values of derivative positions on consolidated basis which is also used on solo entity level in accordance with Article 273a(4) of Regulation (EU) No 575/2013:






—


OEM: Original Exposure Method










—


Simplified SA-CCR: Simplified standardised approach for counterparty credit risk




This item shall be reported only by those institutions applying the derogation in accordance with Article 273a(4) of Regulation (EU) No 575/2013.




3.9.3.   C 34.02 - CCR exposures by approach
3.9.3.1.   General remarks








124.


Institutions shall report the template separately for all CCR exposures and for all CCR exposures excluding exposures to central counterparties (CCPs) as defined for the purpose of template C 34.10.




3.9.3.2.   Instructions concerning specific positions






Columns




0010



NUMBER OF COUNTERPARTIES

Number of individual counterparties towards which the institution has CCR exposures.




0020



NUMBER OF TRANSACTIONS

Number of transactions subject to counterparty credit risk at the reporting date. Note that for CCP business numbers should not comprise in or outflows but the overall positions in the CCR portfolio at the reporting date. Furthermore, a derivative instrument or SFT that is split into two or more legs (at least) for the sake of modelling shall still be considered as one single transaction.




0030



NOTIONAL AMOUNTS

Sum of the notional amounts for derivatives and for SFTs before any netting and without any adjustments in accordance with Article 279b of Regulation (EU) No 575/2013.




0040



CURRENT MARKET VALUE (CMV), POSITIVE

Article 272(12) of Regulation (EU) No 575/2013
Sum of the current market values (CMV) of all the netting sets with positive CMV as defined in Article 272(12) of Regulation (EU) No 575/2013.




0050



CURRENT MARKET VALUE (CMV), NEGATIVE

Article 272(12) of Regulation (EU) No 575/2013
Sum of the absolute current market values (CMV) of all the netting sets with negative CMV as defined in Article 272(12) of Regulation (EU) No 575/2013.




0060



VARIATION MARGIN (VM), RECEIVED

Article 275(2), 275(3) and 276 of Regulation (EU) No 575/2013
Sum of the variation margin amounts (VM) of all the margin agreements for which the VM is received, computed in accordance with Article 276 of Regulation (EU) No 575/2013.




0070



VARIATION MARGIN (VM), POSTED

Article 275(2), 275(3) and 276 of Regulation (EU) No 575/2013
Sum of the variation margin amounts (VM) of all the margin agreements for which the VM is posted, computed in accordance with Article 276 of Regulation (EU) No 575/2013.




0080



NET INDEPENDENT COLLATERAL AMOUNT (NICA), RECEIVED

Article 272(12a), 275(3) and 276 of Regulation (EU) No 575/2013
Sum of the net independent collateral amounts (NICA) of all the margin agreements for which the NICA is received, computed in accordance with Article 276 of Regulation (EU) No 575/2013.




0090



NET INDEPENDENT COLLATERAL AMOUNT (NICA), POSTED

Article 272(12a), 275(3) and 276 of Regulation (EU) No 575/2013
Sum of the net independent collateral amounts (NICA) of all the margin agreements for which the NICA is posted, computed in accordance with Article 276 of Regulation (EU) No 575/2013.




0100



REPLACEMENT COST (RC)

Articles 275, 281 and 282 of Regulation (EU) No 575/2013
The replacement cost (RC) per netting set shall be calculated in accordance with:






—


Article 282(3) of Regulation (EU) No 575/2013 for the Original Exposure Method,










—


Article 281 of Regulation (EU) No 575/2013 for the Simplified SA-CCR,










—


Article 275 of Regulation (EU) No 575/2013 for the SA-CCR.




The institution shall report the sum of the replacement costs of the netting sets in the respective row.




0110



POTENTIAL FUTURE EXPOSURE (PFE)

Articles 278, 281 and 282 of Regulation (EU) No 575/2013
The potential future exposure (PFE) per netting set shall be calculated in accordance with:






—


Article 282(4) of Regulation (EU) No 575/2013 for the Original Exposure Method,










—


Article 281 of Regulation (EU) No 575/2013 for the Simplified SA-CCR,










—


Article 278 of Regulation (EU) No 575/2013 for the SA-CCR.




The institution shall report the sum of all potential future exposures of the netting sets in the respective row.




0120



CURRENT EXPOSURE

Article 272(17) of Regulation (EU) No 575/2013
The current exposure per netting set shall be the value as defined under Article 272(17) of Regulation (EU) No 575/2013.
The institution shall report the sum of all current exposures of the netting sets in the respective row.




0130



EFFECTIVE EXPECTED POSITIVE EXPOSURE (EEPE)

Articles 272(22) and 284(3) and 284(6) of Regulation (EU) No 575/2013
The EEPE per netting set is defined in Article 272(22) of Regulation (EU) No 575/2013 and shall be calculated in accordance with Article 284(6) of Regulation (EU) No 575/2013.
The institution shall report the sum of all EEPEs applied for the determination of own funds requirements in accordance with Article 284(3) of Regulation (EU) No 575/2013, i.e. either the EEPE calculated using current market data, or the EEPE calculated using a stress calibration, whichever leads to a higher own funds requirement.




0140



ALPHA USED FOR COMPUTING REGULATORY EXPOSURE VALUE

Articles 274(2), 282(2), 281(1), 284(4) and (9) of Regulation (EU) No 575/2013
The value of α is fixed as 1.4 in the rows for OEM, Simplified SA-CCR and SA-CCR in accordance with Articles 282(2), 281(1) and 274(2) of Regulation (EU) No 575/2013. For IMM purposes, the value of α can either be the default of 1.4 or different when competent authorities require a higher α in accordance with Article 284(4) of Regulation (EU) No 575/2013 or permit institutions to use their own estimates in accordance with Article 284(9) of that Regulation.




0150



EXPOSURE VALUE PRE-CRM

The exposure value pre-CRM for CCR netting sets shall be calculated in accordance with the methods laid down in Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013 taking into account the effect of netting, but disregarding any other credit risk mitigation techniques (e.g. margin collateral).
In the case of SFTs the security leg shall not be considered in the determination of the exposure value pre-CRM when collateral is received and therefore shall not decrease the exposure value. On the contrary, the SFTs security leg shall be considered in the determination of the exposure value pre-CRM in the regular way when collateral is posted.
Furthermore, collateralised business shall be handled as uncollateralised, i.e. no margining effects apply.
The exposure value pre-CRM for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 of Regulation (EU) No 575/2013.
The exposure value pre-CRM shall not consider the deduction of the incurred CVA loss in accordance with Article 273(6) of Regulation (EU) No 575/2013.
The institution shall report the sum of all exposure values pre-CRM in the respective row.




0160



EXPOSURE VALUE POST-CRM

The exposure value post-CRM for CCR netting sets shall be calculated in accordance with the methods laid down in Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013, having applied CRM techniques as applicable in accordance with Part Three, Title II, Chapters 4 and 6 of that Regulation.
The exposure value post-CRM for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 of Regulation (EU) No 575/2013.
The exposure value post-CRM shall not consider the deduction of the incurred CVA loss in accordance with Article 273(6) of Regulation (EU) No 575/2013.
The institution shall report the sum of all exposure values post-CRM in the respective row.




0170



EXPOSURE VALUE

Exposure value for CCR netting sets calculated in accordance with the methods laid down in Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013, which is the amount relevant for the calculation of risk weighted exposure amounts, i.e. having applied CRM techniques as applicable in accordance with Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013 and considering the deduction of the incurred CVA loss in accordance with Article 273(6) of Regulation (EU) No 575/2013.
The exposure value for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 of Regulation (EU) No 575/2013.
For cases in which more than one CCR approach is used for a single counterparty, the incurred CVA loss, which is deducted at counterparty level, shall be assigned to the exposure value of the different netting sets in each CCR approach reflecting the proportion of the exposure value post-CRM of the respective netting sets to the total exposure value post-CRM of the counterparty.
The institution shall report the sum of all exposure values in the respective row.




0180



Positions treated with the CR Standardised Approach

Exposure value for CCR of positions that are treated with the standardised approach for credit risk in accordance with Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013.




0190



Positions treated with the CR IRB Approach

Exposure value for CCR of positions that are treated with the IRB approach for credit risk in accordance with Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013.




0200



RISK WEIGHTED EXPOSURE AMOUNTS

Risk weighted exposure amounts for CCR as defined in Article 92(3) and (4) of Regulation (EU) No 575/2013, calculated in accordance with the methods laid down in Part Three, Title II, Chapters 2 and 3.
The SME and infrastructure supporting factors laid down in Article 501 and in Article 501a of Regulation (EU) No 575/2013 shall be taken into account.




0210



Positions treated with the CR Standardised Approach

Risk weighted exposure amounts for CCR exposures that are treated with the standardised approach for credit risk in accordance with Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013.
The amount corresponds to the amount that shall be included in column 0220 of template C 07.00 for CCR positions.




0220



Positions treated with the CR IRB Approach

Risk weighted exposure amounts for CCR exposures that are treated with the IRB approach for credit risk in accordance with Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013.
The amount corresponds to the amount that shall be included in column 0260 of template C 08.01 for CCR positions.













Row




0010



ORIGINAL EXPOSURE METHOD (FOR DERIVATIVES)

Derivatives and long settlement transactions for which the institution calculates the exposure value in accordance with Part Three, Title II, Chapter 6, Section 5 of Regulation (EU) No 575/2013. This simplified method for calculating the exposure value can only be used by institutions meeting the conditions laid down in Article 273a(2) or 273a(4) of Regulation (EU) No 575/2013.




0020



SIMPLIFIED STANDARDISED APPROACH FOR CCR (SIMPLIFIED SA-CCR FOR DERIVATIVES)

Derivatives and long settlement transactions for which the institution calculates the exposure value in accordance Part Three, Title II, Chapter 6, Section 4 of Regulation (EU) No 575/2013. This simplified standardised approach for calculating the exposure value can only be used by institutions meeting the conditions laid down in Article 273a(1) or 273a(4) of Regulation (EU) No 575/2013.




0030



STANDARDISED APPROACH FOR CCR (SA-CCR FOR DERIVATIVES)

Derivatives and long settlement transactions for which the institution calculates the exposure value in accordance with Part Three, Title II, Chapter 6, Section 3 of Regulation (EU) No 575/2013.




0040



IMM (FOR DERIVATIVES AND SFTS)

Derivatives, long settlement transactions and SFTs for which the institution has been permitted to calculate the exposure value using the Internal Model Method (IMM) in accordance with Part Three, Title II, Chapter 6, Section 6 of Regulation (EU) No 575/2013.




0050



Securities financing transactions netting sets

Netting sets containing only SFTs as defined in Article 4(139) of Regulation (EU) No 575/2013, for which the institution has been permitted to determine the exposure value using the IMM.
SFTs that are included in a contractual cross product netting set and therefore reported in row 0070, shall not be reported in this row.




0060



Derivatives and long settlement transactions netting sets

Netting sets containing only derivative instruments listed in Annex II of Regulation (EU) No 575/2013 and long settlement transactions as defined in Article 272(2) of Regulation (EU) No 575/2013, for which the institution has been permitted to determine the exposure value using the IMM.
Derivatives and Long Settlement Transactions that are included in a contractual Cross Product Netting set and therefore reported in row 0070, shall not be reported in this row.




0070



From contractual cross-product netting sets

Article 272(11) and (25) of Regulation (EU) No 575/2013
Netting sets containing transactions of different product categories (Article 272(11) of Regulation (EU) No 575/2013), i.e. derivatives and SFTs, for which a contractual cross product netting agreement as defined in Article 272 (25) of Regulation (EU) No 575/2013 exists and for which the institution has been permitted to determine the exposure value using the IMM.




0080



FINANCIAL COLLATERAL SIMPLE METHOD (FOR SFTS)

Article 222 of Regulation (EU) No 575/2013
Repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions for which the institution has chosen to determine the exposure value in accordance with Article 222 of Regulation (EU) No 575/2013 as opposed to Part Three, Title II, Chapter 6 of that Regulation in accordance with Article 271(2) of the same regulation.




0090



FINANCIAL COLLATERAL COMPREHENSIVE METHOD (FOR SFTS)

Article 220 and 223 of Regulation (EU) No 575/2013
Repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions for which the institution has chosen to determine the exposure value in accordance with Article 223 of Regulation (EU) No 575/2013, as opposed to Part Three, Title II, Chapter 6 of that Regulation in accordance with Article 271(2) of the same regulation.




0100



VAR FOR SFTS

Article 221 of Regulation (EU) No 575/2013
Repurchase transactions, securities or commodities lending or borrowing transactions or margin lending transactions, or other capital market-driven transactions other than derivative transactions for which, in accordance with Article 221 of Regulation (EU) No 575/2013 and subject to the permission of the competent authority, the exposure value is calculated using an internal model approach that takes into account correlation effects between security positions subject to the master netting agreement, as well as the liquidity of the instruments concerned.




0110



TOTAL





0120



Of which: SWWR positions

Article 291 of Regulation (EU) No 575/2013
CCR exposures for which specific wrong way risk (SWWR) has been identified in accordance with Article 291 of Regulation (EU) No 575/2013.




0130



Margined business

Article 272(7) of Regulation (EU) No 575/2013
CCR exposures that are margined, i.e. netting sets subject to a margin agreement in accordance with Article 272(7) of Regulation (EU) No 575/2013.




0140



Unmargined business

CCR exposures not covered in 0130.




3.9.4.   C 34.03 - CCR exposures treated with standardised approaches: SA-CCR and Simplified SA-CCR
3.9.4.1.   General remarks








125.


The template shall be used separately for reporting the CCR exposures calculated with the SA-CCR or the Simplified SA-CCR, as applicable.




3.9.4.2.   Instructions concerning specific positions






Columns




0010



CURRENCY

For transactions mapped to the interest rate risk category, the currency of denomination of the transaction shall be reported.
For transactions mapped to the foreign exchange risk category, the currency of denomination of one of the two legs of the transaction shall be reported. Institutions shall insert the currencies in the currency pair in alphabetical order, e.g. for US Dollar/Euro please fill this column with EUR and column 0020 with USD.
Currency ISO codes shall be used.




0020



SECOND CURRENCY IN PAIR

For transactions mapped to the foreign exchange risk category, the currency of denomination of the other leg of the transaction (with respect to the one considered in column 0010) shall be reported. Institutions shall insert the currencies in the currency pair in alphabetical order, e.g. for US Dollar/Euro please fill this column with USD and column 0010 with EUR.
Currency ISO codes shall be used.




0030



NUMBER OF TRANSACTIONS

See instructions to column 0020 in template C 34.02.




0040



NOTIONAL AMOUNTS

See instructions to column 0030 in template C 34.02.




0050



CURRENT MARKET VALUE (CMV), POSITIVE

Sum of the current market values (CMV) of all hedging sets with positive CMV in the respective risk category.
The CMV on hedging set level shall be determined by netting positive and negative market values of the transactions within one hedging set gross of any collateral held or posted.




0060



CURRENT MARKET VALUE (CMV), NEGATIVE

Sum of the absolute current market values (CMV) of all hedging sets with negative CMV in the respective risk category.
The CMV on hedging set level shall be determined by netting positive and negative market values of the transactions within one hedging set gross of any collateral held or posted.




0070



ADD-ON

Article 280a to 280f and 281 (2) of Regulation (EU) No 575/2013
The institution shall report the sum of all the add-ons in the respective hedging set/risk category.
The add-on per risk category that is used to determine the potential future exposure of a netting set in accordance with Article 278(1) or Article 281(2), point (f), of Regulation (EU) No 575/2013 shall be calculated in accordance with Articles 280a to 280f of that Regulation. For the Simplified SA-CCR the provisions set out in Article 281(2) of Regulation (EU) No 575/2013 apply.













Rows




0050,0120, 0190, 0230, 0270, 0340



RISK CATEGORIES

Article 277 and 277a of Regulation (EU) No 575/2013
Transactions shall be classified according to the risk category they belong to in accordance with Article 277(1) to (4) of Regulation (EU) No 575/2013.
The assignment to hedging sets according to the risk category shall be performed in accordance with Article 277a of Regulation (EU) No 575/2013.
For the Simplified SA-CCR the provisions set out in Article 281(2) of Regulation (EU) No 575/2013 apply.




0020-0040



Of which mapped to more than one risk category

Article 277(3) of Regulation (EU) No 575/2013
Derivative transactions with more than one material risk driver mapped to two (0020), three (0030) or more than three (0040) risk categories on the basis of the most material of the risk drivers in each risk category, in accordance with Article 277(3) of Regulation (EU) No 575/2013 and the EBA RTS referred to in Article 277(5) of that Regulation.




0070-0110 and 0140-0180



Largest currency and currency pair

This classification shall be done on the basis of the CMV of the institution’s portfolio under the scope of the SA-CCR or the Simplified SA-CCR, as applicable, for transactions mapped to interest rate risk and foreign exchange risk category, respectively.
For the purpose of the classification, the absolute value of the CMV of positions shall be summed.




0060,0130, 0200,0240, 0280



Exclusive mapping

Article 277(1) and (2) of Regulation (EU) No 575/2013
Derivative transactions mapped exclusively to one risk category in accordance with Article 277(1) and (2) of Regulation (EU) No 575/2013.
Transactions that are mapped to different risk categories in accordance with Article 277(3) of Regulation (EU) No 575/2013 shall be excluded.




0210, 0250



Single-name transactions

Single-name transactions that are mapped to the credit risk and equity risk category, respectively.




0220, 0260



Multi-names transactions

Multi-name transactions that are mapped to the credit risk and equity risk category, respectively.




0290-0330



Commodity risk category hedging sets

Derivative transactions assigned to the commodity risk category hedging sets as listed in Article 277a(1), point (e), of Regulation (EU) No 575/2013.




3.9.5.   C 34.04 - CCR exposures treated with the Original Exposure Method (OEM)
3.9.5.1.   Instructions concerning specific positions






Columns




0010 - 0020


Instructions for the columns 0010 and 0020 shall be those provided for template C 34.02.




0030



CURRENT MARKET VALUE (CMV), POSITIVE

Sum of the current market values (CMV) of all transactions with positive CMV in the respective risk category.




0040



CURRENT MARKET VALUE (CMV), NEGATIVE

Sum of the absolute current market values (CMV) of all transactions with negative CMV in the respective risk category.




0050



POTENTIAL FUTURE EXPOSURE (PFE)

The institution shall report the sum of PFEs for all the transactions belonging to the same risk category.




Rows




0020 - 0070



RISK CATEGORIES

Derivative transactions mapped to the risk categories as listed in Article 282(4), point (b), of Regulation (EU) No 575/2013




3.9.6.   C 34.05 – CCR exposures treated with the Internal Model Method (IMM)
3.9.6.1.   Instructions concerning specific positions






Columns




00010 - 0080



MARGINED

See instructions to row 0130 in template C 34.02.




0090 - 0160



UNMARGINED

See instructions to row 0140 in template C 34.02.




0010,0090



NUMBER OF TRANSACTIONS

See instructions to column 0020 in template C 34.02.




0020,0100



NOTIONAL AMOUNTS

See instructions to column 0030 in template C 34.02.




0030,0110



CURRENT MARKET VALUE (CMV), POSITIVE

Sum of the current market values (CMV) of all transactions with positive CMV belonging to the same asset class.




0040,0120



CURRENT MARKET VALUE (CMV), NEGATIVE

Sum of the absolute current market values (CMV) of all transactions with negative CMV belonging to the same asset class.




0050,0130



CURRENT EXPOSURE

See instructions to column 0120 in template C 34.02.




0060,0140



EFFECTIVE EXPECTED POSITIVE EXPOSURE (EEPE)

See instructions to column 0130 in template C 34.02.




0070,0150



STRESS EEPE

Article 284(6) and Article 292(2) of Regulation (EU) No 575/2013
The Stress EEPE is calculated in analogy to the EEPE (Article 284(6) of Regulation (EU) No 575/2013), but using a stress calibration in accordance with Article 292(2) of Regulation (EU) No 575/2013.




0080, 0160,0170



EXPOSURE VALUE

See instructions to column 0170 in template C 34.02.














Row




Explanation





0010



TOTAL

Article 283 of Regulation (EU) No 575/2013
The institution shall report the relevant information regarding derivatives, long settlement transactions and SFTs for which it has been permitted to determine the exposure value calculated using the Internal Model Method (IMM) in accordance with Article 283 of Regulation (EU) No 575/2013.




0020



Of which: SWWR positions

See instructions to row 0120 in C 34.02.




0030



Netting sets treated with the CR Standardised Approach

See instructions to column 0180 in C 34.02.




0040



Netting sets treated with the CR IRB Approach

See instructions to column 0190 in C 34.02.




0050 - 0110



OTC DERIVATIVES

The institution shall report the relevant information regarding netting sets containing only OTC derivatives or long settlement transactions for which it has been permitted to determine the exposure value using the IMM broken down by the different asset classes with respect to the underlying (interest rate, foreign exchange, credit, equity, commodity or other).




0120 - 0180



EXCHANGE TRADED DERIVATIVES

The institution shall report the relevant information regarding netting sets containing only exchange traded derivatives or long settlement transactions for which it has been permitted to determine the exposure value using the IMM broken down by the different asset classes with respect to the underlying (interest rate, foreign exchange, credit, equity, commodity or other).




0190 - 0220



SECURITIES FINANCING TRANSACTIONS

The institution shall report the relevant information regarding netting sets containing only SFTs for which it has been permitted to determine the exposure value using the IMM broken down by the type of underlying in the SFT security leg (bond, equity or other).




0230



CONTRACTUAL CROSS-PRODUCT NETTING SETS

See instructions to row 0070 in C 34.02.




3.9.7.   C 34.06 – Top twenty counterparties
3.9.7.1.   General remarks








126.


Institutions shall report information on the top 20 counterparties with whom they have the highest CCR exposures. The ranking shall be done using the CCR exposure values, as reported in column 0120 of this template, of all netting sets with the respective counterparties. Intra-group exposures or other exposures that give raise to counterparty credit risk but for which the institutions assign a risk weight of zero for the own funds requirements calculation, in accordance with Article 113(6) and 113(7) of Regulation (EU) No 575/2013 of Regulation (EU) No 575/2013, shall still be considered when determining the list of top 20 counterparties.












127.


Institutions applying the standardised approach (SA-CCR) or the Internal Model Method (IMM) for the calculation of CCR exposures following Part Three, Title II, Chapter 6, Sections 3 and 6 of Regulation (EU) No 575/2013 shall report this template on a quarterly basis. Institutions applying the simplified standardised approach or the original exposure method (OEM) for the calculation of CCR exposures following Part Three, Title II, Chapter 6, Sections 4 and 5 of Regulation (EU) No 575/2013 shall report this template on a semi-annual basis. Instructions concerning specific positions.




3.9.7.2.   Instructions concerning specific positions






Columns




0011



NAME

Name of the counterparty




0020



CODE

The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a non-LEI code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.




0030



TYPE OF CODE

The institution shall identify the type of code reported in column 0020 as a “LEI code” or “National code”.
The type of code shall always be reported.




0035



NATIONAL CODE

The institution may additionally report the national code when it reports LEI code as identifier in the “Code” column 0020.




0040



SECTOR OF THE COUNTERPARTY

One sector shall be chosen for every counterparty on the basis of the following FINREP economic sector classes (see Part 3 Annex V to this Implementing Regulation):






(i)


Central Banks;










(ii)


General Governments;










(iii)


Credit institutions;










(iv)


Investment firms as defined in Article 4(1), point (2), of Regulation (EU) No 575/2013;










(v)


Other financial corporations (excluding investment firms);










(vi)


Non-financial corporations.








0050



COUNTERPARTY TYPE

The institution shall indicate the counterparty type which can be:






—


QCCP: when the counterparty is a qualified CCP;










—


NON-QCCP: when the counterparty is a non-qualified CCP;










—


No CCP: when the counterparty is not a CCP.








0060



RESIDENCY OF THE COUNTERPARTY

The ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used (including pseudo-ISO codes for international organisations, available in the Eurostat’s “Balance of Payments Vademecum”, as amended).




0070



NUMBER OF TRANSACTIONS

See instructions to column 0020 in template C 34.02.




0080



NOTIONAL AMOUNTS

See instructions to column 0030 in template C 34.02.




0090



CURRENT MARKET VALUE (CMV), positive

See instructions to column 0040 in template C 34.02.
The institution shall report the sum of netting sets with positive CMV if there are several netting sets for the same counterparty.




0100



CURRENT MARKET VALUE (CMV), negative

See instructions to column 0040 in template C 34.02.
The institution shall report the absolute sum of netting sets with negative CMV if there are several netting sets for the same counterparty.




0110



EXPOSURE VALUE POST-CRM

See instructions to column 0160 in template C 34.02.
The institution shall report the sum of netting set exposure values post-CRM if there are several netting sets for the same counterparty.




0120



EXPOSURE VALUE

See instructions to column 0170 in template C 34.02.




0130



RISK WEIGHTED EXPOSURE AMOUNTS

See instructions to column 0200 in template C 34.02.




3.9.8.   C 34.07 - IRB approach – CCR exposures by exposure class and PD scale
3.9.8.1.   General remarks








128.


This template shall be reported by institutions using either the advanced or the foundation IRB approach to compute risk weighted exposure amounts for all or part of their CCR exposures in accordance with Article 107 of Regulation (EU) No 575/2013, irrespective of the CCR approach used to determine exposure values in accordance with Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013.












129.


The template shall be reported separately for the total of all exposure classes as well as separately for each of the exposure classes listed in Article 147 of Regulation (EU) No 575/2013. This template excludes exposures cleared through a CCP.












130.


In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors the following information shall be provided for each reported exposure class:

                                       “NO” = in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)

                                       “YES” = in case own estimates of LGD and credit conversion factors are used (Advanced IRB)




3.9.8.2.   Instructions concerning specific positions







Columns





0010



Exposure value

Exposure value (see instructions to column 0170 in template C 34.02), broken down by the given PD scale




0020



Exposure weighted average PD (%)

Average of individual obligor grade PDs weighted by their corresponding exposure value as defined for column 0010




0030



Number of obligors

The number of legal entities or obligors allocated to each bucket of the fixed PD scale, which were separately rated, regardless of the number of different loans or exposures granted
Where different exposures to the same obligor are separately rated, they shall be counted separately. Such situation may take place if separate exposures to the same obligor are assigned to different obligor grades in accordance with Article 172(1) second sentence, point (e), of Regulation (EU) No 575/2013.




0040



Exposure weighted average LGD (%)

Average of obligor grade LGDs weighted by their corresponding exposure value as defined for column 0010
The LGD reported shall correspond to the final LGD estimate used in the calculation of risk weighted exposure amounts obtained after considering any CRM effects and downturn conditions as specified in Part Three, Title II, Chapters 3 and 4 of Regulation (EU) No 575/2013, where relevant. In particular, for institutions applying the IRB approach but not using their own estimates of LGD the risk mitigation effects of financial collateral are reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* in accordance with Article 228(2) of Regulation (EU) No 575/2013. If own estimates of LGD are applied, Article 175 and Article 181(1) and (2) of Regulation (EU) No 575/2013 shall be considered.
In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected in accordance with Article 161(4) of Regulation (EU) No 575/2013.
For defaulted exposures under A-IRB Approach, provisions laid down in Article 181(1), point (h), of Regulation (EU) No 575/2013 shall be considered. The LGD reported shall correspond to the estimate of LGD in-default.




0050



Exposure weighted average maturity (years)

Average of obligor maturities in years weighted by their corresponding exposure value as defined for column 0010
The maturity shall be determined in accordance with Article 162 of Regulation (EU) No 575/2013.




0060



Risk weighted exposure amounts

Risk weighted exposure amounts, as defined in Article 92(3) and (4) of Regulation (EU) No 575/2013, for positions whose risk weights are estimated on the basis of the requirements laid down in Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013 and for which the exposure value for CCR business is calculated in accordance with Part Three, Title II, Chapters 4 and 6 of that Regulation
The SME and infrastructure supporting factors laid down in Article 501 and Article 501a of Regulation (EU) No 575/2013 shall be taken into account.




0070



Density of risk weighted exposure amounts

Ratio of the total risk weighted exposure amounts (reported in column 0060) to the exposure value (reported in column 0010)













Rows




0010 - 0170



PD scale

CCR exposures (determined at counterparty level) shall be allocated to the appropriate bucket of the fixed PD scale based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution due to the existence of a guarantee or a credit derivative). Institutions shall map exposure by exposure to the PD scale provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %.




3.9.9.   C 34.08 - Composition of collateral for CCR exposures
3.9.9.1.   General remarks








131.


This template shall be filled with fair values of collateral (posted or received) used in CCR exposures related to derivative transactions, long settlement transaction or to SFTs, whether or not the transactions are cleared through a CCP and whether or not collateral is posted to a CCP.




3.9.9.2.   Instructions concerning specific positions






Columns




0010 - 0080



Collateral used in derivative transactions

Institutions shall report the collateral (including the initial margin and variation margin collateral) that is used in CCR exposures related to any derivative instrument listed in Annex II of Regulation (EU) No 575/2013 or a long settlement transaction as defined in Article 272, point (2) of the same regulation not qualifying as an SFT.




0090 - 0180



Collateral used in SFTs

Institutions shall report the collateral (including the initial margin and variation margin collateral as well as the collateral appearing as security in the SFT) that is used in CCR exposures related to any SFT or a long settlement transaction not qualifying as a derivative.




0010, 0020, 0050, 0060, 0090, 0100, 0140, 0150



Segregated

Article 300(1) of Regulation (EU) No 575/2013
Institutions shall report the collateral that is held in a bankruptcy-remote manner as defined in Article 300(1) of Regulation (EU) No 575/2013, further broken down into collateral appearing in the form of initial or variation margin.




0030, 0040, 0070, 0080, 0110, 0120, 0130, 0160, 0170, 0180



Unsegregated

Article 300(1) of Regulation (EU) No 575/2013
Institutions shall report the collateral that is not held in a bankruptcy-remote manner as defined in Article 300(1) of Regulation (EU) No 575/2013, further broken down into initial margin, variation margin and the SFT security.




0010, 0030, 0050, 0070, 0090, 0110, 0140, 0160



Initial margin

Article 4(1), point (140), of Regulation (EU) No 575/2013
Institutions shall report the fair values of collateral received or posted as initial margin (defined in Article 4(1), point (140), of Regulation (EU) No 575/2013).




0020, 0040, 0060, 0080, 0100, 0120, 0150, 0170



Variation margin

Institutions shall report the fair values of collateral received or posted as variation margin.




0130, 0180



SFT security

Institutions shall report the fair values of collateral appearing as security in SFTs (e.g. the security leg of the SFT that has been received for column 0130, or posted for column 0180).













Rows




0010 – 0080



Collateral type

Breakdown by different collateral types




3.9.10.   C 34.09 - Credit derivatives exposures
3.9.10.1.   Instructions concerning specific positions






Columns




0010-0040



CREDIT DERIVATIVE PROTECTION

Credit derivative protection bought or sold




0010, 0020



NOTIONAL AMOUNTS

Sum of the notional derivative amounts before any netting, broken down by product type




0030, 0040



FAIR VALUES

Sum of fair values broken down by protection bough and protection sold













Rows




0010 – 0050



Product type

Breakdown of credit derivatives product types




0060



Total

Sum of all product types




0070, 0080



Fair values

Fair values broken down by product type as well as assets (positive fair values) and liabilities (negative fair values)




3.9.11.   C 34.10 - Exposures to CCPs
3.9.11.1.   General remarks








132.


Institutions shall report the information on exposures to CCPs, i.e. to contracts and transactions listed in Article 301(1) of Regulation (EU) No 575/2013 for as long as they are outstanding with a CCP and exposures from CCP-related transactions, in accordance with Article 300(2) of that Regulation, for which the own funds requirements are calculated in accordance with Part Three, Title II, Chapter 6, Section 9 of that Regulation.




3.9.11.2.   Instructions concerning specific positions






Columns




0010



EXPOSURE VALUE

Exposure value for transactions in the scope of Part Three, Title II, Chapter 6, Section 9 of Regulation (EU) No 575/2013 calculated in accordance with the relevant methods laid down in that Chapter and in particular in its section 9
The exposure value reported shall be the amount relevant for the own funds requirements calculation in accordance with Part Three, Title II, Chapter 6, Section 9 of Regulation (EU) No 575/2013, considering the requirements in Article 497 of that Regulation during the transitional period provided for in that article.
An exposure can be a trade exposure, as defined in Article 4(1), point (91), of Regulation (EU) No 575/2013.




0020



RISK WEIGHTED EXPOSURE AMOUNTS

Risk weighted exposure amounts determined in accordance with Part Three, Title II, Chapter 6, Section 9 of Regulation (EU) No 575/2013, considering the requirements in Article 497 of that Regulation during the transitional period provided for by that Article













Rows




0010-0100



Qualifying CCP (QCCP)

A qualifying central counterparty or “QCCP” as defined in Article 4(1), point (88), of Regulation (EU) No 575/2013




0070, 0080
0170, 0180



Initial margin

See instructions for template C 34.08.
For the purposes of this template, initial margin shall not include contributions to a CCP for mutualised loss-sharing arrangements (i.e. in cases where a CCP uses initial margin to mutualise losses among the clearing members, it shall be treated as a default fund exposure).




0090, 0190



Prefunded default fund contributions

Articles 308 and 309 of Regulation (EU) No 575/2013; a default fund as defined in Article 4(1), point (89), of Regulation (EU) No 575/2013; the contribution to the default fund of a CCP that is paid in by the institution




0100, 0200



Unfunded default fund contributions

Articles 309 and 310 of Regulation (EU) No 575/2013; a default fund as defined in Article 4(1), point (89), of Regulation (EU) No 575/2013
Institutions shall report contributions that an institution acting as a clearing member has contractually committed to provide to a CCP after the CCP has depleted its default fund to cover the losses it incurred following the default of one or more of its clearing members.




0070, 0170



Segregated

See instructions for template C 34.08.




0080, 0180



Unsegregated

See instructions for template C 34.08.




3.9.12.   C 34.11 - Risk weighted exposure amounts (RWEA) flow statements of CCR exposures under the IMM
3.9.12.1.   General remarks








133.


Institutions using the IMM to compute risk weighted exposure amounts for all or part of their CCR exposures in accordance with Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013, irrespective of the credit risk approach used to determine the corresponding risk weights shall report this template with the flow statement explaining changes in risk weighted exposure amounts of derivatives and SFTs in the IMM scope differentiated by key drivers and based on reasonable estimations.












134.


Institutions that shall report this template with quarterly frequency shall fill in only column 0010. Institutions that shall report this template with annually frequency shall fill in only column 0020.












135.


This template excludes risk weighted exposure amounts for exposures to a central counterparty (Part Three, Title II, Chapter 6, Section 9 of Regulation (EU) No 575/2013).




3.9.12.2.   Instructions concerning specific positions






Columns




0010, 0020



RISK WEIGHTED EXPOSURE AMOUNTS

Risk weighted exposure amounts, as defined in Article 92(3) and (4) of Regulation (EU) No 575/2013, for positions whose risk weights are estimated on the basis of the requirements laid down in Part Three, Title II, Chapters 2 and 3 of that Regulation and for which the institution has been permitted to calculate the exposure value using the IMM in accordance with Part Three, Title II, Chapter 6, Section 6 of that Regulation
The SME and infrastructure supporting factors laid down in Article 501 and Article 501a of Regulation (EU) No 575/2013 shall be taken into account.













Rows




0010



Risk weighted exposure amounts as at the end of the previous reporting period

Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the previous reporting period




0020



Asset size

Risk weighted exposure amount changes (positive or negative) due to changes in book size and composition resulting from the usual business activity (including the origination of new businesses and maturing exposures) but excluding changes in book size due to acquisitions and disposal of entities




0030



Credit quality of counterparties

Risk weighted exposure amount changes (positive or negative) due to changes in the assessed quality of the institution’s counterparties as measured under the credit risk framework, whatever approach the institution uses. This row also includes potential Risk weighted exposure amount changes due to IRB models when the institution uses an IRB approach




0040



Model updates (IMM only)

Risk weighted exposure amount changes (positive or negative) due to model implementation, changes in model scope, or any changes intended to address model weaknesses
This row addresses only changes in the IMM model.




0050



Methodology and policy (IMM only)

Risk weighted exposure amount changes (positive or negative) due to methodological changes in calculations driven by regulatory policy changes, such as new regulations (only in the IMM model)




0060



Acquisitions and disposals

Risk weighted exposure amount changes (positive or negative) due to changes in book sizes due to acquisitions and disposal of entities




0070



Foreign exchange movements

Risk weighted exposure amount changes (positive or negative) due to changes arising from foreign currency translation movements




0080



Other

This category shall be used to capture Risk weighted exposure amount changes (positive or negative) that cannot be attributed to the above categories.




0090



Risk weighted exposure amounts as at the end of the current reporting period

Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the current reporting period




4.   OPERATIONAL RISK TEMPLATES
4.1   C 16.00 – OPERATIONAL RISK (OPR)
4.1.1   General Remarks








136.


This template provides information on the calculation of own funds requirements in accordance with Articles 312 to 324 of Regulation (EU) No 575/2013 for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA). An institution cannot apply TSA and ASA for the business lines retail banking and commercial banking at the same time at solo level.












137.


Institutions using the BIA, TSA or ASA shall calculate their own funds requirement, based on the information at financial year-end. Where audited figures are not available, institutions may use business estimates. Where audited figures are used, institutions shall report the audited figures which are expected to remain unchanged. Deviations from this “unchanged” principle are possible, for instance if during that period the exceptional circumstances, such as recent acquisitions or disposals of entities or activities, are met.












138.


Where an institution can justify its competent authority that – due to exceptional circumstances such as a merger or a disposal of entities or activities – using a three year average to calculating the relevant indicator would lead to a biased estimation for the own funds requirement for operational risk, the competent authority may permit the institution to modify the calculation in a way that would take into account such events. The competent authority may also on its own initiative require an institution to modify the calculation. An institution that has been in operation for less than three years may use forward looking business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as those data are available.












139.


By columns, this template presents information, for the three most recent years, on the amount of the relevant indicator of the banking activities subject to operational risk and on the amount of loans and advances (the latter only applicable in the case of ASA). Next, information on the amount of own funds requirement for operational risk is reported. Where applicable, it must be detailed which part of that amount is due to an allocation mechanism. Regarding AMA, memorandum items are added to present a detail of the effect of the expected loss, diversification and mitigation techniques on own funds requirement for operational risk.












140.


By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA.












141.


This template shall be submitted by all institutions subject to operational risk own funds requirement.




4.1.2.   Instructions concerning specific positions






Columns




0010-0030



RELEVANT INDICATOR

Institutions using the relevant indicator to calculate the own funds requirement for operational risk (BIA, TSA and ASA) shall report the relevant indicator for the respective years in columns 0010 to 0030. Moreover, in case of a combined use of different approaches as referred in Article 314 of Regulation (EU) No 575/2013, institutions shall also report, for information purposes, relevant the indicator for the activities subject to AMA. The same shall apply for all other AMA banks.
Hereafter, the term “relevant indicator” refers to “the sum of the elements” at the end of the financial year as referred to in Article 316, Table 1, point 1 of Regulation (EU) No 575/2013.
Where the institution has less than 3 years of data on “relevant indicator” available, the available historical data (audited figures) shall be assigned by priority to the corresponding columns in the template. Where, for instance, historical data for only one year is available, those data shall be reported in column 0030. Where it seems reasonable, the forward looking estimates shall be included in column 0020 (estimate of next year) and column 0010 (estimate of year +2).
Furthermore, where there are no historical data on “relevant indicator” available, the institution may use forward-looking business estimates.




0040-0060



LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION)

These columns shall be used to report the amounts of the loans and advances, as referred to in Article 319(1), point (b), of Regulation (EU) No 575/2013, for business lines “commercial banking” and “retail banking”. Those amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to the alternative standard approach (Article 319(1), point (a), of Regulation (EU) No 575/2013).
For the “commercial banking” business line, securities held in the non-trading book shall also be included.




0070



OWN FUND REQUIREMENT

The own fund requirement shall be calculated in accordance with the approaches used and in accordance with Articles 312 to 324 of Regulation (EU) No 575/2013. The resulting amount shall be reported in column 0070.




0071



TOTAL OPERATIONAL RISK EXPOSURE AMOUNT

Article 92(4) of Regulation (EU) No 575/2013
Own funds requirements in column 0070 multiplied by 12.5.




0080



OF WHICH: DUE TO AN ALLOCATION MECHANISM

Where a permission to use the AMA at consolidated level (Article 18(1) of Regulation (EU) No 575/2013) has been granted in accordance with Article 312(2) of that Regulation , operational risk capital shall be allocated between the different entities of the group on the basis of the methodology applied by the institutions to consider diversification effects in the risk measurement system used by a EU parent credit institution and its subsidiaries or jointly by the subsidiaries of an EU parent financial holding company or an EU parent mixed financial holding company. The result of that allocation shall be reported in this column.




0090-0120



AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE





0090



OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, 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).




0100



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

In column 100, the alleviation of own funds requirements due to expected loss captured in internal business practices (as referred to in Article 322(2), point (a), of Regulation (EU) No 575/2013) shall reported.




0110



(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION

The diversification effect reported in this column shall be the difference between the sum of own funds requirements calculated separately for each operational risk class (i.e. a “perfect dependence” situation) and the diversified own funds requirement calculated by taking into account correlations and dependencies (i.e. assuming less than “perfect dependence” between the risk classes). The “perfect dependence” situation occurs in the “default case”, that is where the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is calculated as the sum of the individual operational risk measures of the chosen risk classes. In that case, the correlation between the risk classes is assumed to be 100 % and the value in the column has to be set to zero. Conversely, where the institution calculates an explicit correlations structure between risk classes, it has to include in this column the difference between the AMA capital as stemming from the “default case” and the AMA capital obtained after applying the correlations structure between the risk classes. The value reflects the “diversification capacity” of the AMA model, that is the ability of the model to capture the not simultaneous occurrence of severe operational risk loss events. In column 110, the amount by which the assumed correlation structure decreases the AMA capital relative to the assumption of 100 % correlation has to be reported.




0120



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

The impact of insurance and other risk transfer mechanisms as referred to in Article 323 of Regulation (EU) No 575/2013 shall be reported in this column.













Rows




0010



BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)

This row shall present the amounts corresponding to activities subject to the BIA to calculate the own funds requirement for operational risk (Articles 315 and 316 of Regulation (EU) No 575/2013).




0020



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

The own funds requirement calculated in accordance with the TSA and ASA (Articles 317, 318 and 319 of Regulation (EU) No 575/2013) shall be reported.




0030-0100



SUBJECT TO TSA

Where the TSA is used, the relevant indicator for each respective year shall be distributed in rows 0030 to 0100 amongst the business lines referred to in Article 317, Table 2 of Regulation (EU) No 575/2013. The mapping of activities into business lines shall follow the principles described in Article 318 of Regulation (EU) No 575/2013.




0110-0120



SUBJECT TO ASA

Institutions using the ASA (Article 319 of Regulation (EU) No 575/2013) shall report for the respective years the relevant indicator separately for each business line in rows 0030 to 0050 and 0080 to 0100 and in rows 0110 and 0120 for business lines “commercial banking” and “retail banking”.
Rows 110 and 120 shall present the amount of the relevant indicator of activities subject to ASA, distinguishing between the amount corresponding to the business line “commercial banking” and the amounts corresponding to the business line “retail banking” (Article 319 of Regulation (EU) No 575/2013). There can be amounts for the rows corresponding to “commercial banking” and “retail banking” under the TSA (rows 0060 and 0070) as well as under the ASA rows 0110 and 0120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA).




0130



BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA

The relevant data for AMA institutions (Article 312(2) and Articles 321, 322 and 323 of Regulation (EU) No 575/2013) shall be reported.
Where different approaches are combined as indicated in Article 314 of Regulation (EU) No 575/2013, information on relevant indicator for activities subject to AMA shall be reported. The same shall apply for all other AMA banks.




4.2.   OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS)
4.2.1.   General Remarks








142.


Template C 17.01 (OPR DETAILS 1) summarises the information on the gross losses and loss recoveries registered by an institution in the last year by event types and business lines. Template C 17.02 (OPR DETAILS 2) provides detailed information on the largest loss events in the most recent year.












143.


Operational risk losses that are related to credit risk and are subject to own funds requirements for credit risk (boundary credit-related operational risk events) are neither considered in template C 17.01 nor template C 17.02.












144.


In case of a combined use of different approaches for the calculation of own funds requirements for operational risk in accordance with Article 314 of Regulation (EU) No 575/2013, losses and recoveries registered by an institution shall be reported in C 17.01 and C 17.02, irrespective of the approach applied to calculate own funds requirements.












145.


“Gross loss” means a loss - as referred to in Article 322(3), point (b), of Regulation (EU) No 575/2013 - stemming from an operational risk event or loss event type before recoveries of any kind, without prejudice to “rapidly recovered loss events” as defined below.












146.


“Recovery” means an independent occurrence related to the original operational risk loss that is separate in time, in which funds or inflows of economic benefits are received from first or third parties, such as insurers or other parties. Recoveries are broken down into recoveries from insurance and other risk transfer mechanisms and direct recoveries.












147.


“Rapidly recovered loss events” means operational risk events that lead to losses that are partly or fully recovered within five working days. In case of a rapidly recovered loss event, only the part of the loss that is not fully recovered (i.e. the loss net of the partial rapid recovery) shall be included into the gross loss definition. As a consequence, loss events that lead to losses that are fully recovered within five working days shall not be included into the gross loss definition, and neither into the OPR DETAILS reporting.












148.


“Date of accounting” means the date when a loss or reserve/provision was first recognised in the Profit and Loss statement, against an operational risk loss. Those date logically follow the “Date of occurrence” (i.e. the date when the operational risk event happened or first began) and the “Date of discovery” (i.e. the date on which the institution became aware of the operational risk event).












149.


Losses caused by a common operational risk event or by multiple events linked to an initial operational risk event generating events or losses (“root-event”) are grouped. The grouped events shall be considered and reported as one event, and thus the related gross loss amounts, respectively amounts of loss adjustments, shall be summed up.












150.


The figures reported in June of the respective year shall be interim figures, while the final figures shall be reported in December. Therefore, the figures in June shall have a six-month reference period (i.e. from 1 January to 30 June of the calendar year) while the figures in December shall have a twelve-month reference period (i.e. from 1 January to 31 December of the calendar year). Both for data reported in June and December, “previous reporting reference periods” shall mean all reporting reference periods until and including the one ending at the preceding calendar year end.




4.2.2.   C 17.01: Operational risk losses and recoveries by business lines and loss event types in the last year (OPR DETAILS 1)
4.2.2.1.   General Remarks








151.


In template C 17.01, the information shall be presented by distributing the losses and recoveries above internal thresholds amongst business lines (as listed in Article 317, Table 2 of Regulation (EU) No 575/2013, including the additional business line “corporate items” referred to in Article 322(3), point (b), of Regulation (EU) No 575/2013) and loss event types (as referred to in in Article 324 of Regulation (EU) No 575/2013). It is possible that the losses corresponding to one loss event are distributed amongst several business lines.












152.


Columns present the different loss event types and the totals for each business line, together with a memorandum item that shows the lowest internal threshold applied in the data collection of losses, revealing within each business line the lowest and the highest threshold where there is more than one threshold.












153.


Rows present the business lines, and within each business line, information on the number of loss events (new loss events), the gross loss amount (new loss events), the number of loss events subject to loss adjustments, the loss adjustments relating to previous reporting periods, the maximum single loss, the sum of the five largest losses and the total loss recoveries (direct loss recoveries as well as recoveries from insurance and other risk transfer mechanisms).












154.


For the total business lines, data on the number of loss events and the gross loss amount shall also be reported for certain ranges based on set thresholds, that is 10,000, 20,000, 100,000, and 1,000,000. The thresholds are set in EUR and are included for comparability purposes of the reported losses among institutions. Those thresholds do therefore not necessarily relate to the minimum loss thresholds used for the internal loss data collection, to be reported in another section of the template.




4.2.2.2.   Instructions concerning specific positions






Columns




0010-0070



EVENT TYPES

Institutions shall report the losses in the respective columns 0010 to 0070 in accordance with the loss event types referred to in Article 324 of Regulation (EU) No 575/2013.
Institutions that calculate their own funds requirement in accordance with the BIA may report those losses for which the loss event type is not identified in column 080 only.




0080



TOTAL LOSS EVENT TYPES

In column 0080, for each business line, institutions shall report the total “number of loss events (new loss events)”, the total of “gross loss amount (new loss events)”, the total “number of loss events subject to loss adjustments”, the total of “loss adjustments relating to previous reporting periods”, the “maximum single loss”, the “sum of the five largest losses”, the total of “total direct loss recovery” and the total of “total recovery from insurance and other risk transfer mechanisms”.
Provided that the institution has identified the loss event types for all losses, column 080 shall show the simple aggregation of the number of loss events, the total gross loss amounts, the total loss recovery amounts and the “loss adjustments relating to previous reporting periods” reported in columns 0010 to 0070.
The “maximum single loss” reported in column 0080 shall be the maximum single loss within a business line and identical to the maximum of the “maximum single losses” reported in columns 0010 to 0070, provided that the institution has identified the loss event types for all losses.
For the sum of the five largest losses, in column 0080 the sum of the five largest losses within one business line shall be reported.




0090-0100



MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION

Institutions shall report in columns 0090 and 0100 the minimum loss thresholds they are using for the internal loss data collection in accordance with the last sentence of Article 322(3), point (c), of Regulation (EU) No 575/2013.
Where the institution applies only one threshold for in each business line, only column 0090 shall be filled in.
Where there are different thresholds applied within the same regulatory business line, the highest applicable threshold (column 0100) shall be filled in as well.













Rows




0010-0880



BUSINESS LINES: CORPORATE FINANCE, TRADING AND SALES, RETAIL BROKERAGE, COMMERCIAL BANKING, RETAIL BANKING, PAYMENT AND SETTLEMENT, AGENCY SERVICES, ASSET MANAGEMENT, CORPORATE ITEMS

For each business line referred to in Article 317(4), Table 2 of Regulation (EU) No 575/2013, including the additional business line “Corporate items” as referred to in Article 322(3), point (b), of that Regulation, and for each loss event type, the institution shall report, in accordance with the internal thresholds, the following information: number of loss events (new loss events), gross loss amount (new loss events), the number of loss events subject to loss adjustments, loss adjustments relating to previous reporting periods, maximum single loss, sum of the five largest losses, total direct loss recovery and the total recovery from insurance and other risk transfer mechanisms.
For a loss event that affects more than one business line the “gross loss amount” shall be distributed amongst all the affected business lines.
Institutions that calculate their own funds requirement in accordance with the BIA can report those losses for which the business line is not identified in rows 0910-0980 only.




0010, 0110, 0210, 0310, 0410, 0510, 0610, 0710, 0810



Number of loss events (new loss events)

The number of loss events is the number of loss events for which gross losses were accounted for within the reporting reference period.
The number of loss events shall refer to “new events”, i.e. operational risk events:






(i)


“accounted for the first time” within the reporting reference period; or










(ii)


“accounted for the first time” within a previous reporting reference period, where the loss event was not included in any previous supervisory report, e.g. because it was identified as operational risk loss event only in the current reporting reference period or because the accumulated loss attributable to that loss event (i.e. the original loss plus / minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period.




“New loss events” do not include loss events “accounted for the first time” within a previous reporting reference period, which were already included in previous supervisory reports.




0020, 0120, 0220, 0320, 0420, 0520, 0620, 0720, 0820



Gross loss amount (new loss events)

The gross loss amount shall be the gross loss amounts pertinent to operational risk loss events (e.g. direct charges, provisions, settlements). All losses related to a single loss event which are accounted for within the reporting reference period shall be summed up and considered as the gross loss for that loss event for that reporting reference period.
The reported gross loss amount shall refer to “new loss events” as referred to in the row above of this table. For loss events “accounted for the first time” within a previous reporting reference period which were not included in any previous supervisory report, the total loss accumulated until the reporting reference date (i.e. the original loss plus / minus all loss adjustments made in previous reporting reference periods) shall be reported as the gross loss at the reporting reference date.
The amounts to be reported shall not take into account obtained recoveries.




0030, 0130, 0230, 0330, 0430, 0530, 0630, 0730, 0830



Number of loss events subject to loss adjustments

The number of loss events subject to loss adjustments shall be the number of operational risk loss events “accounted for the first time” in previous reporting reference periods and already included in previous reports, for which loss adjustments were made in the current reporting reference period.
Where more than one loss adjustment was made for a loss event within the reporting reference period, the sum of those loss adjustments shall be counted as one adjustment in the period.




0040, 0140, 0240, 0340, 0440, 0540, 0640, 0740, 0840



Loss adjustments relating to previous reporting periods

Loss adjustments relating to previous reporting reference periods shall the sum of the following elements (positive or negative):






(i)


the gross loss amounts pertinent to positive loss adjustments made within the reporting reference period (e.g. increase of provisions, linked loss events, additional settlements) of operational risk events “accounted for the first time” and reported in previous reporting reference periods;










(ii)


the gross loss amounts pertinent to negative loss adjustments made within the reporting reference period (e.g. due to decrease of provisions) of operational risk loss events “accounted for the first time” and reported in previous reporting reference periods.




Where more than one loss adjustment was made for a loss event within the reporting reference period, the amounts of all those loss adjustments shall be summed up, taking into account the sign of the adjustments (positive, negative). That sum shall be considered as the loss adjustment for that loss event for that reporting reference period.
Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that loss event accumulated until the last time when the event was reported for a December reference date (i.e. the original loss plus / minus all loss adjustments made in previous reporting reference periods) with a negative sign instead of the amount of the negative loss adjustment itself.
The amounts to be reported shall not take into account obtained recoveries.




0050, 0150, 0250, 0350, 0450, 0550, 0650, 0750, 0850



Maximum single loss

The maximum single loss is the larger of:






(i)


the largest gross loss amount related to a loss event reported for the first time within the reporting reference period; and










(ii)


the largest positive loss adjustment amount (as referred to in rows 0040, 0140, …, 0840 above) related to a loss event reported for the first time within a previous reporting reference period.




The amounts to be reported shall not take into account obtained recoveries.




0060, 0160, 0260, 0360, 0460, 0560, 0660, 0760, 0860



Sum of the five largest losses

The sum of the five largest losses shall be the sum of the five largest amounts amongst:






(i)


the gross loss amounts for loss events reported for the first time within the reporting reference period; and










(ii)


the positive loss adjustment amounts (as defined for rows 0040, 0140, …, 0840 above) relating to loss events reported for the first time within a previous reporting reference period. The amount which can qualify as one of the five largest ones shall be the amount of the loss adjustment itself, not the total loss associated with the respective loss event before or after the loss adjustment.




The amounts to be reported shall not take into account obtained recoveries.




0070, 0170, 0270, 0370, 0470, 0570, 0670, 0770, 0870



Total direct loss recovery

Direct loss recoveries shall be all loss recoveries obtained, except those which are subject to Article 323 of Regulation (EU) No 575/2013 as referred to in the row of this table below.
The total direct loss recovery shall be the sum of all the direct recoveries and adjustments to direct recoveries accounted for within the reporting period and pertinent to operational risk loss events accounted for the first time within the reporting reference period or in previous reporting reference periods.




0080, 0180, 0280, 0380, 0480, 0580, 0680, 0780, 0880



Total recovery from insurance and other risk transfer mechanisms

Recoveries from insurance and other risk transfer mechanisms shall be those recoveries which are subject to Article 323 of Regulation (EU) No 575/2013.
The total recovery from insurance and other risk transfer mechanisms shall be the sum of all recoveries from insurance and other risk transfer mechanisms and adjustments to such recoveries accounted for within the reporting reference period and pertinent to operational risk loss events accounted for the first time within the reporting reference period or in previous reporting reference periods.




0910-0980



TOTAL BUSINESS LINES

For each loss event type (column 0010 to 0080), the information on total business lines has to be reported.




0910-0914



Number of loss events

In row 0910, the number of loss events above the internal threshold by loss event types for the total business lines shall be reported. This figure may be lower than the aggregation of the number of loss events by business lines since the loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the BIA cannot identify the business line(s) affected by the loss in every case.
In rows 0911 – 0914, the number of loss events with a gross loss amount within the ranges defined in the pertinent rows of the template shall be reported.
Provided that the institution has assigned all its losses to a business line listed in Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line “corporate items” as referred to in Article 322(3), point (b), of that Regulation or that it has identified the loss event types for all losses, the following shall apply for column 0080, as appropriate:






—


The total number of loss events reported in rows 0910 to 0914 shall be equal to the horizontal aggregation of the number of loss events in the corresponding row, because in those figures the loss events with impacts in different business lines shall already have been considered as one loss event.










—


The figure reported in column 0080, row 0910 shall not necessarily be equal to the vertical aggregation of the number of loss events which are included in column 0080, because one loss event can have an impact in different business lines simultaneously.








0920-0924



Gross loss amount (new loss events)

Provided that the institution has assigned all its losses either to a business line listed in of Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line “corporate items” referred to in Article 322(3), point (b), of that Regulation, the gross loss amount (new loss events) reported in row 0920 shall be the simple aggregation of the gross loss amounts of new loss events for each business line.
In rows 0921 – 0924, the gross loss amount for loss events with a gross loss amount within the ranges defined in the pertinent rows shall be reported.




0930, 0935, 0936



Number of loss events subject to loss adjustments

In row 0930, the total of the numbers of loss events subject to loss adjustments as reported in rows 0030, 0130, …, 0830 shall be reported. That figure may be lower than the aggregation of the number of loss events subject to loss adjustments by business lines since loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the BIA cannot identify the business line(s) affected by the loss in every case.
The number of loss events subject to loss adjustments shall be broken down into the number of loss events for which a positive loss adjustment was made within the reporting reference period and the number of loss events for which a negative loss adjustment was made within the reporting period (all reported with a positive sign).




0940, 0945, 0946



Loss adjustments relating to previous reporting periods

In row 0940, the total of the loss adjustment amounts relating to previous reporting periods per business lines (as reported in rows 0040, 0140, …, 0840) shall be reported. Provided that the institution has assigned all its losses either to a business line listed in Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line “corporate items” referred to in Article 322(3), point (b), of that Regulation, the amount reported in row 0940 shall be the simple aggregation of the loss adjustments relating to previous reporting periods reported for the different business lines.
The amount of loss adjustments shall be broken down into the amount related to loss events for which a positive loss adjustment was made in the reporting reference period (row 0945, reported with as positive figure) and the amount related to loss events for which a negative loss adjustment was made within the reporting period (row 0946, reported as negative figure). Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that loss event accumulated until the last time when the loss event was reported for a December reference date (i.e. the original loss plus / minus all loss adjustments made in previous reporting reference periods) with a negative sign in row 0946 instead of the amount of the negative loss adjustment itself.




0950



Maximum single loss

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line “corporate items” referred to in Article 322(3), point (b), of that Regulation, the maximum single loss shall be the maximum loss over the internal threshold for each loss event type and amongst all business lines. Those figures may be higher than the highest single loss recorded in each business line where a loss event impacts different business lines.
Provided that the institution has assigned all its losses either to a business line listed in Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line “corporate items” referred to in Article 322(3), point (b), of that Regulation respectively that it has identified the loss event types for all losses, the following shall apply for column 0080:






—


The maximum single loss reported shall be equal to the highest of the values reported in columns 0010 – 0070 of this row.










—


Where there are loss events having an impact in different business lines, the amount reported in {r0950, c0080} may be higher than the amounts of “Maximum single loss” per business line reported in other rows of column 0080.








0960



Sum of the five largest losses

The sum of the five largest gross losses for each loss event type and amongst all business lines shall be reported. That sum may be higher than the highest sum of the five largest losses recorded in each business line. That sum has to be reported regardless of the number of losses.
Provided that the institution has assigned all its losses either to a business line listed in Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line “corporate items” referred to in Article 322(3), point (b), of Regulation (EU) No 575/2013 and that it has identified the loss event types for all losses, for column 0080, the sum of the five largest losses shall be the sum of the five largest losses in the whole matrix, which means that it is not necessarily equal to either the maximum value of “sum of the five largest losses” in row 0960 or the maximum value of “sum of the five largest losses” in column 0080.




0970



Total direct loss recovery

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line “corporate items” referred to in Article 322(3), point (b), of Regulation (EU) No 575/2013, the total direct loss recovery shall be the simple aggregation of the total direct loss recovery for each business line.




0980



Total recovery from insurance and other risk transfer mechanisms

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line “corporate items” referred to in Article 322(3), point (b), of that Regulation , the total recovery from insurance and other risk transfer mechanisms shall be the simple aggregation of the total loss recovery from insurance and other risk transfer mechanisms for each business line.




4.2.3.   C 17.02: Operational risk: Detailed information on the largest loss events in the last year (OPR DETAILS 2)
4.2.3.1.   General Remarks








155.


In template C 17.02, information on individual loss events shall be provided (one row per loss event).












156.


The information reported in this template shall refer to “new loss events”, i.e. operational risk events:






(a)


“accounted for the first time” within the reporting reference period; or










(b)


“accounted for the first time” within a previous reporting reference period, where the loss event was not included in any previous supervisory report, e.g. because it was identified as operational risk loss event only in the current reporting reference period or because the accumulated loss attributable to that loss event (i.e. the original loss plus / minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period.
















157.


Only loss events entailing a gross loss amount of EUR100,000 or more shall be reported.
Subject to that threshold:






(a)


the largest event for each event type, provided that the institution has identified the event types for losses; 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)


Loss events shall be ranked based on the gross loss attributed to them.










(d)


A loss event shall only be considered once.








4.2.3.2.   Instructions concerning specific positions






Columns




0010



Event ID

The event ID is a row identifier and shall be unique for each row in the template.
Where an internal ID is available, institutions shall provide the internal ID. Otherwise, the reported ID shall follow the numerical order 1, 2, 3, etc.




0020



Date of Accounting

Date of accounting means the date where a loss or reserve / provision against an operational risk loss was first recognised in the Profit and Loss statement.




0030



Date of occurrence

Date of occurrence shall be the date when the operational risk loss event happened or first began.




0040



Date of discovery

Date of discovery shall be the date on which the institution became aware of the operational risk loss event.




0050



Loss event type

Loss event types as referred to in Article 324 of Regulation (EU) No 575/2013.




0060



Gross loss

Gross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01




0070



Gross loss net of direct recoveries

Gross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01, net of direct recoveries pertinent to that loss event




0080 - 0160



Gross loss by business line

The gross loss as reported in column 0060 shall be allocated to the relevant business lines as referred to in Article 317(4), Table 2 of Regulation (EU) No 575/2013 and Article 322(3), point (b), of that Regulation.




0170



Legal Entity name

Name of the legal entity as reported in column 0011 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.




0181



Code

Code of the legal entity as reported in column 0021 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.




0185



TYPE OF CODE

The institutions shall identify the type of code reported in column 0181 as a “LEI code” or “Non-LEI code” also in line with column 0026 of C 06.02 The type of code shall always be reported.




0190



Business Unit

Business unit or corporate division of the institution where the loss – or the greatest share of the loss if several business units or corporate divisions were affected – occurred.




0200



Description

Narrative description of the loss event, where necessary in a generalised or anonymised manner, which shall comprise at least information about the event itself and information about the drivers or causes of the loss event, where known.




5.   MARKET RISK TEMPLATES








158.


These instructions refer to the templates for the reporting of the calculation of own funds requirements in accordance with the Standardised Approach for foreign exchange risk (MKR SA FX), commodities risk (MKR SA COM), interest rate risk (MKR SA TDI, MKR SA SEC, MKR SA CTP) and equity risk (MKR SA EQU). Additionally, instructions for the template for the reporting of the calculation of own funds requirements in accordance with the internal models approach (MKR IM) are included in this part.












159.


The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components in order to calculate the capital required against it. The first shall be its specific-risk component — that is the risk of a price change in the instrument concerned due to factors related to its issuer or, in the case of a derivative, the issuer of the underlying instrument. The second component shall cover its general risk — that is the risk of a price change in the instrument due (in the case of a traded debt instrument or debt derivative) to a change in the level of interest rates or (in the case of an equity or equity derivative) to a broad equity- market movement unrelated to any specific attributes of individual securities. The general treatment of specific instruments and netting procedures can be found in Articles 326 to 333 of Regulation (EU) No 575/2013.




5.1.   C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
5.1.1.   General Remarks








160.


This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the Standardised Approach (Article 325 (2), point (a), of Regulation (EU) No 575/2013). The different risks and methods available under of Regulation (EU) No 575/2013 are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP has only to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {0325;0060} (securitisations) and {0330;0060} (CTP) respectively.












161.


The template has to be filled out separately for the “Total”, plus a pre-defined list of following currencies: EUR, ALL, BGN, CZK, DKK, EGP, GBP, HRK, HUF, ISK, JPY, MKD, NOK, pLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.




5.1.2.   Instructions concerning specific positions






Columns




0010-0020



ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) of Regulation (EU) No 575/2013. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties in accordance with the second sentence of the of Article 345(1), first subparagraph of Regulation (EU) No 575/2013. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of Regulation (EU) No 575/2013.




0030-0040



NET POSITIONS (LONG AND SHORT)

Articles 327 to 329 and Article 334 of Regulation (EU) No 575/2013. Regarding the distinction between Long and Short positions, see Article 328(2) of Regulation (EU) No 575/2013.




0050



POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, in accordance with the different approaches considered in Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013, receive a capital charge.




0060



OWN FUNDS REQUIREMENTS

The capital charge for any relevant position in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013.




0070



TOTAL RISK EXPOSURE AMOUNT

Article 92(4), point (b), of Regulation (EU) No 575/2013. Result of the multiplication of the own funds requirements by 12,5.













Rows




0010-0350



TRADED DEBT INSTRUMENTS IN TRADING BOOK

Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk in accordance with Article 92(3), point (b)(i) of Regulation (EU) No 575/2013 and of of Part Three, Chapter 2, Title IV of Regulation (EU) No 575/2013 shall be reported depending on risk category, maturity and approach used.




0011



GENERAL RISK.





0012



Derivatives

Derivatives included in the calculation of interest rate risk of trading book positions, taking into account Articles 328 to 331 of Regulation (EU) No 575/2013, where applicable.




0013



Other assets and liabilities

Instruments other than derivatives included in the calculation of interest rate risk of trading book positions.




0020-0200



MATURITY BASED APPROACH

Positions in traded debt instruments subject to the maturity-based approach referred to in Article 339, paragraphs 1 to 8 of Regulation (EU) No 575/2013 and the corresponding own funds requirements calculated in accordance with Article 339(9) of Regulation (EU) No 575/2013. The position shall be split by zones 1, 2 and 3 and those zones shall be split by the maturity of the instruments.




0210-0240



GENERAL RISK. DURATION BASED APPROACH

Positions in traded debt instruments subject to the duration-based approach referred to in Article 340, paragraphs 1 to 6 of Regulation (EU) No 575/2013 and the corresponding own funds requirements calculated in accordance with Article 340(7) of Regulation (EU) No 575/2013. The position shall be split by zones 1, 2 and 3.




0250



SPECIFIC RISK

Sum of amounts reported in rows 0251, 0325 and 0330.
Positions in traded debt instruments subject to the specific risk capital requirements and their corresponding capital requirements in accordance with Article 92(3), point (b) and Article 335, Article 336, paragraphs 1, 2 and 3 and Articles 337 and 338 of Regulation (EU) No 575/2013. Be also aware of the last sentence in Article 327(1) of Regulation (EU) No 575/2013.




0251-0321



Own funds requirement for non-securitisation debt instruments

Sum of the amounts reported in rows 260 to 321.
The own funds requirement of the n-th to default credit derivatives which are not rated externally shall be calculated by summing up the risk weights of the reference entities (Article 332(1), point (e), of Regulation (EU) No 575/2013 and the second subparagraph of Article 332(1) of Regulation (EU) No 575/2013 – “look-through”). N-th-to-default credit derivatives which are rated externally (the third subparagraph of Article 332(1) of Regulation (EU) No 575/2013) shall be reported separately in line 321.
Reporting of positions subject to Article 336(3) of Regulation (EU) No 575/2013: There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book in accordance with Article 129(3) of Regulation (EU) No 575/2013 (covered bonds). The specific own funds requirements shall be half of the percentage of the second category referred to in Article 336, Table 1 of Regulation (EU) No 575/2013. Those positions have to be assigned to rows 0280-0300 in accordance with the residual term to final maturity.
Where the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 of Regulation (EU) No 575/2013 shall be applied.




0325



Own funds requirement for securitisation instruments

Total own funds requirements reported in column 0601 of template MKR SA SEC. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI.




0330



Own funds requirement for the correlation trading portfolio

Total own funds requirements reported in column 0450 of template MKR SA CTP. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI.




0350-0390



ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 329(3) of Regulation (EU) No 575/2013.
The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.




5.2.   C 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
5.2.1.   General Remarks








162.


This template requests information on positions (all/net and long/short) and the related own funds requirements for the specific risk component of position risk in securitisations/ re-securitisations held in the trading book (not eligible for correlation trading portfolio) under the Standardised Approach.












163.


The MKR SA SEC template presents the own funds requirement only for the specific risk of securitisation positions in accordance with Article 335 of Regulation (EU) No 575/2013 in connection with 337 of that Regulation. Where securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 of Regulation (EU) No 575/2013 apply. There is only one template for all positions of the trading book, irrespective of the approach institutions apply to determine the risk weight for each of the positions in accordance with Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013. The own funds requirements of the general risk of those positions shall be reported in the MKR SA TDI or the MKR IM template.












164.


Positions which receive a risk weight of 1 250 % can alternatively be deducted from CET1 (see Article 244(1), point (b), Article 245(1), point (b), and Article 253 of Regulation (EU) No 575/2013). Where this is the case, those positions have to be reported in row 0460 of CA1.




5.2.2.   Instructions concerning specific positions






Columns




0010-0020



ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) of Regulation (EU) No 575/2013 in conjunction with Article 337 of that Regulation (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to those gross positions, see Article 328(2) of Regulation (EU) No 575/2013.




0030-0040



(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

Article 244(1), point (b), Article 245(1), point (b) and Article 253 of Regulation (EU) No 575/2013




0050-0060



NET POSITIONS (LONG AND SHORT)

Articles 327, 328, 329 and 334 of Regulation (EU) No 575/2013. Regarding the distinction between long and short positions, see Article 328(2) of Regulation (EU) No 575/2013.




0061-0104



BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS

Articles 259 to 262, Article 263, Tables 1 and 2, Article 264, Tables 3 and 4 and Article 266 of Regulation (EU) No 575/2013.
The breakdown shall be done separately for long and short positions.




0402-0406



BREAKDOWN OF THE NET POSITIONS BY APPROACHES

Article 254 of Regulation (EU) No 575/2013




0402



SEC-IRBA

Article 259 and 260 of Regulation (EU) No 575/2013




0403



SEC-SA

Article 261 and 262 of Regulation (EU) No 575/2013




0404



SEC-ERBA

Article 263 and 264 of Regulation (EU) No 575/2013




0405



INTERNAL ASSESSMENT APPROACH

Articles 254, 265 and 266(5) of Regulation (EU) No 575/2013.




0900



SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS

Article 269a(3) of Regulation (EU) No 575/2013




0406



OTHER (RW = 1 250  %)

Article 254(7) of Regulation (EU) No 575/2013




0530-0540



OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402

Article 270a of Regulation (EU) No 575/2013




0570



BEFORE CAP

Article 337 of Regulation (EU) No 575/2013, without taking into account the discretion of Article 335 of that Regulation which allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss.




0601



AFTER CAP / TOTAL OWN FUND REQUIREMENTS

Article 337 of Regulation (EU) No 575/2013, taking into account the discretion of Article 335 of that Regulation.













Rows




0010



TOTAL EXPOSURES

Total amount of outstanding securitisations and re-securitisations (held in the trading book) reported by the institution playing the role/s of originator or investor or sponsor.




0040, 0070 and 0100



SECURITISATION POSITIONS

Article 4(1), point (62), of Regulation (EU) No 575/2013.




0020, 0050, 0080 and 0110



RE-SECURITISATIONS POSITIONS

Article 4(1), point (64), of Regulation (EU) No 575/2013




0041, 0071 and 0101



OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Total amount of securitisation positions which fulfil the criteria of Article 243 of Regulation (EU) No 575/2013 or Article 270 of that Regulation and therefore qualify for differentiated capital treatment.




0030-0050



ORIGINATOR

Article 4(1), point (13), of Regulation (EU) No 575/2013




0060-0080



INVESTOR

Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender.




0090-0110



SPONSOR

Article 4(1), point (14), of Regulation (EU) No 575/2013.
A sponsor that also securitises its own assets shall fill in the originator's rows with the information regarding its own securitised assets.




5.3.   C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
5.3.1.   General Remarks








165.


This template requests information on positions of the Correlation Trading Portfolio (CTP) (comprising securitisations, nth-to-default credit derivatives and other CTP positions included in accordance with Article 338(3) of Regulation (EU) No 575/2013 ) and the corresponding own funds requirements under the Standardised Approach.












166.


The MKR SA CTP template presents the own funds requirement only for the specific risk of positions assigned to the CTP in accordance with Article 335 of Regulation (EU) No 575/2013 in conjunction with Article 338, paragraphs 2 and 3 of that Regulation. If CTP-positions of the trading book are hedged by credit derivatives, Articles 346 and 347 of Regulation (EU) No 575/2013 apply. There is only one template for all CTP-positions of the trading book, irrespective of the approach institutions apply to determine the risk weight for each of the positions in accordance with Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013. The own funds requirements for the general risk of these positions are reported in the MKR SA TDI or the MKR IM template.












167.


The template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. Securitisation positions shall always be reported in rows 0030, 0060 or 0090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in row 0110. The “other CTP-positions” are positions that are neither securitisation positions nor n-th to default credit derivatives (see Article 338(3) of Regulation (EU) No 575/2013), but they are explicitly “linked” to one of those two positions (because of the hedging intent).












168.


Positions which receive a risk weight of 1 250 % can alternatively be deducted from CET1 (see Article 244(1), point (b), Article 245(1), point (b) and Article 253 of Regulation (EU) No 575/2013). Where this is the case, those positions have to be reported in row 0460 of CA1.




5.3.2.   Instructions concerning specific positions






Columns




0010-0020



ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) of Regulation (EU) No 575/2013 in conjunction paragraphs (2) and (3) of Article 338 of that Regulation (positions assigned to the Correlation Trading Portfolio)
Regarding the distinction between long and short positions, also applicable to those gross positions, see Article 328(2) of Regulation (EU) No 575/2013.




0030-0040



(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

Article 253 of Regulation (EU) No 575/2013




0050-0060



NET POSITIONS (LONG AND SHORT)

Articles 327, 328, 329 and 334 of Regulation (EU) No 575/2013
Regarding the distinction between long and short positions, see Article 328(2) of Regulation (EU) No 575/2013.




0071-0097



BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS

Articles 259 to 262, of Article 263, Tables 1 and 2, Article 264, Tables 3 and 4 and Article 266 of Regulation (EU) No 575/2013




0402-0406



BREAKDOWN OF THE NET POSITIONS BY APPROACHES

Article 254 of Regulation (EU) No 575/2013




0402



SEC-IRBA

Articles 259 and 260 of Regulation (EU) No 575/2013




0403



SEC-SA

Articles 261 and 262 of Regulation (EU) No 575/2013




0404



SEC-ERBA

Articles 263 and 264 of Regulation (EU) No 575/2013




0405



INTERNAL ASSESSMENT APPROACH

Articles 254 and 265 and Article 266(5) of Regulation (EU) No 575/2013.




0900



SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS

Article 269a(3) of Regulation (EU) No 575/2013




0406



OTHER (RW=1 250  %)

Article 254(7) of Regulation (EU) No 575/2013




0410-0420



BEFORE CAP - WEIGHTED NET LONG / SHORT POSITIONS

Article 338 of Regulation (EU) No 575/2013, without taking into account the discretion of Article 335 of that Regulation




0430-0440



AFTER CAP - WEIGHTED NET LONG / SHORT POSITIONS

Article 338 of Regulation (EU) No 575/2013, taking into account the discretion of Article 335 of that Regulation




0450



TOTAL OWN FUNDS REQUIREMENTS

The own funds requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (column 0430) or (ii) the specific risk charge that would apply just to the net short positions (column 0440).













Rows




0010



TOTAL EXPOSURES

Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor.




0020-0040



ORIGINATOR

Article 4(1), point (13), of Regulation (EU) No 575/2013




0050-0070



INVESTOR

Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender




0080-0100



SPONSOR

Article 4(1), point (14), of Regulation (EU) No 575/2013
A sponsor that also securitises its own assets shall fill in the originator's rows with the information regarding its own securitised assets.




0030, 0060 and 0090



SECURITISATION POSITIONS

The correlation trading portfolio shall comprise securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set out in Article 338, paragraphs 2 and 3 of Regulation (EU) No 575/2013.
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”.




0110



N-TH-TO-DEFAULT CREDIT DERIVATIVES

N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives in accordance with Article 347 of Regulation (EU) No 575/2013 shall both be reported here.
The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives.




0040, 0070, 0100 and 0120



OTHER CTP POSITIONS

The following positions are included:






—


Derivatives of securitisation exposures that provide a pro-rata share, as well as positions hedging CTP positions;










—


CTP positions hedged by credit derivatives in accordance with Article 346 of Regulation (EU) No 575/2013;










—


Other positions that satisfy Article 338(3) of Regulation (EU) No 575/2013.








5.4.   C 21.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
5.4.1.   General Remarks








169.


This template requests information on the positions and the corresponding own funds requirements for position risk in equities held in the trading book and treated under the Standardised Approach.












170.


The template has to be filled out separately for the “Total”, plus a static, pre-defined list of the following markets: Bulgaria, Croatia, Czech Republic, Denmark, Egypt, Hungary, Iceland, Liechtenstein, Norway, Poland, Romania, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA, Euro Area plus one residual template for all other markets. For the purpose of this reporting requirement, the term “market” shall be read as “country” (except for countries belonging to the Euro Area, see Commission Delegated Regulation (EU) No 525/2014 (7)).




5.4.2.   Instructions concerning specific positions






Columns




0010-0020



ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) of Regulation (EU) No 575/2013.
These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties as referred to in the second sentence of the first subparagraph of Article 345(1) of Regulation (EU) No 575/2013.




0030-0040



NET POSITIONS (LONG AND SHORT)

Articles 327, 329, 332, 341 and 345 of Regulation (EU) No 575/2013.




0050



POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, in accordance with the different approaches considered in Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013 receive a capital charge. The capital charge has to be calculated for each national market separately. Positions in stock-index futures as referred to in the second sentence of Article 344(4) of Regulation (EU) No 575/2013 shall not be included in this column.




0060



OWN FUNDS REQUIREMENTS

The own funds requirement in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013 for any relevant position




0070



TOTAL RISK EXPOSURE AMOUNT

Article 92(4), point (b), of Regulation (EU) No 575/2013.
Result of the multiplication of the own funds requirements by 12,5.













Rows




0010-0130



EQUITIES IN TRADING BOOK

Own funds requirements for position risk as referred to in Article 92(3) of Regulation (EU) No 575/2013, point (b)(i) and Part Three, Title IV, Chapter 2, Section 3 of that Regulation.




0020-0040



GENERAL RISK

Positions in equities subject to general risk (Article 343 of Regulation (EU) No 575/2013) and their correspondent own funds requirement in accordance with Part Three, Title IV, Chapter 2, Section 3of that Regulation
Both breakdowns (rows 0021/0022 as well as rows 0030/0040) are a breakdown related to all positions subject to general risk.
Rows 0021 and 0022 request information on the breakdown by instruments.
Only the breakdown in rows 0030 and 0040 shall be used as a basis for the calculation of own funds requirements.




0021



Derivatives

Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332 of Regulation (EU) No 575/2013, where applicable




0022



Other assets and liabilities

Instruments other than derivatives included in the calculation of equity risk of trading book positions.




0030



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

Exchange traded stock-index futures broadly diversified and subject to a particular approach in accordance with Commission Implementing Regulation (EU) No 945/2014 (8)

Those positions shall be only subject to general risk and, accordingly, must not be reported in row 0050.




0040



Other equities than exchange traded stock-index futures broadly diversified

Other positions in equities subject to specific risk as well as the correspondent own funds requirements in accordance with Article 343 of Regulation (EU) No 575/2013, including positions in stock index futures treated in accordance with Article 344(3) of that Regulation




0050



SPECIFIC RISK

Positions in equities subject to specific risk and the correspondent own funds requirement in accordance with Article 342 of Regulation (EU) No 575/2013, excluding positions in stock-index futures treated in accordance with the second sentence of Article 344(4) of that Regulation




0090-0130



ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

of Article 329, paragraphs 2 and 3 of Regulation (EU) No 575/2013
The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.




5.5.   C 22.00 - MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
5.5.1.   General Remarks








171.


Institutions shall report information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange risk treated under the Standardised Approach. The position shall be calculated for each currency (including EUR), gold, and positions to CIUs.












172.


Rows 0100 to 0480 of this template shall be reported even where institutions are not required to calculate own funds requirements for foreign exchange risk in accordance with Article 351 of Regulation (EU) No 575/2013. In those memorandum items, all the positions in the reporting currency are included, irrespective of whether they are considered for the purposes of Article 354 of Regulation (EU) No 575/2013. Rows 0130 to 0480 of the memorandum items of the template shall be filled out separately for all currencies of the Member States of the Union, the currencies GBP, USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.




5.5.2.   Instructions concerning specific positions






Columns




0020-0030



ALL POSITIONS (LONG AND SHORT)

Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) of Regulation (EU) No 575/2013
In accordance with Article 352(2) of Regulation (EU) No 575/2013 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) of that Regulation and positions related to items that are already deducted in the calculation of own funds shall not be reported.




0040-0050



NET POSITIONS (LONG AND SHORT)

Article 352(3), the Article 352(4), first two sentences and Article 353 of Regulation (EU) No 575/2013
The net positions are calculated by each currency in accordance with Article 352 (1) of Regulation (EU) No 575/2013. Consequently, both long and short positions may be reported at the same time.




0060-0080



POSITIONS SUBJECT TO CAPITAL CHARGE

Article 352(4), third sentence and Articles 353 and 354 of Regulation (EU) No 575/2013




0060-0070



POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT)

The long and short net positions for each currency shall be calculated by deducting the total of short positions from the total of long positions.
Long net positions for each operation in a currency shall be added to obtain the long net position in that currency.
Short net positions for each operation in a currency shall be added to obtain the short net position in that currency.
Unmatched positions in non-reporting currencies shall be added to positions subject to capital charges for other currencies (row 030) in column 060 or 070, depending on their short or long arrangement.




0080



POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED)

Matched positions for closely correlated currencies.




0090



OWN FUNDS REQUIREMENTS

The capital charge for any relevant position in accordance with Part Three, Title IV, Chapter 3 of Regulation (EU) No 575/2013




0100



TOTAL RISK EXPOSURE AMOUNT

Article 92(4), point (b), of Regulation (EU) No 575/2013.
Result of the multiplication of the own funds requirements by 12,5.













Rows




0010



TOTAL POSITIONS

All positions in non-reporting currencies and those positions in the reporting currency that are considered for the purposes of Article 354 of Regulation (EU) No 575/2013 as well as their correspondent own funds requirements for the foreign-exchange risk referred to in Article 92(3), point (c)(i), taking into account Article 352, paragraphs 2 and 4 of Regulation (EU) No 575/2013 (for conversion into the reporting currency).




0020



CURRENCIES CLOSELY CORRELATED

Positions and their correspondent own funds requirements for closely correlated currencies as referred to in Article 354 of Regulation (EU) No 575/2013.




0025



Currencies closely correlated: of which: reporting currency

Positions in the reporting currency which contribute to the calculation of the capital requirements in accordance with Article 354 of Regulation (EU) No 575/2013.




0030



ALL OTHER CURRENCIES (including CIU's treated as different currencies)

Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and Article 352, paragraphs 2 and 4 of Regulation (EU) No 575/2013.
Reporting of CIU's treated as separate currencies in accordance with Article 353 of Regulation (EU) No 575/2013:
There are two different treatments of CIUs treated as separate currencies for calculating the capital requirements:






1.


The modified gold method, where the direction of the CIUs investment is not available (those CIUs shall be added to an institution’s overall net foreign-exchange position);










2.


Where the direction of the CIU's investment is available, those CIUs shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU).




The reporting of those CIU's shall follow the calculation of the capital requirements.




0040



GOLD

Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and Article 352, paragraphs 2 and 4 of Regulation (EU) No 575/2013




0050 - 0090



ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 352, paragraphs 5 and 6 of Regulation (EU) No 575/2013
The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.




0100-0120



Breakdown of total positions (reporting currency included) by exposure types

Total positions shall be broken down into derivatives, other assets and liabilities, and off-balance sheet items.




0100



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

Positions not included in row 0110 or 0120 shall be included here.




0110



Off-balance sheet items

Items within the scope of Article 352 of Regulation (EU) No 575/2013, irrespective of the currency of denomination, which are included in Annex I to of that Regulation, except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.




0120



Derivatives

Positions valued in accordance with Article 352 of Regulation (EU) No 575/2013.




0130-0480



MEMORANDUM ITEMS: CURRENCY POSITIONS

The memorandum items of the template shall be filled in separately for all currencies of the member states of the Union, GBP, USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.




5.6.   C 23.00 - MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
5.6.1.   General Remarks








173.


This template request information on the positions in commodities and the corresponding own funds requirements treated under the Standardised Approach.




5.6.2.   Instructions concerning specific positions






Columns




0010-0020



All POSITIONS (LONG AND SHORT)

Gross long/short positions considered positions in the same commodity in accordance with Article 357(4) of Regulation (EU) No 575/2013 (see also Article 359(1) of Regulation (EU) No 575/2013)




0030-0040



NET POSITIONS (LONG AND SHORT)

As defined in Article 357(3) of Regulation (EU) No 575/2013




0050



POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, in accordance with the different approaches considered in Part Three, Title IV, Chapter 4 of Regulation (EU) No 575/2013 receive a capital charge.




0060



OWN FUNDS REQUIREMENTS

The own funds requirement calculated in accordance with Part Three, Title IV, Chapter 4 of Regulation (EU) No 575/2013 for any relevant position




0070



TOTAL RISK EXPOSURE AMOUNT

Article 92(4), point (b), of Regulation (EU) No 575/2013.
Result of the multiplication of the own funds requirements by 12,5













Rows




0010



TOTAL POSITIONS IN COMMODITIES

Positions in commodities and their correspondent own funds requirements for market risk calculated in accordance with Article 92(3), point (c)(iii) of Regulation (EU) No 575/2013 and Part Three, Title IV, Chapter 4 of Regulation (EU) No 575/2013




0020-0060



POSITIONS BY CATEGORY OF COMMODITY

For reporting purposes, commodities shall be grouped in the four groups of commodities referred to in Article 361, Table 2 of Regulation (EU) No 575/2013.




0070



MATURITY LADDER APPROACH

Positions in commodities subject to the maturity ladder approach referred to in Article 359 of Regulation (EU) No 575/2013




0080



EXTENDED MATURITY LADDER APPROACH

Positions in commodities subject to the extended maturity ladder approach referred to in Article 361 of Regulation (EU) No 575/2013




0090



SIMPLIFIED APPROACH

Positions in commodities subject to the simplified approach referred to in Article 360 of Regulation (EU) No 575/2013




0100-0140



ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 358(4) of Regulation (EU) No 575/2013
The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.




5.7.   C 24.00 - MARKET RISK INTERNAL MODEL (MKR IM)
5.7.1.   General Remarks








174.


This template provides a breakdown of VaR and stressed VaR (sVaR) figures by the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements.












175.


Generally, it depends on the structure of the model of the institutions whether the figures for general and specific risk can be determined and reported separately or only as a total. The same holds true for the decomposition of the VaR /Stress-VaR into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution can refrain from reporting those decompositions if it proves that reporting those figures would be unduly burdensome.




5.7.2.   Instructions concerning specific positions






Columns




0030-0040



Value at Risk (VaR)

VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon.




0030



Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg)

Article 364(1), point (a)(ii) and Article 365(1) of Regulation (EU) No 575/2013




0040



Previous day VaR (VaRt-1)

Article 364(1), point (a)(i) and Article 365(1) of Regulation (EU) No 575/2013




0050-0060



Stressed VaR

Stressed VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution’s portfolio.




0050



Multiplication factor (ms) x Average of previous 60 working days (SVaRavg)

Article 364(1), point (b)(ii) and Article 365(1) of Regulation (EU) No 575/2013




0060



Latest available (SVaRt-1)

Article 364(1), point (b)(i)and Article 365(1) of Regulation (EU) No 575/2013




0070-0080



INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

Incremental default and migration risk capital charge means the maximum potential loss that would result from a price change linked to default and migration risks calculated in accordance with Article 364(2), point (b) in conjunction with Part Three, Title IV, Chapter 5, Section 4 of Regulation (EU) No 575/2013.




0070


12 weeks average measure

Article 364(2), point (b)(ii) in conjunction with Part Three, Title IV, Chapter 5, Section 4 of Regulation (EU) No 575/2013




0080



Last Measure

Article 364(2), point (b)(i) in conjunction with Part Three, Title IV, Chapter 5, Section 4 of Regulation (EU) No 575/2013




0090-0110



ALL PRICE RISKS CAPITAL CHARGE FOR CTP





0090



FLOOR

Article 364(3), point (c), of Regulation (EU) No 575/2013
8 % of the capital charge that would be calculated in accordance with Article 338(1) of Regulation (EU) No 575/2013 for all positions in the “all price risks” capital charge.




0100-0110


12 WEEKS AVERAGE MEASURE AND LAST MEASURE

Article 364(3), point (b), of Regulation (EU) No 575/2013




0110



LAST MEASURE

Article 364(3), point (a), of Regulation (EU) No 575/2013




0120



OWN FUNDS REQUIREMENTS

Own funds requirements as referred to in Article 364 of Regulation (EU) No 575/2013 of all risk factors, taking into account correlation effects, where applicable, plus incremental default and migration risk and all price of risks for CTP, but excluding the Securitization capital charges for Securitization and nth-to-default credit derivative according to Article 364(2) of Regulation (EU) No 575/2013




0130



TOTAL RISK EXPOSURE AMOUNT

Article 92(4), point (b), of Regulation (EU) No 575/2013.
Result of the multiplication of the own funds requirements by 12.5




0140



Number of overshootings (during previous 250 working days)

Referred to in Article 366 of Regulation (EU) No 575/2013
The number of overshootings based on which the addend is determined shall be reported. Where institutions are permitted to exclude certain overshootings from the calculation of the addend in accordance with Article 500c of Regulation (EU) No 575/2013, the number of overshootings reported in this column shall be net of those excluded overshootings.




0150-0160



VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)

As referred to in Article 366 of Regulation (EU) No 575/2013
The multiplication factors effectively applicable for the calculation of own funds requirements shall be reported; where applicable, after application of Article 500c of Regulation (EU) No 575/2013.




0170-0180



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

The amount reported and serving as the basis to calculate the floor capital charge for all price risks in accordance with Article 364(3), point (c), of Regulation (EU) No 575/2013, taking into account the discretion of Article 335 of that Regulation which stipulates that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss.













Rows




0010



TOTAL POSITIONS

Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) of Regulation (EU) No 575/2013 linked to the risk factors specified in Article 367(2) of that Regulation.
Concerning the columns 0030 to 0060 (VAR and Stress-VAR), the figures in the total row are not equal to the decomposition of the figures for the VaR/Stress-VaR of the relevant risk components.




0020



TRADED DEBT INSTRUMENTS

Corresponds to the part of position risk referred to in Article 363(1) of Regulation (EU) No 575/2013, linked to the interest rates risk factors specified in Article 367(2), point (a), of that Regulation.




0030



TDI – GENERAL RISK

General risk component as referred to in Article 362 of Regulation (EU) No 575/2013




0040



TDI – SPECIFIC RISK

Specific risk component as referred to in Article 362 of Regulation (EU) No 575/2013




0050



EQUITIES

Corresponds to the part of position risk referred to in Article 363(1) of Regulation (EU) No 575/2013 linked to the equity risk factors as specified in Article 367(2), point (c), of that Regulation.




0060



EQUITIES – GENERAL RISK

General risk component as referred to in Article 362 of Regulation (EU) No 575/2013




0070



EQUITIES – SPECIFIC RISK

Specific risk component as referred to in Article 362 of Regulation (EU) No 575/2013




0080



FOREIGN EXCHANGE RISK

Articles 363(1) and Article 367(2), point (b), of Regulation (EU) No 575/2013




0090



COMMODITY RISK

Articles 363(1) and Article 367(2), point (d)of Regulation (EU) No 575/2013




0100



TOTAL AMOUNT FOR GENERAL RISK

Market risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VaR for general risk of all risk factors (taking into account correlation effects where applicable)




0110



TOTAL AMOUNT FOR SPECIFIC RISK

Specific risk component of traded debt instruments and equities. VaR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects where applicable)




5.8.   C 25.00 - CREDIT VALUATION ADJUSTMENT RISK (CVA)
5.8.1.   Instructions concerning specific positions






Columns




0010



Exposure value

Article 271 of Regulation (EU) No 575/2013 in conjunction with Article 382 of that Regulation.
Total EAD from all transactions subject to CVA charge.




0020



Of which: OTC derivatives

Article 271 of Regulation (EU) No 575/2013 in conjunction with Article 382(1) of that Regulation.
The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set.




0030



Of which: SFT

Article 271 of Regulation (EU) No 575/2013 in conjunction with Article 382(2) of that Regulation
The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set.




0040



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

Article 383 of Regulation (EU) No 575/2013 in conjunction with Article 363(1), point (d), of that Regulation.
VaR calculation based on internal models for market risk




0050



PREVIOUS DAY (VaRt-1)

See instructions for column 0040.




0060



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

See instructions for column 0040




0070



LATEST AVAILABLE (SVaRt-1)

See instructions for column 0040




0080



OWN FUNDS REQUIREMENTS

Article 92(3), point (d), of Regulation (EU) No 575/2013.
Own funds requirements for CVA Risk calculated via the chosen method.




0090



TOTAL RISK EXPOSURE AMOUNT

Article 92(4), point (b), of Regulation (EU) No 575/2013.
Own funds requirements multiplied by 12.5.




 



Memorandum items





0100



Number of counterparties

Article 382 of Regulation (EU) No 575/2013
Number of counterparties included in calculation of own funds for CVA risk.
Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are the other contracting party.




0110



Of which: proxy was used to determine credit spread

Number of counterparties where the credit spread was determined using a proxy instead of directly observed market data.




0120



INCURRED CVA

Accounting provisions due to decreased credit worthiness of derivatives counterparties.




0130



SINGLE NAME CDS

Article 386(1), point (a), of Regulation (EU) No 575/2013
Total notional amounts of single name CDS used as hedge for CVA risk.




0140



INDEX CDS

Article 386(1), point (b), of Regulation (EU) No 575/2013
Total notional amounts of index CDS used as hedge for CVA risk.













Rows




0010



CVA risk total

Sum of rows 0020-0040




0020



Advanced method

Advanced CVA risk method as prescribed by Article 383 of Regulation (EU) No 575/2013




0030



Standardised method

Standardised CVA risk method as prescribed by Article 384 of Regulation (EU) No 575/2013




0040



Based on OEM

Amounts subject to the application of Article 385 of Regulation (EU) No 575/2013




6.   PRUDENT VALUATION (PRUVAL)
6.1.   C 32.01 - PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)
6.1.1.   General remarks








176.


This template shall be completed by all institutions, irrespective of whether they have adopted the simplified approach for the determination of Additional Valuation Adjustments (“AVAs”). This template is dedicated to the absolute value of fair-valued assets and liabilities used to determine whether the conditions set out in Article 4 of Commission Delegated Regulation (EU) 2016/101 (9) for using the simplified approach for the determination of AVAs are met.












177.


With regard to institutions using the simplified approach, this template shall provide the total AVA to be deducted from own funds pursuant to Articles 34 and 105 of Regulation (EU) No 575/2013 as set out in Article 5 of the Delegated Regulation (EU) 2016/101, which shall be reported accordingly in row 0290 of C 01.00.




6.1.2.   Instructions concerning specific positions






Columns




0010



FAIR-VALUED ASSETS AND LIABILITIES

Absolute value of fair-valued assets and liabilities, as stated in the financial statements under the applicable accounting framework, as referred to in Article 4(1) of Delegated Regulation (EU) 2016/101, before any exclusion in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.




0020



OF WHICH: TRADING BOOK

Absolute value of fair-valued assets and liabilities, as reported in 010, corresponding to positions held in the trading book.




0030-0070



FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1

Absolute value of fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.




0030



EXACTLY MATCHING

Exactly matching, offsetting fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.




0040



HEDGE ACCOUNTING

For positions subject to hedge accounting under the applicable accounting framework, absolute value of fair-valued assets and liabilities excluded in proportion to the impact of the relevant valuation change on CET1 capital in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.




0050



PRUDENTIAL FILTERS

Absolute value of fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 due to the transitional application of the prudential filters referred to in Articles 467 and 468 of Regulation (EU) No 575/2013.




0060



OTHER

Any other positions excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 due to adjustments to their accounting value having only a proportional effect on CET1 capital.
This row shall only be populated in rare cases where elements excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 cannot be assigned to columns 0030, 0040 or 0050 of this template.




0070



COMMENT FOR OTHER

The main reasons why the positions reported in column 0060 were excluded shall be provided.




0080



FAIR-VALUED ASSETS AND LIABILITIES INCLUDED IN ARTICLE 4(1) THRESHOLD

Absolute value of fair-valued assets and liabilities actually included in the threshold computation in accordance with Article 4(1) of Delegated Regulation (EU) 2016/101.




0090



OF WHICH: TRADING BOOK

Absolute value of fair-valued assets and liabilities, as reported in column 0080, corresponding to positions held in the trading book.













Rows




0010 – 0210


The definitions of these categories shall match those of the corresponding rows of FINREP templates 1.1 and 1.2.




0010


1 TOTAL FAIR-VALUED ASSETS AND LIABILITIES

Total of fair-valued assets and liabilities reported in rows 0020 to 0210.




0020


1.1 TOTAL FAIR-VALUED ASSETS

Total of fair-valued assets reported in rows 0030 to 0140.
Relevant cells of rows 0030 to 0130 shall be reported in line with FINREP template F 01.01 of Annexes III and IV to this Implementing Regulation, depending on the institution’s applicable standards:






—


IFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 of the European Parliament and of the Council (“EU IFRS”) (10);










—


National accounting standards compatible with EU IFRS (“National GAAP compatible IFRS”); or










—


National GAAP based on Council Directive 86/635/EEC (FINREP “National GAAP based on Council Directive 86/635/EEC”).








0030


1.1.1 FINANCIAL ASSETS HELD FOR TRADING

IFRS 9.Appendix A.
The information reported in this row shall correspond to row 0050 of template F 01.01 of Annexes III and IV to this Implementing Regulation.




0040


1.1.2 TRADING FINANCIAL ASSETS

Articles 32 and 33 of Council Directive 86/635/EEC; Part 1.17 of Annex V to this Implementing Regulation
The information reported in this row shall correspond to assets measured at fair value that are included in the value reported in row 0091 of template F 01.01 of Annexes III and IV to this Implementing Regulation.




0050


1.1.3 NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS

IFRS 7.8(a)(ii); IFRS 9.4.1.4.
The information reported in this row shall correspond to row 0096 of template F 01.01 of Annexes III and IV to this Implementing Regulation.




0060


1.1.4 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

IFRS 7.8(a)(i); IFRS 9.4.1.5; Article 8(1), point (a) and Article 8(6) of Directive 2013/34/EU
The information reported in this row shall correspond to row 0100 of template F 01.01 of Annexes III and IV to this Implementing Regulation.




0070


1.1.5 FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME

IFRS 7.8(h); IFRS 9.4.1.2A.
The information reported in this row shall correspond to row 0141 of template F 01.01 of Annexes III and IV to this Implementing Regulation.




0080


1.1.6 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS

Article 36(2) of Council Directive 86/635/EEC The information reported in this row shall correspond to row 0171 of template F 01.01 of Annexes III and IV to this Implementing Regulation.




0090


1.1.7 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY

Article 8(1), point (a) and Article 8(8) of Directive 2013/34/EU
The information reported in this row shall correspond to row 0175 of template F 01.01 of Annexes III and IV to this Implementing Regulation.




0100


1.1.8 OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS

Article 37 of Council Directive 86/635/EEC; Article 12(7) of Directive 2013/34/EU; Part 1.20 of Annex V to this Implementing Regulation
The information reported in this row shall correspond to assets measured at fair value that are included in the value reported in row 0234 of template F 01.01 of Annexes III and IV to this Implementing Regulation.




0110


1.1.9 DERIVATIVES - HEDGE ACCOUNTING

IFRS 9.6.2.1; Part 1.22 of Annex V to this Implementing Regulation; Article 8(1), point (a) and Article 8, paragraphs 6 and 8 of Directive 2013/34/EU; IAS 39.9
The information reported in this row shall correspond to row 0240 of template F 01.01 of Annexes III and IV to this Implementing Regulation.




0120


1.1.10 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK

IAS 39.89A(a); IFRS 9.6.5.8; Article 8, paragraphs 5 and 6 of Directive 2013/34/EU of the European Parliament and of the Council (11). The information reported in this row shall correspond to row 0250 of template F 01.01 of Annexes III and IV to this Implementing Regulation.




0130


1.1.11 INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES

IAS 1.54(e); Parts 1.21 and 2.4 of Annex V to this Implementing Regulation; Article 4, points (7) and (8), of Council Directive 86/635/EEC; Article 2(2) of Directive 2013/34/EU
The information reported in this row shall correspond to row 0260 of template F 01.01 of Annexes III and IV to this Implementing Regulation.




0140


1.1.12 (-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE

Part 1.29 of Annex V to this Implementing Regulation
The information reported in this row shall correspond to row 0375 of template F 01.01 of Annexes III and IV to this Implementing Regulation.




0142


1.1.13 OTHER ASSETS

Assets as referred to in Annex V, part 2, paragraphs 5 and 6 to this Implementing Regulation, to the extent they are valued at fair value.




0143


1.1.14 NON-CURRENT ASSETS AND DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE

Assets as referred to in Annex V, part 2, paragraph 7 to this Implementing Regulation, to the extent they are valued at fair value.




0150


1.2 TOTAL FAIR-VALUED LIABILITIES

Total of fair-valued liabilities reported in rows 0160 to 0210.
Relevant cells of rows 0150 to 0190 shall be reported in line with FINREP template F 01.02 of Annexes III and IV to this Implementing Regulation depending on the institution’s applicable standards:






—


IFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 (“EU IFRS”)










—


National accounting standards compatible with EU IFRS (“National GAAP compatible IFRS”)










—


or National GAAP based on Council Directive 86/635/EEC (FINREP “National GAAP based on Council Directive 86/635/EEC”).








0160


1.2.1 FINANCIAL LIABILITIES HELD FOR TRADING

IFRS 7.8 (e)(ii); IFRS 9.BA.6.
The information reported in this row shall correspond to row 0010 of template F 01.02 of Annexes III and IV to this Implementing Regulation.




0170


1.2.2 TRADING FINANCIAL LIABILITIES

Article 8(1), point (a) and Article 8, paragraphs 3 and 6 of Directive 2013/34/EU
The information reported in this row shall correspond to row 0061 of template F 01.02 of Annexes III and IV to this Implementing Regulation.




0180


1.2.3 FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

IFRS 7.8 (e)(i); IFRS 9.4.2.2; Article 8(1), point (a) and Article 8(6) of Directive 2013/34/EU; IAS 39.9.
The information reported in this row shall correspond to row 0070 of template F 01.02 of Annexes III and IV to this Implementing Regulation.




0190


1.2.4 DERIVATIVES - HEDGE ACCOUNTING

IFRS 9.6.2.1; Part 1.26 of Annex V to this Implementing Regulation; Article 8(1), point (a), (6) and (8), point (a), of Directive 2013/34/EU
The information reported in this row shall correspond to row 0150 of template F 01.02 of Annexes III and IV to this Implementing Regulation.




0200


1.2.5 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK

IAS 39.89A(b), IFRS 9.6.5.8; Article 8, paragraphs 5 and 6 of Directive 2013/34/EU; Part 2.8 of Annex V to this Implementing Regulation
The information reported in this row shall correspond to row 0160 of template F 01.02 of Annexes III and IV to this Implementing Regulation.




0210


1.2.6 HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE

Part 1.29 of Annex V to this Implementing Regulation
The information reported in this row shall correspond to row 0295 of template F 01.02 of Annexes III and IV to this Implementing Regulation.




0220


1.2.7 OTHER LIABILITIES

Liabilities as referred to in Annex V, part 2, paragraph 13 to this Implementing Regulation, to the extent they are valued at fair value.




0230


1.2.8 LIABILITIES INCLUDED IN DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE

Liabilities as referred to in Annex V, part 2, paragraph 14 to this Implementing Regulation, to the extent they are valued at fair value.




6.2.   C 32.02 - PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)
6.2.1.   General remarks








178.


The purpose of this template is to provide information on the composition of the total AVA to be deducted from own funds under Articles 34 and 105 of Regulation (EU) No 575/2013 alongside relevant information about the accounting valuation of the positions that give rise to the determination of AVAs.












179.


This template shall be completed by all institutions that:






(a)


are required to use the core approach because they exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101, either on an individual basis or on a consolidated basis as set out in Article 4(3) of that Regulation; or










(b)


have chosen to apply the core approach despite not exceeding the threshold.
















180.


For the purposes of this template, “upside uncertainty” shall mean the following: As determined by Article 8(2) of Delegated Regulation (EU) 2016/101, AVAs are calculated as the difference between the fair value and a prudent valuation that is determined on the basis of a 90 % confidence that institutions can exit the exposure at that point or better within the notional range of plausible values. The upside value or “upside uncertainty” is the opposing point in the distribution of plausible values at which institutions are only 10 % confident that they can exit the position at that point or better. The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA but substituting a 10 % level of certainty for the 90 % used when determining the total AVA.




6.2.2.   Instructions concerning specific positions






Columns




0010 - 0100



CATEGORY LEVEL AVA

The category level AVAs for market price uncertainty, close-out costs, model risk, concentrated positions, future administrative costs, early termination and operational risk are calculated as described in Articles 9, 10, 11 and 14 to 17 of Delegated Regulation (EU) 2016/101 respectively.
For the market price uncertainty, close-out cost and model risk categories, which are subject to diversification benefit as set out in Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101, respectively, category level AVAs shall be, unless indicated otherwise, reported as the straight sum of the individual AVAs before diversification benefit [since diversification benefits calculated using method 1 or method 2 of the Annex of Delegated Regulation (EU) 2016/101 are reported in items 1.1.2, 1.1.2.1 and 1.1.2.2 of the template].
For the market uncertainty, close-out cost and model risk categories, amounts calculated under the expert-based approach as referred to in Article 9(5), point (b), Article 10(6), point (b) and Article 11(4) of Delegated Regulation (EU) 2016/101 shall be separately reported in columns 0020, 0040 and 0060.




0010



MARKET PRICE UNCERTAINTY

Article 105(10) of Regulation (EU) No 575/2013.
Market price uncertainty AVAs calculated in accordance with Article 9 of Delegated Regulation (EU) 2016/101.




0020



OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH

Market price uncertainty AVAs calculated in accordance with Article 9(5), point (b), of Delegated Regulation (EU) 2016/101.




0030



CLOSE-OUT COSTS

Article 105(10) of Regulation (EU) No 575/2013.
Close-out costs AVAs calculated in accordance with Article 10 of Delegated Regulation (EU) 2016/101.




0040



OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH

Close-out costs AVAs calculated in accordance with Article 10(6), point (b), of Delegated Regulation (EU) 2016/101.




0050



MODEL RISK

Article 105(10) of Regulation (EU) No 575/2013
Model risk AVAs calculated in accordance with Article 11 of Delegated Regulation (EU) 2016/101.




0060



OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH

Model risk AVAs calculated in accordance with Article 11(4) of Delegated Regulation (EU) 2016/101.




0070



CONCENTRATED POSITIONS

Article 105(11) of Regulation (EU) No 575/2013
Concentrated positions AVAs calculated in accordance with Article 14 of Delegated Regulation (EU) 2016/101.




0080



FUTURE ADMINISTRATIVE COSTS

Article 105(10) of Regulation (EU) No 575/2013
Future administrative costs AVAs calculated in accordance with Article 15 of Delegated Regulation (EU) 2016/101.




0090



EARLY TERMINATION

Article 105(10) of Regulation (EU) No 575/2013
Early termination AVAs calculated in accordance with Article 16 of Delegated Regulation (EU) 2016/101.




0100



OPERATIONAL RISK

Article 105(10) of Regulation (EU) No 575/2013
Operational risk AVAs calculated in accordance with Article 17 of Delegated Regulation (EU) 2016/101.




0110



TOTAL AVA

Row 0010: total AVA to be deducted from own funds in accordance with Articles 34 and 105 of Regulation (EU) No 575/2013 and reported accordingly in row 0290 of C 01.00. The total AVA shall be the sum of rows 0030 and 0180.
Row 0020: Share of the total AVA reported in row 0010 stemming from trading book positions (absolute value).
Rows 0030 to 0160: Sum of columns 0010, 0030, 0050 and 0070 to 0100.
Rows 0180 to 0210: Total AVA stemming from portfolios under the fall-back approach.




0120



UPSIDE UNCERTAINTY

Article 8(2) of Delegated Regulation (EU) 2016/101.
The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA computed in column 0110, but substituting a 10 % level of certainty for the 90 % used when determining the total AVA.




0130 -0140



FAIR-VALUED ASSETS AND LIABILITIES

Absolute value of fair-valued assets and liabilities corresponding to the AVA amounts reported in rows 0010 to 0130 and row 0180. For some rows, in particular rows 0090 to 0130, these amounts may have to be approximated or allocated based on expert judgement.
Row 0010: Total absolute value of fair-valued assets and liabilities included in the threshold computation of Article 4(1) of Delegated Regulation (EU) 2016/101. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080.
Row 0010 is the sum of row 0030 and row 0180.
Row 0020: share of total absolute value of fair-valued assets and liabilities reported in row 0010 stemming from trading book positions (absolute value).
Row 0030: Absolute value of fair-valued assets and liabilities corresponding to the portfolios referred to in Articles 9 to 17 of Delegated Regulation (EU) 2016/101. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080. Row 0030 shall be the sum of rows 0090 to 0130.
Row 0050: Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101, may not be considered exactly matching, offsetting anymore.
Row 0060: Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101, may not be considered exactly matching, offsetting anymore.
Row 0070: Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value referred to in Article 9(2) of Delegated Regulation (EU) 2016/101.
Row 0080: Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value referred to in Article 10, paragraphs 2 and 3 of Delegated Regulation (EU) 2016/101.
Rows 0090 to 0130: Absolute value of fair-valued assets and liabilities allocated as set out below (see corresponding row instructions) in accordance with the following risk categories: interest rates, foreign exchange, credit, equities, commodities. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080.
Row 0180: Absolute value of fair-valued assets and liabilities corresponding to the portfolios under the fall-back approach




0130



FAIR-VALUED ASSETS

Absolute value of fair-valued assets corresponding to the different rows as explained in the instructions on columns 0130-0140 above.




0140



FAIR-VALUED LIABILITIES

Absolute value of fair-valued liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above.




0150



QTD REVENUE

The quarter-to-date revenues (“QTD revenue”) since the last reporting date attributed to the fair valued assets and liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above, where relevant allocated or approximated based on expert judgment.




0160



IPV DIFFERENCE

The sum across all positions and risk factors of unadjusted difference amounts (“IPV 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 Regulation (EU) No 575/2013, 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 shall nevertheless be considered by market participants when setting a price. (IFRS 13.9 and IFRS13.88)




0170



MARKET PRICE UNCERTAINTY

Adjustment applied in the institution’s fair value to reflect the risk premium arising from the existence of a range of observed prices for equivalent instruments or, in respect of a market parameter input to a valuation model, the instruments from which the input has been calibrated, and thus that can be identified as addressing the same source of valuation 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 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 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 can be identified as addressing the same source of valuation uncertainty as the operational risk AVA.




0260



DAY 1 P&L

Adjustments to reflect instances where the valuation model plus all other relevant fair value adjustments applicable to a position or portfolio did not reflect the price paid or received at first day recognition, i.e. the deferral of day one gains and losses (IFRS 9.B5.1.2.A).




0270



EXPLANATION DESCRIPTION

Description of the positions treated in accordance with Article 7(2), point (b), of Delegated Regulation (EU) 2016/101 and the reason why it was not possible to apply Articles 9 to 17 thereof.













Rows




0010


1. TOTAL CORE APPROACH

Article 7(2) of Delegated Regulation (EU) 2016/101.
For each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs computed under the core approach as set out in Chapter 3 of Delegated Regulation (EU) 2016/101 o for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation. That includes the diversification benefits reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101.




0020



OF WHICH: TRADING BOOK

Article 7(2) of Delegated Regulation (EU) 2016/101.
For each relevant category of AVAs referred to in columns 0010 to 0110, share of total AVAs reported in row 0010 stemming from trading book positions (absolute value).




0030


1.1 PORTFOLIOS UNDER ARTICLES 9 TO 17 OF COMMISSION DELEGATED REGULATION (EU) 2016/101- TOTAL CATEGORY LEVEL POST-DIVERSIFICATION

Article 7(2), point (a), of Delegated Regulation (EU) 2016/101.
For each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs computed in accordance with Articles 9 to 17 of Delegated Regulation (EU) 2016/101 for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation, except fair-valued assets and liabilities subject to the treatment described in Article 7(2), point (b), of Delegated Regulation (EU) 2016/101.
That includes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) 2016/101 that are reported in rows 0050 and 0060 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of that Regulation.
That includes the diversification benefits reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101.
Row 0030 shall be the difference between rows 0040 and 0140.




0040 - 0130


1.1.1 TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION

For rows 0090 to 0130, institutions shall allocate their fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of Delegated Regulation (EU) 2016/101 (trading book and non-trading book) to the following risk categories: interest rates, foreign exchange, credit, equities, commodities.
To that end, institutions shall rely on their internal risk management structure and, following a mapping developed based on expert judgement, allocate their business lines or trading desks to the most appropriate risk category. AVAs, Fair Value Adjustments and other required information which correspond to the allocated business lines or trading desks, shall be allocated to the same relevant risk category to provide at row level for each risk category a consistent overview of the adjustments performed both for prudential purposes and accounting purposes, as well as an indication of the size of the positions concerned (in terms of fair-valued assets and liabilities). Where AVAs or other adjustments are computed at a different level of aggregation, in particular at firm level, institutions shall develop an allocation methodology of the AVAs to the relevant sets of positions. The allocation methodology shall lead to row 0040 being the sum of rows 0050 to 0130 for columns 0010 to 0100.
Regardless of the approach applied, the information reported shall, as much as possible, be consistent at row level, since the information provided will be compared at this level (AVA amounts, upside uncertainty, fair-value amounts and potential fair-value adjustments).
The breakdown in rows 0090 to 0130 excludes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) 2016/101 that are reported in rows 0050 and 0060 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of that Regulation.
Diversification benefits are reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101 and are therefore excluded from rows 0040 to 0130.




0050



OF WHICH: UNEARNED CREDIT SPREADS AVA

Article 105(10) of Regulation (EU) No 575/2013, Article 12 of Delegated Regulation (EU) 2016/101.
The total AVA calculated for unearned credit spreads (“AVA on CVA”) and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 12 of Delegated Regulation (EU) 2016/101.
Column 0110: The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs.
Columns 0130 and 0140: Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVAs. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore.




0060



OF WHICH: INVESTMENT AND FUNDING COSTS AVA

Article 105(10) of Regulation (EU) No 575/2013, Article 17 of Delegated Regulation (EU) 2016/101.
The total AVA calculated for investing and funding costs and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 13 of Delegated Regulation (EU) 2016/101.
Column 0110: The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs.
Columns 0130 and 0140: Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore.




0070



OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF DELEGATED REGULATION (EU) 2016/101

Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 9(2) of Delegated Regulation (EU) 2016/101.




0080



OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 10, PARAGRAPHS 2 AND 3 OF DELEGATED REGULATION (EU) 2016/101

Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 10(2) or 10(3) of Delegated Regulation (EU) 2016/101.




0090


1.1.1.1 INTEREST RATES





0100


1.1.1.2 FOREIGN EXCHANGE





0110


1.1.1.3 CREDIT





0120


1.1.1.4 EQUITIES





0130


1.1.1.5 COMMODITIES





0140


1.1.2 (-) DIVERSIFICATION BENEFITS

Total diversification benefit. Sum of rows 0150 and 0160.




0150


1.1.2.1 (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 1

For those categories of AVA aggregated under Method 1 in accordance with Articles 9(6), 10(7) and 11(6) of Delegated Regulation (EU) 2016/101, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation.




0160


1.1.2.2 (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 2

For those categories of AVA aggregated under Method 2 in accordance with Articles 9(6), 10(7) and 11(6) of Delegated Regulation (EU) 2016/101, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation.




0170


1.1.2.2* MEMORANDUM ITEM: PRE-DIVERSIFICATION AVAS REDUCED BY MORE THAN 90 % BY DIVERSIFICATION UNDER METHOD 2

In the terminology of Method 2, the sum of FV – PV for all valuation exposures for which APVA < 10 % (FV – PV).




0180


1.2 PORTFOLIOS CALCULATED UNDER THE FALL-BACK APPROACH

Article 7(2), point (b), of Delegated Regulation (EU) 2016/101.
For portfolios subject to the fall-back approach under Article 7(2), point (b), of Delegated Regulation (EU) 2016/101, the total AVA shall be computed as a sum of rows 0190, 0200 and 0210.
Relevant balance sheet and other contextual information shall be provided in columns 0130 - 0260. A description of the positions and the reason why it was not possible to apply Articles 9 to 17 of Delegated Regulation (EU) 2016/101 shall be provided in column 0270.




0190


1.2.1 FALL-BACK APPROACH; 100 % UNREALISED PROFIT

Article 7(2), point (b)(i) of Delegated Regulation (EU) 2016/101.




0200


1.2.2 FALL-BACK APPROACH; 10 % NOTIONAL VALUE

Article 7(2), point (b)(ii) of Delegated Regulation (EU) 2016/101.




0210


1.2.3 FALL-BACK APPROACH; 25 % OF INCEPTION VALUE

Article 7(2), point (b)(iii) of Delegated Regulation (EU) 2016/101.




6.3.   C 32.03 - PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)
6.3.1.   General remarks








181.


This template is to be completed only by institutions that exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101 at their level. Institutions that are part of a group breaching the threshold on a consolidated basis are required to report this template only where they also exceed the threshold at their level.












182.


This template shall be used to report details of the top 20 individual model risk AVAs in terms of AVA amount that contribute to the total category level model risk AVA computed in accordance with Article 11 of Delegated Regulation (EU) 2016/101. That information corresponds to the information reported in column 0050 of template C 32.02.












183.


The top 20 individual model risk AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual model risk AVAs.












184.


Products corresponding to those top individual model risk AVAs shall be reported using the product inventory required by Article 19(3), point (a), of Delegated Regulation (EU) 2016/101.












185.


Where products are sufficiently homogenous with respect to the valuation model and the model risk AVA, they shall be merged and shown on one line for the purpose of maximising coverage of this template in respect of the total category level Model Risk AVA of the institution.




6.3.2.   Instructions concerning specific positions






Columns




0005



RANK

The rank is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc, with 1 being assigned to the highest individual model risk AVAs, 2 to the second highest and so on.




0010



MODEL

Internal name (alpha-numerical) of the model used by the institution to identify the model.




0020



RISK CATEGORY

The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the product or group of products that give rise to the model risk valuation adjustment.
Institutions shall report the following codes:







IR


–


interest rates




FX


–


foreign exchange




CR


–


credit




EQ


–


equities




CO


–


commodities








0030



PRODUCT

Internal name (alpha-numerical) for the product or group of products, in line with the product inventory required by Article 19(3), point (a), of Delegated Regulation (EU) 2016/101, that is valued using the model.




0040



OBSERVABILITY

Number of price observations for the product or group of products in the last twelve 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 Delegated Regulation (EU) 2016/101.
Individual model risk AVA before diversification benefit, but after portfolio netting where relevant.




0060



OF WHICH: USING EXPERT-BASED APPROACH

Amounts in column 0050 that have been calculated under the expert-based approach referred to in Article 11(4) of Delegated Regulation (EU) 2016/101.




0070



OF WHICH: AGGREGATED USING METHOD 2

Amounts in column 0050 that have been aggregated under Method 2 of the Annex to Delegated Regulation (EU) 2016/101. These amounts correspond to FV – PV in the terminology of that Annex.




0080



AGGREGATED AVA CALCULATED UNDER METHOD 2

The contribution towards the total category level AVA for model risk, as computed in accordance with Article 11(7) of the Delegated Regulation (EU) 2016/101 of individual model risk AVAs that are aggregated using Method 2 of the Annex to that Regulation (EU). That amount corresponds to APVA in the terminology of the Annex.




0090 -0100



FAIR-VALUED ASSETS AND LIABILITIES

Absolute value of fair-valued assets and liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.




0090



FAIR-VALUED ASSETS

Absolute value of fair-valued assets valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.




0100



FAIR-VALUED LIABILITIES

Absolute value of fair-valued liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.




0110



IPV DIFFERENCE (OUTPUT TESTING)

The sum of unadjusted difference amounts (“IPV difference”) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) of Regulation (EU) No 575/2013, 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 0110.




0130 – 0140



FAIR VALUE ADJUSTMENTS

Fair Value adjustments as referred to in columns 0190 and 0240 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.




0150



DAY 1 P&L

Adjustments as defined in column 0260 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.




6.4   C 32.04 - PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)
6.4.1.   General remarks








186.


This template shall be completed only by institutions that exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101. Institutions that are part of a group breaching the threshold on a consolidated basis shall report this template only where they also exceed the threshold at their level.












187.


This template shall be used to report details of the top 20 individual concentrated positions AVAs in terms of AVA amount that contribute to the total category level concentrated positions AVA computed in accordance with Article 14 of Delegated Regulation (EU) 2016/101. This information shall correspond to the information reported in column 0070 of template C 32.02.












188.


The top 20 concentrated positions AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual concentrated positions AVAs.












189.


Products corresponding to these top individual concentrated positions AVAs shall be reported using the product inventory required by Article 19(3), point (a), of Delegated Regulation (EU) 2016/101.












190.


Positions that are homogenous in terms of AVA calculation methodology shall be aggregated where this is possible to maximise the coverage of this template.




6.4.2.   Instructions concerning specific positions






Columns




0005



RANK

The rank is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc, with 1 being assigned to the highest concentrated positions AVAs, 2 to the second highest and so on.




0010



RISK CATEGORY

The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the position.
Institutions shall report the following codes:







IR


–


Interest Rates




FX


–


Foreign exchange




CR


–


Credit




EQ


–


Equities




CO


–


Commodities








0020



PRODUCT

Internal name for the product or group of products in line with the product inventory required by Article 19(3), point (a), of Delegated Regulation (EU) 2016/101.




0030



UNDERLYING

Internal name of the underlying, or underlyings, in the case of derivatives or of the instruments in the case of non-derivatives.




0040



CONCENTRATED POSITION SIZE

Size of the individual concentrated valuation position identified in accordance with Article 14(1), point (a), of Delegated Regulation (EU) 2016/101, expressed in the unit described in column 0050.




0050



SIZE MEASURE

Unit of size measure used internally as part of the identification of the concentrated valuation position to compute the concentrated position size referred in column 0040.
In the case of positions in bonds or equity, please report the unit used for internal risk management, such as “number of bonds”, “number of shares” or “market value”.
In the case of position in derivatives, please report the unit used for internal risk management, such as “PV01; EUR per 1 basis point parallel yield curve shift”.




0060



MARKET VALUE

Market value of the position.




0070



PRUDENT EXIT PERIOD

The prudent exit period in number of days estimated in accordance with Article 14(1), point (b), of Delegated Regulation (EU) 2016/101.




0080



CONCENTRATED POSITIONS AVA

The concentrated positions AVA amount calculated in accordance with Article 14(1) of Delegated Regulation (EU) 2016/101 for the individual concentrated valuation position concerned.




0090



CONCENTRATED POSITION FAIR VALUE ADJUSTMENT

The amount of any fair value adjustments taken to reflect the fact that the aggregate position held by the institution is larger than the normal traded volume or larger than position sizes and on which quotes or trades, which are used to calibrate the price or inputs used by the valuation model, are based.
The amount reported shall correspond to the amount that has been applied to the individual concentrated valuation position concerned.




0100



IPV DIFFERENCE

The sum of unadjusted difference amounts (“IPV difference”) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) of Regulation (EU) No 575/2013, with respect to the best available independent data for the individual concentrated valuation position concerned.
Unadjusted difference amounts shall refer to unadjusted differences between the valuations generated by the trading system and the valuations assessed during the monthly IPV process.
No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.




7.   C 33.00 - EXPOSURES TO GENERAL GOVERNMENTS (GOV)
7.1.   GENERAL REMARKS








191.


The information for the purpose of template C 33.00 shall cover all exposures to “General governments” as referred to in point (b), of paragraph 42 of Annex V to this Implementing Regulation.












192.


Where the exposures to “General governments” are subject to own funds requirements in accordance with Part Three, Title II of Regulation (EU) No 575/2013, exposures to “General governments” are included in different exposure classes in accordance with Article 112 and Article 147 of that Regulation , as specified by the instructions for the completion of template C 07.00, C 08.01 and C 08.02.












193.


Table 2 (Standardised Approach) and Table 3 (IRB Approach), included in Part 3 of Annex V to this Implementing Regulation, shall be observed for the mapping of exposure classes used to calculate capital requirements under of Regulation (EU) No 575/2013 to counterparty sector “General governments”.












194.


Information shall be reported for the total aggregate exposures (meaning the sum of all countries in which the bank has sovereign exposures) and for each country on the basis of the residence of the counterparty on an immediate borrower basis.












195.


The allocation of exposures to exposure classes or jurisdictions shall be made without considering credit mitigation techniques and in particular without considering substitution effects. However, the calculation of exposure values and risk weighted exposure amounts for each exposure class and each jurisdiction shall include the incidence of credit risk mitigation techniques, including substitution effects.












196.


The reporting of information on exposures to “General governments” by jurisdiction of residence of the immediate counterparty other than the domestic jurisdiction of the reporting institution is subject to the thresholds laid down in Article 6(3) of this Implementing Regulation.




7.2.   SCOPE OF THE TEMPLATE ON EXPOSURES TO “GENERAL GOVERNMENTS”








197.


The scope of the GOV template covers on-balance sheet, off-balance sheet and derivatives direct exposures to “General governments” in the banking and trading book. In addition, a memorandum item on indirect exposures in the form of credit derivatives sold on general government exposures is also requested.












198.


An exposure is a direct exposure when the immediate counterparty is an entity that is a “General government” as referred to in point (b), of paragraph 42 of Annex V to this Implementing Regulation.












199.


The template is divided in two sections. The first one is based on a breakdown of exposures by risk, regulatory approach and exposure classes whereas a second one is based on a breakdown by residual maturity




7.3.   INSTRUCTIONS CONCERNING SPECIFIC POSITIONS






Columns


Instructions




0010-0260



DIRECT EXPOSURES





0010-0140



ON-BALANCE SHEET EXPOSURES





0010



Total gross carrying amount of non-derivative financial assets

Aggregate of gross carrying amount, as determined in accordance with paragraph 34 of Part 1 of Annex V to this Implementing Regulation, of non-derivative financial assets to General governments, for all accounting portfolios under IFRS or national GAAP based on Council Directive 86/635/EEC defined in paragraphs 15 to 22 of Part 1 of Annex V to this Implementing Regulation, and listed in columns 0030 to 0120
Prudent valuation adjustments shall not reduce the gross carrying amount of trading and non-trading exposures measured at fair value.




0020



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

Aggregate of the carrying amount, as referred to in paragraph 27 of Part 1 of Annex V to this Implementing Regulation, of non-derivative financial assets to General governments for all accounting portfolios under IFRS or national GAAP based on Council Directive 86/635/EEC defined in paragraphs 15 to 22 of Part 1 of Annex V to this Implementing Regulation and listed in columns 0030 to 0120, net of short positions.
Where the institution has a short position for the same residual maturity and the same immediate counterparty that is denominated in the same currency, the carrying amount of the short position shall be netted against the carrying amount of the direct position. That net amount shall be considered to be zero when it is a negative amount. Where an institution has a short position without a matching direct position, the amount of the short position shall be considered zero for the purposes of this column.




0030-0120



NON-DERIVATIVE FINANCIAL ASSETS BY ACCOUNTING PORTFOLIOS

Aggregate carrying amount of non-derivative financial assets, as defined in the row above of this table, to General governments, broken down by accounting portfolio under the applicable accounting framework.




0030



Financial assets held for trading

IFRS 7.8(a)(ii); IFRS 9 Appendix A




0040



Trading financial assets

Articles 32 and 33 of Council Directive 86/635/EEC; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation; Article 8(1), point (a), of Directive 2013/34/EU
Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).




0050



Non-trading financial assets mandatorily at fair value through profit or loss

IFRS 7.8(a)(ii); IFRS 9.4.1.4




0060



Financial assets designated at fair value through profit or loss

IFRS 7.8(a)(i); IFRS 9.4.1.5 and Article 8(1), point (a) and Article 8(6) of Directive 2013/34/EU




0070



Non-trading non-derivative financial assets measured at fair value through profit or loss

Article 36(2) of Council Directive 86/635/EEC; Article 8(1), point (a), of Directive 2013/34/EU
Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).




0080



Financial assets at fair value through other comprehensive income

IFRS 7.8(d); IFRS 9.4.1.2A




0090



Non-trading non-derivative financial assets measured at fair value to equity

Article 8(1), point (a) and Article 8(8) of Directive 2013/34/EU
Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).




0100



Financial assets at amortised cost

IFRS 7.8(f); IFRS 9.4.1.2; Paragraph 15 of Part 1 of Annex V to this Implementing Regulation




0110



Non-trading non-derivative financial assets measured at a cost-based method

Article 35 of Council Directive 86/635/EEC; Article 6(1), point (i) and Article 8(2) of Directive 2013/34/EU; Annex V, part 1, paragraph 16 to this Implementing Regulation
Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).




0120



Other non-trading non-derivative financial assets

Article 37 of Council Directive 86/635/EEC; Article 12(7) of Directive 2013/34/EU; Annex V, part 1, paragraph 16 to this Implementing Regulation
Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).




0130



Short positions

Carrying amount of short positions, as defined in IFRS 9 BA.7(b) where the direct counterparty is a General government as defined in paragraphs 155 to 160 of this Annex.
Short positions arise where the institution sells securities acquired in a reverse repurchase loan or borrowed in a securities lending transaction.
The carrying amount is the fair value of the short positions.
Short positions shall be reported by residual maturity bucket, as listed in rows 0170 to 0230, and by immediate counterparty.
The short positions reported in this column can be netted against positions with the same residual maturity and immediate counterparty and denominated in the same currency that are reported in columns 0030 to 0120 in order to obtain the net position that is reported in column 0020.




0140



Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets

Carrying amount of short positions, as defined in IFRS 9 BA.7(b), that arise when the institution sells the securities acquired in reverse repurchase loans, where the direct counterparty of those securities is a General government and that are included in the held for trading or trading financial assets accounting portfolios (columns 0030 or 0040).
Short positions that arise when the sold securities were borrowed in a securities lending transition shall not be included in this column.




0150



Accumulated impairment

Aggregate accumulated impairment related to non-derivative financial assets reported in columns 0080 to 0120 (paragraphs 70 and 71 of Part 2 of Annex V to this Implementing Regulation)




0160



Accumulated impairment - of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity

Aggregate of accumulated impairment related to non-derivative financial assets reported in columns 0080 and 0090.




0170



Accumulated negative changes in fair value due to credit risk

Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 0050, 0060, 0070, 0080 and 0090 (paragraph 69 of Part 2 of Annex V to this Implementing Regulation)




0180



Accumulated negative changes in fair value due to credit risk - of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss

Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 0050, 0060 and 0070.




0190



Accumulated negative changes in fair value due to credit risk - of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity

Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 0080 and 0090.




0200-0230



DERIVATIVES

Direct derivative positions shall be reported in columns 0200 to 0230.
For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges, see instructions for the row breakdown.




0200-0210



Derivatives with positive fair value

All derivative instruments with a General government counterparty with a positive fair value for the institution at the reporting date, regardless of whether those instruments are used in a qualifying hedging relationship, are held for trading, or are included in the trading portfolio under IFRS and national GAAP based on of Council Directive 86/635/EEC.
Derivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (paragraphs 120, 124, 125 and 137 to 140 of Part 2 of Annex V to this Implementing Regulation).




0200



Derivatives with positive fair value: Carrying amount

Carrying amount of the derivatives accounted for as financial assets at the reporting reference date.
Under GAAP based on Council Directive 86/635/EEC, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments.




0210



Derivatives with positive fair value: Notional amount

Under IFRS and national GAAP based on Council Directive 86/635/EEC, notional amount, as defined in paragraphs 133 to 135 of Part 2 of Annex V to this Implementing Regulation, of all derivative contracts concluded and not yet settled at the reporting reference date, where the counterparty is a General government as defined in paragraphs 191 to 196 of this Annex and the fair value of the derivative is positive for the institution at the reference date.




0220-0230



Derivatives with negative fair value

All derivative instruments with a General government counterparty with a negative fair value for the institution at the reporting reference date, regardless of whether those instruments are used in a qualifying hedging relationship or are held for trading or included in the trading portfolio under IFRS and national GAAP based on Council Directive 86/635/EEC.
Derivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (paragraphs 120, 124, 125 and 137 to 140 of Part 2 of Annex V to this Implementing Regulation).




0220



Derivatives with negative fair value: Carrying amount

Carrying amount of the derivatives accounted for as financial liabilities at the reporting reference date.
Under GAAP based on Council Directive 86/635/EEC, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments.




0230



Derivatives with negative fair value: Notional amount

Under IFRS and national GAAP based on Council Directive 86/635/EEC, notional amount, as defined in paragraphs 133 to 135 of Part 2 of Annex V to this Implementing Regulation, of all derivative contracts concluded and not yet settled at the reference date, where the counterparty is a General government as defined in paragraphs 191 to 196 of this Annex and the fair value of the derivative is negative for the institution at the reference date.




0240-0260



OFF-BALANCE SHEET EXPOSURES





0240



Nominal amount

Where the direct counterparty of the off-balance sheet item is a General government as defined in paragraphs 155 to 160 of this Annex, nominal amount of the commitments and financial guarantees that are not considered as a derivative in accordance with IFRS or under national GAAP based on Council Directive 86/635/EEC (paragraphs 102-119 of Part 2 of Annex V to this Implementing Regulation,).
In accordance with paragraphs 43 and 44 of Part 2 of Annex V to this Implementing Regulation, the General government is the direct counterparty: (a) in a financial guarantee given, when it is the direct counterparty of the guaranteed debt instrument, and (b) in a loan commitment and other commitment given, when it is the counterparty whose credit risk is assumed by the reporting institution.




0250



Provisions

Article 4, “Liabilities”, point (6)(c) and “Off balance sheet items”, Articles 27(11), 28(8) and Article 33 of Council Directive 86/635/EEC; IFRS 9.4.2.1(c)(ii),(d)(ii), 9.5.5.20;IAS 37, IFRS 4, part 2.11 of Annex V to this Implementing Regulation.
Provisions on all off-balance sheet exposures regardless of how they are measured, except those that are measured at fair value through profit or loss in accordance with IFRS 9.
Under IFRS, the impairment of a loan commitment given shall be reported in column 150 where the institution cannot separately identify the expected credit losses related to the drawn and undrawn amount of the debt instrument. In case the combined expected credit losses for that financial instrument exceed the gross carrying amount of the loan component of the instrument, the remaining balance of the expected credit losses shall be reported as a provision in column 0250.




0260



Accumulated negative changes in fair value due to credit risk

For off-balance sheet items measured at fair value through profit or loss under IFRS 9, accumulated negative changes in fair value due to credit risk (paragraph 110 of Part 2 of Annex V to this Implementing Regulation)




0270-280



Memorandum item: credit derivatives sold on general government exposures

Credit derivatives that do not meet the definition of financial guarantees in Annex V, part 2, paragraph 58 that the reporting institution has underwritten with counterparties other than General governments and whose reference exposure is a General government shall be reported.
These columns shall not be reported for exposures broken down by risk, regulatory approach and exposure class (rows 0020 to 0160).




0270



Derivatives with positive fair value - Carrying amount

Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a positive fair value for the institution at the reference reporting date, without considering prudent valuation adjustments.
For derivatives under IFRS, the amount to be reported in this column is the carrying amount of the derivatives that are financial assets at the reporting date.
For derivatives under GAAP based on Council Directive 86/635/EEC, the amount to be reported in this column shall be the fair value of the derivatives with a positive fair value at the reference reporting date, independently of how they are accounted for.




0280



Derivatives with negative fair value - Carrying amount

Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a negative fair value for the institution at the reference reporting date, without considering prudent valuation adjustments.
For derivatives under IFRS, the amount to be reported in this column shall be the carrying amount of the derivatives that are financial liabilities at the reporting date.
For derivatives under GAAP based on Council Directive 86/635/EEC, 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 of how they are accounted for.




0290



Exposure value

Exposure value for exposures subject to the credit risk framework.
For exposures under the Standardised Approach (SA): see Article 111 of Regulation (EU) No 575/2013. For exposures under the IRB Approach: see Article 166 and the second sentence of Article 230(1) of Regulation (EU) No 575/2013.
For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges, see instructions for the row breakdown.
The exposures reported in columns 0270 and 0280 are not to be considered for the purposes of this column, as the value in this column is based solely on direct exposures.




0300



Risk weighted exposure amount

Risk weighted exposure amount for exposures subject to the credit risk framework.
For exposures under the Standardised Approach (SA): see Article 113, paragraphs 1 to 5 of Regulation (EU) No 575/2013. For exposures under the IRB Approach: see Article 153, paragraphs 1 and 3 of Regulation (EU) No 575/2013.
For the reporting of direct exposures within the scope of Article 271 of Regulation (EU) No 575/2013 subject to own funds requirements for both counterparty credit risk and market risk, see instructions for the row breakdown.
The exposures reported in columns 0270 and 0280 shall not be considered for the purposes of this column, as the value in this column is based solely on direct exposures.













Rows


Instructions





BREAKDOWN OF EXPOSURES BY REGULATORY APPROACH





0010



Total exposures

Aggregate of exposures to General governments, as defined in paragraphs 191 to 196 of this Annex.




0020-0155



Exposures under the credit risk framework

Aggregate of exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (0020 to 0155) and the market risk row (row 0160): the exposures due to counterparty credit risk shall be reported in the credit risk rows, while the exposures due to market risk shall be reported in the market risk row.




0030



Standardised Approach

Exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.




0040



Central governments

Exposures to General governments that are central governments. These exposures are allocated to the “Central governments or central banks” exposure class in accordance with Articles 112 and 114 of Regulation (EU) No 575/2013, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.




0050



Regional governments or local authorities

Exposures to General governments that are regional governments or local authorities. These exposures are allocated to the “Regional governments or local authorities” exposure class in accordance with Articles 112 and 115 of Regulation (EU) No 575/2013, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.




0060



Public sector entities

Exposures to General governments that are public sector entities. These exposures are allocated to the “Public sector entities” exposure class in accordance with Articles 112 and 116 of Regulation (EU) No 575/2013, 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.




0070



International Organisations

Exposures to General governments that are international organisations. These exposures are allocated to the “International Organisations” exposure classes in accordance with Articles 112 and 118 of Regulation (EU) No 575/2013, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.




0075



Other general government exposures subject to Standardised Approach

Exposures to General governments other than those included in rows 0040 to 0070 above, which are allocated to SA exposure classes in accordance with Article 112 of Regulation (EU) No 575/2013 for the purposes of calculating own funds requirements.




0080



IRB Approach

Exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.




0090



Central governments

Exposures to General governments that are central governments and that are allocated to the “Central governments and central banks” exposure class in accordance with Article 147(3), point (a), of Regulation (EU) No 575/2013, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply..




0100



Regional governments or local authorities [Central governments and central banks]

Exposures to General governments that are regional governments or local authorities and that are allocated to the “Central governments and central banks” exposure class in accordance with Article 147(3), point (a), of Regulation (EU) No 575/2013, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.




0110



Regional governments or local authorities [Institutions]

Exposures to General governments that are regional governments or local authorities and that are allocated to the “Institutions” exposure class in accordance with Article 147(4), point (a), of Regulation (EU) No 575/2013, 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.




0120



Public sector entities [Central governments and central banks]

Exposures to General governments that are public sector entities in accordance with Article 4(8) of Regulation (EU) No 575/2013 and that are allocated to the “Central governments and central banks” exposure class in accordance with Article 147(3), point (a), of that Regulation, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.




0130



Public sector entities [Institutions]

Exposures to General governments that are public sector entities in accordance with Article 4(8) of Regulation (EU) No 575/2013 and that are allocated to the “Institutions” exposure class in accordance with Article 147(4), point (b), of that Regulation , as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.




0140



International Organisations [Central governments and central banks]

Exposures to General governments that are International Organisations and that are allocated to the “Central governments and central banks” exposure class in accordance with Article 147(3), point (c), of Regulation (EU) No 575/2013, 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.




0155



Other general government exposures subject to IRB Approach

Exposures to General governments other than those included in rows 0090 to 0140 above which are allocated to IRB exposure classes in accordance with Article 147 of Regulation (EU) No 575/2013 for the purposes of calculating own funds requirements.




0160



Exposures subject to market risk

This row covers positions for which one of the following own funds requirements of Part Three, Title IV of Regulation (EU) No 575/2013 is calculated:






—


Own funds requirements for position risk in accordance with Article 326 of Regulation (EU) No 575/2013










—


Own funds requirements for specific or general risk in accordance with Part Three, Title IV, Chapter 5 of Regulation (EU) No 575/2013.




Direct exposures within the scope of Article 271 of Regulation (EU) No 575/2013 subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (0020 to 0155) and the market risk row (row 0160): the exposure due to counterparty credit risk shall be reported in the credit risk rows, while the exposure due to market risk shall be reported in the market risk row.




0170-0230



BREAKDOWN OF EXPOSURES BY RESIDUAL MATURITY

Residual maturity shall be computed in days between the contractual date of maturity and the reporting reference date for all positions.
Exposures to General governments shall be broken-down by residual maturity and allocated to the buckets provided as follows:






—



[0 - 3M] : Less than 90 days;










—



[3M - 1Y] : Equal or greater than 90 days and less than 365 days;










—



[1Y – 2Y] : Equal or greater than 365 days and less than 730 days;










—



[2Y – 3Y] : Equal or greater than 730 days and less than 1 095  days;










—



[3Y – 5Y] : Equal or greater than 1 095  days and less than 1 825  days;










—



[5Y – 10Y] : Equal or greater than 1 825  days and less than 3 650  days;










—



[10Y – more] : Equal or greater than 3 650  days.




Where the contractual date of maturity is earlier than the reporting reference date (i.e. the difference between reporting reference date and maturity date is a negative value), the exposure shall be allocated to the bucket [0 – 3M].
Exposures without a residual maturity shall be allocated to the residual maturity bucket on the basis of their period of notice or other contractual indications about the maturity. If there is no predefined period of notice nor other contractual indication about the maturity, exposures shall be allocated to the residual maturity bucket [10Y – more].




8.   NPE LOSS COVERAGE (NPE LC)
8.1.   GENERAL REMARKS








200.


The NPE loss coverage templates contain information about non-performing exposures (NPEs) for the purposes of calculating the minimum loss coverage requirement for non-performing exposures as specified in Articles 47a, 47b and 47c of Regulation (EU) No 575/2013.












201.


The block of templates consists of a set of three templates:






a)


The calculation of deductions for NPEs (C 35.01): this is an overview template indicating the applicable amount of insufficient coverage, calculated as the difference between the total minimum coverage requirements for NPEs and the total provisions and adjustments or deductions already made. The template covers both the non-performing exposures where forbearance measure has not been granted, and non-performing forborne exposures.










b)


Minimum coverage requirements and exposure values of non-performing exposures, excluding forborne exposures that fall under Article 47c(6) of Regulation (EU) No 575/2013 (C 35.02): the template calculates the total minimum coverage requirements for non-performing exposures that are not non-performing forborne exposures that fall under Article 47c(6) of Regulation (EU) No 575/2013, indicating the factors to be applied on the exposure values for the purposes of this calculation given whether the exposure is secured or unsecured and given the time since the exposure became non-performing.










c)


Minimum coverage requirements and exposure values of non-performing forborne exposures that fall under Article 47c(6) of Regulation (EU) No 575/2013 (C 35.03): the template calculates the total minimum coverage requirements for non-performing forborne exposures that fall under Article 47c(6) of Regulation (EU) No 575/2013, indicating the factors to be applied on the exposure values for the purposes of this calculation given whether the exposure is secured or unsecured and given the time since the exposure became non-performing.
















202.


The the minimum loss coverage requirement for non-performing exposures applies to (i) exposures, originated on and after 26 April 2019, that become non-performing, and (ii) exposures originated before 26 April 2019 when they are modified after that date in a way that increases their exposure value to the obligor (Article 469a of Regulation (EU) No 575/2013), that become non-performing.












203.


Institutions shall calculate the deductions for NPEs in accordance with Article 47c(1), points (a) and (b), of Regulation (EU) No 575/2013,, including the calculation of minimum coverage requirements and total provisions and adjustments or deductions, at individual exposure level (“transaction based”) and not at debtor or portfolio levels.












204.


For the purposes of calculating the deductions for NPEs, institutions shall differentiate between the unsecured and secured part of a NPE in accordance with Article 47c(1) of Regulation (EU) No 575/2013. To this end, institutions shall report exposure values and minimum coverage requirements separately for the unsecured part of NPEs and for the secured part of NPEs.












205.


For the purposes of mapping of relevant applicable factors and calculating minimum coverage requirements, institutions shall classify the secured part of NPEs depending on the type of credit protection in accordance with Article 47c(3) of Regulation (EU) No 575/2013 as follows: (i) “secured by immovable property or residential loan guaranteed by an eligible protection provider as referred to in Art. 201”, (ii) “secured by other funded or unfunded credit protection” or (iii) “guaranteed or insured by an official export credit agency”,. When a non-performing exposure is secured by more than one type of credit protection, its exposure value shall be allocated according to the quality of the credit protection, starting from the one with the best quality.




8.2.   C 35.01 – THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1)
8.2.1.   Instructions concerning specific positions






Columns


Instructions




0010 – 0100



Time passed since exposures classified as non-performing

The “time passed since exposures classified as non-performing” shall mean the time in years passed, as of the reference date, since exposure has been classified as non-performing. For purchased non-performing exposures, the time in years shall start to run from the date on which the exposures was originally classified as non- performing, and not from the date of their purchase.
Institutions shall report data on exposures for which the reference date falls under the corresponding time interval indicating the period in years following exposures’ classification as non-performing, regardless of any application of forbearance measures.
For the time interval, “> X year(s), <= Y year(s)”, institutions shall report data on exposures for which the reference date corresponds to the period between the first and the last day of the Yth year following the classification of these exposures as non-performing.




0110



Total

Institutions shall report the sum of all columns from 0010 to 0100.













Rows


Instructions




0010



Applicable amount of insufficient coverage

Article 47c(1) of Regulation (EU) No 575/2013
For the calculation of the applicable amount of insufficient coverage, institutions shall deduct the total provisions and adjustments or deductions (capped) (row 0080) from the total minimum coverage requirement for non-performing exposures (row 0020).
The applicable amount of insufficient coverage (i.e. the shortfall in the total minimum coverage requirement for non-performing exposures) shall be equal to or greater than zero.




0020



Total minimum coverage requirement for non-performing exposures

Article 47c(1), point (a), of Regulation (EU) No 575/2013
For the calculation of the total minimum coverage requirement for non-performing exposures, institutions shall sum the minimum coverage requirement for the unsecured part of NPEs (row 0030) and for the secured part of NPEs (row 0040).




0030



Unsecured part of NPEs

Article 47c(1), point (a)(i), Article 47c(2), Article 47c(6) of Regulation (EU) No 575/2013
Institution shall report the total minimum coverage requirement for the unsecured part of NPEs, i.e. the aggregate of calculations at exposure level.
The amount reported in each column shall be equal to the sum of the amounts reported in row 0020 of C 35.02 and row 0020 of C 35.03 (where applicable) in the respective columns.




0040



Secured part of NPEs

Article 47c(1), point (a)(ii), Article 47c(3), Article 47c(4), Article 47c(6) of Regulation (EU) No 575/2013.
Institutions shall report the total minimum coverage requirement for the secured part of NPEs, i.e. the aggregate of calculations at exposure level.
The amount reported in each column shall be equal to the sum of the amounts reported in row 0030-0050 of C 35.02 and row 0030-0040 of C 35.03 (where applicable) in the respective columns.




0050



Exposure value

Article 47a(2) of Regulation (EU) No 575/2013
Institutions shall report the total exposure value of NPEs including both unsecured and secured exposures. This shall correspond to the sum of row 0060 and row 0070.




0060



Unsecured part of NPEs

Article 47a(2) and Article 47c(1) of Regulation (EU) No 575/2013




0070



Secured part of NPEs

Article 47a(2) and Article 47c(1) of Regulation (EU) No 575/2013




0080



Total provisions and adjustments or deductions (capped)

Institutions shall report the capped amount of the sum of the items listed in rows 0100-0150 in accordance with Article 47c(1), point (b), of Regulation (EU) No 575/2013. The maximum limit for capped provisions and adjustment or deductions is the amount of minimum coverage requirement at exposure level.
Capped amount shall be calculated separately for each exposure as the lower amount between minimum coverage requirement for this exposure and total provisions and adjustments or deductions for the same exposure.




0090



Total provisions and adjustments or deductions (uncapped)

Institutions shall report the sum of uncapped amount of the items listed in rows 0100-0150 in accordance with Article 47c(1), point (b), of Regulation (EU) No 575/2013. Provisions and adjustment or deductions (uncapped) shall not be limited to the amount of minimum coverage requirement at exposure level.




0100



Specific credit risk adjustments

Article 47c(1), point (b)(i) of Regulation (EU) No 575/2013




0110



Additional valuation adjustments

Article 47c(1), point (b)(ii) of Regulation (EU) No 575/2013




0120



Other own funds reductions

Article 47c(1), point (b)(iii) of Regulation (EU) No 575/2013




0130



IRB shortfall

Article 47c(1), point (b)(iv) of Regulation (EU) No 575/2013




0140



Difference between the purchase price and the amount owed by the debtor

Article 47c(1), point (b)(v) of Regulation (EU) No 575/2013




0150



Amounts written-off by the institution since the exposure was classified as non-performing

Article 47c(1), point (b)(vi) of Regulation (EU) No 575/2013




8.3.   C 35.02 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF REGULATION (EU) No 575/2013 (NPE LC2)
8.3.1.   Instructions concerning specific positions






Columns


Instructions




0010 – 0100



Time passed since exposures classified as non-performing

The “time passed since exposures classified as non-performing” shall mean the time in years passed since exposure has been classified as non-performing. Institutions shall report data on exposures for which the reference date falls under the corresponding time interval indicating the period in years following exposures’ classification as non-performing, regardless of any application of forbearance measures.
For the time interval, “> X year(s), <= Y year(s)”, institutions shall report data on exposures for which the reference date corresponds to the period between the first and the last day of the Yth year following the classification of these exposures as non-performing.




0110



Total

Institutions shall report the sum of all columns from 0010 to 0100.













Rows


Instructions




0010



Total minimum coverage requirement

Article 47c(1), point (a), of Regulation (EU) No 575/2013
For the calculation of the total minimum coverage requirement for non-performing exposures, excluding forborne exposures that fall under Article 47c(6) of Regulation (EU) No 575/2013, institutions shall sum the minimum coverage requirement for the unsecured part of NPEs (row 0020) and the minimum coverage requirement for the secured part of NPEs (rows 0030-0050).




0020



Unsecured part of NPEs

Article 47c(1), point (a)(i), Article 47c(2) of Regulation (EU) No 575/2013
The minimum coverage requirement shall be calculated by multiplying the aggregate exposure values in row 0070 by the corresponding factor per column.




0030



Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider

Article 47c(1), point (a)(ii), and Article 47c(3), points (a), (b), (c), (d), (f), (h) and (i), of Regulation (EU) No 575/2013
The minimum coverage requirement shall be calculated by multiplying the aggregate exposure values in row 0080 by the corresponding factor per column.




0040



Part of NPEs secured by other funded or unfunded credit protection

Article 47c(1), point (a)(ii), and Article 47c(3), points (a), (b), (c), (e) and (g), of Regulation (EU) No 575/2013
The minimum coverage requirement shall be calculated by multiplying the aggregate exposure values in row 0090 by the corresponding factor per column.




0050



Part of NPEs guaranteed or insured by an official export credit agency

Article 47c(4) of Regulation (EU) No 575/2013.
The minimum coverage requirement shall be calculated by multiplying the aggregate exposure values in row 0100 by the corresponding factor per column.




0060



Exposure value

Article 47a(2) of Regulation (EU) No 575/2013
For the calculation of row 0060, institutions shall sum the exposure values reported for the unsecured part of NPEs (row 0070), the part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider (row 0080), the part of NPEs secured by other funded or unfunded credit protection (row 0090) and the part of NPEs guaranteed or insured by an official export credit agency (row 0100).




0070



Unsecured part of NPEs

Article 47a(2), Article 47c(1), Article 47c(2) of Regulation (EU) No 575/2013
Institutions shall report the total exposure value of unsecured part of NPEs broken-down by time passed since exposures classified as non-performing.




0080



Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider

Article 47a(2), Article 47c(1) and Article 47c(3), points (a), (b), (c), (d), (f), (h) and (i), of Regulation (EU) No 575/2013
Institutions shall report the total exposure value of the parts of NPEs secured by immovable property pursuant to Part Three, Title II of Regulation (EU) No 575/2013 or that is a residential loan guaranteed by an eligible protection provider as referred to in Article 201 of that Regulation.




0090



Part of NPEs secured by other funded or unfunded credit protection

Article 47a(2), Article 47c(1) and Article 47c(3), points (a), (b), (c), (e) and (g), of Regulation (EU) No 575/2013
Institutions shall report the total exposure value of the parts of NPEs secured by other funded or unfunded credit protection pursuant to Part Three, Title II of Regulation (EU) No 575/2013.




0100



Part of NPEs guaranteed or insured by an official export credit agency

Article 47a(2) and Article 47c(4) of Regulation (EU) No 575/2013
Institutions shall report the total exposure value of the parts of NPEs guaranteed or insured by an official export credit agency or guaranteed or counter-guaranteed by another eligible protection provider as referred to in article 47c(4) of Regulation (EU) No 575/2013.




8.4.   C 35.03 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF REGULATION (EU) No 575/2013 (NPE LC3)
8.4.1.   Instructions concerning specific positions






Columns


Instructions




0010 – 0100



Time passed since exposures classified as non-performing

The “time passed since exposures classified as non-performing” shall mean the time in years passed since exposure has been classified as non-performing. Institutions shall report data on exposures for which the reference date falls under the corresponding time interval indicating the period in years following exposures’ classification as non-performing, regardless of any application of forbearance measures.
For the time interval, “> X year(s), <= Y year(s)”, institutions shall report data on exposures for which the reference date corresponds to the period between the first and the last day of the Yth year following the classification of these exposures as non-performing.




0110



Total

Institutions shall report the sum of all columns from 0010 to 0100.













Rows


Instructions




0010



Total minimum coverage requirement

Article 47c(1), point (a), and Article 47c(6) of Regulation (EU) No 575/2013
For the calculation of total minimum coverage requirement of non-performing forborne exposures that fall under Article 47c (6) of Regulation (EU) No 575/2013, institutions shall sum minimum coverage requirements for the unsecured part of forborne NPEs (row 0020), the part of forborne NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider (row 0030) and the part of forborne NPEs secured by other funded or unfunded credit protection (row 0040).




0020



Unsecured part of NPEs

Article 47c(1), point (a)(i), Article 47c(2), Article 47c(6) of Regulation (EU) No 575/2013
Institutions shall report the total minimum coverage requirement for the unsecured part of non-performing forborne exposures that fall under Article 47c(6) of Regulation (EU) No 575/2013, i.e. the aggregate of calculations at exposure level.




0030



Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider

Article 47c(1), point (a)(ii), and Article 47c(3), points (a), (b), (c), (d), (f), (h) and (i), Article 47c(6) of Regulation (EU) No 575/2013
Institutions shall report the total minimum coverage requirement for parts of non-performing forborne exposures secured by immovable property pursuant to Part Three, Title II of Regulation (EU) No 575/2013 or that are residential loans guaranteed by an eligible protection provider as referred to in Article 201 of that Regulation, falling under Article 47c(6) of that Regulation, i.e. the aggregate of calculations at exposure level.




0040



Part of NPEs secured by other funded or unfunded credit protection

Article 47c(1), point (a)(ii), and Article 47c(3), points (a), (b), (c), (e) and (g), Article 47c(6) of Regulation (EU) No 575/2013
Institutions shall report the total minimum coverage requirement for parts of non-performing forborne exposures se-cured by other funded or unfunded credit protection, falling under Article 47c(6) of Regulation (EU) No 575/2013, i.e. the aggregate of calculations at exposure level.




0050



Exposure value

Article 47a(2) and Article 47c(6) of Regulation (EU) No 575/2013
For the calculation of exposure value, institutions shall sum exposure values for the unsecured part of NPEs (row 0060), the part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider (row 0070) and the part of NPEs secured by other funded or unfunded credit protection (row 0120), where applicable.




0060



Unsecured part of NPEs

Article 47a(2), Article 47c(1), Article 47c(2), Article 47c(6) of Regulation (EU) No 575/2013
Institutions shall report the total exposure value of unsecured part of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 where the first forbearance measure has been granted between the first and the last day of the second year after the classification of the exposure as non-performing (>1 year; <=2 years).




0070



Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider

Article 47a(2), Article 47c(1) and Article 47c(3), points (a), (b), (c), (d), (f), (h) and (i), Article 47c(6) of Regulation (EU) No 575/2013
Institutions shall report the total exposure value of the parts of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 secured by immovable property pursuant to Part Three, Title II of that Regulation or that is a residential loan guaranteed by an eligible protection provider as referred to in Article 201 of that Regulation.




0080



> 2 and <= 3 years after classification as NPE

Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 secured by immovable property or residential loan guaranteed by an eligible protection provider where the first forbearance measure has been granted between the first and the last day of the third year after the classification of the exposure as non-performing.




0090



> 3 and <= 4 years after classification as NPE

Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 secured by immovable property or residential loan guaranteed by an eligible protection provider where the first forbearance measure has been granted between the first and the last day of the fourth year after the classification of the exposure as non-performing.




0100



> 4 and <= 5 years after classification as NPE

Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 secured by immovable property or residential loan guaranteed by an eligible protection provider where the first forbearance measure has been granted between the first and the last day of the fifth year after the classification of the exposure as non-performing.




0110



> 5 and <= 6 years after classification as NPE

Institutions shall report exposure value of forborne NPEs secured that fall under Article 47c(6) of Regulation (EU) No 575/2013 by immovable property or residential loan guaranteed by an eligible protection provider where the first forbearance measure has been granted between the first and the last day of the sixth year after the classification of the exposure as non-performing.




0120



Part of NPEs secured by other funded or unfunded credit protection

Article 47c(1), and Article 47c(3), points (a), (b), (c), (e) and (g), Article 47c(6) of Regulation (EU) No 575/2013
Institutions shall report the total exposure value of the parts of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 secured by other funded or unfunded credit protection pursuant to Part Three, Title II of Regulation (EU) No 575/2013.




0130



> 2 and <= 3 years after classification as NPE

Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 secured by other funded or unfunded credit protection, where the first forbearance measure has been granted between the first and the last day of the third year after the classification of the exposure as non-performing.




0140



> 3 and <= 4 years after classification as NPE

Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 secured by other funded or unfunded credit protection, where the first forbearance measure has been granted between the first and the last day of the fourth year after the classification of the exposure as non-performing.




0150



> 4 and <= 5 years after classification as NPE

Institutions shall report exposure value of forborne NPEs that fall under Article 47c (6) of Regulation (EU) No 575/2013 secured by other funded or unfunded credit protection, where the first forbearance measure has been granted between the first and the last day of the fifth year after the classification of the exposure as non-performing.




0160



> 5 and <= 6 years after classification as NPE

Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 secured by other funded or unfunded credit protection, where the first forbearance measure has been granted between the first and the last day of the sixth year after the classification of the exposure as non-performing.’









(1)  Commission Delegated Regulation (EU) No 241/2014 of 7 January 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for Own Funds requirements for institutions (OJ L 74, 14.3.2014, p. 8).

(2)  Seventh Council Directive 83/349/EEC of 13 June 1983 based on the Article 54 (3) (g) of the Treaty on consolidated accounts (OJ L 193, 18.7.1983, p. 1).

(3)  Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).

(4)  Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards on the identification of the geographical location of the relevant credit exposures for calculating institution-specific countercyclical capital buffer rates (OJ L 309, 30.10.2014, p. 5).

(5)  Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ L 347, 28.12.2017, p. 35).

(6)  
            “Stand alone institutions” are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements.

(7)  Commission Delegated Regulation (EU) No 525/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for the definition of market (OJ L 148, 20.5.2014, p. 15).

(8)  Commission Implementing Regulation (EU) No 945/2014 of 4 September 2014 laying down implementing technical standards with regard to relevant appropriately diversified indices according to Regulation (EU) No 575/2013 of the European Parliament and of the Council

(9)  Commission Delegated Regulation (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14) (OJ L 21, 28.1.2016, p. 54).

(10)  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).

(11)  Directive 2013/34/EU of the European Parliament and of the Council on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19).





ANNEX III




                     ‘ANNEX XVI

REPORTING TEMPLATES ON ASSET ENCUMBRANCE










ASSET ENCUMBRANCE TEMPLATES






Template number




Template code




Name of the template /group of templates




Short name





 


 



PART A - ENCUMBRANCE OVERVIEW



 




32.1


F 32.01


ASSETS OF THE REPORTING INSTITUTION


AE-ASS




32.2


F 32.02


COLLATERAL RECEIVED


AE-COL




32.3


F 32.03


OWN COVERED BONDS AND SECURITISATIONS ISSUED AND NOT YET PLEDGED


AE-NPL




32.4


F 32.04


SOURCES OF ENCUMBRANCE


AE-SOU




 


 



PART B - MATURITY DATA



 




33


F 33.00



MATURITY DATA



AE-MAT




 


 



PART C - CONTINGENT ENCUMBRANCE



 




34


F 34.00


CONTINGENT ENCUMBRANCE


AE-CONT




 


 



PART D - COVERED BONDS



 




35


F 35.00


COVERED BONDS ISSUANCE


AE-CB




 


 



PART E - ADVANCED DATA



 




36.1


F 36.01


ADVANCED DATA. PART I


AE-ADV1




36.2


F 36.02


ADVANCED DATA. PART II


AE-ADV2








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 notionally eligible EHQLA and HQLA



 



of which: central bank's eligible




of which notionally eligible EHQLA and HQLA



 



of which: issued by other entities of the group




of which: central bank's eligible




of which EHQLA and HQLA



 



of which: central bank's eligible




of which EHQLA and HQLA





0010


0020


0030


0035


0040


0050


0055


0060


0070


0080


0085


0090


0100


0105





0010




Assets of the reporting institution



 


 


 


 


 


 


 


 


 


 


 


 


 


 




0015


of which: qualifying fiduciary assets


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0020


Loans on demand


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0030


Equity instruments


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0040


Debt securities


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0050


of which: covered bonds


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0060


of which: securitisations


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0070


of which: issued by general governments


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0080


of which: issued by financial corporations


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0090


of which: issued by non-financial corporations


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0100


Loans and advances other than loans on demand


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0110


of which: Loans collateralised with Immovable Property


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0120


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 notionally eligible EHQLA and HQLA



 



of which: issued by other entities of the group




of which: central bank's eligible




of which EHQLA and HQLA





0010


0020


0030


0035


0040


0050


0060


0065


0070





0130




Collateral received by the reporting institution



 


 


 


 


 


 


 


 


 




0140


Loans on demand


 


 


 


 


 


 


 


 


 




0150


Equity instruments


 


 


 


 


 


 


 


 


 




0160


Debt securities


 


 


 


 


 


 


 


 


 




0170


of which: covered bonds


 


 


 


 


 


 


 


 


 




0180


of which: securitisations


 


 


 


 


 


 


 


 


 




0190


of which: issued by general governments


 


 


 


 


 


 


 


 


 




0200


of which: issued by financial corporations


 


 


 


 


 


 


 


 


 




0210


of which: issued by non-financial corporations


 


 


 


 


 


 


 


 


 




0220


Loans and advances other than loans on demand


 


 


 


 


 


 


 


 


 




0230


Other collateral received


 


 


 


 


 


 


 


 


 





0240




Own debt securities issued other than own covered bonds or securitisations



 


 


 


 


 


 


 


 


 





0245




Own covered bonds and securitisation issued and not yet pledged



 


 


 


 


 


 


 


 


 





0250




TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED



 


 


 


 


 


 


 


 


 








F 32.03 - OWN COVERED BONDS AND SECURITISATIONS ISSUED AND NOT YET PLEDGED (AE-NPL)












 



Non-encumbered






Carrying amount of the underlying pool of assets




Fair value of debt securities issued available for encumbrance




Nominal of own debt securities issued non available for encumbrance





 



of which: central bank's eligible




of which notionally eligible EHQLA and HQLA





0010


0020


0030


0035


0040





0010




Own covered bonds and securitisations issued and not yet pledged



 


 


 


 


 




0020


Retained covered bonds issued


 


 


 


 


 




0030


Retained securitisations issued


 


 


 


 


 




0040


Senior


 


 


 


 


 




0050


Mezzanine


 


 


 


 


 




0060


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 securitisations encumbered





 



of which: from other entities of the group



 



of which: collateral received re-used




of which: own debt securities encumbered





0010


0020


0030


0040


0050





0010




Carrying amount of selected financial liabilities



 


 


 


 


 




0020


Derivatives


 


 


 


 


 




0030


of which: Over-The-Counter


 


 


 


 


 




0040


Deposits


 


 


 


 


 




0050


Repurchase agreements


 


 


 


 


 




0060


of which: central banks


 


 


 


 


 




0070


Collateralised deposits other than repurchase agreements


 


 


 


 


 




0080


of which: central banks


 


 


 


 


 




0090


Debt securities issued


 


 


 


 


 




0100


of which: covered bonds issued


 


 


 


 


 




0110


of which:securitisations issued


 


 


 


 


 





0120




Other sources of encumbrance



 


 


 


 


 




0130


Nominal of loan commitments received


 


 


 


 


 




0140


Nominal of financial guarantees received


 


 


 


 


 




0150


Fair value of securities borrowed with non cash-collateral


 


 


 


 


 




0160


Other


 


 


 


 


 





0170




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)




















 



Residual maturity of liabilities






Open maturity




Overnight




> 1 day <= 1 wk




> 1 wk <= 2 wks




> 2 wks <= 1 mth




> 1 mth <= 3 mths




> 3 mths <= 6 mths




> 6 mths <= 1 yr




> 1 yr <= 2 yrs




> 2 yrs <= 3 yrs




3 yrs <= 5 yrs




5 yrs <= 10 yrs




> 10 yrs





0010


0020


0030


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130




0010


Encumbered assets


 


 


 


 


 


 


 


 


 


 


 


 


 




0020


Collateral received re-used (receiving leg)


 


 


 


 


 


 


 


 


 


 


 


 


 




0030


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





0010


0020


0030


0040


…


…





0010




Carrying amount of selected financial liabilities



 


 


 


 


 


 




0020


Derivatives


 


 


 


 


 


 




0030


of which: Over-The-Counter


 


 


 


 


 


 




0040


Deposits


 


 


 


 


 


 




0050


Repurchase agreements


 


 


 


 


 


 




0060


of which: central banks


 


 


 


 


 


 




0070


Collateralised deposits other than repurchase agreements


 


 


 


 


 


 




0080


of which: central banks


 


 


 


 


 


 




0090


Debt securities issued


 


 


 


 


 


 




0100


of which: covered bonds issued


 


 


 


 


 


 




0110


of which: securitisations issued


 


 


 


 


 


 





0120




Other sources of encumbrance



 


 


 


 


 


 





0170




TOTAL SOURCES OF ENCUMBRANCE



 


 


 


 


 


 








F 35.00 - COVERED BONDS ISSUANCE (AE-CB)

z-axis

Cover pool identifier (open)

































 



Compliance with Art. 129 of Regulation (EU) No 575/2013




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





0010


0012


0020


0030


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130


0140


0150


0160


0170


0180


0190


0200


0210


0220


0230


0240


0250




0010


Nominal amount


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0020


Present value (swap) / Market value


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0030


Asset-specific value


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0040


Carrying amount


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








F 36.01 - ADVANCED 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: securitisations




of which: issued by general governments




of which: issued by financial corporations




of which: issued by non financial corporations




Central banks and general governments




Financial corporations




Non financial Corporations




Households





 



of which: issued by other entities of the group



 



of which: issued by other entities of the group



 



of which: Loans collateralised with immovable property



 



of which: Loans collateralised with immovable property





0010


0020


0030


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130


0140


0150


0160


0170


0180




0010



Central bank funding (of all types, including e.g. repos)




Encumbered assets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0020



Matching liabilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0030



Exchange traded derivatives




Encumbered assets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0040



Matching liabilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0050



Over-the-counter derivatives




Encumbered assets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0060



Matching liabilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0070



Repurchase agreements




Encumbered assets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0080



Matching liabilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0090



Collateralised deposits other than repurchase agreements




Encumbered assets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0100



Matching liabilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0110



Covered bonds securities issued




Encumbered assets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0120



Matching liabilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0130



Securitisations issued




Encumbered assets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0140



Matching liabilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0150



Debt securities issued other than covered bonds and securitisations




Encumbered assets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0160



Matching liabilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0170



Other sources of encumbrance




Encumbered assets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0180



Contingent liabilities or securities lent



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0190



Total encumbered assets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0200



of which central bank eligible



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0210



Total non-encumbered Assets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0220



of which central bank eligible



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0230



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 securitisations






Total




of which: covered bonds




of which: securitisations




of which: issued by general governments




of which: issued by financial corporations




of which: issued by non financial corporations




Central banks and general governments




Financial corporations




Non financial Corporations




Households





 



of which: issued by other entities of the group



 



of which: issued by other entities of the group



 



of which: Loans collateralised with immovable property



 



of which: Loans collateralised with immovable property





0010


0020


0030


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130


0140


0150


0160


0170


0180


0190




0010



Central bank funding (of all types, including e.g. repos)




Encumbered collateral received



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0020



Matching liabilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0030



Exchange traded Derivatives




Encumbered collateral received



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0040



Matching liabilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0050



Over-the-counter derivatives




Encumbered collateral received



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0060



Matching liabilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0070



Repurchase agreements




Encumbered collateral received



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0080



Matching liabilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0090



Collateralised deposits other than repurchase agreements




Encumbered collateral received



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0100



Matching liabilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0110



Covered bonds securities issued




Encumbered collateral received



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0120



Matching liabilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0130



Securitisations issued




Encumbered collateral received



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0140



Matching liabilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0150



Debt securities issued other than Covered bonds and securitisations




Encumbered collateral received



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0160



Matching liabilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0170



Other sources of encumbrance




Encumbered collateral received



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0180



Contingent liabilities or securities lent



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0190



Total encumbered collateral received



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0200



of which central bank eligible



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0210



Total non-encumbered collateral received



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0220



of which central bank eligible



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0230



Encumbered + Non-encumbered collateral received



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




 




 


Not to be filled on a consolidated basis template




 


Not to be filled in any case’












ANNEX IV




                     ‘ANNEX XVII

INSTRUCTION FOR REPORTING ON ASSET ENCUMBRANCE


Table of Contents






GENERAL INSTRUCTIONS
533










1.

STRUCTURE AND CONVENTIONS
533










1.1.

STRUCTURE
533










1.2.

ACCOUNTING STANDARD
533










1.3.

NUMBERING CONVENTION
534










1.4.

SIGN CONVENTION
534










1.5.

LEVEL OF APPLICATION
534










1.6.

PROPORTIONALITY
534










1.7.

DEFINITION OF ENCUMBRANCE
534








TEMPLATE-RELATED INSTRUCTIONS
535










2.

PART A: ENCUMBRANCE OVERVIEW
535










2.1.

TEMPLATE AE-ASS. ASSETS OF THE REPORTING INSTITUTION
535










2.1.1.

GENERAL REMARKS
535










2.1.2.

INSTRUCTIONS CONCERNING SPECIFIC ROWS
538










2.1.3.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS
539










2.2.

TEMPLATE: AE-COL. COLLATERAL RECEIVED BY THE REPORTING INSTITUTION
542










2.2.1.

GENERAL REMARKS
542










2.2.2.

INSTRUCTIONS CONCERNING SPECIFIC ROWS
542










2.2.3.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS
544










2.3.

TEMPLATE: AE-NPL. OWN COVERED BONDS AND SECURITISATIONS ISSUED AND NOT YET PLEDGED
546










2.3.1.

GENERAL REMARKS
546










2.3.2.

INSTRUCTIONS CONCERNING SPECIFIC ROWS
546










2.3.3.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS
547










2.4.

TEMPLATE: AE-SOU. SOURCES OF ENCUMBRANCE
548










2.4.1.

GENERAL REMARKS
548










2.4.2.

INSTRUCTIONS CONCERNING SPECIFIC ROWS
548










2.4.3.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS
550










3.

PART B: MATURITY DATA
551










3.1.

GENERAL REMARKS
551










3.2.

TEMPLATE: AE-MAT. MATURITY DATA
551










3.2.1.

INSTRUCTIONS CONCERNING SPECIFIC ROWS
551










3.2.2.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS
552










4.

PART C: CONTINGENT ENCUMBRANCE
553










4.1.

GENERAL REMARKS
553










4.1.1.

SCENARIO A: DECREASE OF 30 % OF ENCUMBERED ASSETS
553










4.1.2.

SCENARIO B: DEPRECIATION OF 10 % IN SIGNIFICANT CURRENCIES
553










4.2.

TEMPLATE: AE-CONT. CONTINGENT ENCUMBRANCE
553










4.2.1.

INSTRUCTIONS CONCERNING SPECIFIC ROWS
553










4.2.2.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS
554










5.

PART D: COVERED BONDS
554










5.1.

GENERAL REMARKS
554










5.2.

TEMPLATE: AE-CB. COVERED BONDS ISSUANCE
554










5.2.1.

INSTRUCTIONS CONCERNING Z-AXIS
555










5.2.2.

INSTRUCTIONS CONCERNING SPECIFIC ROWS
555










5.2.3.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS
555










6.

PART E: ADVANCED DATA
558










6.1.

GENERAL REMARKS
558










6.2.

TEMPLATE: AE-ADV1. ADVANCED TEMPLATE FOR ASSETS OF THE REPORTING INSTITUTION
558










6.2.1.

INSTRUCTIONS CONCERNING SPECIFIC ROWS
558










6.2.2.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS
560










6.3.

TEMPLATE: AE-ADV2. ADVANCED TEMPLATE FOR COLLATERAL RECEIVED BY THE REPORTING INSTITUTION
561










6.3.1.

INSTRUCTIONS CONCERNING SPECIFIC ROWS
561










6.3.2.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS
561




GENERAL INSTRUCTIONS

1.   STRUCTURE AND CONVENTIONS
1.1.   Structure








1.


The framework consists of five sets of templates which comprise a total of nine templates according to the following scheme:






(a)


Part A: Encumbrance overview:






—


AE-ASS template. Assets of the reporting institution;










—


AE-COL template. Collateral received by the reporting institution;










—


AE-NPL template. Own covered bonds and securitisations issued and not yet pledged;










—


AE-SOU template. Sources of encumbrance;














(b)


Part B: Maturity data:






—


AE-MAT template. Maturity data;














(c)


Part C: Contingent encumbrance:






—


AE-CONT template. Contingent encumbrance;














(d)


Part D: Covered bonds:






—


AE-CB template. Covered bonds issuance;














(e)


Part E: Advanced data:






—


AE-ADV-1 template. Advanced template for assets of the reporting institution;










—


AE-ADV-2 template. Advanced template for collateral received by the reporting institution.




















2.


For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting.




1.2.   Accounting standard








3.


Institutions shall report carrying amounts under the accounting framework they use for the reporting of financial information in accordance with Articles 11 and 12. Institutions that are not required to report financial information shall use their respective accounting framework. In AE-SOU, institutions shall generally report carrying amounts gross of accounting netting, if any, in line with the reporting on a gross basis of encumbrance of assets and collateral.












4.


For the purposes of this Annex, “IAS” and “IFRS” refer to the international accounting standards as defined in Article 2 of Regulation (EC) No 1606/2002. For institutions which report under IFRS standards, references have been inserted to the relevant IFRS standards.




1.3.   Numbering convention








5.


The following general notation is used in these instructions to refer to the columns, rows and cells of a template: {Template; Row; Column}. An asterisk sign is used to indicate that the validation is applied to the whole row or column. For example {AE-ASS; *; 2} refers to the data point of any row for column 2 of the AE-ASS template.












6.


In the case of validations within a template the following notation is used to refer to data points from that template: {Row; Column}.




1.4.   Sign convention








7.


Templates in Annex XVI shall follow the sign convention described in Annex V, Part 1, points 9 and 10.




1.5.   Level of application








8.


The level of application of the reporting on asset encumbrance follows that of the reporting requirements on own funds under Article 430(1), first subparagraph, point (a), of Regulation (EU) No 575/2013. Consequently, institutions that are not subject to prudential requirements in accordance with Article 7 of that Regulation are not required to report information on asset encumbrance.




1.6.   Proportionality








9.


For the purposes of Article 19(3), point (c), of this Regulation, the asset encumbrance level shall be calculated as follows:






—


Carrying amount of encumbered assets and collateral = {AE-ASS;0010;0010}– {AE-ASS;0015;0010} + {AE-COL;0130;0010};










—


Total assets and collateral = {AE-ASS;0010;0010} + {AE-ASS;0010;0060}– {AE-ASS;0015;0010} + {AE-COL;0130;0010}+{AE-COL;0130;0040};










—


Asset encumbrance ratio = (Carrying amount of encumbered assets and collateral)/(Total assets and collateral).
















10.


[Deleted]




1.7.   Definition of encumbrance








11.


For the purposes of this Annex and Annex XVI, an asset shall be treated as encumbered if it has been pledged or if it is subject to any form of arrangement to secure, collateralise or credit enhance any transaction from which it cannot be freely withdrawn.
It is important to note, that assets pledged that are subject to any restrictions in withdrawal, such as assets that require prior approval before withdrawal or replacement by other assets, shall be considered encumbered. The definition is not based on an explicit legal definition, such as title transfer, but rather on economic principles, as the legal frameworks may differ in this respect across countries. The definition is however closely linked to contractual conditions. The EBA sees the following types of contracts being well covered by the definition (this is a non-exhaustive list):






—


secured financing transactions, including repurchase contracts and agreements, securities lending and other forms of secured lending;










—


various collateral agreements, for instance collateral placed for the market value of derivatives transactions;










—


financial guarantees that are collateralised. If there is no impediment to withdrawal of collateral, such as prior approval, for the unused part of guarantee, then only the used amount shall be allocated (on a pro-rata allocation);










—


collateral placed at clearing systems, CCPs and other infrastructure institutions as a condition for access to service. This includes default funds and initial margins;










—


central bank facilities. Pre-positioned assets shall not be considered encumbered, unless the central bank does not allow withdrawal of any assets placed without prior approval. As for unused financial guarantees, the unused part, i.e. above the minimum amount required by the central bank, shall be allocated on a pro-rata basis among the assets placed at the central bank;










—


underlying assets from securitisation structures, where the financial assets have not been de-recognised from the institution’s financial assets. The assets that are underlying retained securities do not count as encumbered, unless those securities are pledged or provided as collateral in any way to secure a transaction;










—


assets in cover pools used for covered bond issuance. The assets that are underlying covered bonds count as encumbered, except in certain situations where the institution holds the corresponding covered bonds (“own-issued bonds”);










—


as a general principle, assets which are being placed at facilities that are not used and can be freely withdrawn shall not be considered encumbered.









TEMPLATE-RELATED INSTRUCTIONS

2.   PART A: ENCUMBRANCE OVERVIEW








12.


The encumbrance overview templates differentiate assets which are used to support funding or collateral needs at the balance sheet date (“point-in time encumbrance”) from those assets which are available for potential funding needs.












13.


The overview template shows the amount of encumbered and non-encumbered assets of the reporting institution in a tabular format by products. The same breakdown also applies to collateral received and own debt securities issued other than covered bonds and securitisations.




2.1.   Template AE-ASS. Assets of the reporting institution
2.1.1.   General remarks








14.


This point sets out instructions that apply to the main types of transaction that are relevant when completing the AE templates:
All transactions that increase the level of encumbrance of an institution have two aspects that shall be reported independently throughout the AE templates. Such transactions shall be reported both as a source of encumbrance and as an encumbered asset or collateral.
The following examples describe how to report a type of transaction of this Part but the same rules apply to the other AE templates.
(a)   Collateralised deposit

A collateralised deposit shall be reported as follows:






(i)


the carrying amount of the deposit is registered as a source of encumbrance in {AE-SOU; r0070; c0010};










(ii)


where the collateral is an asset of the reporting institution: its carrying amount shall be reported in {AE-ASS; *; c0010} and {AE-SOU; r0070; c0030}; its fair value shall be reported in {AE-ASS; *; c0040};










(iii)


where the collateral has been received by the reporting institution, its fair value shall reported in {AE-COL; *; c0010}, {AE-SOU; r0070; c0030} and {AE-SOU; r0070; c0040}.




(b)   Repo/matching repos

A repurchase agreement (hereinafter “repo”) shall be reported as follows:






(i)


the gross carrying amount of the repo shall be reported as a source of encumbrance in {AE-SOU; r0050; c0010};










(ii)


the collateral of the repo shall be reported as follows:






—


where the collateral is an asset of the reporting institution: its carrying amount shall be reported in {AE-ASS; *; c0010} and {AE-SOU; r0050; c0030}; its fair value shall be reported in {AE-ASS; *; c0040};










—


where the collateral has been received by the reporting institution through a previous reverse repurchase agreement (matching repo), its fair value shall be reported in {AE-COL; *; c0010}, {AE-SOU; r0050; c0030} and in {AE-SOU; r0050; c0040}.








(c)   Central bank funding

As collateralised central bank funding is only a specific case of a collateralised deposit or a repo transaction in which the counterparty is a central bank, the rules in this point 14(a) and (b) apply.
For operations where it is not possible to identify the specific collateral to each operation, as collateral is pooled together, the collateral breakdown shall be done on a proportional basis, based on the composition of the pool of collateral.
Assets that have been pre-positioned with central banks are not encumbered assets unless the central bank does not allow withdrawal of any assets placed without prior approval. For unused financial guarantees, the unused part, i.e. the amount above the minimum required by the central bank, is allocated on a pro-rata basis among the assets placed at the central bank.
(d)   Securities lending

For securities lending with cash collateral the rules for repos/matching repos apply.
Securities lending without cash collateral shall be reported as follows:






(i)


the fair value of the securities borrowed shall be reported as a source of encumbrance in {AE-SOU; r0150; c0010}. When the lender does not receive any securities in return for the securities lent but receives a fee instead, {AE-SOU; r0150; c0010} shall reported as zero;










(ii)


where the securities lent as collateral are an asset of the reporting institution: their carrying amount shall be reported in {AE-ASS; *; c0010} and {AE-SOU; r0150; c0030}; their fair value shall reported in {AE-ASS; *; c0040};










(iii)


where the securities lent as collateral are received by the reporting institution, their fair value shall be reported in {AE-COL; *; c0010}, {AE-SOU; r0150; c0030} and {AE-SOU; r0150; c0040}.




(e)   Derivatives (liabilities)

Collateralised derivatives with a negative fair value shall be reported as follows:






(i)


the carrying amount of the derivative shall be reported as a source of encumbrance in {AE-SOU; r0020; c0010};










(ii)


the collateral (initial margins required to open the position and any collateral placed for the market value of derivatives transactions) shall be reported as follows:






—


where it is an asset of the reporting institution: its carrying amount shall be reported in {AE-ASS; *; c0010} and {AE-SOU; r0020; c0030}; its fair value shall be reported in {AE-ASS; *; c0040};










—


where it is collateral received by the reporting institution, its fair value shall be reported in {AE-COL; *; c0010}, {AE-SOU; r0020; c0030} and {AE-SOU; r0020; c0040}.








(f)   Covered bonds

Covered bonds for the entire asset encumbrance reporting are instruments referred to in Article 52(4), first subparagraph, of Directive 2009/65/EU, irrespective of whether those instruments take the legal form of a security or not.
No specific rules apply to covered bonds where there is no retention of part of the securities issued by the reporting institution.
In case of retention of part of the issuance and in order to avoid double counting, the following treatment shall apply:






(i)


where the own covered bonds are not pledged, the amount of the cover pool that is backing those securities retained and not yet pledged shall be reported in the AE-ASS templates as non-encumbered assets. Additional information about the retained covered bonds not yet pledged (underlying assets, fair value and eligibility of those available for encumbrance and nominal of those non-available for encumbrance) shall be reported in the AE-NPL template;










(ii)


where the own covered bonds are pledged, then the amount of the cover pool that is backing those securities retained and pledged shall be included in the AE-ASS template as encumbered assets.




The following table sets out how to report covered bond issuance of EUR 100 of which 15 % is retained and not pledged and 10 % is retained and pledged as collateral in a EUR 11 repo transaction with a central bank, where the cover pool comprises unsecured loans and the carrying amount of the loans is EUR 150.










SOURCES OF ENCUMBRANCE






Type




Amount




Cells




Loans encumbered




Cells






Covered bonds



75 % (100) = 75


{AE-Sources, r110, c010}


75 % (150) = 112.5


{AE-Assets, r100, c010}
{AE-Sources, r110, c030}





Central bank funding



11


{AE-Sources, r060, c010}


10 % (150) = 15


{AE-Assets, r100, c010}
{AE-Sources, r060, c030}





NON ENCUMBRANCE






Type




Amount




Cells




Non-encumbered loans




Cells






Own covered bonds retained



15 % (100) = 15


{AE-Not pledged, r010, c040}


15 % (150) = 22.5


{AE-Assets, r100, c060}
{AE-Not pledged, r020, c010}




(g)   Securitisations

Securitisations mean debt securities held by the reporting institution originated in a securitisation transaction as defined in Article 4(1), point (61), of Regulation (EU) No 575/2013.
For securitisations that remain in the balance sheet (non-derecognised), the rules for covered bonds apply.
For derecognised securitisations, there is no encumbrance where the institution holds some securities. Those securities will appear in the trading book or in the banking book of the reporting institutions as any other security issued by a third party.




2.1.2.   Instructions concerning specific rows






Rows


Legal references and instructions




0010



Assets of the reporting institution

IAS 1.9 (a), Implementation Guidance (IG) 6; total assets of the reporting institution registered in its balance sheet.




0015



Of which: qualifying fiduciary assets

Fiduciary assets which meet all the following conditions:






(a)


they are recognised on the institution’s balance sheet by national generally accepted accounting principles, in accordance with Article 10 of Directive 86/635/EEC;










(b)


they meet the criteria for non-recognition set out in International Financial Reporting Standard (IFRS) 9, as applied in accordance with Regulation (EC) No 1606/2002;










(c)


they meet the criteria for non-consolidation set out in IFRS 10, as applied in accordance with Regulation (EC) No 1606/2002, where applicable.








0020



Loans on demand

IAS 1.54 (i)
Institutions shall report the balances receivable on demand at central banks and other institutions. Cash on hand, that is, the holding of national and foreign banknotes and coins in circulation that are commonly used to make payments shall be included in the row “other assets”.




0030



Equity instruments

Equity instruments held by the reporting institution as defined in IAS 32.1.




0040



Debt securities

Annex V, Part 1, point 31
Institutions shall report debt instruments held by the reporting institution issued as securities that are not loans in accordance with Regulation (EU) 2021/379 (1).




0050



of which: covered bonds

Debt securities held by the reporting institution that are bonds referred to in Article 52(4), first subparagraph, of Directive 2009/65/EC.




0060



of which: securitisations

Debt securities held by the reporting institution that are securitisations as defined in Article 4(1), point (61), of Regulation (EU) No 575/2013.




0070



of which: issued by general governments

Debt securities held by the reporting institution which are issued by general governments.




0080



of which: issued by financial corporations

Debt securities held by the reporting institution issued by financial corporations as defined in Annex V, Part 1, point 42, points (c) and d).




0090



of which: issued by non-financial corporations

Debt securities held by the reporting institution issued by non-financial corporations as defined in Annex V, Part 1, point 42, point (e).




0100



Loans and advances other than loans on demand

Loans and advances that are debt instruments other than securities held by the reporting institutions; other than balances receivable on demand.




0110



of which: Loans collateralised with immovable property

Loans and advances other than loans on demand that are collateralised with immovable property according to Annex V, part 2, point 86.




0120



Other assets

Assets of the reporting institution registered in the balance sheet other than those reported in rows 0020 to 0040 and 0100 and different from own debt securities and own debt equity instruments that may not be derecognised from the balance sheet by a non-IFRS institution.
In this case, own debt instruments shall be included in row 0240 of the AE-COL template and own equity instruments excluded from the asset encumbrance reporting.




2.1.3.   Instructions concerning specific columns






Columns


Legal references and instructions




0010



Carrying amount of encumbered assets

Institutions shall report the carrying amount of its assets that are encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex. The carrying amount shall mean the amount reported in the asset side of the balance sheet.




0020



of which: issued by other entities of the group

Carrying amount of encumbered assets held by the reporting institution that are issued by any entity within the prudential scope of consolidation.




0030



of which: central bank eligible

Carrying amount of encumbered assets held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access.
Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.




0035



of which notionally eligible EHQLA and HQLA

The carrying amount of encumbered assets which are notionally eligible to the qualification of assets of extremely high liquidity and credit quality (EHQLA) and assets of high liquidity and credit quality (HQLA).
For the purposes of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the assets that are listed in Articles 10 to13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with this Annex.
Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of Delegated Regulation (EU) 2015/61. The carrying amount of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the carrying amount before the application of the haircuts specified in Articles 10 to 16 of that Delegated Regulation.




0040



Fair value of encumbered assets

IFRS 13 and Article 8 of Directive 2013/34/EU for non-IFRS institutions
Institutions shall report the fair value of its debt securities that are encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex.
Fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (see IFRS 13 Fair Value Measurement).




0050



of which: central bank eligible

Fair value of the encumbered debt securities held by the reporting institution, which are eligible for operations with those central banks to which the reporting institution has access.
Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.




0055



of which notionally eligible EHQLA and HQLA

Fair value of encumbered assets that are notionally eligible to the qualification of EHQLA and HQLA
For the purposes of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the assets that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with this Annex. Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of that Delegated Regulation.




0060



Carrying amount of non-encumbered assets

Institutions shall report the carrying amount of its assets that are non-encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex.
Carrying amount shall mean the amount reported in the asset side of the balance sheet.




0070



of which: issued by other entities of the group

Carrying amount of non-encumbered assets held by the reporting institution that are issued by any entity within the prudential scope of consolidation.




0080



of which: central bank eligible

Carrying amount of non-encumbered assets held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access.
Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.




0085



of which EHQLA and HQLA

Carrying amount of unencumbered EHQLA and HQLA that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, as well as with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of that Delegated Regulation.
The carrying amount of EHQLA and HQLA shall be the carrying amount before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.




0090



Fair value of non-encumbered assets

IFRS 13 and Article 8 of Directive 2013/34/EU for non-IFRS institutions
Institutions shall report the fair value of its debt securities that are non-encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex.
Fair value of a financial instrument shall be the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (see IFRS 13 Fair Value Measurement).




0100



of which: central bank eligible

Fair value of the non-encumbered debt securities held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access.
Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.




0105



of which EHQLA and HQLA

Fair value of unencumbered EHQLA and HQLA that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation as well as with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of that Delegated Regulation.
The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.




2.2.   Template: AE-COL. Collateral received by the reporting institution
2.2.1.   General remarks








15.


For the collateral received by the reporting institution and the own debt securities issued other than own covered bonds or securitisations, the category of “non-encumbered” assets is split between those “available for encumbrance” or potentially eligible to be encumbered and those “non-available for encumbrance”.












16.


Assets are “non-available for encumbrance” when they have been received as collateral and the reporting institution is not permitted to sell or re-pledge the collateral, except in the case of a default by the owner of the collateral. Own debt securities issued other than own covered bonds or securitisations are non-available for encumbrance when there is any restriction in the terms of the issuance to sell or re-pledge the securities held.












17.


For the purposes of the asset encumbrance reporting, securities borrowed in exchange for a fee without providing cash-collateral or non-cash collateral shall be reported as collateral received.




2.2.2.   Instructions concerning specific rows






Rows


Legal references and instructions




0130



Collateral received by the reporting institution

All classes of collateral received by the reporting institution




0140



Loans on demand

Collateral received by the reporting institution that comprises loans on demand
See legal references and instructions regarding row 0020 of the AE-ASS template.




0150



Equity instruments

Collateral received by the reporting institution that comprises equity instruments
See legal references and instructions regarding row 0030 of the AE-ASS template.




0160



Debt securities

Collateral received by the reporting institution that comprises debt securities
See legal references and instructions regarding row 0040 of the AE-ASS template.




0170



of which: covered bonds

Collateral received by the reporting institution that comprises covered bonds
See legal references and instructions regarding row 0050 of the AE-ASS template.




0180



of which: securitisations

Collateral received by the reporting institution that comprises securitisations
See legal references and instructions regarding row 0060 of the AE-ASS template.




0190



of which: issued by general governments

Collateral received by the reporting institution that comprises debt securities issued by general governments
See legal references and instructions regarding row 0070 of the AE-ASS template.




0200



of which: issued by financial corporations

Collateral received by the reporting institution that comprises debt securities issued by financial corporations
See legal references and instructions regarding row 0080 of the AE-ASS template.




0210



of which: issued by non-financial corporations

Collateral received by the reporting institution that comprises debt securities issued by non-financial corporations
See legal references and instructions regarding row 0090 of the AE-ASS template.




0220



Loans and advances other than loans on demand

Collateral received by the reporting institution that comprises loans and advances other than loans on demand
See legal references and instructions regarding row 0100 of the AE-ASS template.




0230



Other collateral received

Collateral received by the reporting institution that comprises other assets
See legal references and instructions regarding row 0120 of the AE-ASS template.




0240



Own debt securities issued other than own covered bonds or securitisations

Own debt securities issued retained by the reporting institution that are not own covered bonds issued or own securitisations issued.
As the retained or repurchased own debt securities issued, according to IAS 39.42, decrease the relating financial liabilities, those securities shall not be included in the category of assets of the reporting institution (row 0010 of the AE-ASS template). Own debt securities that may not be derecognised from the balance sheet by a non-IFRS institution shall be included in this row.
Own covered bonds issued or own securitisations issued shall not be reported in this category since different rules apply to those cases to avoid double counting:






(a)


where the own debt securities are pledged, the amount of the cover pool/underlying assets that are backing those securities retained and pledged shall be reported in the AE-ASS template as encumbered assets;










(b)


where the own debt securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities retained and not yet pledged shall be reported in the AE-ASS templates as non-encumbered assets. Additional information about that second type of own debt securities not yet pledged (underlying assets, fair value and eligibility of those available for encumbrance and nominal of those non-available for encumbrance) shall be reported in the AE-NPL template.








0245



Own covered bonds and securitisation issued and not yet pledged

Own covered bonds and securitisations issued that are retained by the reporting institution and not encumbered
To avoid double counting, the following rule applies in relation to own covered bonds and securitisations issued and retained by the reporting institution:






(a)


where those securities are pledged, the amount of the cover pool/underlying assets that are backing them shall be reported in Template AE-ASS (F 32.01) as encumbered assets. The source of funding in the event of pledging own covered bonds and securitisations is the new transaction in which the securities are being pledged (central bank funding or other type of secured funding) and not the original issuance of covered bonds or securitisations;










(b)


where those securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities shall be reported in Template AE-ASS (F 32.01) as non-encumbered assets.








0250



TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED

All assets of the reporting institution registered in its balance sheet, all classes of collateral received by the reporting institution and own debt securities issued retained by the reporting institution that are not own covered bonds issued or own securitisations issued.




2.2.3.   Instructions concerning specific columns






Columns


Legal references and instructions




0010



Fair value of encumbered collateral received or own debt securities issued

Institutions shall report the fair value of the collateral received or own debt securities they hold/retain, which are encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex.
The fair value of a financial instrument shall be the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (see IFRS 13 Fair Value Measurement).




0020



of which: issued by other entities of the group

Fair value of the encumbered collateral received or own debt securities issued held/retained by the reporting institution that are issued by any entity within the prudential scope of consolidation.




0030



of which: central bank eligible

Fair value of the encumbered collateral received or own debt securities issued held/retained by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access.
Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.




0035



of which notionally eligible EHQLA and HQLA

Fair value of the encumbered collateral received, including in any securities borrowing transaction, or own debt securities issued held/retained by the institution that are notionally eligible to the qualification of EHQLA and HQLA.
For the purposes of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the items of collateral received or own debt securities issued held/retained by the institution that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with this Annex. Notionally eligible encumbered EHQLA and encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.




0040



Fair value of collateral received or own debt securities issued available for encumbrance

Fair value of the collateral received by the reporting institution that are non-encumbered but are available for encumbrance since the reporting institution is permitted to sell or re-pledge it in absence of default by the owner of the collateral. It also includes the fair value of own debt securities issued, other than own covered bonds or securitisations that are non-encumbered but available for encumbrance.




0050



of which: issued by other entities of the group

Fair value of collateral received or own debt securities issued other than own covered bonds or securitisations available for encumbrance that are issued by any entity within the prudential scope of consolidation.




0060



of which: central bank eligible

Fair value of collateral received or own debt securities issued other than own covered bonds or securitisations available for encumbrance, which are eligible for operations with those central banks to which the reporting institution has access.
Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.




0065



of which EHQLA and HQLA

Fair value of the unencumbered collateral received or own debt securities issued held/retained by the institution other than own covered bonds or securitisation positions available for encumbrance which qualify as EHQLA and HQLA that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, as well as with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of that Delegated Regulation.
The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.




0070



Nominal of collateral received or own debt securities issued non available for encumbrance

Nominal amount of the collateral received held by the reporting institution that are non-encumbered and non-available for encumbrance.
It shall include the nominal amount of the own debt securities issued other than own covered bonds or securitisations retained by the reporting institution that are non-encumbered and also non-available for encumbrance.




2.3.   Template: AE-NPL. Own covered bonds and securitisations issued and not yet pledged
2.3.1.   General remarks








18.


To avoid double counting, the following rule applies in relation to own covered bonds and securitisations issued and retained by the reporting institution:






(a)


where those securities are pledged, the amount of the cover pool/underlying assets that are backing them shall be reported in the AE-ASS template as encumbered assets. The source of funding in the event of pledging own covered bonds and securitisations is the new transaction in which the securities are being pledged (central bank funding or other type of secured funding) and not the original issuance of covered bonds or securitisations;










(b)


where those securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities shall be reported in the AE-ASS template as non-encumbered assets.








2.3.2.   Instructions concerning specific rows






Rows


Legal references and instructions




0010



Own covered bonds and securitisations issued and not yet pledged

Own covered bonds and securitisations issued that are retained by the reporting institution and not encumbered.




0020



Retained covered bonds issued

Own covered bonds issued that are retained by the reporting institution and not encumbered.




0030



Retained securitisations issued

Own securitisations issued that are retained by the reporting institution and not encumbered.




0040



Senior

Senior tranches of the own securitisations issued that are retained by the reporting institution and not encumbered
See Article 4(1), point (67), of Regulation (EU) No 575/2013.




0050



Mezzanine

Mezzanine tranches of the own securitisations issued that are retained by the reporting institution and not encumbered
All tranches that are not senior tranches, i.e. the last to absorb the loss or first loss tranches, shall be considered mezzanine tranches. See Article 4(1), point (67), of Regulation (EU) No 575/2013.




0060



First loss

First loss tranches of the own securitisations issued that are retained by the reporting institution and are not encumbered.
See Article 4(1), point (67), of Regulation (EU) No 575/2013.




2.3.3.   Instructions concerning specific columns






Columns


Legal references and instructions




0010



Carrying amount of the underlying pool of assets

Carrying amount of the cover pool/underlying assets that back the own covered bonds and own securitisations retained and are not yet pledged.




0020



Fair value of debt securities issued available for encumbrance

Fair value of the own covered bonds and own securitisations retained that are non-encumbered but available for encumbrance.




0030



Of which: central bank eligible

Fair value of the own covered bonds and own securitisations retained that meet each of the following conditions:






(a)


they are non-encumbered;










(b)


they are available for encumbrance;










(c)


they are eligible for operations with those central banks to which the reporting institution has access




Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.




0035



of which notionally eligible EHQLA and HQLA

Fair value of the encumbered collateral received, including in any securities borrowing transaction, or own debt securities issued held/retained by the institution that are notionally eligible to the qualification of EHQLA and HQLA.
For the purposes of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the items of collateral received or own debt securities issued held/retained by the institution that are listed in Articles 10 to13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with this Annex XVII. Notionally eligible encumbered EHQLA and encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.




0040



Nominal of own debt securities issued non-available for encumbrance

Nominal amount of the own covered bonds and own securitisations retained that are non-encumbered and also non-available for encumbrance.




2.4.   Template: AE-SOU. Sources of encumbrance
2.4.1.   General remarks








19.


This template provides information on the importance for the reporting institution of the different sources of encumbrance, including those with no associated funding as loans commitments or financial guarantees received and securities lending with non-cash collateral.












20.


The total amounts of assets and collateral received in the AE-ASS and the AE-COL templates meet the following validation rule: {AE-SOU; r0170; c0030} = {AE-ASS; r0010; c0010} + {AE-COL; r0130; c0010} + {AE-COL; r0240; c0010}.




2.4.2.   Instructions concerning specific rows






Rows


Legal references and instructions




0010



Carrying amount of selected financial liabilities

Carrying amount of selected collateralised financial liabilities of the reporting institution insofar as those liabilities entail asset encumbrance for that institution




0020



Derivatives

Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, that is, with a negative fair value, insofar as those derivatives entail asset encumbrance for that institution




0030



of which: over-the-counter

Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities which are traded over-the-counter, insofar as those derivatives entail asset encumbrance.




0040



Deposits

Carrying amount of the collateralised deposits of the reporting institution insofar as those deposits entail asset encumbrance for that institution.




0050



Repurchase agreements

Gross carrying amount (without any netting allowed in the accounting framework) of the repurchase agreements of the reporting institution insofar as those transactions entail asset encumbrance for that institution.
Repurchase agreements (repos) shall be the transactions in which the reporting institution receives cash in exchange for financial assets sold at a given price under a commitment to repurchase the same (or identical) assets at a fixed price on a specified future date. The following variants of repo-type operations are all required to be reported as repurchase agreements:






(a)


amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral; and










(b)


amounts received in exchange for securities temporarily transferred to a third party in the form of a sale/buy-back agreement.








0060



of which: central banks

Carrying amount of the repurchase agreements of the reporting institution with central banks insofar as those transactions entail asset encumbrance.




0070



Collateralised deposits other than repurchase agreements

Carrying amount of the of the collateralised deposits other than repurchase agreements of the reporting institution insofar as those deposits entail asset encumbrance for that institution.




0080



of which: central banks

Carrying amount of the collateralised deposits other than repurchase agreements of the reporting institution with central banks insofar as those deposits entail asset encumbrance for that institution.




0090



Debt securities issued

Carrying amount of the debt securities issued by the reporting institution insofar as those securities issued entail asset encumbrance for that institution.
The retained part of any issuance shall follow the specific treatment set out in Part A, point 15, point (vi), so that only the percentage of debt securities placed outside the entities of the group are to be included under this category.




0100



of which: covered bonds issued

Carrying amount of covered bonds the assets of which are originated by the reporting institution insofar as those securities issued entail asset encumbrance for that institution.




0110



of which: securitisations issued

Carrying amount of the securitisations issued by the reporting institution insofar as those securities issued entail asset encumbrance for that institution.




0120



Other sources of encumbrance

Amount of collateralised transactions of the reporting institution other than financial liabilities, insofar as those transactions entail asset encumbrance for that institution.




0130



Nominal of loan commitments received

Nominal amount of the loan commitments received by the reporting institution, insofar as those commitments received entail asset encumbrance for that institution.




0140



Nominal of financial guarantees received

Nominal amount of the financial guarantees received by the reporting institution, insofar as those guarantees received entail asset encumbrance for that institution.




0150



Fair value of securities borrowed with non-cash collateral

Fair value of the securities borrowed by the reporting institution without cash collateral, insofar as those transactions entail asset encumbrance for that institution.




0160



Other

Amount of collateralised transactions of the reporting institution other than financial liabilities, not covered by the items listed in rows 0130 to 0150, insofar as those transactions entail asset encumbrance for that institution.




0170



TOTAL SOURCES OF ENCUMBRANCE

Amount of all collateralised transactions of the reporting institution insofar as those transactions entail asset encumbrance for that institution.




2.4.3.   Instructions concerning specific columns






Columns


Legal references and instructions




0010



Matching liabilities, contingent liabilities or securities lent

Amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non-cash collateral, insofar as those transactions entail asset encumbrance for that institution.
Financial liabilities shall be reported at their carrying amount; contingent liabilities shall be reported at their nominal value; and securities lent with non-cash collateral shall be reported at their fair value.




0020



of which: from other entities of the group

Amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non-cash collateral, insofar as the counterparty is any other entity within the prudential scope of consolidation and the transaction entail for the reporting institution asset encumbrance.
For rules applying to amount types, see instructions for column 0010.




0030



Assets, collateral received and own securities issued other than covered bonds and securitisations encumbered

Amount of the assets, collateral received and own securities issued other than covered bonds and securitisations that are encumbered as a result of the different type of transactions specified in the rows.
To ensure consistency with the criteria in the templates AE-ASS and AE-COL, assets of the reporting institution registered in the balance sheet shall be reported at their carrying amount, re-used collateral received and encumbered own securities issued other than covered bonds and securitisations shall be reported at their fair value.




0040



of which: collateral received re-used

Fair value of the collateral received that are re-used/encumbered as a result of the different type of transactions specified in the rows.




050



Of which: own debt securities encumbered

Fair value of the own securities issued other than covered bonds and securitisations that are encumbered as a result of the different type of transactions specified in the rows.




3.   PART B: MATURITY DATA
3.1.   General remarks








21.


The template included in Part B shows a general overview of the amount of encumbered assets and collateral received re-used that fall under the defined intervals of the matching liabilities’ residual maturity.




3.2.   Template: AE-MAT. Maturity data
3.2.1.   Instructions concerning specific rows






Rows


Legal references and instructions




0010



Encumbered assets

For the purposes of this template, encumbered assets shall include all of the following:






(a)


the assets of the reporting institution (see instruction for row 0010 of the AE-ASS template), which shall be reported at their carrying amount;










(b)


own debt securities issued other than covered bonds or securitisations (see instruction for row 240 of the AE-COL template), which shall be reported at fair value.




Those amounts shall be distributed among the set of residual maturity buckets specified in the columns according to the residual maturity of the source of its encumbrance (matching liability, contingent liability or securities lending transaction).




0020



Collateral received re-used (receiving leg)

See instructions for row 130 of the AE-COL template and column 0040 of the AE-SOU template.
Institutions shall report the amounts at fair value and distribute among the set of residual maturity buckets specified in the columns according to the residual maturity of the transaction that generated for the entity the reception of the collateral that is being re-used (receiving leg).




0030



Collateral received re-used (re-using leg)

See instructions for row 130 of the AE-COL template and column 0040 of the AE-SOU template.
Institutions shall report the amounts at fair value and distribute among the set of residual maturity buckets specified in the columns according to the residual maturity of the source of its encumbrance (re-using leg): matching liability, contingent liability or securities lending transaction.




3.2.2.   Instructions concerning specific columns






Columns


Legal references and instructions




0010



Open maturity

On demand, without a specific maturity date




0020



Overnight

Due date earlier or equal to 1 day




0030



> 1 day <=1wk

Due date later than 1 day and earlier than or equal to 1 week




0040



> 1 wk <=2wks

Due date later than 1 week and earlier than or equal to 2 weeks




0050



> 2wks <=1mth

Due date later than 2 weeks and earlier than or equal to 1 month




0060



> 1mth <=3mths

Due date later than 1 month and earlier than or equal to 3 months




0070



> 3mths <=6mths

Due date later than 3 months and earlier than or equal to 6 months




0080



> 6mths <=1yr

Due date later than 6 months and earlier than or equal to 1 year




0090



> 1yr <=2yrs

Due date later than 1 year and earlier than or equal to 2 years




0100



> 2yrs <=3yrs

Due date later than 2 years and earlier than or equal to 3 years




0110



> 3yrs <=5yrs

Due date later than 3 years and earlier than or equal to 5 years




0120



> 5yrs <=10yrs

Due date later than 5 years and earlier than or equal to 10 years




0130



> 10yrs

Due date later than 10 years




4.   PART C: CONTINGENT ENCUMBRANCE
4.1.   General remarks








22.


Institutions shall present in this template the level of asset encumbrance that results in a number of stressed scenarios.












23.


Contingent encumbrance refers to the additional assets which may need to be encumbered when the reporting institutions faces adverse developments triggered by an external event over which the reporting institution has no control (including a downgrade, decrease of the fair value of the encumbered assets or a general loss of confidence). In those cases, the reporting institution will need to encumber additional assets as a consequence of already existing transactions. The additional amount of encumbered assets shall be net of the impact of the institution’s hedge transactions against the events described under the aforementioned stressed scenarios.












24.


This template includes the following two scenarios for reporting contingent encumbrance which are set out in more detail in sections 4.1.1. and 4.1.2. The information reported shall be the institution’s reasonable estimate based on the best available information.






(a)


Decrease of the fair value of the encumbered assets by 30 %. This scenario only covers a change in the underlying fair value of the assets, and not any other change which may affect its carrying amount such as foreign exchange gains or losses or potential impairment. The reporting institution may then be forced to post more collateral in order to keep the value of the collateral constant.










(b)


A 10 % depreciation in each currency in which the institution has aggregate liabilities amounting to or exceeding 5 % of the institution’s total liabilities.
















25.


The scenarios shall be reported independently of each other, and significant currency depreciations shall also be reported independently of depreciations of other significant currencies. Consequently, institutions shall not take correlations between the scenarios into account.




4.1.1.   Scenario A: Decrease of 30 % of encumbered assets








26.


It shall be assumed that all encumbered assets decrease 30 % in value. The need of additional collateral arising from such a decrease shall take into account existing levels of over-collateralisation, such that only the minimum collateralisation level is maintained. The need of additional collateral shall also take into account the contractual requirements of the contracts and agreements impacted, including threshold triggers.












27.


Only contracts and agreements, where there is a legal obligation to supply additional collateral shall be included. This shall include covered bond issues where there is a legal requirement to uphold minimum levels of over collateralisation but no requirement to maintain existing rating levels on the covered bond.




4.1.2.   Scenario B: Depreciation of 10 % in significant currencies








28.


A currency shall be a significant currency if the reporting institution has aggregate liabilities in that currency amounting to or exceeding 5 % of the institution’s total liabilities.












29.


The calculation of a 10 % depreciation shall take into account both changes on the asset and liability side, i.e. focus the asset-liability mismatches. For instance a repo transactions in USD based on USD assets does not cause additional encumbrance, whereas a repo transaction in USD based on a EUR asset causes additional encumbrance.












30.


All transactions which have a cross-currency element shall be covered by this calculation.




4.2.   Template: AE-CONT. Contingent encumbrance
4.2.1.   Instructions concerning specific rows








31.


See instructions concerning specific rows of the AE-SOU template in section 2.4.2. The content of the rows in AE-CONT template does not differ from the AE-SOU template.




4.2.2.   Instructions concerning specific columns






Columns


Legal references and instructions




0010



Matching liabilities, contingent liabilities or securities lent

Same instructions and data as for column 0010 of the AE-SOU template; amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non–cash collateral, insofar as those transactions entail asset encumbrance for that institution
As referred for each row in the template, institutions shall report financial liabilities at their carrying amount, contingent liabilities at their nominal and securities lent with non-cash collateral at their fair value.




0020


A.   Additional amount of encumbered assets

Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of occurrence of scenario A.
Following the instructions laid down in Part A, institutions shall report those amounts at their carrying amount if the amount is related to assets of the reporting institution or at their fair value if related to collateral received. Amounts exceeding the non-encumbered assets and collateral of the institution shall be reported at fair value.




0030


B.   Additional amount of encumbered assets. Significant currency 1

Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of a depreciation of significant currency number 1 in scenario B.
See rules for amount types in row 0020.




0040


C.   Additional amount of encumbered assets. Significant currency 2

Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of a depreciation of significant currency number 2 in scenario B.
See rules for amount types in row 0020.




5.   PART D: COVERED BONDS
5.1.   General remarks








32.


The information in this template shall be reported for all UCITS-compliant covered bonds issued by the reporting institution. UCITS-compliant covered bonds are the bonds referred to in Article 52(4), first subparagraph, of Directive 2009/65/EC. Those are covered bonds issued by the reporting institution if the reporting institution is in relation to the covered bond subject by the applicable law to special public supervision designed to protect bond-holders and if for such covered bond it is required that sums deriving from the issue of those bonds shall be invested in accordance with the law in assets which, during the whole period of validity of the bonds, are capable of covering claims attaching to the bonds and which, in the event of failure of the issuer, would be used on a priority basis for the reimbursement of the principal and payment of the accrued interest.












33.


Covered bonds issued by or on behalf of the reporting institution that are not UCITS-compliant covered bonds shall not be reported within the AE-CB templates.












34.


The reporting shall be based on the statutory covered bond regime, i.e. the legal framework which applies the to the covered bond programme.




5.2.   Template: AE-CB. Covered bonds issuance
5.2.1.   Instructions concerning z-axis






z-axis


Legal references and instructions




0010



Cover pool identifier (open)

The cover pool identifier shall consist of the name or unambiguous abbreviation of the cover pool issuing entity and the designation of the cover pool that individually is subject to the relevant covered bond protective measures.




5.2.2.   Instructions concerning specific rows






Rows


Legal references and instructions




0010



Nominal amount

Nominal amount shall be the sum of claims to payment of principal, determined in accordance with the respective statutory covered bond regime’s rules that apply for determining sufficient coverage.




0020



Present value (swap)/Market value

Present value (swap) shall be the sum of claims to payment of principal and interest, as discounted by a foreign exchange-specific risk-free yield curve, determined in accordance with the relevant statutory covered bond regime’s rules that apply for determining sufficient coverage.
For columns 0080 and 0210 referring to cover pool derivative positions, the market value shall be reported.




0030



Asset-specific value

The asset-specific value shall be the economic value of the cover pool assets, as may be described by a fair value in accordance with IFRS 13, a market value observable from executed transactions in liquid markets, or a present value that would discount future cash flows of an asset by an asset-specific interest rate curve.




0040



Carrying amount

Carrying amount of a covered bond liability or a cover pool asset shall be the accounting value at the covered bond issuer.




5.2.3.   Instructions concerning specific columns






Columns


Legal references and instructions




0010



Compliance with Article 129 of Regulation (EU) No 575/2013? [YES/NO]

Institutions shall specify whether the cover pool meets the requirements set out in Article 129 of Regulation (EU) No 575/2013 in order to be eligible for the preferential treatment set out in Article 129(4) and (5) of that Regulation.




0012



If YES, indicate primary asset class of the cover pool

If the cover pool is eligible for the preferential treatment set out in Article 129(4) and (5) of Regulation (EU) No 575/2013 (answer YES in column 0011), the primary asset class of the cover pool shall be indicated in this cell. The classification in Article 129(1) of that Regulation shall be used for that purpose and codes “a”, “b”, “c”, “d”, “e”, “f” and “g” shall be indicated accordingly. Code “h” will be applied when the primary asset class of the cover pool does not fall under any of the previous categories.




0020-0140



Covered bond liabilities

Covered bond liabilities shall be the liabilities of the issuing entity incurred by issuing covered bonds and extends to all positions as defined by the respective statutory covered bond regime that are subject to the relevant covered bond protective measures (this may, for instance, include securities in circulation as well as the position of counterparts of the covered bond issuer in derivative positions with, from the perspective of the covered bond issuer, a negative market value attributed to the cover pool and treated as covered bond liabilities in accordance with the relevant statutory covered bond regime).




0020



Reporting date

Amounts of covered bond liabilities, excluding cover pool derivative positions, according to the different future date ranges.




0030



+ 6 months

The date “+ 6 months” shall be the point in time 6 months after the reporting reference date. Amounts shall be provided assuming no change in covered bond liabilities compared to the reporting reference date except for amortisation. In the absence of a fixed payment schedule, for amounts outstanding at future dates the expected maturity shall be used in a consistent manner.




0040-0070



+ 12 months – + 10 years

As for “+ 6 months” (column 0030) for the respective point in time from the reporting reference date




0080



Cover pool derivative positions with net negative market value

Net negative market value of cover pool derivative positions which from the perspective of the covered bond issuer have a net negative market value
The cover pool derivative positions shall be such net derivative positions that in accordance with the relevant statutory covered bond regime have been included in the cover pool and are subject to the respective covered bond protective measures in that such derivative positions with a negative market value require coverage by eligible cover pool assets.
The net negative market value shall be reported for the reporting reference date only.




0090-0140



External credit rating on covered bond

Institutions shall provide information on external credit ratings on the respective covered bond, as existing on the reporting date.




0090



Credit rating agency 1

If a credit rating of at least one credit rating agency exists as of the reporting date, institutions shall provide the name of one of those credit rating agencies. If credit ratings by more than three credit rating agencies exist as of the reporting date, the three credit rating agencies to whom information is provided shall be selected based on their respective market prevalence.




0100



Credit rating 1

The credit rating issued by the credit rating agency reported in column 0090 on the covered bond as of the reporting reference date
If long- and short-term credit ratings by the same credit rating agency exist, the long-term credit rating shall be reported. The credit rating to be reported shall include any modifiers.




0110, 130



Credit rating agency 2 and credit rating agency 3

As for credit rating agency 1 (column 0090) for further credit rating agencies that have issued credit ratings on the covered bond as of the reporting reference date




0120, 0140



Credit rating 2 and credit rating 3

As for credit rating 1 (column 0100) for further credit ratings issued by credit rating agencies 2 and 3 on the covered bond existing as of the reporting reference date




0150-0250



Cover pool

The cover pool shall consist of all positions, including cover pool derivative positions, from the perspective of the covered bond issuer, with a net positive market value, that are subject to the respective covered bond protective measures.




0150



Reporting date

Amounts of assets in the cover pool, excluding cover pool derivative positions
This amount shall include minimum over-collateralisation requirements plus any additional over-collateralisation in excess of the minimum, to the extent subject to the respective covered bond protective measures.




0160



+ 6 months

The reporting date “+ 6 months” shall be the point in time 6 months after the reporting reference date. Institutions shall report the amounts assuming no change in cover pool compared to the reporting date except for amortisation. In the absence of a fixed payment schedule, for amounts outstanding at future dates expected maturity shall be used in a consistent manner.




0170-0200



+ 12 months – + 10 years

As for “+ 6 months” (column 0160) for the respective point in time from the reporting reference date




0210



Cover pool derivative positions with net positive market value

The net positive market value of cover pool derivative positions which, from the perspective of the covered bond issuer, have a net positive market value
The cover pool derivative positions shall be such net derivative positions that in accordance with the relevant statutory covered bond regime have been included in the cover pool and are subject to the respective covered bond protective measures in that such derivative positions with a positive market value would not form part of the covered bond issuer’s general insolvency estate.
The net positive market value shall be reported for the reporting date only.




0220-0250



Cover pool amounts in excess of minimum coverage requirements

Amounts of cover pool, including cover pool derivative positions with net positive market values, in excess of requirements of minimum coverage (over-collateralisation)




0220



As per the relevant statutory covered bond regime

Amounts of over-collateralisation compared with the minimum coverage required by the relevant statutory covered bond regime




0230-0250



As per credit rating agencies’ methodology to maintain current external credit rating on covered bond

Amounts of over-collateralisation compared with the level that, according to information on the respective credit rating agency’s methodology available to the covered bond issuer, would at a minimum be required to support the existing credit rating issued by the respective credit rating agency




0230



Credit rating agency 1

Amounts of over-collateralisation compared with the level that, according to information on the methodology of credit rating agency 1 (column 0090) available to the covered bond issuer, would at a minimum be required to support credit rating 1 (column 0100).




0240-0250



Credit rating agency 2 and credit rating agency 3

The instructions for credit rating agency 1 (column 0230) shall also apply to credit rating agency 2 (column 0110) and credit rating agency 3 (column 0130).




6.   PART E: ADVANCED DATA
6.1.   General remarks








35.


Part E follows the same structure as in the encumbrance overview templates in Part A with different templates for the encumbrance of the assets of the reporting institution and for the collateral received: AE-ADV1 and AE-ADV2 respectively. Consequently, matching liabilities correspond to the liabilities that are secured by the encumbered assets and no one-to-one relation has to exist.




6.2.   Template: AE-ADV1. Advanced template for assets of the reporting institution
6.2.1.   Instructions concerning specific rows






Rows


Legal references and instructions




0010-0020



Central bank funding (of all types, including repos)

All types of liabilities of the reporting institution in which the counterparty of the transaction is a central bank.
Assets that have been pre-positioned with central banks shall not be treated as encumbered assets unless the central bank does not allow withdrawal of any asset placed without prior approval. For unused financial guarantees, the unused part, i.e., the amount above the minimum required by the central bank, shall be allocated on a pro-rata basis among the assets placed at the central bank.




0030-0040



Exchanged traded derivatives

Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, insofar as those derivatives are listed or traded on a recognised or designated investment exchange and they entail asset encumbrance for that institution.




0050-0060



Over-the counter derivatives

Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, insofar as those derivatives are traded over-the-counter and they entail asset encumbrance for that institution; same instruction in row 030 of the AE-SOU template.




0070-0080



Repurchase agreements

Carrying amount of the repurchase agreements of the reporting institution in which the counterparty of the transaction is not a central bank, insofar as those transactions entail asset encumbrance for that institution.
For tri-party repurchase agreements, the same treatment shall be followed as for the repurchase agreements insofar as those transactions entail asset encumbrance for the reporting institution.




0090-0100



Collateralised deposits other than repurchase agreements

Carrying amount of the collateralised deposits other than repurchase agreements of the reporting institution in which the counterparty of the transaction is not a central bank, insofar as those deposits entail asset encumbrance for that institution.




0110-0120



Covered bonds securities issued

See instructions in row 0100 of the AE-SOU template.




0130-0140



Securitisations issued

See instructions in row 0110 of the AE-SOU template.




0150-0160



Debt securities issued other than covered bonds and securitisations

Carrying amount of the debt securities issued by the reporting institution other than covered bonds and securitisations insofar as those securities issued entail asset encumbrance for that institution
In the event that the reporting institution had retained some of the debt securities issued, either from the issuance date or thereafter as a result of a repurchase, those retained securities shall not be included under this item. Additionally, the collateral assigned to them shall be classified as non-encumbered for the purposes of this template.




0170-0180



Other sources of encumbrance

See instructions in row 0120 of the AE-SOU template.




0190



Total encumbered assets

For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution that are encumbered




0200



of which: central bank eligible

For each type of asset specified in the rows of the AE-ADV1 template, carrying amount of the assets held by the reporting institution that are encumbered and which are eligible for operations with those central banks to which the reporting institution has access.
Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.




0210



Total non-encumbered assets

For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution that are non-encumbered.
The carrying amount shall mean the amount reported in the asset side of the balance sheet.




0220



of which: central bank eligible

For each type of asset specified in the rows of the AE-ADV1 template, carrying amount of the assets held by the reporting institution that are non-encumbered and which are eligible for operations with those central banks to which the reporting institution has access
Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.




0230



Encumbered + non-encumbered assets

For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution.




6.2.2.   Instructions concerning specific columns






Columns


Legal references and instructions




0010



Loans on demand

See instructions for row 0020 of the AE-ASS template.




0020



Equity instruments

See instructions for row 0030 of the AE-ASS template.




0030



Total

See instructions for row 0040 of the AE-ASS template.




0040



of which: covered bonds

See description instructions for row 0050 of the AE-ASS template.




0050



of which: issued by other entities of the group

Covered bonds as described in the instructions for row 0050 of the AE-ASS template that are issued by any entity within the prudential scope of consolidation




0060



of which: securitisations

See instructions for row 0060 of the AE-ASS template.




0070



of which: issued by other entities of the group

Securitisations as described in the instructions for row 0060 of the AE-ASS template that are issued by any entity within the prudential scope of consolidation.




0080



of which: issued by general governments

See instructions for row 0070 of the AE-ASS template.




0090



of which: issued by financial corporations

See instructions for row 0080 of the AE-ASS template.




0100



of which: issued by non-financial corporations

See instructions for row 0090 of the AE-ASS template.




0110



Central banks and general governments

Loans and advances other than loans on demand to a central bank or a general government




0120



Financial corporations

Loans and advances other than loans on demand to financial corporations




0130



Non-financial corporations

Loans and advances other than loans on demand to non-financial corporations




0140



of which: Loans collateralised with immovable property

Loans and advances other than loans on demand guaranteed with a loan collateralised with immovable property given to non-financial corporations




0150



Households

Loans and advances other than loans on demand given to households




0160



of which: Loans collateralised with immovable property

Loans and advances other than loans on demand guaranteed with a loan collateralised with immovable property given to households




0170



Other assets

See instruction for row 120 of the AE-ASS template.




0180



Total

See instruction for row 010 of the AE-ASS template.




6.3.   Template: AE-ADV2. Advanced template for collateral received by the reporting institution
6.3.1.   Instructions concerning specific rows








36.


See section 6.2.1 as instructions are similar for both templates.




6.3.2.   Instructions concerning specific columns






Columns


Legal references and instructions




0010



Loans on demand

See instructions for row 0140 of the AE-COL template.




0020



Equity instruments

See instructions for row 0150 of the AE-COL template.




0030



Total

See instructions for row 0160 of the AE-COL template.




0040



of which: covered bonds

See instructions in row 0170 of the AE-COL template.




0050



of which: issued by other entities of the group

Collateral received by the reporting institution that are covered bonds issued by any entity within the prudential scope of consolidation




0060



of which: securitisations

See instructions for row 0180 of the AE-COL template.




0070



of which: issued by other entities of the group

Collateral received by the reporting institution that are securitisations issued by any entity within the prudential scope of consolidation




0080



of which: issued by general governments

See instructions for row 0190 of the AE-COL template.




0090



of which: issued by financial corporations

See instructions for row 0200 of the AE-COL template.




0100



of which: issued by non-financial corporations

See instructions for row 0210 of the AE-COL template.




0110



Central banks and general governments

Collateral received by the reporting institution that are loans and advances other than loans on demand to a central bank or a general government




0120



Financial corporations

Collateral received by the reporting institution that are loans and advances other than loans on demand to financial corporations




0130



Non-financial corporations

Collateral received by the reporting institution that are loans and advances other than loans on demand to non-financial corporations




0140



of which: Loans collateralised with immovable property

Collateral received by the reporting institution that are loans and advances collateralised with immovable property given to non-financial corporations, excluding loans on demand




0150



Households

Collateral received by the reporting institution that are loans and advances other than loans on demand given to households




0160



of which: Loans collateralised with immovable property

Collateral received by the reporting institution that are loans and advances other than loans on demand guaranteed with a loan collateralised with immovable property given to households




0170



Other assets

See instructions for row 0230 of the AE-COL template.




0180



Own debt securities issued other than own covered bonds or securitisations

See instructions for row 0240 of the AE-COL template.




0190



Total

See instructions for rows 0130 and 0140 of the AE-COL template.’









(1)  Regulation (EU) 2021/379 of the European Central Bank of 22 January 2021 on the balance sheet items of credit institutions and of the monetary financial institutions sector (recast) (ECB/2021/2) (OJ L 73, 3.3.2021, p. 16–85)





ANNEX V




                     ‘ANNEX XVIII








AMM TEMPLATES






Template number




Template code




Name of the template /group of templates





 


 



ADDITIONAL MONITORING TOOLS TEMPLATES





67


C 67.00


CONCENTRATION OF FUNDING BY COUNTERPARTY




68


C 68.00


CONCENTRATION OF FUNDING BY PRODUCT TYPE




69


C 69.00


PRICES FOR VARIOUS LENGTHS OF FUNDING




70


C 70.00


ROLL-OVER OF FUNDING








C 67.00 - CONCENTRATION OF FUNDING BY COUNTERPARTY

Total and significant currencies

















Concentration of funding by counterparty





 



Counterparty Name




Code




Type of code




National code




Counterparty Sector




Residence of Counterparty




Product Type




Amount Received




Weighted average original maturity




Weighted average residual maturity






Row




ID



0010


0015


0016


0017


0030


0040


0050


0060


0070


0080




0010








1.


TOP TEN COUNTERPARTIES EACH GREATER THAN 1 % OF TOTAL LIABILITIES






 


 


 


 


 


 


 


 


 


 




0020


1.01


 


 


 


 


 


 


 


 


 


 




0030


1.02


 


 


 


 


 


 


 


 


 


 




0040


1.03


 


 


 


 


 


 


 


 


 


 




0050


1.04


 


 


 


 


 


 


 


 


 


 




0060


1.05


 


 


 


 


 


 


 


 


 


 




0070


1.06


 


 


 


 


 


 


 


 


 


 




0080


1.07


 


 


 


 


 


 


 


 


 


 




0090


1.08


 


 


 


 


 


 


 


 


 


 




0100


1.09


 


 


 


 


 


 


 


 


 


 




0110


1.10


 


 


 


 


 


 


 


 


 


 




0120








2.


ALL OTHER FUNDING






 


 


 


 


 


 


 


 


 


 








C 68.00 - CONCENTRATION OF FUNDING BY PRODUCT TYPE

Total and significant currencies













Concentration of funding by product type






Row




ID




Product Name




Carrying amount received




Amount covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country




Amount not covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country




Weighted average original maturity




Weighted average residual maturity





 


 


 


0010


0020


0030


0040


0050




0010


1



RETAIL FUNDING



 


 


 


 


 




0020


1.1


of which sight deposits


 


 


 


 


 




0031


1.2


of which term deposits not withdrawable within the following 30 days


 


 


 


 


 




0041


1.3


of which term deposits withdrawable within the following 30 days


 


 


 


 


 




0070


1.4


Savings accounts


 


 


 


 


 




0080


1.4.1


with a notice period for withdrawal greater than 30 days


 


 


 


 


 




0090


1.4.2


without a notice period for withdrawal greater than 30 days


 


 


 


 


 




0100


2



WHOLESALE FUNDING



 


 


 


 


 




0110


2.1


Unsecured wholesale funding


 


 


 


 


 




0120


2.1.1


of which loans and deposits from financial customers


 


 


 


 


 




0130


2.1.2


of which loans and deposits from non financial customers


 


 


 


 


 




0140


2.1.3


of which loans and deposits from intra-group entities


 


 


 


 


 




0150


2.2


Secured wholesale funding


 


 


 


 


 




0160


2.2.1


of which SFTs


 


 


 


 


 




0170


2.2.2


of which covered bond issuance


 


 


 


 


 




0180


2.2.3


of which asset backed security issuance


 


 


 


 


 




0190


2.2.4


of which financial liabilities other than derivatives and short positions from intra-group entities


 


 


 


 


 








C 69.00 - PRICES FOR VARIOUS LENGTHS OF FUNDING

Total and significant currencies

























 



Prices for various lengths of funding






Overnight




1 week




1 month




3 months




6 months




1 year




2 years




5 years




10 years






Spread




Volume




Spread




Volume




Spread




Volume




Spread




Volume




Spread




Volume




Spread




Volume




Spread




Volume




Spread




Volume




Spread




Volume






Row




ID




Item



0010


0020


0030


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130


0140


0150


0160


0170


0180




0010


1



Total Funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0020


1.1


Retail funding


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0030


1.2


Unsecured wholesale funding


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0035


1.2.1


of which: Senior unsecured securities


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0045


1.3


Secured funding (non-Central Bank)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0065


1.3.1


of which: Covered bonds


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0075


1.3.2


of which: Asset backed securities including ABCP


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0080


1.4


Other funding


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








C 70.00 - ROLL-OVER OF FUNDING

Total and significant currencies








































 



Roll-over of funding






Overnight




> 1 day ≤ 7 days




> 7 days ≤ 14 days




> 14 days ≤ 1 month




> 1 Month ≤ 3 Months




> 3 Months ≤ 6 Months




> 6 Months




Total net cashflows




Average Term (days)






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing Funds Term




Roll-over Funds Term




New Funds Term






Row




ID




Day




Item



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


0280


0290


0300


0310


0320




0010


1.1



1




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0020


1.1.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0030


1.1.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0040


1.1.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0050


1.2



2




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0060


1.2.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0070


1.2.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0080


1.2.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0090


1.3



3




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0100


1.3.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0110


1.3.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0120


1.3.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0130


1.4



4




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0140


1.4.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0150


1.4.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0160


1.4.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0170


1.5



5




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0180


1.5.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0190


1.5.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0200


1.5.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0210


1.6



6




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0220


1.6.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0230


1.6.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0240


1.6.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0250


1.7



7




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0260


1.7.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0270


1.7.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0280


1.7.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0290


1.8



8




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0300


1.8.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0310


1.8.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0320


1.8.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0330


1.9



9




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0340


1.9.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0350


1.9.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0360


1.9.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0370


1.10



10




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0380


1.10.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0390


1.10.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0400


1.10.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0410


1.11



11




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0420


1.11.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0430


1.11.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0440


1.11.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0450


1.12



12




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0460


1.12.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0470


1.12.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0480


1.12.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0490


1.13



13




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0500


1.13.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0510


1.13.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0520


1.13.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0530


1.14



14




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0540


1.14.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0550


1.14.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0560


1.14.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0570


1.15



15




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0580


1.15.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0590


1.15.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0600


1.15.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0610


1.16



16




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0620


1.16.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0630


1.16.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0640


1.16.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0650


1.17



17




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0660


1.17.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0670


1.17.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0680


1.17.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0690


1.18



18




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0700


1.18.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0710


1.18.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0720


1.18.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0730


1.19



19




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0740


1.19.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0750


1.19.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0760


1.19.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0770


1.20



20




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0780


1.20.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0790


1.20.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0800


1.20.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0810


1.21



21




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0820


1.21.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0830


1.21.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0840


1.21.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0850


1.22



22




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0860


1.22.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0870


1.22.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0880


1.22.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0890


1.23



23




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0900


1.23.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0910


1.23.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0920


1.23.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0930


1.24



24




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0940


1.24.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0950


1.24.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0960


1.24.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0970


1.25



25




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0980


1.25.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0990


1.25.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1000


1.25.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1010


1.26



26




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1020


1.26.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1030


1.26.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1040


1.26.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1050


1.27



27




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1060


1.27.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1070


1.27.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1080


1.27.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1090


1.28



28




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1100


1.28.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1110


1.28.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1120


1.28.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1130


1.29



29




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1140


1.29.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1150


1.29.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1160


1.29.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1170


1.30



30




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1180


1.30.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1190


1.30.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1200


1.30.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1210


1.31



31




Total funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1220


1.31.1



Retail funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1230


1.31.2



Unsecured wholesale funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1240


1.31.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


’












ANNEX VI




                     ‘ANNEX XIX

INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII

1.   Additional Monitoring Tools
1.1.   General








1.


[empty]












2.


Total funding shall be all financial liabilities other than derivatives and short positions;












3.


Funding of any type 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 point 12 of Annex XXIII. This means that in case of optionality such as in the case of point 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 point 12 of Annex XXIII.












6.


For the purposes of calculating the original or residual weighted average maturity, deposits maturing overnight or funding of any type with open maturity 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 point12 of Annex XXIII, a fixed 20 years original and residual maturity shall be assumed.












9.


For calculating the percentage threshold referred to in templates C 67.00 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 as defined in Article 4(1), point (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 rows 020 to 110 of Section 1 of the template. The counterparty reported in item 1.01 shall be the largest amount of funding received from one counterparty or group of connected clients, which is above the 1 % threshold as at the reporting date. Item 1.02 shall be the second largest above the 1 % threshold, and similarly with the remaining items.












3.


Where a counterparty belongs to several groups of connected clients, it shall be reported only once in the group with the highest amount of funding.












4.


Institutions shall report the total of all other remaining funding in Section 2












5.


The sum of Section 1 (Top ten Counterparties) and Section 2 (All other funding) shall equal an institution’s total funding as per its balance sheet reported under the financial reporting framework (FINREP - representing financial liabilities adjusted for the exclusion of derivatives and short positions, in line with point2 from Section 1.1) for those reporting periods in which both reports are available (e.g. Finrep Q1 and C 67.00 March/Q1).












6.


For each counterparty, institutions shall report all of the columns 0010 to 0080.












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




0010



Counterparty Name

The name of each counterparty from which funding obtained exceeds 1 % of total liabilities shall be recorded in column 0010 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.
In the cases where the group of connected clients does not have a parent, the counterparty that shall be reported shall be the individual entity, which is considered by the institution as the most significant within the group of connected clients. In any other case, it shall correspond to the individual counterparty.




0015



Code

This code is a row identifier and shall be unique for each counterparty. For institutions and insurance undertakings the code shall be the legal entity identifier (LEI) code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.




0016



Type of code

The institutions shall identify the type of code reported in column 0015 as a “LEI code” or “Non-LEI code”.
The type of code shall always be reported.




0017



National code

Institutions may additionally report the national code when they report LEI code as identifier as in the “Code” column.




0030



Counterparty Sector

One sector shall be allocated to each counterparty on the basis of following [FINREP] economic sector classes (part 1, Annex V to this Implementing Regulation):
(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.




0040



Residence of Counterparty

ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used, including pseudo-ISO codes for international organisations, available in the most recent edition of the Eurostat’s “Balance of Payments Vademecum”.
For groups of connected clients, no country shall be reported.




0050



Product Type

Counterparties reported in column 0010 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), point (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 575/2013 or Article 52(4) of Directive 2009/65/EC)










 



ABS (funding obtained from asset backed security issuance including asset backed commercial paper)










 



CBM (Central bank funding related to monetary policy operations)










 



IGUWF (unsecured wholesale funding obtained from intragroup counterparties)










 



IGSWF (secured wholesale funding obtained from intragroup counterparties)










 



OSWF (other secured wholesale funding)










 



OFP (other funding products, e.g. retail funding)








0060



Amount Received

The total amount of funding received from counterparties reported in column 0010 shall be recorded in column 0060 and institutions shall report carrying amounts therein.




0070



Weighted average original maturity

For the amount of funding received reported in column 0060, from the counterparty reported in column 0010, a weighted average original maturity (in days) for that funding shall be recorded in column 0070.
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.
For perpetual liabilities institutions shall consider a fixed 20 years maturity and a 1 day maturity for on-demand deposits.




0080



Weighted average residual maturity

For the amount of funding received reported in column 0060, from the counterparty reported in column 0010, a weighted average residual maturity, in days, for that funding shall be recorded in column 0080.
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.
For perpetual liabilities institutions shall consider a fixed 20 years maturity and a 1 day maturity for on-demand deposits.








1.3.   Concentration of funding by product type (C 68.00)








1.


This template collects 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




0010


1.   Retail funding

Retail deposits as defined in Article 411, point (2), of Regulation (EU) No 575/2013, and retail bonds as referred to in Article 28(6), of Commission Delegated Regulation (EU) 2015/61.




0020








1.1



of which sight deposits;
Of the retail funding of row 0010 those that are sight deposits.








0031








1.2



of which term deposits not withdrawable within the following 30 days;
Of the retail funding of row 0010 those that are term deposits not withdrawable within the following 30 days.








0041








1.3



of which term deposits withdrawable within the following 30 days;
Of the retail funding of row 0010 those that are term deposits withdrawable within the following 30 days.








0070








1.4


Savings accounts
Of the retail funding of row 0010 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.








0080








1.4.1


with a notice period for withdrawal greater than 30 days;
Of the retail funding of row 0010 those that are savings accounts with a notice period for withdrawal greater than 30 days








0090








1.4.2


without a notice period for withdrawal which is greater than 30 days
Of the retail funding of row 0010 those that are savings accounts without a notice period for withdrawal which is greater than 30 days.








0100


2.   Wholesale funding

All counterparties other than those of retail deposits as defined in Article 411, point (2), of Regulation (EU) No 575/2013.
This row shall not be reported.




0110








2.1



Unsecured wholesale funding;
All counterparties other than those of retail deposits as defined in Article 411, point (2), of Regulation (EU) No 575/2013, where the funding is unsecured.








0120








2.1.1


of which loans and deposits from financial customers;
Of the funding in row 0110, those that consist of loans and deposits from financial customers.
Funding from central banks shall be excluded from this row.








0130








2.1.2


of which loans and deposits from non-financial customers;
Of the funding in row 0110, those that consist of loans and deposits from non-financial customers.
Funding from central banks shall be excluded from this row.








0140








2.1.3


of which loans and deposits from intra-group entities;
Of the funding in row 0110, those that consist of loans and deposits from intra-group entities, 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 22(7) of Directive 2013/34/EU.
Wholesale funding from intra-group entities shall only be reported on a solo or subconsolidated basis.








0150








2.2



Secured wholesale funding;
All counterparties other than those of retail deposits as defined in Article 411, point (2), of Regulation (EU) No 575/2013, where the funding is secured.








0160








2.2.1



of which Securities Financing Transactions;
Of the funding in row 0150, that which is funding obtained from repurchase agreements as defined in Article 4(1), point (82), of Regulation (EU) No 575/2013.








0170








2.2.2



of which covered bond issuances;
Of the funding in row 0150, that which is funding obtained from covered bond issuance as defined in Article 129(4) or (5) of Regulation (EU) No 575/2013, or referred to in Article 52(4) of Directive 2009/65/EC.








0180








2.2.3



of which asset backed security issuances;
Of the funding in row 0150, that which is funding obtained from asset backed security issuance including asset backed commercial paper.








0190








2.2.4


of which financial liabilities other than derivatives and short positions from intra-group entities.
Of the funding in row 0150, that which is funding obtained from intra-group entities, 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 22(7) of Directive 2013/34/EU.
Wholesale funding from intra-group entities shall only be reported on a solo or subconsolidated basis.




















3.


For each product type, institutions shall report all of the columns 0010 to 0050.












4.


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.












5.


Equity shall not be reported in this template.












6.


Instructions concerning specific columns:






Column


Legal references and instructions




0010



Carrying amount received

Carrying amount of funding received for each of the product types listed in the “Product name” column shall be reported in column 0010 of the template




0020



Amount covered by a Deposit Guarantee Scheme in accordance with Directive 2014/ 49/ EU or an equivalent deposit guarantee scheme in a third country

Of the total amount of funding received for each of the product types listed in the “Product name” column reported in column 0010, the amount which is covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country.
Note: the amounts reported in column 0020 and column 0030, for each of the product categories listed in the “Product name” column, shall be equal to the total amount received reported in column 0010.




0030



Amount not covered by a Deposit Guarantee Scheme in accordance with Directive 2014/ 49/ EU or an equivalent deposit guarantee scheme in a third country

Of the total amount of funding received for each of the product types listed in the “Product name” column reported in column 0010, the amount which is not covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country.
Note: the amounts reported in column 0020 and column 0030, for each of the product types listed in the “Product name” column, shall be equal to the total amount received reported in column 0010.




0040



Weighted average original maturity

For the amount of funding received reported in column 0010, from the product types listed in the “Product name” column, a weighted average original maturity (in days) for that funding shall be recorded in column 0040.
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.




0050



Weighted average residual maturity

For the amount of funding received reported in column 0010, from the product types listed in the “Product name” column, a weighted average residual maturity (in days) for that funding shall be recorded in column 0050.
The weighted average residual maturity shall be calculated as the average maturity (in days) left on the funding received for that product type. The average shall be size weighted, based on the size of different amounts of funding received in proportion, to the total funding received from all issuances of that product type.








1.4.   Prices for Various Lengths of Funding (C 69.00)








1.


Institutions shall report the information about the transaction volume and prices paid by institutions for funding obtained during the reporting period and still present at the end of the reporting period in template C 69.00 in accordance with the following original maturities:






(a)


overnight in columns 0010 and 0020;










(b)


greater than overnight and less than or equal to 1 week in columns 0030 and 0040;










(c)


greater than 1 week and less than or equal to 1 month in columns 0050 and 0060;










(d)


greater than 1 month and less than or equal to 3 months in columns 0070 and 0080;










(e)


greater than 3 months and less than or equal to 6 months in columns 0090 and 0100;










(f)


greater than 6 months and less than or equal to 1 year in columns 0110 and 0120;










(g)


greater than 1 year and less than or equal to 2 years in columns 0130 and 0140;










(h)


greater than 2 years and less than or equal to 5 years in columns 0150 and 0160;










(i)


greater than 5 years and less than or equal to 10 years in columns 0170 and 0180.




In case of currency revaluations, no new funding is obtained in the original currency and the reporting institution has not paid anything beyond the original price at the initial deposit of the funds. Thus, a positive increment caused by the currency revaluation is not reported in this template.
Funding sources with original maturity above 10 years shall not be reported.












2.


For the purposes of determining the maturity of the funding obtained, institutions shall ignore the period between trade date and settlement date, e.g. a three-month liability settling in two weeks’ time shall be reported in the 3 months maturity (columns 0070 and 0080).












3.


The spread reported in the left hand column of each time bucket shall be one of the following:












4.


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;












5.


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 three month benchmark index for the appropriate currency (e.g. such as 3M euribor for EUR), no later than close of business on the day of the transaction.












6.


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.












7.


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.












8.


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.












9.


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.












10.


In the column “volume”, institutions shall provide the amounts representing the carrying amount of the new funding obtained in the applicable time bucket in accordance with original maturity.












11.


As for all items, also for off-balance sheet commitments, institutions shall only report the related amounts reflected in the balance sheet. An off-balance sheet commitment provided to the institution shall only be reported in C 69.00 after a drawdown. In the case of a drawdown, the volume and spread to be reported shall be the amount drawn and applicable spread at the end of the reporting period. Where the drawdown cannot be rolled-over at the discretion of the institution, the actual maturity of the drawdown shall be reported. Where the institution has already drawn on the facility at the end of the previous reporting period, and where the institution subsequently increases the usage of the facility, only the additional amount drawn shall be reported.












12.


Deposits placed by retail customers shall consist of deposits as defined in Article 411, point (2), of Regulation (EU) No 575/2013.












13.


For funding that has rolled over during the reporting period that is still outstanding at the end of the reporting period the average of spreads applying at that time (i.e. end of reporting period) shall be reported. For the purposes of C 69.00, funding that rolled over and is still there at the end of the reporting period shall be considered to represent new funding.












14.


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.












15.


Where there is nothing to report, cells relating to spreads shall be left empty.












16.


Equity shall not be reported in this template.












17.


Instructions concerning specific rows:






Row


Legal references and instructions




0010


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 0010 and 0020;










(b)


greater than overnight and less than or equal to 1 week in columns 0030 and 0040;










(c)


greater than 1 week and less than or equal to 1 month in columns 0050 and 0060;










(d)


greater than 1 month and less than or equal to 3 months in columns 0070 and 0080;










(e)


greater than 3 months and less than or equal to 6 months in columns 0090 and 0100;










(f)


greater than 6 months and less than or equal to 1 year in columns 0110 and 0120;










(g)


greater than 1 year and less than or equal to 2 years in columns 0130 and 0140;










(h)


greater than 2 years and less than or equal to 5 years in columns 0150 and 0160;










(i)


greater than 5 years and less than or equal to 10 years in columns 0170 and 0180.








0020


1.1   Retail funding

Of the total funding reported in item 1, the total volume and weighted average spread of retail funding obtained.




0030


1.2   Unsecured wholesale funding

Of the total funding in item 1, the total volume and weighted average spread of unsecured wholesale funding obtained.




0035


1.2.1   of which: Senior unsecured securities

Of the unsecured wholesale funding reported in item 1.2, the total volume and weighted average spread rate of senior unsecured securities obtained.




0045


1.3   Secured funding (non-Central Bank)

Of the total funding reported in item 1, the total volume and weighted average spread of secured funding obtained from a counterparty, which is not a Central Bank.




0065


1.3.1   of which: Covered bonds

Of the secured funding reported in item 1.3, the total volume and weighted average spread of all covered bond issuance encumbering the institutions own assets.




0075


1.3.2   of which: Asset backed securities including ABCP

Of the secured funding reported in item 1.3, the total volume and weighted average spread of asset backed securities issued including asset backed commercial paper.




0080


1.4   Other funding

Of the total funding reported in item 1, the total volume and weighted average spread of funding not included in items 1.1 to 1.3, including secured funding from Central Banks.








1.5.   Roll-over of funding (C 70.00)








1.


This template collects information about the volume of funds maturing and new funding obtained i.e. “roll-over of funding” on a daily basis over the month preceding the reporting date.












2.


Institutions shall report, in calendar days, the funding they have maturing in accordance with the following time buckets in accordance with the original maturity:






(a)


overnight in columns 0010 to 0040;










(b)


between 1 and 7 days in columns 0050 to 0080;










(c)


between 7 and 14 days in columns 0090 to 0120;










(d)


between 14 and 1 month in columns 0130 to 0160;










(e)


between 1 and 3 months in columns 0170 to 0200;










(f)


between 3 and 6 months in columns 0210 to 0240;










(g)


in more than 6 months in columns 0250 to 0280.
















3.


For each time bucket described in point2, 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 0040, 0080, 0120, 0160, 0200, 0240 and 0280.












5.


The average term of funding, in days, for maturing term funds shall be reported in column 0300.












6.


The average term of funding, in days, of funds rolled over shall be reported in column 0310












7.


The average term of funding, in days, for new term funds shall be reported in column 0320.












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 points 2 and 3 that remains with the institution on the relevant day of the reporting period. It shall always be reported with a positive sign. Where the maturity of the funding has changed due to the roll-over event, the “roll-over” amount shall be reported in a time bucket in accordance with the new maturity.












10.


The “New funds” amount shall comprise actual inflows of funding on the relevant day in the reporting period. It shall always be reported with a positive sign.












11.


The “Net” amount shall be considered as a change of funding within a particular original maturity time band on the relevant day of the reporting period, and shall be calculated by adding in the “net” column the new funds plus the roll over funds minus the maturing funds.












12.


Instructions concerning specific columns:






Column


Legal references and instructions




0010 to 0040



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 0010 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 0020 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 0030 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 0040 of line item 1.1-1.31.




0050 to 0080



> 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 0050 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 0060 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 0070 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 0080 of line item 1.1-1.31.




0090 to 0120



> 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 0090 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 0100 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 0110 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 0120 of line item 1.1-1.31.




0130 to 0160



> 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 0130 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 0140 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 0150 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 0160 of line item 1.1-1.31.




0170 to 0200



> 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 0170 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 0180 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 0190 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 0200 of line item 1.1-1.31.




0210 to 0240



> 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 0210 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 0220 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 0230 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 0240 of line item 1.1-1.31.




0250 to 0280



> 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 0250 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 0260 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 0270 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 0280 of line item 1.1-1.31.




0290



Total net cash flows

The total net cash flows equal to the sum of all “Net” columns numbered 0040, 0080, 0120, 0160, 0200, 0240, 0280, shall be reported in column 0290.




0300 to 0320



Average Term (days)

The weighted average term, in days, of all funds maturing shall be reported in column 0300. The weighted average term, in days, of all funds rolled over shall be reported in column 0310, the weighted average term, in days, of all new funds shall be reported in column 0320’.
















ANNEX VII




                     ‘ANNEX XX

REPORTING ON COUNTERBALANCING CAPACITY









AMM TEMPLATES






Template number




Template code




Name of the template /group of templates





 


 



CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATES





71


C 71.00


CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER








C 71.00 - CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER

Total and significant currencies
















Concentration of counterbalancing capacity by issuer





 



Issuer




LEI code




Issuer Sector




Residence of Issuer




Product Type




Currency




Credit quality step




MtM value/nominal




Collateral value CB-eligible






Row




ID



0010


0020


0030


0040


0050


0060


0070


0080


0090




0010








1.


TOP TEN ISSUERS






 


 


 


 


 


 


 


 


 




0020


1.01


 


 


 


 


 


 


 


 


 




0030


1.02


 


 


 


 


 


 


 


 


 




0040


1.03


 


 


 


 


 


 


 


 


 




0050


1.04


 


 


 


 


 


 


 


 


 




0060


1.05


 


 


 


 


 


 


 


 


 




0070


1.06


 


 


 


 


 


 


 


 


 




0080


1.07


 


 


 


 


 


 


 


 


 




0090


1.08


 


 


 


 


 


 


 


 


 




0100


1.09


 


 


 


 


 


 


 


 


 




0110


1.10


 


 


 


 


 


 


 


 


 




0120








2.


ALL OTHER ITEMS USED AS COUNTERBALANCING CAPACITY






 


 


 


 


 


 


 


 


’












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 0120, 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




0010



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 0010 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.




0020



LEI code

The legal entity identifier code of the counterparty.




0030



Issuer Sector

One sector shall be allocated to each issuer or counterparty on the basis of following financial reporting ([FINREP]) economic sector classes (part 1 Annex V to this Implementing Regulation):
(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.




0040



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.




0050



Product Type

Issuers/Counterparties recorded in column 0010 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)








0060



Currency

Issuer or counterparties recorded in column 0010 shall be assigned a currency ISO code in column 0060 corresponding to the denomination of the asset received or undrawn committed liquidity lines granted to the institution. The three-letter currency unit code in accordance with ISO 4217 shall be reported.
Where a multicurrency line is part of a concentration in counterbalancing capacity, the line shall be counted in the currency that is the predominant one in the rest of the concentration. With regard to the separate reporting in significant currencies as specified under Article 415(2) of Regulation (EU) No 575/2013, institutions shall make an assessment of the currency in which the flow is likely to occur and shall report the item only in that significant currency, in line with the instructions for the separate reporting of significant currencies in the liquidity coverage requirements (LCR), in accordance with Regulation (EU) 2021/451.




0070



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.




0080



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.




0090



Collateral value CB-eligible

The collateral value in accordance with the central bank rules for standing facilities for the specific assets.
For assets denominated in a currency included in Commission Implementing Regulation (EU) 2015/233 (*1) as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank’.













(*1)  Commission Implementing Regulation (EU) 2015/233 of 13 February 2015 laying down implementing technical standards with regard to currencies in which there is an extremely narrow definition of central bank eligibility pursuant to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 39, 14.2.2015, p. 11).





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





0010


0020


0025


0030


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130


0140


0150


0160


0170


0180


0190


0200


0210


0220





0010-0380




1




OUTFLOWS




Initial stock



 



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






Overnight




of which: Open Maturity items





0010



1.1




Liabilities resulting from securities issued (if not treated as retail deposits)



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0011


1.1.0.1


of which: Intragroup or IPS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0020


1.1.1


unsecured bonds due


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0030


1.1.2


regulated covered bonds


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0040


1.1.3


securitisations due


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0050


1.1.4


other


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0065



1.2




Liabilities resulting from secured lending and capital market driven transactions collateralised by (Counterparty is non-Central Bank):



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0066


1.2.0.1


of which: Intragroup or IPS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0075


1.2.1


Level 1 tradable assets


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0085


1.2.1.1


Level 1 excluding covered bonds


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0095


1.2.1.1.1


Level 1 central bank


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0105


1.2.1.1.2


Level 1 (CQS 1)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0115


1.2.1.1.3


Level 1 (CQS2, CQS3)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0125


1.2.1.1.4


Level 1 (CQS4+)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0135


1.2.1.2


Level 1 covered bonds (CQS1)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0145


1.2.2


Level 2A tradable assets


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0155


1.2.2.1


Level 2A corporate bonds (CQS1)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0165


1.2.2.2


Level 2A covered bonds (CQS1, CQS2)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0175


1.2.2.3


Level 2A public sector (CQS1, CQS2)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0185


1.2.3


Level 2B tradable assets


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0195


1.2.3.1


Level 2B Asset Backed Securities (ABS) (CQS1)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0205


1.2.3.2


Level 2B covered bonds (CQS1-6)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0215


1.2.3.3


Level 2B: corporate bonds (CQ1-3)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0225


1.2.3.4


Level 2B shares


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0235


1.2.3.5


Level 2B public sector (CQS 3-5)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0245


1.2.4


other tradable assets


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0251


1.2.5


other assets


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0252



1.2a




Liabilities resulting from secured lending and capital market driven transactions collateralised by (Counterparty is Central Bank):



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0253


1.2a.1


Level 1 tradable assets


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0254


1.2a.2


Level 2A tradable assets


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0255


1.2a.3


Level 2B tradable assets


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0256


1.2a.4


other tradable assets


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0257


1.2a.5


other assets


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0260



1.3




Liabilities not reported in 1.2, resulting from deposits received (excluding deposits received as collateral)



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0261


1.3.0.1


of which: Intragroup or IPS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0270


1.3.1


stable retail deposits


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0280


1.3.2


other retail deposits


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0290


1.3.3


operational deposits


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0300


1.3.4


non-operational deposits from credit institutions


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0310


1.3.5


non-operational deposits from other financial customers


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0320


1.3.6


non-operational deposits from central banks


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0330


1.3.7


non-operational deposits from non-financial corporates


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0340


1.3.8


non-operational deposits from other counterparties


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0350



1.4




FX-swaps maturing



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0360



1.5




Derivatives amount payables other than those reported in 1.4



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0370



1.6




Other outflows



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0380



1.7




Total outflows



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 





0390-0720




2




INFLOWS




Initial stock



 



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






Overnight




of which: Open Maturity items





0390



2.1




Monies due from secured lending and capital market driven transactions collateralised by:



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0391


2.1.0.1


of which: Intragroup or IPS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0400


2.1.1


Level 1 tradable assets


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0410


2.1.1.1


Level 1 excluding covered bonds


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0420


2.1.1.1.1


Level 1 central bank


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0430


2.1.1.1.2


Level 1 (CQS 1)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0440


2.1.1.1.3


Level 1 (CQS2, CQS3)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0450


2.1.1.1.4


Level 1 (CQS4+)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0460


2.1.1.2


Level 1 covered bonds (CQS1)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0470


2.1.2


Level 2A tradable assets


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0480


2.1.2.1


Level 2A corporate bonds (CQS1)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0490


2.1.2.2


Level 2A covered bonds (CQS1, CQS2)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0500


2.1.2.3


Level 2A public sector (CQS1, CQS2)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0510


2.1.3


Level 2B tradable assets


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0520


2.1.3.1


Level 2B ABS (CQS1)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0530


2.1.3.2


Level 2B covered bonds (CQS1-6)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0540


2.1.3.3


Level 2B: corporate bonds (CQ1-3)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0550


2.1.3.4


Level 2B shares


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0560


2.1.3.5


Level 2B public sector (CQS 3-5)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0570


2.1.4


other tradable assets


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0580


2.1.5


other assets


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0590



2.2




Monies due not reported in 2.1 resulting from loans and advances granted to:



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0600


2.2.1


retail customers


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0610


2.2.2


non-financial corporates


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0620


2.2.3


credit institutions


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0621


2.2.3.1


of which: Intragroup or IPS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0630


2.2.4


other financial customers


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0640


2.2.5


central banks


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0650


2.2.6


other counterparties


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0660



2.3




FX-swaps maturing



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0670



2.4




Derivatives amount receivables other than those reported in 2.3



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0680



2.5




Paper in own portfolio maturing



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0690



2.6




Other inflows



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0691


2.6.1


of which: Intragroup or IPS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0700



2.7




Total inflows



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0710



2.8




Net contractual gap



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0720



2.9




Cumulated net contractual gap



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 





0730-1080




3




COUNTERBALANCING CAPACITY




Initial stock



 



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






Overnight




of which: Open Maturity items





0730



3.1




coins and bank notes



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0740



3.2




Withdrawable central bank reserves



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0750



3.3




Level 1 tradable assets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0760


3.3.1


Level 1 excluding covered bonds


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0770


3.3.1.1


Level 1 central bank


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0780


3.3.1.2


Level 1 (CQS 1)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0790


3.3.1.3


Level 1 (CQS2, CQS3)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0800


3.3.1.4


Level 1 (CQS4+)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0810


3.3.2


Level 1 covered bonds (CQS1)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0820



3.4




Level 2A tradable assets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0830


3.4.1


Level 2A corporate bonds (CQS1)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0840


3.4.3


Level 2A covered bonds (CQS 1, CQS2)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0850


3.4.4


Level 2A public sector (CQS1, CQS2)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0860



3.5




Level 2B tradable assets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0870


3.5.1


Level 2B ABS (CQS1)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0880


3.5.2


Level 2B covered bonds (CQS1-6)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0890


3.5.3


Level 2B corporate bonds (CQ1-3)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0900


3.5.4


Level 2B shares


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0910


3.5.5


Level 2B public sector (CQS 3-5)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0920



3.6




other tradable assets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0930


3.6.1


central government (CQS1)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0940


3.6.2


central government (CQS 2 & 3)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0950


3.6.3


shares


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0960


3.6.4


covered bonds


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0970


3.6.5


ABS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0980


3.6.7


other tradable assets


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0990



3.7




non tradable assets eligible for central banks



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0991



3.7a




own issuances 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



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 





1090-1140




4




CONTINGENCIES




Initial stock



 



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






Overnight




of which: Open Maturity items





1090



4.1




Outflows from committed facilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1091


4.1.0.1


of which: Intragroup or IPS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




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


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1131



4.1a




Outflows from uncommitted funding facilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1140



4.2




Outflows due to downgrade triggers



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 





1150-1290




MEMORANDUM ITEMS




Initial stock



 



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






Overnight




of which: Open Maturity items





1230



13




HQLA central bank eligible - Tradable assets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1241



14




Assets reported in 3.6 that are 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

668









PART II: INSTRUCTIONS CONCERNING SPECIFIC ROWS

670




PART I: GENERAL INSTRUCTIONS









1.


In order to capture the maturity mismatch of an institution’s activities (“maturity ladder”) in the template of Annex XXII, institutions shall apply the instructions contained in this Annex.












2.


The maturity ladder monitoring tool shall cover contractual flows and contingent outflows. The contractual flows resulting from legally binding agreements and the residual maturity from the reporting date shall be reported in accordance with the provisions of those legal agreements.












3.


Institutions shall not double count inflows.












4.


In the column “initial stock”, the stock of items at the reporting date shall be reported.












5.


Only the blank white cells of the template in Annex XXII shall be completed.












6.


The section of the maturity ladder template entitled “Outflows and inflows” shall cover future contractual cash flows from all on- and off- balance sheet items. Only outflows and inflows pursuant to contracts valid at the reporting date shall be reported. Interest outflows and inflows from all on and off balance sheet instruments other than guarantees shall be included in all relevant items of the “outflows” and “inflows” sections, in the corresponding time bucket where they fall due. Payments and receipts of interest that fall due after 5 years from the reporting reference date shall be excluded from the maturity ladder.












7.


The section of the maturity ladder template entitled “Counterbalancing capacity” shall represent the stock of unencumbered assets or other funding sources which are legally and practically available to the institution at the reporting date to cover potential contractual gaps. Only outflows and inflows pursuant to contracts existing at the reporting date shall be reported.












8.


Cash outflows and inflows in the respective sections “outflows” and “inflows” shall be reported on a gross basis with a positive sign. Amounts due to be paid and received shall be reported respectively in the outflow and inflow sections.












9.


For the section of the maturity ladder template entitled “counterbalancing capacity” outflows and inflows shall be reported on a net basis with a positive sign if they represent inflows and with a negative sign if they represent outflows. For cash flows, amounts due shall be reported. Securities flows shall be reported at current market value. Flows arising on credit and liquidity lines shall be reported at the contractual available amounts.












10.


Contractual flows shall be allocated across the twenty-two time buckets in accordance with their residual maturity, with days referring to calendar days.












11.


All contractual flows shall be reported, including all cash-flows from non-financial activities such as taxes, bonuses, dividends and rents. Cash-flows from non-financial activities shall be reported in the corresponding time bucket where they fall due. These cash flows shall be excluded from the maturity ladder where they fall due after 5 years from the reporting reference date.












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)


deposits maturing overnight, including sight deposits and non-maturing deposits, shall be reported as overnight in column 0020. In addition, those transactions with no contractually specified maturity shall be reported in column 0025;










(d)


open repos or reverse repos and similar transactions which can be terminated by either party on any day shall be considered to mature overnight unless the notice period is longer than one day in which case they shall be reported in the relevant time bucket in accordance with the notice period;










(e)


retail term deposits with an early withdrawal option shall be considered to mature in the time period during which the early withdrawal of the deposit would not incur a penalty in accordance with point (b) of Article 25(4) of Delegated Regulation (EU) 2015/61.










(f)


where the institution is not able to establish a minimum contractual payment schedule for a particular item or part thereof following the rules set out in this paragraph, it shall report the item or part thereof as greater than 5 years in column 0220.
















13.


[empty]












14.


Foreign Exchange (“FX”) swaps maturing shall reflect the maturing notional value of cross-currency swaps, FX forward transactions and unsettled FX spot agreements in the applicable time buckets of the template.












15.


Cash flows from unsettled transactions shall be reported, in the short period before settlement, in the appropriate rows and buckets.












16.


Items where the institution has no underlying business, such as where it has no deposits of a certain category, shall be left blank.












17.


Past due items and items for which the institution has a reason to expect non- performance shall not be reported.












18.


Where the collateral received is re-hypothecated in a transaction that matures beyond the transaction in which the institution received the collateral, a securities outflow in the amount of the fair value of the collateral received shall be reported in the counterbalancing capacity section in the relevant bucket in accordance with the maturity of the transaction that generated the reception of the collateral.












19.


Where according to Article 16 of the Delegated Regulation (EU) 2015/61 the sight deposits that the reporting credit institution maintains with the central institution are treated as liquid assets, the sight deposits should be treated as a contractual interbank inflow in the maturity ladder.












20.


Intragroup items shall not affect the reporting on a consolidated basis.












21.


The non-withdrawable part of the central bank reserves shall not be reported anywhere in the template.





PART II: INSTRUCTIONS CONCERNING SPECIFIC ROWS







Row


Legal references and instructions





0010 to
0380



1 OUTFLOWS

The total amount of cash outflows shall be reported in the following sub- categories below:




0010


1.1 Liabilities resulting from securities issued (if not treated as retail deposits)

Cash outflows arising from debt securities issued by the reporting institution
i.e. own issuances.




0011


1.1.0.1 of which: Intragroup or IPS

The amount of outflows in 1.1 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 22(7) of Directive 2013/34/EU 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).




0020


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.




0030


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 Article 52(4) of Directive 2009/65/EC.




0040


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 point (61) of Article 4(1) of Regulation (EU) No 575/2013.




0050


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.




0065


1.2 Liabilities resulting from secured lending and capital market driven transactions, collateralised by (Counterparty is non-Central Bank):

Total amount of all cash outflows arising from secured lending and capital market driven transactions where the counterparty is not a Central Bank, 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.




0066


1.2.0.1 of which: Intragroup or IPS

The amount of outflows in 1.2 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 22(7) of Directive 2013/34/EU 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).




0075


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 Delegated Regulation (EU) 2015/61 if they were not securing the particular transaction.
CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets.




0085


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.




0095


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.




0105


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.




0115


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.




0125


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.




0135


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 point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61 only CQS 1 covered bonds are eligible as Level 1 assets.




0145


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 Delegated Regulation (EU) 2015/61 if they were not securing the particular transaction.
CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets.




0155


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.




0165


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.




0175


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 points (a) and (b) of Article 11(1) of Delegated Regulation (EU) 2015/61 all public sector assets eligible as Level 2A must be either credit quality step 1 or credit quality step 2.




0185


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 Delegated Regulation (EU) 2015/61 if they were not securing the particular transaction.
CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets.




0195


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 point (a) of Article 13(2) of Delegated Regulation (EU) 2015/61 all asset backed securities qualifying as Level 2B shall be required to have credit quality step 1.




0205


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.




0215


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.




0225


1.2.3.4 Level 2B shares

The amount of cash outflows reported in item 1.2.3 which is collateralised by shares.




0235


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.




0245


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.




0251


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.




0252


1.2a Liabilities resulting from secured lending and capital market driven transactions, collateralised by (Counterparty is Central Bank):

Total amount of all cash outflows arising from secured lending and capital market driven transactions where the counterparty is a Central Bank, 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.




0253


1.2a.1 Level 1 tradable assets

The amount of cash outflows reported in item 1.X which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 10 of Delegated Regulation (EU) 2015/61 if they were not securing the particular transaction.
CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets.




0254


1.2a.2 Level 2A tradable assets

The amount of cash outflows reported in item 1.X which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 11 of Delegated Regulation (EU) 2015/61 if they were not securing the particular transaction.
CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets.




0255


1.2a.3 Level 2B tradable assets

The amount of cash outflows reported in item 1.X which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 12 or 13 of Delegated Regulation (EU) 2015/61 if they were not securing the particular transaction.
CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets.




0256


1.2a.4 other tradable assets

The amount of cash outflows reported in item 1.2a which is collateralised by tradable assets not reported in items 1.2a.1, 1.2a.2 or 1.2a.3.




0257


1.2a.5 other assets

The amount of cash outflows reported in item 1.X which is collateralised by assets not reported in items 1.2a.1, 1.2a.2. 1.2a.3 or 1.2a.4.




0260


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 in accordance with their earliest possible contractual maturity date. Deposits that can be withdrawn immediately without notice (“sight deposits”) or non-maturing deposits shall be reported in the “overnight” bucket.




0261


1.3.0.1 of which: Intragroup or IPS

The amount of outflows in 1.3 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 22(7) of Directive 2013/34/EU 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).




0270


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 411(2) of Regulation (EU) No 575/2013 and Article 24 of Delegated Regulation (EU) 2015/61.




0280


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 411(2) of Regulation (EU) No 575/2013 other than those reported in item 1.3.1.




0290


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 Delegated Regulation (EU) 2015/61.




0300


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.




0310


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 411(1) of Regulation (EU) No 575/2013other than those reported in item 1.3.3 and 1.3.4.




0320


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.




0330


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.




0340


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.




0350


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.




0360


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. The exclusion shall not apply to the following:






(a)


Assets eligible for CBC that have already been received or provided in the context of collateralised derivatives at the reporting reference date (i.e. in the “stock” column of section 3 of the maturity ladder if non-encumbered and available for encumbrance).










(b)


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. These 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










(c)


Derivatives with physical settlement (e.g. a physically settled gold forward) where these derivatives are fully or adequately collateralised. For these derivatives, in addition to point (a) and (b) above, also the settlement flow at final settlement (normally around maturity) shall be reported. The expected cash flow shall be included in the appropriate time bucket in line 1.5 “derivatives cash-outflows” in case of a cash outflow, and line 2.4 “derivatives cash- inflows” in case of a cash inflow. If the physically settled asset will qualify as CBC in section 3, this flow shall be included in the appropriate time bucket and appropriate row in this section. It shall be a negative amount in case of an outflow and positive in case of an inflow;














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.








In accordance with the above:
Regarding derivatives under point 1, the return of collateral that was already received or paid shall not be reported in the maturity ladder.
Regarding derivatives under point 2, the return of collateral that was already received or paid shall be reported in section 3 of the maturity ladder. The return of collateral already received (paid) shall be reflected as a negative (positive) mutation in the time bucket corresponding to the maturity of the derivative. A positive mutation shall only be recognised if it would qualify as counterbalancing capacity on return. If the return of collateral already received (paid) represents cash collateral the return of collateral shall be reported in row 1.6 other outflows (row 2.6 other inflows) in the appropriate time bucket
For the purposes of this row, a situation in which collateral exchanged with a counterparty does not fully equal the value changes in the derivative, shall still be treated as adequately collateralised if the discrepancy does not exceed the minimum transfer amount.




0370


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.




0380


1.7 Total outflows

The sum of outflows reported in items 1.1, 1.2, 1.3, 1.4, 1.5 and 1.6.





0390 to 0700



2 INFLOWS





0390


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.




0391


2.1.0.1 of which: Intragroup or IPS

The amount of inflows in 2.1 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 22(7) of Directive 2013/34/EU 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).




0400


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 Delegated Regulation (EU) 2015/61.
CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets.




0410


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.




0420


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.




0430


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.




0440


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.




0450


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.




0460


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 point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61 only CQS 1 covered bonds are eligible as Level 1 assets.




0470


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 Delegated Regulation (EU) 2015/61.
CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets.




0480


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.




0490


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.




0500


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 points (a) and (b) of Article 11(1) of Delegated Regulation (EU) 2015/61 all public sector assets eligible as Level 2A shall be either credit quality step 1 or credit quality step 2.




0510


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 Delegated Regulation (EU) 2015/61.
CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets.




0520


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.




0530


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.




0540


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.




0550


2.1.3.4 Level 2B shares

The amount of cash inflows reported in item 2.1.3 which is collateralised by shares.




0560


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.




0570


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.




0580


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.




0590


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.




0600


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 411(2) of Regulation (EU) No 575/2013.




0610


2.2.2 non-financial corporates

The amount of cash inflows reported in item 2.2, which derives from non- financial corporates.




0620


2.2.3 credit institutions

The amount of cash inflows reported in item 2.2, which derives from credit institutions.




0621


2.2.3.1 of which: Intragroup or IPS

The amount of inflows in 2.2.3 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 22(7) of Directive 2013/34/EU 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).




0630


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 411(1) of Regulation (EU) No 575/2013 other than those reported in item 2.2.3.




0640


2.2.5 central banks

The amount of cash inflows reported in item 2.2, which derives from central banks. This item shall not include withdrawable cash reserves as reported in item 3.2.




0650


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.




0660


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.




0670


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. The exclusion shall not apply to the following:






(a)


Assets eligible for CBC that have already been received or provided in the context of collateralised derivatives at the reporting reference date (i.e. in the “stock” column of section 3 of the maturity ladder if non-encumbered and available for encumbrance).










(b)


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. These 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










(c)


Derivatives with physical settlement (e.g. a physically settled gold forward) where these derivatives are fully or adequately collateralised. For these derivatives, in addition to point (a) and (b) above, also the settlement flow at final settlement (normally around maturity) shall be reported. The expected cash flow shall be included in the appropriate time bucket in line 1.5 “derivatives cash-outflows” in case of a cash outflow, and line 2.4 “derivatives cash- inflows” in case of a cash inflow. If the physically settled asset will qualify as CBC in section 3, this flow shall be included in the appropriate time bucket and appropriate row in this section. It shall be a negative amount in case of an outflow and positive in case of an inflow;














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 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 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.








In accordance with the above:
Regarding derivatives under point 1, the return of collateral that was already received or paid shall not be reported in the maturity ladder.
Regarding derivatives under point 2, the return of collateral that was already received or paid shall be reported in section 3 of the maturity ladder. The return of collateral already received (paid) shall be reflected as a negative (positive) mutation in the time bucket corresponding to the maturity of the derivative. A positive mutation shall only be recognised if it would qualify as counterbalancing capacity on return. If the return of collateral already received (paid) represents cash collateral the return of collateral shall be reported in row 1.6 other outflows (row 2.6 other inflows) in the appropriate time bucket
For the purposes of this row, a situation in which collateral exchanged with a counterparty does not fully equal the value changes in the derivative, shall still be treated as adequately collateralised if the discrepancy does not exceed the minimum transfer amount.




0680


2.5 Paper in own portfolio maturing

The amount of inflows from own investments due taken in bonds, reported in accordance with their residual contractual maturity. This item shall include cash inflows from maturing securities reported in the counterbalancing capacity. Therefore, once a security matures, it shall be reported as securities outflow in the counterbalancing capacity and consequently as a cash inflow here.




0690


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.




0691


2.6.1 of which: Intragroup or IPS

The amount of inflows in 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 22(7) of Directive 2013/34/EU 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).




0700


2.7 Total inflows

Sum of inflows reported in items 2.1, 2.2, 2.3, 2.4, 2.5 and 2.6.




0710


2.8 Net contractual gap

Total Inflows reported in item 2.7 less total outflows reported in item 1.7.




0720


2.9 Cumulated net contractual gap

Cumulated net contractual gap from the reporting date to the upper limit of a relevant time bucket.





0730–1080



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 0010.
Columns 0020 to 0220 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.
Assets eligible for CBC that have already been received or provided in the context of derivatives at the reporting reference date (i.e. in the “stock” column of section 3 of the maturity ladder if non-encumbered and available for encumbrance).
Regarding derivatives that are fully or adequately collateralised, the return of collateral that was already received or paid shall not be reported in the maturity ladder.
Regarding derivatives that are partially collateralised, the return of collateral that was already received or paid shall be reported in section 3 of the maturity ladder. The return of collateral already received (paid) shall be reflected as a negative (positive) mutation in the time bucket corresponding to the maturity of the derivative. A positive mutation shall only be recognised if it would qualify as counterbalancing capacity on return.
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.
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:




0730


3.1 Coins and bank notes

Total amount of cash arising from coins and banknotes.




0740


3.2 Withdrawable central bank reserves

Total amount of reserves at central banks in accordance with point (b)(iii) of Article 10(1) of Delegated Regulation (EU) 2015/61 withdrawable overnight at the latest.
Securities representing claims on or guaranteed by central banks shall not be reported here.
This amount shall only be reported in the initial stock column and shall not be reported as an Inflow from Central Banks in item 2.2.5.




0750


3.3 Level 1 tradable assets

The market value of tradable assets in accordance with Articles 7, 8 and 10 of Delegated Regulation (EU) 2015/61.
CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets.




0760


3.3.1 Level 1 excluding covered bonds

The amount reported in item 3.3 which is not covered bonds.




0770


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.




0780


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.




0790


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.




0800


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.




0810


3.3.2 Level 1 covered bonds (CQS1)

The amount reported in item 3.3 which is covered bonds. Note that in accordance with point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61 only CQS 1 covered bonds are eligible as Level 1 assets.




0820


3.4 Level 2A tradable assets

The market value of tradable assets in accordance with Articles 7, 8 and 11 of Delegated Regulation (EU) 2015/61.
CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets.




0830


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.




0840


3.4.3 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.




0850


3.4.4 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 points (a) and (b) of Article 11(1) of Delegated Regulation (EU) 2015/61 all public sector assets eligible as Level 2A must be either credit quality step 1 or credit quality step 2.




0860


3.5 Level 2B tradable assets

The market value of tradable assets in accordance with Articles 7, 8 and 12 or 13 of Delegated Regulation (EU) 2015/61.
CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets.




0870


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 point (a) of Article 13(2) of Delegated Regulation (EU) 2015/61 all asset backed securities qualifying as Level 2B have credit quality step 1.




0880


3.5.2 Level 2B covered bonds (CQS 1-6)

The amount reported in item 3.5 which is covered bonds.




0890


3.5.3 Level 2B corporate bonds (CQS 1-3)

The amount reported in item 3.5 which is corporate debt securities.




0900


3.5.4 Level 2B shares

The amount reported in item 3.5 which is shares.




0910


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.




0920


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 assets 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.




0930


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.




0940


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.




0950


3.6.3 shares

The amount reported in item 3.6 which is shares.




0960


3.6.4 covered bonds

The amount reported in item 3.6 which is covered bonds.




0970


3.6.5 ABS

The amount reported in item 3.6 which is ABS.




0980


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 and 3.7a.




0990


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 non-tradable assets in the form of intragroup assets 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.




0991


3.7a own issuances eligible for central banks

Secured debt instruments issued by the institution that are central bank eligible and retained on the institution’s balance sheet and to which the institution has direct access at its level of consolidation.




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 point (b) of Article 19(1) of Delegated Regulation (EU) 2015/61.




1020


3.8.2 Level 2B restricted use facilities

The amount reported in item 3.8 which are facilities in accordance with Article 14 of Delegated 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 Delegated 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 22(7) of Directive 2013/34/EU 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.




1091


4.1.0.1 of which: Intragroup or IPS

The amount of contingencies in 4.1 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 22(7) of Directive 2013/34/EU 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).




1100


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 Delegated 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 Delegated 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 Delegated Regulation (EU) 2015/61.




1131


4.1a Outflows from uncommitted funding facilities

Uncommitted credit and liquidity facilities in accordance with Article 23(1)(a), (b), (d) and (e) of Delegated Regulation (EU) 2015/61. Institutions shall report as an outflow the maximum amount that can be drawn in a given time period, reported in the bucket corresponding to their earliest availability. Guarantees shall not be reported in this row.




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 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




MEMORANDUM ITEMS





1230


13 HQLA central bank eligible – Tradable assets

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.




1241


14 Assets reported in 3.6 that are non-HQLA central bank eligible

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.
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 in accordance with 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 in accordance with 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 in accordance with 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





ANNEX XI




                     ‘ANNEX XXVI

SUPPLEMENTARY REPORTING FOR THE PURPOSE OF IDENTIFYING AND ASSIGNING G-SII BUFFER RATES










TEMPLATES






Template number




Template code




Name of the template /group of templates




Short name





 


 



G-SII INDICATORS AND EBU ITEMS



 




1


G 01.00


G-SII INDICATORS AND EBU ITEMS


GSII








G 01.00 - G-SII indicators and EBU items









Rows




Item




Amount





 



G-SII indicators





0010



Total exposures, including insurance subsidiaries



 




0020



Intra-financial system assets, including insurance subsidiaries



 




0030



Intra-financial system liabilities, including insurance subsidiaries



 




0040



Securities outstanding, including securities issued by insurance subsidiaries



 




0050



Payments activity



 




0060



Assets under custody



 




0070



Underwriting activity



 




0081



Trading volume - fixed income



 




0085



Trading volume - equities and other securities



 




0090



Notional amount of OTC derivatives, including insurance subsidiaries



 




0100



Trading and AFS securities



 




0110



Level 3 assets, including insurance subsidiaries



 




0120



Cross-jurisdictional claims



 




0130



Cross-jurisdictional liabilities



 




 



Items considering the European Banking Union as a single jurisdiction





0140



Total foreign claims on an ultimate risk basis



 




0150



Foreign derivatives claims on an ultimate risk basis



 




0160



Foreign liabilities on an immediate risk basis, including derivatives’


 












ANNEX XII




                     ‘ANNEX XXVII

REPORTING INSTRUCTIONS FOR THE PURPOSE OF IDENTIFYING G-SIIs AND ASSIGNING G-SII BUFFER RATES


Table of Contents







PART I: GENERAL INSTRUCTIONS

691










1.

STRUCTURE AND CONVENTIONS
691










1.1.

STRUCTURE
691










1.2.

NUMBERING CONVENTION
691










1.3.

SIGN CONVENTION
691









PART II: TEMPLATE RELATED INSTRUCTIONS

692










1.

GENERAL REMARKS
692










2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
692




PART I: GENERAL INSTRUCTIONS

1.   Structure and conventions
1.1.   Structure








1.


This reporting requirements aiming to support the identification of globally systemically important institutions (G-SIIs) and assigning corresponding G-SII buffer rates consist of one template capturing information on indicators of global systemic importance and particular items needed for the application of the Union’s methodology for identifying G-SIIs and assigning corresponding G-SII buffer rates.




1.2.   Numbering convention








2.


The document follows the labelling convention set in points 3 to 5, when referring to the columns, rows and cells of the templates. Those numerical codes are extensively used in the validation rules.












3.


The following general notation is followed in the instructions: {Template; Row; Column}.












4.


Where references are made inside a template, and therefore only data points of that template are used, the notation does not include a template: {Row; Column}. Where templates have only one column, only rows are referred to {Template; Row}.












5.


An asterisk sign is used to express that the reference captures the rows or columns specified before.




1.3.   Sign convention








6.


Any amount that increases the value of the indicator, the assets, liabilities or exposures shall be reported as a positive figure. Any amount that reduces the the value of the indicator, the assets, liabilities or exposures shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure is expected to be reported for that item.





PART II: TEMPLATE RELATED INSTRUCTIONS

1.   General remarks








8.


The template is divided into two sections. The upper section on G-SII indicators includes the indicators for identifying globally systemically important institutions as defined in the methodology developed by the Basel Committee on Banking Supervision. The lower section contains a number of items needed to calculate the relevant indicators in accordance with the methodology defined on the basis of Article 131(18) of Directive 2013/36/EU (1).












9.


Where relevant, the information provided in this template shall be consistent with the information provided to relevant authorities for the purposes of the collection of the indicator values by relevant authorities as set out in Article 3(2) of Commission Delegated Regulation (EU) No 1222/2014 (2).




2.   Instructions concerning specific positions






Row


Legal references and instructions




0010 – 0130



G-SII indicators

The definition of the indicators shall be the same as the definition applied for the purposes of determining the information listed in the Annex to Commission Delegated Regulation (EU) No 1222/2014.
In case of changes to the definitions in that methodolgy, those amended definitions in the methodology applicable for determing the indicators values as of the end of the financial year (“year-end methodology”) shall be used for the purposes of reporting information as of the end of the first, second and third quarter of that same financial year. Where the template of Annex XXVI is subject to amendments in the course of the financial year in question, the year-end methodology shall be applied from the first applicable reference dates after the entry into force of the amending Regulation.
Indicators that are flow measures shall be reported on a cumulative basis since the beginning of the calendar or financial year, as applicable.




0010



Total exposures, including insurance subsidiaries





0020



Intra-financial system assets, including insurance subsidiaries





0030



Intra-financial system liabilities, including insurance subsidiaries





0040



Securities outstanding, including securities issued by insurance subsidiaries





0050



Payments activity





0060



Assets under custody





0070



Underwriting activity





0081



Trading volume – fixed income





0085



Trading volume – equities and other securities





0090



Notional amount of OTC derivatives, including insurance subsidiaries





0100



Trading and AFS securities





0110



Level 3 assets, including insurance subsidiaries





0120



Cross-jurisdictional claims





0130



Cross-jurisdictional liabilities





0140 – 0160



Items considering the European Banking Union as a single jurisdiction

For the purposes of determining the items specified below and in the absence of specifications in the instructions below, the definitions and concepts applied shall be aligned, to the extent possible, with the definitions and concepts defined in the Guidelines for reporting the BIS international banking statistics.
By derogation from that, the reporting entities’ activities across participating Member States as referred to in Article 4 of Regulation (EU) No 806/2014 of the European Parliament and of the Council (3) shall be excluded, i.e. the Participating Member States shall be considered as one single jurisdiction.




0140



Total foreign claims on an ultimate risk basis

Total foreign claims shall be the sum of cross-border claims and local claims of foreign affiliates in local or foreign currency. Claims from positions in derivative contracts shall be excluded. “Claims”, “cross-border claims”, “local claims of foreign affiliates in foreign and local currency” shall have the same meaning as defined in the Guidelines for reporting the BIS international banking statistics.
“On an ultimate risk basis” shall mean that, for the purposes of determining whether a claim is a cross-border or local claim, the position is allocated to a third party that has contracted to assume the debts or obligations of the primary counterparty if that party fails to perform, where such a third party exists. This allocation shall be made in accordance with the provisions on risk transfers provided in the Guidelines for reporting the BIS international banking statistics.




0150



Foreign derivatives claims on an ultimate risk basis

The positive fair value of all derivative claims that are cross-border claims, or local claims of foreign affiliates in local or foreign currency.
Derivatives include forwards, swaps, and options related to foreign exchange, interest rate, equity, commodity, and credit instruments. This includes purchased credit derivatives that hedge or offset credit protection sold or are held for trading purposes.
In case of such purchased credit derivatives, the value shall not be capped at the value of the immediate claim it was purchased to guarantee.
The positive fair values of derivative contracts may be offset against negative fair values only if the positions were executed with the same counterparty under a legally enforceable netting agreement. Only netting sets with a positive value shall be included in this item.
The derivative claims shall be reported gross of any cash collateral.
For the purposes of reporting information on an ultimate risk basis, the following shall apply:






a)


When the final risk lies with the counterparty, a derivative is considered foreign if the counterparty is not in the reporting entities’ home jurisdiction.










b)


When the final risk lies with the guarantor, a derivative is considered foreign if the guarantor is not in the reporting entities’ home jurisdiction.








0160



Foreign liabilities on an immediate risk basis, including derivatives

Foreign liabilities, including derivatives, shall be the sum of foreign liabilities and foreign liabilities arising from derivatives. Securities liabilities that are tradable financial assets issued by the reporting institution shall be excluded from this item.
The definition of derivatives shall be the same as applied for row 0150.
The negative fair values of derivative contracts may be offset against positive fair values only if the positions were executed with the same counterparty under a legally enforceable netting agreement. Derivatives liabilities shall be reported gross of any collateral (cash and non-cash).
“On an immediate risk basis” shall mean that, for the purposes of determining whether a claim is a cross-border or local claim, the position is allocated to the direct counterparty of the contract.’









(1)  Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176 27.6.2013, p. 338).

(2)  Commission Delegated Regulation (EU) No 1222/2014 of 8 October 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards for the specification of the methodology for the identification of global systemically important institutions and for the definition of subcategories of global systemically important institutions (OJ L 330, 15.11.2014, p. 27).

(3)  Regulation (EU) No 806/2014 of the European Parliament and of the Council of 15 July 2014 establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund and amending Regulation (EU) No 1093/2010 (OJ L 225, 30.7.2014, p. 1).