- Y Diweddaraf sydd Ar Gael (Diwygiedig)
- Pwynt Penodol mewn Amser (01/12/2016)
- Gwreiddiol (Fel y’i mabwysiadwyd gan yr UE)
Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance)
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CHAPTER 2 REPORTING REFERENCE AND REMITTANCE DATES AND REPORTING THRESHOLDS
SECTION 1 Format and frequency of reporting on own funds and own funds requirements
Article 5.Format and frequency of reporting on own funds and on own funds requirements for institutions on an individual basis, except for investment firms subject to article 95 and 96 of Regulation (EU) No 575/2013
Article 6.Format and frequency of reporting on own funds and own funds requirements on a consolidated basis, except for groups which only consist of investment firms subject to articles 95 and 96 of Regulation (EU) No 575/2013
Article 7.Format and frequency of reporting on own funds and own funds requirements for investment firms subject to Articles 95 and 96 Regulation (EU) No 575/2013 on an individual basis
Article 8.Format and frequency of reporting on own funds and own funds requirements for groups which only consist of investment firms subject to Article 95 and 96 Regulation (EU) No 575/2013 on a consolidated basis
SECTION 2 Format and frequency of reporting on financial information on a consolidated basis
Article 9.Format and frequency of reporting on financial information for institutions subject to Article 4 of Regulation (EC) No 1606/2002 and other credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis
Article 10.Format and frequency of reporting on financial information for credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis, by virtue of Article 99(3) Regulation (EU) No 575/2013
Article 11.Format and frequency of reporting on financial information for institutions applying national accounting frameworks developed under Directive 86/635/EEC on a consolidated basis
CHAPTER 8 IT SOLUTIONS FOR THE SUBMISSION OF DATA FROM INSTITUTIONS TO COMPETENT AUTHORITIES
REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
PART II: TEMPLATE RELATED INSTRUCTIONS
1. CAPITAL ADEQUACY OVERVIEW (CA)
10. CA templates contain information about Pillar 1 numerators (own funds,...
11. The templates shall apply to all reporting entities, irrespective of...
12. The total own funds consist of different types of capital:...
13. Transitional provisions are treated as follows in CA templates:
14. The treatment of Pillar II requirements can be different within...
1.6.2. C 05.01 — Transitional provisions (CA5.1)
20. Institutions shall report in Table 5.1 the transitional provisions to...
21. Institutions shall report in rows 020 to 060 information in...
22. Institutions shall report in rows 070 to 092 information in...
23. In rows 100 onwards institutions shall report information in relation...
24. There might be cases where the transitional deductions of CET1,...
1.6.3. C 05.02 — Grandfathered instruments: instruments not constituing state aid...
2. GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
2.3. INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY...
30. The objective of the third part of this template (information...
31. The third part also includes the amounts of minority interests,...
33. The principle is to delete the cross-exposures within the same...
34. The institutions shall define the most appropriate breakdown method between...
35. It is possible for one consolidated group to be included...
36. An institution shall report data of the contribution of an...
2.4. C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL...
2.5. C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
37. There are different sets of templates for the Standardised approach...
3.1.1. Reporting of CRM techniques with substitution effect
38. Article 235 of CRR describes the computation procedure of the...
39. Article 236 of CRR describes the computation procedure of exposure...
41. Reporting of exposures to obligors (immediate counterparties) and protection providers...
42. The exposure type does not change because of unfunded credit...
43. If an exposure is secured by an unfunded credit protection,...
44. The substitution effect in the COREP reporting framework shall reflect...
3.2. C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE...
3.2.2. Scope of the CR SA template
47. According to Article 112 of CRR each SA exposure shall...
49. However the following positions are not within the scope of...
51. The scope of the template are all exposures for which...
52. In addition CR SA includes memorandum items in rows 290...
53. These memorandum items shall only be reported for the following...
54. The reporting of the memorandum items affect neither the calculation...
55. The memorandum rows provide additional information about the obligor structure...
56. E.g. if an exposure, the risk exposure amounts of which...
3.2.3. Assignment of exposures to exposure classes under the Standardised Approach...
57. In order to ensure a consistent categorisation of exposures into...
58. The following criteria apply for the classification of the Original...
59. For the purpose of classifying the original exposure pre conversion...
60. Article 112 of CRR does not provide criteria for disjoining...
61. For a homogeneous and comparable reporting it is necessary to...
62. An exposure class shall be given priority to others in...
63. With this background the assessment ranking in the decision tree...
3.2.4. Clarifications on the scope of some specific exposure classes referred...
3.3. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH...
3.4. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH...
78. Institutions fulfilling the threshold set in Article 5 (a) (4)...
80. Data regarding ‘ original exposure pre conversion factors ’ shall...
3.4.1. C 09.01 – Geographical breakdown of exposures by residence of...
3.4.2. C 09.02 – Geographical breakdown of exposures by residence of...
3.4.3. C 09.04 – Breakdown of credit exposures relevant for the...
3.5. C 10.01 AND C 10.02 – EQUITY EXPOSURES UNDER THE...
85. The CR EQU IRB template consists of two templates: CR...
86. The CR EQU IRB template provides information on the calculation...
87. According to Article 147(6) of CRR, the following exposures shall...
88. Collective investment undertakings treated according to the simple risk weight...
89. In accordance with Article 151(1) of CRR, institutions shall provide...
90. The following equity claims shall not be reported in the...
3.5.2. Instructions concerning specific positions (applicable to both CR EQU IRB...
3.6. C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)
92. This template requests information on both trading and non-trading book...
93. Institutions report in the CR SETT template information on the...
94. According to Article 378 of CRR, repurchase transactions, securities or...
95. In the case of unsettled transactions after the due delivery...
96. Institutions multiply this difference by the appropriate factor of Table...
97. According to Article 92(4) Point (b), the own funds requirements...
98. Note that own funds requirements for free deliveries as laid...
3.7. C 12.00 – CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO...
3.8. C 13.00 — CREDIT RISK – SECURITISATIONS: INTERNAL RATINGS BASED...
3.9. C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)
4.1. C 16.00 – OPERATIONAL RISK (OPR)
113. This template provides information on the calculation of own funds...
114. Institutions using the BIA, TSA and/or ASA shall calculate their...
115. If an institution can justify its competent authority that –...
116. By columns, this template presents information, for the three most...
117. By rows, information is presented by method of calculation of...
118. This template shall be submitted by all institutions subject to...
4.2. C 17.00 – OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS...
119. This template summarises the information on the gross losses and...
121. ‘ Recovery ’ means an independent occurrence related to the...
122. ‘ Rapidly recovered loss events ’ means operational risk events...
124. The Number of events is the number of operational risk...
126. The Number of events shall conventionally include also the events...
127. The Maximum single loss is the largest single amount among...
130. The figures reported in June of the respective year are...
131. The information is presented by distributing the losses and recoveries...
132. Columns present the different event types and the totals for...
133. Rows present the business lines, and within each business line,...
135. Where the algebraic sum of the elements of the total...
136. This template shall be reported by institutions using AMA or...
137. In order to verify the conditions envisaged by Article 5...
138. Institutions subject to Article 5(b)(2)(b) of this Regulation may only...
139. These instructions refer to the templates reporting of the calculation...
140. The position risk on a traded debt instrument or equity...
5.1. C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS...
5.2. C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK...
5.3. C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK...
5.4. C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK...
5.5. C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE...
5.6. C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR...
REPORTING FINANCIAL INFORMATION ACCORDING TO IFRS
1. Balance Sheet Statement [Statement of Financial Position]
4. Breakdown of financial assets by instrument and by counterparty sector...
6. Breakdown of loans and advances to non-financial corporations by NACE...
7. Financial assets subject to impairment that are past due or...
9. Loan commitments, financial guarantees and other commitments
12. Movements in allowances for credit losses and impairment of equity...
14. Fair value hierachy: financial instruments at fair value
15. Derecognition and financial liabilities associated with transferred financial assets
16. Breakdown of selected statement of profit or loss items
16.1. Interest income and expenses by instrument and counterparty sector
16.2. Gains or losses on derecognition of financial assets and liabilities...
16.3. Gains or losses on financial assets and liabilities held for...
16.4. Gains or losses on financial assets and liabilities held for...
16.5. Gains or losses on financial assets and liabilities designated at...
17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet...
20.1. Geographical breakdown of assets by location of the activities
20.2. Geographical breakdown of liabilities by location of the activities
20.3. Geographical breakdown of statement of profit or loss items by...
20.4. Geographical breakdown of assets by residence of the counterparty
20.5. Geographical breakdown of off-balance sheet exposures by residence of the...
20.6. Geographical breakdown of liabilities by residence of the counterparty
20.7. Geographical breakdown by residence of the counterparty of loans and...
21. Tangible and intangible assets: assets subject to operating lease
30. Off-balance sheet activities: Interests in unconsolidated structured entities
42. Tangible and intangible assets: carrying amount by measurement method
45. Breakdown of selected items of statement of profit or loss...
REPORTING FINANCIAL INFORMATION ACCORDING TO NATIONAL ACCOUNTING FRAMEWORKS
1. Balance Sheet Statement [Statement of Financial Position]
4. Breakdown of financial assets by instrument and by counterparty sector...
4.2 Financial assets designated at fair value through profit or loss...
4.7 Non-trading non-derivative financial assets measured at fair value through profit...
4.8 Non-trading non-derivative financial assets measured at fair value to equity...
4.9 Non-trading debt instruments measured at a cost-based method
6. Breakdown of loans and advances to non-financial corporations
7. Financial assets subject to impairment that are past due or...
9. Loan commitments, financial guarantees and other commitments
12. Movements in allowances for credit losses and impairment of equity...
14. Fair value hierachy: financial instruments at fair value
15. Derecognition and financial liabilities associated with transferred financial assets
16. Breakdown of selected statement of profit or loss items
16.1 Interest income and expenses by instrument and counterparty sector
16.2 Gains or losses on derecognition of financial assets and liabilities...
16.3 Gains or losses on financial assets and liabilities held for...
16.4 Gains or losses on financial assets and liabilities held for...
16.5 Gains or losses on financial assets and liabilities designated at...
17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet...
20.1 Geographical breakdown of assets by location of the activities
20.2 Geographical breakdown of liabilities by location of the activities
20.3 Geographical breakdown of statement of profit or loss items by...
20.4 Geographical breakdown of assets by residence of the counterparty
20.5 Geographical breakdown of off-balance sheet exposures by residence of the...
20.6 Geographical breakdown of liabilities by residence of the counterparty
20.7 Geographical breakdown by residence of the counterparty of loans and...
21. Tangible and intangible assets: assets subject to operating lease
30. Off-balance sheet activities: Interests in unconsolidated structured entities
42. Tangible and intangible assets: carrying amount by measurement method
45. Breakdown of selected items of statement of profit or loss...
REPORTING ON FINANCIAL INFORMATION
12. ‘ Accounting portfolios ’ shall mean financial instruments aggregated by...
13. The following accounting portfolios based on IFRS shall be used...
14. The following accounting portfolios based on National GAAP shall be...
15. ‘ Trading financial assets ’ includes all financial assets classified...
16. For financial assets, ‘ cost-based methods ’ include those valuation...
17. Under National GAAP based on BAD, ‘ Other non-trading non-derivative...
18. Under National GAAP based on BAD, institutions that are permitted...
19. ‘ Derivatives — Hedge accounting ’ shall include derivatives held...
28. The carrying amount shall mean the amount to be reported...
29. Financial liabilities shall be distributed among the following classes of...
31. ‘ Debt securities issued ’ are debt instruments issued as...
32. ‘ Other financial liabilities ’ include all financial liabilities other...
33. Under IFRS or compatible National GAAP, ‘ Other financial liabilities...
34. ‘ Other financial liabilities ’ may also include dividends to...
PART 2 TEMPLATE RELATED INSTRUCTIONS
7. Under the relevant National GAAP based on BAD, the carrying...
8. Provisions for ‘ Pensions and other post employment defined benefit...
9. ‘ Share capital repayable on demand ’ includes the capital...
10. Liabilities that are not financial liabilities and that due to...
11. ‘ Liabilities included in disposal groups classified as held for...
13. Under IFRS or compatible National GAAP, equity instruments that are...
15. ‘ Equity component of compound financial instruments ’ includes the...
16. ‘ Other equity instruments issued ’ includes equity instruments that...
17. ‘ Other equity ’ shall comprise all equity instruments that...
18. Under IFRS or compatible National GAAP, ‘ Revaluation reserves ’...
20. ‘ Treasury shares ’ cover all financial instruments that have...
2. STATEMENT OF PROFIT OR LOSS (2)
21. Interest income and interest expense from financial instruments held for...
22. Institutions shall report the following items broken down by accounting...
23. ‘ Interest income. Derivatives – Hedge accounting, interest rate risk...
24. The amounts related to those derivatives classified in the category...
25. ‘ Interest income — other assets ’ includes amounts of...
26. ‘ Interest expenses — other liabilities ’ includes amounts of...
27. ‘ Profit or loss from non-current assets and disposal groups...
28. Dividend income from financial assets held for trading and from...
29. Under IFRS or compatible National GAAP, impairment on ‘ Financial...
4. BREAKDOWN OF FINANCIAL ASSETS BY INSTRUMENT AND BY COUNTERPARTY SECTOR...
32. Financial assets shall be broken down by instrument and –...
33. Under IFRS or compatible National GAAP, equity instruments shall be...
34. For available-for-sale financial assets institutions shall report the fair value...
35. Under IFRS or compatible National GAAP, for financial assets classified...
36. ‘ Specific allowances for financial assets, individually estimated ’ shall...
37. ‘ Specific allowances for financial assets, collectively estimated ’ shall...
38. ‘ Collective allowances for incurred but not reported losses ’...
39. The sum of unimpaired assets and impaired assets net of...
40. Template 4.5 includes the carrying amount of ‘ Loans and...
6. BREAKDOWN OF LOANS AND ADVANCES TO NON-FINANCIAL CORPORATIONS BY NACE...
7. FINANCIAL ASSETS SUBJECT TO IMPAIRMENT THAT ARE PAST DUE OR...
9. LOAN COMMITMENTS, FINANCIAL GUARANTEES AND OTHER COMMITMENTS (9)
55. Off-balance sheet exposures include the off-balance sheet items listed in...
56. Information on loan commitments, financial guarantees, and other commitments given...
57. ‘ Loan commitments ’ are firm commitments to provide credit...
58. ‘ Financial guarantees ’ are contracts that require the issuer...
59. ‘ Other commitments ’ includes the following items of Annex...
60. Under IFRS or compatible National GAAP, the following item are...
61. ‘ of which: defaulted ’ shall include the nominal amount...
62. For off-balance sheet exposures, the ‘ Nominal amount ’ is...
63. In template 9.2, for loan commitments received, the nominal amount...
11. MOVEMENTS IN ALLOWANCES FOR CREDIT LOSSES AND IMPAIRMENT OF EQUITY...
13. FAIR VALUE HIERARCHY: FINANCIAL INSTRUMENTS AT FAIR VALUE (14)
14. DERECOGNITION AND FINANCIAL LIABILITIES ASSOCIATED WITH TRANSFERRED FINANCIAL ASSETS (15)...
88. Template 15 includes information on transferred financial assets of which...
89. The associated liabilities shall be reported according to the portfolio...
90. The column ‘ Amounts derecognised for capital purposes ’ includes...
93. In a securitisation transaction, when the transferred financial assets are...
15. BREAKDOWN OF SELECTED STATEMENT OF PROFIT OR LOSS ITEMS (16)...
94. For selected items of the income statement further breakdowns of...
15.1. Interest income and expenses by instrument and counterparty sector (16.1)...
15.2. Gains or losses on de-recognition of financial assets and liabilities...
15.3. Gains or losses on financial assets and liabilities held for...
15.4. Gains or losses on financial assets and liabilities held for...
15.5. Gains or losses on financial assets and liabilities designated at...
15.7. Impairment on financial and non-financial assets (16.7)
16. RECONCILIATION BETWEEN ACCOUNTING AND CRR SCOPE OF CONSOLIDATION (17)
103. ‘ Accounting scope of consolidation ’ includes the carrying amount...
104. In this template, the item ‘ Investments in subsidiaries, joint...
105. ‘ Assets under reinsurance and insurance contracts ’ shall include...
106. Liabilities under insurance and reinsurance contracts’ shall include liabilities under...
18. TANGIBLE AND INTANGIBLE ASSETS: ASSETS SUBJECT TO OPERATING LEASE (21)...
19. ASSET MANAGEMENT, CUSTODY AND OTHER SERVICE FUNCTIONS (22)
112. For the purposes of the calculation of the threshold in...
19.1. Fee and commission income and expenses by activity (22.1)
113. The fee and commission income and expenses shall be reported...
114. Transaction costs directly attributable to the acquisition or issue of...
115. Transaction costs directly attributable to the acquisition or issue of...
116. Institutions shall report fee and commission income and expenses according...
119. Institutions shall report amounts and/or transactions related to the balance...
120. Intra-group transactions and intra-group outstanding balances shall be eliminated. Under...
21.1. Related parties: amounts payable to and amounts receivable from (31.1)...
21.2. Related parties: expenses and income generated by transactions with (31.2)...
24. TANGIBLE AND INTANGIBLE ASSETS: CARRYING AMOUNT BY MEASUREMENT METHOD (42)...
27. BREAKDOWN OF SELECTED ITEMS OF STATEMENT OF PROFIT OR LOSS...
29. NON-PERFORMING EXPOSURES (18)
145. For the purpose of template 18, non-performing exposures are those...
147. Exposures in respect of which a default is considered to...
148. Exposures shall be categorised for their entire amount and without...
149. For the purpose of template 18, ‘ exposures ’ includes...
152. A commitment shall be considered as a non-performing exposure for...
153. Financial guarantees given shall be considered as non-performing exposures for...
154. Exposures classified as non-performing in accordance with paragraph 145 shall...
155. Where an institution has on-balance sheet exposures to a debtor...
156. Exposures shall be considered to have ceased being non-performing when...
157. In case of non-performing exposures with forbearance measures , those...
158. Past due exposures shall be reported separately within the performing...
159. Non-performing exposures shall be reported broken down by past due...
160. The following exposures shall be identified in separate columns:
161. ‘ Accumulated impairment ’ and ‘ accumulated changes in fair...
162. Information on collateral held and financial guarantee received on non-performing...
163. For the purpose of template 19, forborne exposures are debt...
164. For the purpose of template 19, a concession refers to...
166. The exercise of clauses which, when used at the discretion...
171. For the purpose of template 19, ‘ institution ’ means...
172. Exposures shall be regarded as forborne where a concession has...
173. A modification involving repayments made by taking possession of collateral...
174. There is a rebuttable presumption that forbearance has taken place...
175. Financial difficulties shall be assessed at debtor level as referred...
176. Forborne exposures shall be included within the non-performing exposures category...
177. Where the conditions referred to in paragraph 176 are not...
178. A forborne exposure may be considered as performing from the...
179. Where additional forbearance measures are applied to a performing forborne...
180. ‘ Performing exposures with forbearance measures ’ (performing forborne exposures)...
181. The column ‘ Refinancing ’ comprises the gross carrying amount...
182. Forborne exposures combining modifications and refinancing shall be allocated to...
183. Accumulated impairment and accumulated changes in fair value due to...
REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY
INSTRUCTIONS FOR THE REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY
1. This Annex contains additional instructions in relation to the tables...
2. All the general instructions included in Part I of Annex...
4. Reporting of exposures and losses
11. Exposures: All exposures that are treated according to Part Three,...
12. Losses: The institution which has the exposure by the end...
13. Reference date: The exposure value from the date of default...
14. Role of the valuation of the property: The latest valuation...
15. Treatment of loan sales during the reporting period: The institution...
TEMPLATES FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK
INSTRUCTIONS FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK
1. The reporting framework on large exposures (‘LE’) shall consist of...
2. The instructions include legal references as well as detailed information...
3. The instructions and the validation rules follow the labelling convention...
4. The following convention is generally used in the instructions and...
5. In the case of validations within a template, in which...
6. ABS(Value): the absolute value without sign. Any amount that increases...
PART II: TEMPLATE RELATED INSTRUCTIONS
1. Scope and level of the LE reporting
1. In order to report information on large exposures to clients...
2. In order to report information on large exposures to clients...
3. Every large exposure defined in accordance with Article 392 of...
4. In order to report information on the 20 largest exposures...
5. In order to report information on the ten largest exposures...
6. The data on the large exposures and the relevant largest...
7. Institutions shall report in the LE3 template data regarding the...
3. Definitions and general instructions for the purposes of the LE...
12. ‘ Unregulated financial sector entities ’ are defined in Article...
13. ‘ Institutions ’ is defined in Article 4(1)(3) of CRR...
14. Exposures to ‘ civil-law associations ’ shall be reported. In...
15. Assets and off balance sheet items shall be used without...
19. The effect of the full or partial application of exemptions...
20. Reverse repurchase agreements which fall under the reporting for large...
6. C 28.00 — Exposures in the non-trading and trading book...
7. C 29.00 — Details of the exposures to individual clients...
8. C 30.00 — Maturity buckets of the ten largest exposures...
9. C 31.00 — Maturity buckets of the ten largest exposures...
PART II: TEMPLATE RELATED INSTRUCTIONS
3. Materiality thresholds for derivatives
6. In order to reduce the reporting burden for institutions with...
7. Derivatives share = LRCalc;060;010 + LRCalc;070;010 + LRCalc;080;010 + LRCalc;090;010...
8. Where total exposure measure is equal to: {LRCalc;290;010}.
9. Total notional value referenced by derivatives = {LR1; 010;070}. This...
10. Credit derivatives volume = {LR1;020;070} + {LR1;050;070}. These are cells...
11. Institutions are required to report the cells referred to in...
12. Institutions for which the total notional value referenced by derivatives...
13. Institutions are required to report the cells referred to in...
14. The cells which are required to be reported by institutions...
15. The cells which are required to be reported by institutions...
4. C47.00 — Leverage ratio calculation (LRCalc)
16. This part of the reporting template collects the data that...
17. Institutions shall perform the reporting of the leverage ratio quarterly....
18. Institutions shall report {010;010} to {030;010}, {060;010}, {090;010}, {110;010}, and...
19. Institutions shall report {010;010} to {240;010} as if the exemptions...
20. Any amount that increases the own funds or the leverage...
5. C40.00 — Alternative treatment of the Exposure Measure (LR1)
6. C41.00 — On- and off-balance sheet items — additional breakdown...
8. C43.00 — Alternative breakdown of leverage ratio exposure measure components...
REPORTING ON LIQUIDITY (PART 1 of 5: LIQUID ASSETS)
1. This is a summary template which contains information about assets...
3. Assets which meet the requirements of Article 416 and Article...
4. Assets which meet the requirements of Article 416 (1) (b)...
5. Items subject to supplementary reporting of liquid assets according to...
6. Assets which do not meet the requirements of Article 416...
7. Treatment for jurisdictions with insufficient liquid assets
8. Reporting of Shar'iah compliant assets as alternative assets under Article...
9. For items 1.1 to 1.2 institutions shall report the relevant...
10. For items 1.3 to 1.4 institutions shall report the market...
11. For item 1.5 institutions shall report the relevant undrawn amount...
12. For item 1.6.1/1.6.2 institutions shall report the relevant amounts in...
15. For items 2.1 to 2.2, institutions shall report assets which...
17. For items 3.1 to 3.12, institutions shall only report assets...
18. For items 4.1 to 4.12.3, institutions shall only report assets...
19. For items 5.1 to 5.2, institutions shall only report items...
20. For items 6.1 to 6.1.3, only Shar'iah compliant banks shall...
REPORTING ON LIQUIDITY (PART 2 of 5: OUTFLOWS)
REPORTING ON LIQUIDITY (PART 3 of 5: INFLOWS)
1. This is a summary template which contains information about liquidity...
2. In accordance with Article 425(2) REGULATION (EU) NO 575/2013, liquidity...
3. In accordance with Article 425(7) REGULATION (EU) NO 575/2013, institutions...
4. In accordance with Article 425(8) REGULATION (EU) NO 575/2013, institutions...
REPORTING ON LIQUIDITY (PART 5 of 5: STABLE FUNDING)
1. Items providing stable funding
1. This is a summary template which contains information about items...
2. All own funds and liabilities reported on an institution's balance...
3. In accordance with Article 427(2) REGULATION (EU) NO 575/2013, liabilities...
4. Institutions shall assume that investors redeem a call option at...
5. For retail deposits reported in section 1.2, the same assumptions...
REPORTING ON ASSET ENCUMBRANCE
2. PART A: ENCUMBRANCE OVERVIEW
12. The encumbrance overview templates differentiate assets which are used to...
13. The overview template shows the amount of encumbered and non-encumbered...
2.1. Template: AE-ASS. Assets of the reporting institution
2.2. Template: AE-COL. Collateral received by the reporting institution
2.3. Template: AE-NPL. Own covered bonds and ABSs issued and not...
4. PART C: CONTINGENT ENCUMBRANCE
22. This template requires institutions to calculate the level of asset...
23. Contingent encumbrance refers to the additional assets which may need...
24. This template includes the following two scenarios for reporting contingent...
25. The scenarios shall be reported independently of each other, and...
4.1.2. Scenario B: Depreciation of 10 % in significant currencies
ADDITIONAL LIQUIDITY MONITORING METRICS UNDER ARTICLE 415(3)(b) OF REGULATION (EU) No 575/2013
INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII
1. Additional Monitoring Tools
1.3. Concentration of funding by product type (C 68.00)
1. This template seeks to collect information about the reporting institutions'...
2. For the purpose of completing this template institutions shall report...
3. For each product type, institutions shall record the following components:...
4. For the purpose of determining those product types from which...
1.4. Prices for Various Lengths of Funding (C 69.00)
1. This template seeks to collect information about the average transaction...
2. For the purpose of determining the maturity of funding obtained,...
4. Spread shall be reported in basis points (bp) and calculated...
5. For the purposes of calculating the average spread payable, institutions...
6. The net amount of funding obtained for the funding categories...
7. Where there is nothing to report, spreads shall be left...
ADDITIONAL LIQUIDITY MONITORING METRICS UNDER ARTICLE 415(3)(b) OF REGULATION (EU) No 575/2013
REPORTING ON LIQUIDITY (PART 1: LIQUID ASSETS)
1. This is a summary template which contains information about assets...
2. Assets reported shall comply with the requirements set out in...
3. By derogation to paragraph 2, credit institutions shall not apply...
4. Credit institutions shall report the template in the corresponding currencies...
5. When referring to Article 9 of Commission Delegated Regulation (EU)...
6. Commission Delegated Regulation (EU) 2015/61 only refers to rates and...
7. Credit institutions shall not double report items within and across...
8. Some memorandum items are included in the associated template to...
REPORTING ON LIQUIDITY (PART 2 OUTFLOWS)
1. This is a summary template which contains information about liquidity...
2. Credit institutions shall report the template in the corresponding currencies...
3. Some memorandum items are included in the associated template to...
4. In accordance with Article 22(1) of Commission Delegated Regulation (EU)...
5. Commission Delegated Regulation (EU) 2015/61 only refers to rates and...
6. Outflows within a group or an institutional protection scheme (except...
7. The liquidity outflows shall be reported only once in the...
8. When reporting in a significant currency, the following shall always...
9. The standard weights in column 040 of template C 73.00...
10. The template contains information about collateralised liquidity flows, referred to...
11. A separate template is provided for collateral swaps, C 75.00...
1.2. Specific remarks regarding settlement and forward starting transactions
REPORTING ON LIQUIDITY (PART 3: INFLOWS)
1. This is a summary template which contains information about liquidity...
2. Credit institutions shall submit the template in the currencies specified...
3. In accordance with Article 32 of Commission Delegated Regulation (EU)...
4. Inflows within a group or an institutional protection scheme (except...
5. In accordance with Article 32(6) of Delegated Regulation (EU) 2015/61,...
6. Inflows which are to be received in third countries where...
7. Monies due from securities issued by the credit institution itself...
8. In accordance with Article 32(7) of Commission Delegated Regulation (EU)...
9. In the case of a significant currency identified in accordance...
10. The Column structure of this template is built to accommodate...
11. In accordance with Article 2(3)(c) of Commission Delegated Regulation (EU)...
12. Commission Delegated Regulation (EU) 2015/61 only refers to rates and...
13. Some ‘ memorandum items ’ are included in the associated...
2.2. Specific remarks regarding secured lending and capital market-driven transactions
2.3. Specific remarks regarding settlement and forward starting transactions
2.4. Decision tree on LCR inflows in accordance with Article 32,...
REPORTING ON LIQUIDITY (PART 4: COLLATERAL SWAPS)
1. Any transaction maturing within 30 days in which non-cash assets...
2. Collateral swaps that mature within 30 days shall lead to...
3. Collateral swaps that mature within 30 days shall lead to...
4. For liquid assets the liquidity value is according to Article...
5. Each collateral swap transaction shall be assessed individually and the...
6. In the case of a significant currency return, the reported...
7. Credit institutions shall report the template in the corresponding currencies...
8. Collateralized derivatives flows within 30 days shall be reported on...
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