Commission Implementing Regulation (EU) No 680/2014Dangos y teitl llawn

ANNEX XI Table 1: rows 1 - 29

	Legal references and instructions
Row and column	Exposure Values
{010; *}	SFTs exposure according to CRR 220 Article 429(9) of the CRR The exposure for repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions calculated in accordance with Article 220 (1) to (3). Institutions shall not consider in this field transactions for which the leverage ratio exposure value is determined in accordance with the method defined in Article 222 of CRR. Institutions shall not include in this field cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include those items in {100, 1}, {100, 2} and {100, 3}.
{020; *}	SFTs exposure according to CRR 222 Article 429(9) of the CRR The exposure value for repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions calculated in accordance with Article 222. Institutions shall not consider in this field transactions for which the leverage ratio exposure value is determined in accordance with the method defined in Article 220 of CRR. Institutions shall not include in this field cash received or any security or commodity that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include those items in {100, 1}, {100, 2} and {100, 3}.
{030; *}	Derivatives: Market value Articles 274, 295, 296, 297, 298 and 429 of the CRR. The current replacement cost as specified in Article 274(1) of contracts listed in Annex II of the CRR and credit derivatives. As determined by Article 429(6) of the CRR, institutions shall take into account the effects of contracts for novation and other netting agreements, except contractual cross-product netting agreements, in accordance with Article 295 of the CRR. Institutions shall consider all credit derivatives, not solely those in the trading book. Institutions shall not include in this field contracts measured by application of the Original Exposure Method in accordance with Articles 429(7) and 275 of the CRR.
{040; *}	Derivatives: Add-on Mark-to-Market Method Articles 274, 295, 296, 297, 298, 299(2), 429 of the CRR This field provides the add-on for the potential future exposure of contracts listed in Annex II of the CRR and of credit derivatives calculated in accordance with the Mark-to-market Method (Article 274 of the CRR for contracts listed in Annex II of the CRR and Article 299(2) of the CRR for credit derivatives) and applying netting rules according to Article 429(6) of the CRR. In determining the exposure value of those contracts, institutions shall take into account the effects of contracts for novation and other netting agreements, except contractual cross-product netting agreements, in accordance with Article 295 of the CRR. In accordance with Article 429(8) of the CRR, when determining the potential future credit exposure of credit derivatives, institutions shall apply the principles laid down in Article 299(2) of the CRR to all their credit derivatives, not just those assigned to the trading book. Institutions shall not include in this field contracts measured by application of the Original Exposure Method in accordance with Articles 429(7) and 275 of the CRR.
{050; *}	Derivatives: Original Exposure Method Article 429(7) of the CRR This field provides the exposure measure of derivatives calculated according to the Original Exposure Method set out in Article 275 of the CRR. Institutions that do not use the Original Exposure Method shall not report this field. Institutions shall not consider in this field contracts measured by application of the Mark-to-market method in accordance with Articles 429(6) and 274 of the CRR.
{060; *}	Undrawn credit facilities which may be cancelled unconditionally at any time without notice Article 429(10)(a) of the CRR The exposure value, in accordance with 429(10)(a) of the CRR, of undrawn credit facilities, which may be cancelled unconditionally at any time without notice, referred to in the points 4(a) and (b)of Annex I of the CRR (as a reminder the exposure value here shall be 10 % of the nominal value). Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR.
{070; *}	Medium/ low risk trade related off-balance sheet items Article 429(10)(b) of the CRR The exposure value, in accordance with 429(10)(b) of the CRR, of medium/low risk trade related off-balance-sheet items referred to in point 3(a) of Annex I of the CRR and to officially supported export finance related off balance sheet items referred to in point 3(b)(i) of Annex I of the CRR (as a reminder the exposure value here shall be 20 % of the nominal value). Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR.
{080; *}	Medium risk trade related off-balance sheet items and officially supported export finance related off-balance sheet items Article 429(10)(c) of the CRR The exposure value, in accordance with 429(10)(c) of the CRR, of medium risk trade related off-balance sheet items referred to in points 2(a) and 2(b)(i) of Annex I of the CRR and to officially supported export finance related off balance sheet items referred to in point 2(b)(ii) of Annex I of the CRR (as a reminder the exposure value here shall be 50 % of the nominal value). Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR.
{090; *}	Other off-balance sheet items Article 429(10)(d) of the CRR The exposure value, in accordance with 429(10)(d) of the CRR, of all other off-balance sheet items listed in Annex I of the CRR not reported in rows 60 to 80, (as a reminder the exposure value here shall be 100 % of the nominal value). Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR.
{100; *}	Other assets Article 429 of the CRR All assets other than contracts listed in Annex II of the CRR, credit derivatives, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions. Institutions shall base valuation on the principles set out in Article 429 (5) of the CRR. Institutions shall include in this field cash received or any security that is provided to a counterparty via repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions and that is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met).
Row and column	Capital and regulatory adjustments
{110; *}	Tier 1 capital — fully phased-in definition Articles 429 (3) and 499 (1) of the CRR This is the amount of Tier 1 capital as calculated according to article 25 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.
{120; *}	Tier 1 capital — transitional definition Articles 429 (3) and 499 (1) of the CRR This is the amount of Tier 1 capital as calculated according to article 25 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.
{130; *}	Amount to be added due to CRR 429 (4), 2nd subparagraph Article 429 (4), subparagraph 2, of the CRR The exposure value of significant investments in financial sector entities determined in accordance with Article 429 (4), subparagraph 2, of the CRR. The exposure value reported shall be reduced by the total amount of all direct, indirect and synthetic holdings of the institution of the Common Equity Tier 1 instruments of the financial sector entities that is not deducted pursuant to Article 47 and point (b) of Article 48(1) of the CRR. Institutions shall not take into account the derogations laid down in Chapter 1 and 2 of Part Ten of the CRR.
{140; *}	Amount to be added due to CRR 429 (4), 2nd subparagraph — transitional definition Article 429 (4), subparagraph 2, of the CRR The exposure value of significant investments in financial sector entities determined in accordance with Article 429 (4), subparagraph 2. The exposure value reported shall be reduced by the total amount of all direct, indirect and synthetic holdings of the institution of the Common Equity Tier 1 instruments of the financial sector entities that is not deducted pursuant to Article 47 and point (b) of Article 48(1) of the CRR. Institutions shall take into account the derogations laid down in Chapter 1 and 2 of Part Ten of the CRR.
{150; *}	Regulatory adjustments — Tier 1 — fully phased-in definition Article 429 (4), subparagraph 1, of the CRR It includes all the adjustments required by Articles 32 to 35, the deductions pursuant to Articles 36 to 47, as well as the deductions pursuant to Articles 56 to 60, taking into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in rows 010, 020, 030 and 100. Adjustments that increase the own funds will be reported as a positive figure. On the contrary, any amount that reduces the total own funds will be reported as a negative figure.
{160; *}	Regulatory adjustments regarding own credit risk Article 33 (1)(b) of the CRR The amount of regulatory value adjustments from own funds pursuant to CRR article 33 (1)(b) Amount to be deducted from (or added to if it corresponds to a loss) Common Equity Tier 1 capital. If gain report as negative; if loss report as positive value.
{170; *}	Regulatory adjustments — Tier 1 — transitional definition Article 429 (4), subparagraph 1, and Article 499 (1)(b) of the CRR It includes all the adjustments required by Articles 32 to 35, the deductions pursuant to Articles 36 to 47, as well as the deductions pursuant to Articles 56 to 60, taking into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79, in addition to taking into account the derogations laid down in Chapter 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in rows 010, 020, 030 and 100. Adjustments that increase the own funds will be reported as a positive figure. On the contrary, any amount that reduces the total own funds will be reported as a negative figure.
Row and column	Leverage Ratio
{180; 1}	Leverage Ratio — using a fully phased-in definition of Tier 1 — Month 1 Articles 429 (2) and 499 (1) of the CRR This is the leverage ratio as calculated under paragraph 6 of Part II of this Annex. When the derogation specified in Article 499 (3) of the CRR applies, institutions do not need to populate this field.
{180; 2}	Leverage Ratio — using a fully phased-in definition of Tier 1 — Month 2 Articles 429 (2) and 499 (1) of the CRR This is the leverage ratio as calculated under paragraph 7 of Part II of this Annex. When the derogation specified in Article 499 (3) of the CRR applies, institutions do not need to populate this field.
{180; 3}	Leverage Ratio — using a fully phased-in definition of Tier 1 — Month 3 Articles 429 (2) and 499 (1) of the CRR This is the leverage ratio as calculated under paragraph 8 of Part II of this Annex.
{180; 4}	Leverage Ratio — using a fully phased-in definition of Tier 1 — Simple arithmetic mean of the monthly leverage ratio over a quarter Articles 429 (2) and 499 (1) of the CRR This is the leverage ratio as calculated under paragraph 5 of Part II of this Annex. When the derogation specified in Article 499 (3) of the CRR applies, institutions do not need to populate this field.
{190; 1}	Leverage Ratio — using a transitional definition of Tier 1 — Month 1 Articles 429 (2) and 499 (1) of the CRR This is the leverage ratio as calculated under paragraph 10 of Part II of this Annex. When the derogation specified in Article 499 (3) of the CRR applies, institutions do not need to populate this field.
{190; 2}	Leverage Ratio — using a transitional definition of Tier 1 — Month 2 Articles 429 (2) and 499 (1) of the CRR This is the leverage ratio as calculated under paragraph 11 of Part II of this Annex. When the derogation specified in Article 499 (3) of the CRR applies, institutions do not need to populate this field.
{190; 3}	Leverage Ratio — using a transitional definition of Tier 1 — Month 3 Articles 429 (2) and 499 (1) of the CRR This is the leverage ratio as calculated under paragraph 12 of Part II of this Annex.
{190; 4}	Leverage Ratio — using a transitional definition of Tier 1 — Simple arithmetic mean of the monthly leverage ratio over a quarter Articles 429 (2) and 499 (1) of the CRR This is the leverage ratio as calculated under paragraph 9 of Part II of this Annex. When the derogation specified in Article 499 (3) of the CRR applies, institutions do not need to populate this field.