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Commission Implementing Regulation (EU) 2017/2114

of 9 November 2017

amending Implementing Regulation (EU) No 680/2014 as regards templates and instructions

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012(1), in particular the fourth subparagraph of Article 99(5), the third subparagraph of Article 101(4), the fourth subparagraph of Article 415(3), and the third subparagraph of Article 430(2) thereof,

Whereas:

(1) Commission Implementing Regulation (EU) No 680/2014(2) specifies the modalities according to which institutions are required to report information relevant to their compliance with Regulation (EU) No 575/2013. Given that the regulatory framework established by Regulation (EU) No 575/2013 is gradually being supplemented and amended in its non-essential elements by the adoption of further secondary legislation and, in this case, by Commission Delegated Regulation (EU) 2015/61(3), Implementing Regulation (EU) No 680/2014 should also be updated to reflect those rules and to provide further precision in the instructions and definitions used for the purposes of the institutions' supervisory reporting, including with regard to a maturity ladder, which would allow the maturity mismatch of an institution's balance sheet to be reflected in the reporting.

(2) Amendments to Implementing Regulation (EU) No 680/2014 are required in order to correct erroneous references and formatting inconsistencies which were discovered in the course of the application of that Regulation.

(3) Amendments to Implementing Regulation (EU) No 680/2014 are also required to reflect competent authorities' ability to effectively monitor and assess the institutions' risk profile and to obtain a view on the risks posed to the financial sector, which requires changes to the reporting requirements in the areas of operational risk, credit risk and with regard to institutions' exposures towards sovereigns.

(4) In order to provide institutions and competent authorities with sufficient time to implement the amendments set out in this Regulation, it should apply from 1 March 2018.

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

(6) The European Banking Authority 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 opinion of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council(4).

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

HAS ADOPTED THIS REGULATION:

Article 1

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

(1)

point (2) of Article 5(b) is replaced by the following:

‘(2)the information on material losses stemming from operational risk events as follows:

(a)

institutions which calculate own funds requirements relating to operational risk in accordance with Chapter 4 of Title III of Part Three of Regulation (EU) No 575/2013 shall report this information as specified in templates 17.01 and 17.02 of Annex I, in accordance with the instructions in point 4.2 of Part II of Annex II;

(b)

institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 3 of Title III of Part Three of Regulation (EU) No 575/2013 and that meet at least one of the following criteria shall report this information as specified in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II:

(i)

the ratio of the individual balance sheet total to the sum of individual balance sheet totals of all institutions within the same Member State is equal to or above 1 %, where balance sheet total figures are based on year-end figures for the year before the year preceding the reporting reference date;

(ii)

the total value of the institution's assets exceeds EUR 30 billion;

(iii)

the total value of the institution's assets exceeds both EUR 5 billion and 20 % of the GDP of the Member State where it is established;

(iv)

the institution is one of the three largest institutions established in a particular Member State measured by the total value of its assets;

(v)

the institution is the parent of subsidiaries, which are themselves credit institutions established in at least two Member States other than the Member State where the parent institution is authorised and where both of the following conditions are met:

  • the value of the institution's consolidated total assets exceeds EUR 5 billion,

  • more than 20 % of either the institution's consolidated total assets as defined in template 1.1 of Annex III or IV, as applicable, or the institution's consolidated total liabilities as defined in template 1.2 of Annex III or IV, as applicable, relates to activities with counterparties located in a Member State other than that where the parent institution is authorised;

(c)

institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 3 of Title III of Part Three of Regulation (EU) No 575/2013 and for which none of the conditions in point (b) is met, shall report the information referred to in points (i) and (ii) below in accordance with the instructions in point 4.2 of Part II of Annex II:

(i)

the information as specified for column 080 of template 17.01 of Annex I for the following rows:

  • number of events (new events) (row 910),

  • gross loss amount (new events) (row 920),

  • number of events subject to loss adjustments (row 930),

  • loss adjustments relating to previous reporting periods (row 940),

  • maximum single loss (row 950),

  • sum of the five largest losses (row 960),

  • total direct loss recovery (except insurance and other risk transfer mechanisms) (row 970),

  • total recoveries from insurance and other risk transfer mechanisms (row 980);

(ii)

the information as specified in template 17.02 of Annex I;

(d)

the institutions referred to in point (c) may report the complete set of information specified in templates 17.01 and 17.02 of Annex I, in accordance with the instructions in point 4.2 of Part II of Annex II;

(e)

institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 and that meet at least one of the conditions (ii) to (v) of point (b) shall report this information as specified in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II;

(f)

institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 and for which none of the conditions set out in points (ii) to (v) of point (b) are met, may report the information referred to in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II;

(g)

the entry and exit criteria of Article 4 shall apply.’;

(2)

in Article 5(b), the following point (3) is added:

‘(3)the information on sovereign exposures as follows:

(a)

institutions shall report the information specified in template 33 of Annex I in accordance with the instructions in point 6 of Part II of Annex II where the aggregate carrying amount of financial assets from the counterparty sector “General governments” is equal or higher than 1 % of the sum of total carrying amount for “Debt securities and Loans and advances”. For the purposes of determining those carrying amounts, institutions shall apply the definitions used in templates 4.1 to 4.4.1 of Annex III or templates 4.1 to 4.4.1 and 4.6 to 4.10 of Annex IV, as applicable;

(b)

institutions that meet the criterion referred to in point (a) and where the value reported for domestic exposures of non-derivative financial assets as defined in row 010, column 010 of template 33 of Annex I is less than 90 % of the value reported for domestic and non-domestic exposures for the same data point, shall report the information specified in template 33 of Annex I in accordance with the instructions in point 6 of Part II of Annex II aggregated at a total level and for each individual country they are exposed to;

(c)

institutions that meet the criterion referred to in point (a) but do not meet the criterion referred in point (b) shall report the information specified in template 33 of Annex I in accordance with the instructions in point 6 of Part II of Annex II with exposures aggregated at both a total level and at domestic level;

(d)

the entry and exit criteria of Article 4 shall apply.’;

(3)

in Article 16b(1), the following point (c) is added:

‘(c)the information specified in Annex XXII in accordance with the instructions in Annex XXIII.’;

(4)

in Article 16b(2), point (a) is replaced by the following:

‘(a)the institution does not form part of a group comprising credit institutions, investment firms or financial institutions with subsidiaries or parent institutions located in jurisdictions other than the institution's jurisdiction of incorporation;’;

(5)

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

(6)

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

(7)

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

(8)

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

(9)

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

(10)

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

(11)

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

(12)

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

(13)

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

(14)

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

(15)

a new Annex XXII is added, the text of which is set out in Annex XI to this Regulation;

(16)

a new Annex XXIII is added, the text of which is set out in Annex XII to this Regulation.

Article 2

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

It shall apply from 1 March 2018.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 9 November 2017.

For the Commission

The President

Jean-Claude Juncker

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
1C 01.00OWN FUNDSCA1
2C 02.00OWN FUNDS REQUIREMENTSCA2
3C 03.00CAPITAL RATIOSCA3
4C 04.00MEMORANDUM ITEMS:CA4
Transitional provisions CA5
5.1C 05.01 TRANSITIONAL PROVISIONSCA5.1
5.2C 05.02 GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AIDCA5.2
Group solvency GS
6.1C 06.01GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTALGS Total
6.2C 06.02GROUP SOLVENCY: INFORMATION ON AFFILIATESGS
Credit risk CR
7C 07.00CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTSCR SA
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTSCR IRB
8.1C 08.01 CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTSCR IRB 1
8.2C 08.02 CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools)CR IRB 2
GEOGRAPHICAL BREAKDOWNCR GB
9.1C 09.01 Table 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures)CR GB 1
9.2C 09.02 Table 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures)CR GB 2
9.4C 09.04 Table 9.4 - Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rateCCB
CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTSCR EQU IRB
10.1C 10.01 CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTSCR EQU IRB 1
10.2C 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
11C 11.00SETTLEMENT/DELIVERY RISKCR SETT
12C 12.00CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTSCR SEC SA
13C 13.00CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTSCR SEC IRB
14C 14.00DETAILED INFORMATION ON SECURITISATIONSCR SEC Details
Operational risk OPR
16C 16.00OPERATIONAL RISKOPR
17C 17.00OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAROPR Details
Market risk MKR
18C 18.00MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTSMKR SA TDI
19C 19.00MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONSMKR SA SEC
20C 20.00MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIOMKR SA CTP
21C 21.00MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIESMKR SA EQU
22C 22.00MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISKMKR SA FX
23C 23.00MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIESMKR SA COM
24C 24.00MARKET RISK INTERNAL MODELSMKR IM
25C 25.00CREDIT VALUE ADJUSTMENT RISKCVA
33C 33.00GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTYGOV

C 01.00 - OWN FUNDS (CA1)

Rows ID Item Amount
010 1 OWN FUNDS
015 1.1 TIER 1 CAPITAL
020 1.1.1 COMMON EQUITY TIER 1 CAPITAL
030 1.1.1.1 Capital instruments eligible as CET1 Capital
0401.1.1.1.1Paid up capital instruments
0451.1.1.1.1*Of which: Capital instruments subscribed by public authorities in emergency situations
0501.1.1.1.2*Memorandum item: Capital instruments not eligible
0601.1.1.1.3Share premium
0701.1.1.1.4(-) Own CET1 instruments
0801.1.1.1.4.1(-) Direct holdings of CET1 instruments
0901.1.1.1.4.2(-) Indirect holdings of CET1 instruments
0911.1.1.1.4.3(-) Synthetic holdings of CET1 instruments
0921.1.1.1.5(-) Actual or contingent obligations to purchase own CET1 instruments
130 1.1.1.2 Retained earnings
1401.1.1.2.1Previous years retained earnings
1501.1.1.2.2Profit or loss eligible
1601.1.1.2.2.1Profit or loss attributable to owners of the parent
1701.1.1.2.2.2(-) Part of interim or year-end profit not eligible
180 1.1.1.3 Accumulated other comprehensive income
200 1.1.1.4 Other reserves
210 1.1.1.5 Funds for general banking risk
220 1.1.1.6 Transitional adjustments due to grandfathered CET1 Capital instruments
230 1.1.1.7 Minority interest given recognition in CET1 capital
240 1.1.1.8 Transitional adjustments due to additional minority interests
250 1.1.1.9 Adjustments to CET1 due to prudential filters
2601.1.1.9.1(-) Increases in equity resulting from securitised assets
2701.1.1.9.2Cash flow hedge reserve
2801.1.1.9.3Cumulative gains and losses due to changes in own credit risk on fair valued liabilities
2851.1.1.9.4Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities
2901.1.1.9.5(-) Value adjustments due to the requirements for prudent valuation
300 1.1.1.10 (-) Goodwill
3101.1.1.10.1(-) Goodwill accounted for as intangible asset
3201.1.1.10.2(-) Goodwill included in the valuation of significant investments
3301.1.1.10.3Deferred tax liabilities associated to goodwill
340 1.1.1.11 (-) Other intangible assets
3501.1.1.11.1(-) Other intangible assets before deduction of deferred tax liabilities
3601.1.1.11.2Deferred tax liabilities associated to other intangible assets
370 1.1.1.12 (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities
380 1.1.1.13 (-) IRB shortfall of credit risk adjustments to expected losses
390 1.1.1.14 (-) Defined benefit pension fund assets
4001.1.1.14.1(-) Defined benefit pension fund assets
4101.1.1.14.2Deferred tax liabilities associated to defined benefit pension fund assets
4201.1.1.14.3Defined benefit pension fund assets which the institution has an unrestricted ability to use
430 1.1.1.15 (-) Reciprocal cross holdings in CET1 Capital
440 1.1.1.16 (-) Excess of deduction from AT1 items over AT1 Capital
450 1.1.1.17 (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight
460 1.1.1.18 (-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight
470 1.1.1.19 (-) Free deliveries which can alternatively be subject to a 1 250 % risk weight
471 1.1.1.20 (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250 % risk weight
472 1.1.1.21 (-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight
480 1.1.1.22 (-) CET1 instruments of financial sector entites where the institution does not have a significant investment
490 1.1.1.23 (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences
500 1.1.1.24 (-) CET1 instruments of financial sector entities where the institution has a significant investment
510 1.1.1.25 (-) Amount exceeding the 17,65 % threshold
520 1.1.1.26 Other transitional adjustments to CET1 Capital
524 1.1.1.27 (-) Additional deductions of CET1 Capital due to Article 3 CRR
529 1.1.1.28 CET1 capital elements or deductions - other
530 1.1.2 ADDITIONAL TIER 1 CAPITAL
540 1.1.2.1 Capital instruments eligible as AT1 Capital
5501.1.2.1.1Paid up capital instruments
5601.1.2.1.2*Memorandum item: Capital instruments not eligible
5701.1.2.1.3Share premium
5801.1.2.1.4(-) Own AT1 instruments
5901.1.2.1.4.1(-) Direct holdings of AT1 instruments
6201.1.2.1.4.2(-) Indirect holdings of AT1 instruments
6211.1.2.1.4.3(-) Synthetic holdings of AT1 instruments
6221.1.2.1.5(-) Actual or contingent obligations to purchase own AT1 instruments
660 1.1.2.2 Transitional adjustments due to grandfathered AT1 Capital instruments
670 1.1.2.3 Instruments issued by subsidiaries that are given recognition in AT1 Capital
680 1.1.2.4 Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries
690 1.1.2.5 (-) Reciprocal cross holdings in AT1 Capital
700 1.1.2.6 (-) AT1 instruments of financial sector entities where the institution does not have a significant investment
710 1.1.2.7 (-) AT1 instruments of financial sector entities where the institution has a significant investment
720 1.1.2.8 (-) Excess of deduction from T2 items over T2 Capital
730 1.1.2.9 Other transitional adjustments to AT1 Capital
740 1.1.2.10 Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)
744 1.1.2.11 (-) Additional deductions of AT1 Capital due to Article 3 CRR
748 1.1.2.12 AT1 capital elements or deductions - other
750 1.2 TIER 2 CAPITAL
760 1.2.1 Capital instruments and subordinated loans eligible as T2 Capital
7701.2.1.1Paid up capital instruments and subordinated loans
7801.2.1.2*Memorandum item: Capital instruments and subordinated loans not eligible
7901.2.1.3Share premium
8001.2.1.4(-) Own T2 instruments
8101.2.1.4.1(-) Direct holdings of T2 instruments
8401.2.1.4.2(-) Indirect holdings of T2 instruments
8411.2.1.4.3(-) Synthetic holdings of T2 instruments
8421.2.1.5(-) Actual or contingent obligations to purchase own T2 instruments
880 1.2.2 Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans
890 1.2.3 Instruments issued by subsidiaries that are given recognition in T2 Capital
900 1.2.4 Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries
910 1.2.5 IRB Excess of provisions over expected losses eligible
920 1.2.6 SA General credit risk adjustments
930 1.2.7 (-) Reciprocal cross holdings in T2 Capital
940 1.2.8 (-) T2 instruments of financial sector entities where the institution does not have a significant investment
950 1.2.9 (-) T2 instruments of financial sector entities where the institution has a significant investment
960 1.2.10 Other transitional adjustments to T2 Capital
970 1.2.11 Excess of deduction from T2 items over T2 Capital (deducted in AT1)
974 1.2.12 (-) Additional deductions of T2 Capital due to Article 3 CRR
978 1.2.13 T2 capital elements or deductions - other

C 02.00 - OWN FUNDS REQUIREMENTS (CA2)

Rows Item Label Amount
010 1 TOTAL RISK EXPOSURE AMOUNT
0201* Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR
0301** Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR
040 1.1 RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES
050 1.1.1 Standardised approach (SA)
0601.1.1.1SA exposure classes excluding securitisation positions
0701.1.1.1.01Central governments or central banks
0801.1.1.1.02Regional governments or local authorities
0901.1.1.1.03Public sector entities
1001.1.1.1.04Multilateral Development Banks
1101.1.1.1.05International Organisations
1201.1.1.1.06Institutions
1301.1.1.1.07Corporates
1401.1.1.1.08Retail
1501.1.1.1.09Secured by mortgages on immovable property
1601.1.1.1.10Exposures in default
1701.1.1.1.11Items associated with particular high risk
1801.1.1.1.12Covered bonds
1901.1.1.1.13Claims on institutions and corporates with a short-term credit assessment
2001.1.1.1.14Collective investments undertakings (CIU)
2101.1.1.1.15Equity
2111.1.1.1.16Other items
2201.1.1.2Securitisation positions SA
2301.1.1.2* of which: resecuritisation
240 1.1.2 Internal ratings based Approach (IRB)
2501.1.2.1IRB approaches when neither own estimates of LGD nor Conversion Factors are used
2601.1.2.1.01Central governments and central banks
2701.1.2.1.02Institutions
2801.1.2.1.03Corporates - SME
2901.1.2.1.04Corporates - Specialised Lending
3001.1.2.1.05Corporates - Other
3101.1.2.2IRB approaches when own estimates of LGD and/or Conversion Factors are used
3201.1.2.2.01Central governments and central banks
3301.1.2.2.02Institutions
3401.1.2.2.03Corporates - SME
3501.1.2.2.04Corporates - Specialised Lending
3601.1.2.2.05Corporates - Other
3701.1.2.2.06Retail - Secured by real estate SME
3801.1.2.2.07Retail - Secured by real estate non-SME
3901.1.2.2.08Retail - Qualifying revolving
4001.1.2.2.09Retail - Other SME
4101.1.2.2.10Retail - Other non-SME
4201.1.2.3Equity IRB
4301.1.2.4Securitisation positions IRB
4401.1.2.4* Of which: resecuritisation
4501.1.2.5Other non credit-obligation assets
460 1.1.3 Risk exposure amount for contributions to the default fund of a CCP
490 1.2 TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY
500 1.2.1 Settlement/delivery risk in the non-Trading book
510 1.2.2 Settlement/delivery risk in the Trading book
520 1.3 TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS
530 1.3.1 Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)
5401.3.1.1Traded debt instruments
5501.3.1.2Equity
5551.3.1.3Particular approach for position risk in CIUs
5561.3.1.3*Memo item: CIUs exclusively invested in traded debt instruments
5571.3.1.3**Memo item: CIUs invested exclusively in equity instruments or in mixed instruments
5601.3.1.4Foreign Exchange
5701.3.1.5Commodities
580 1.3.2 Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)
590 1.4 TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )
600 1.4.1 OpR Basic indicator approach (BIA)
610 1.4.2 OpR Standardised (STA)/Alternative Standardised (ASA) approaches
620 1.4.3 OpR Advanced measurement approaches (AMA)
630 1.5 ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS
640 1.6 TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT
650 1.6.1 Advanced method
660 1.6.2 Standardised method
670 1.6.3 Based on OEM
680 1.7 TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK
690 1.8 OTHER RISK EXPOSURE AMOUNTS
710 1.8.2 Of which: Additional stricter prudential requirements based on Art 458
7201.8.2*Of which: requirements for large exposures
7301.8.2**Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property
7401.8.2***Of which: due to intra financial sector exposures
750 1.8.3 Of which: Additional stricter prudential requirements based on Art 459
760 1.8.4 Of which: Additional risk exposure amount due to Article 3 CRR

C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

Rows ID Item Amount
010 1 CET1 Capital ratio
020 2 Surplus(+)/Deficit(–) of CET1 capital
030 3 T1 Capital ratio
040 4 Surplus(+)/Deficit(–) of T1 capital
050 5 Total capital ratio
060 6 Surplus(+)/Deficit(–) of total capital
Memorandum Items: Capital ratios due to Pillar II adjustments
070 7 CET1 capital ratio including Pillar II adjustments
080 8 Target CET1 capital ratio due to Pillar II adjustments
090 9 T1 capital ratio including Pillar II adjustments
100 10 Target T1 capital ratio due to Pillar II adjustments
110 11 Total capital ratio including Pillar II adjustments
120 12 Target Total capital ratio due to Pillar II adjustments

C 04.00 - MEMORANDUM ITEMS (CA4)

Row ID Item Column
Deferred tax assest and liabilities 010
0101 Total deferred tax assets
0201.1Deferred tax assets that do not rely on future profitability
0301.2Deferred tax assets that rely on future profitability and do not arise from temporary differences
0401.3Deferred tax assets that rely on future profitability and arise from temporary differences
0502 Total deferred tax liabilities
0602.1Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability
0702.2Deferred tax liabilities deductible from deferred tax assets that rely on future profitability
0802.2.1Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences
0902.2.2Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences
0932A Tax overpayments and tax loss carry backs
0962B Deferred Tax Assets subject to a risk weight of 250 %
0972C Deferred Tax Assets subject to a risk weight of 0 %
Credit risk adjustments and expected losses
1003 IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures
1103.1Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount
1203.1.1General credit risk adjustments
1303.1.2Specific credit risk adjustments
1313.1.3Additional value adjustments and other own funds reductions
1403.2Total expected losses eligible
1454 IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures
1504.1Specific credit risk adjustments and positions treated similarily
1554.2Total expected losses eligible
1605 Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2
1706 Total gross provisions eligible for inclusion in T2 capital
1807 Risk weighted exposure amounts for calculating the cap to the provision eligible as T2
Thresholds for Common Equity Tier 1 deductions
1908 Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment
2009 10 % CET1 threshold
21010 17,65 % CET1 threshold
22511.1 Eligible capital for the purposes of qualifying holdings outside the financial sector
22611.2 Eligible capital for the purposes of large exposures
Investments in the capital of financial sector entities where the institution does not have a significant investment
23012 Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions
24012.1Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
25012.1.1Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
26012.1.2(-) Permitted offsetting short positions in relation to the direct gross holdings included above
27012.2Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
28012.2.1Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
29012.2.2(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
29112.3Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
29212.3.1Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
29312.3.2(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
30013 Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions
31013.1Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
32013.1.1Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
33013.1.2(-) Permitted offsetting short positions in relation to the direct gross holdings included above
34013.2Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
35013.2.1Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
36013.2.2(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
36113.3Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
36213.3.1Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
36313.3.2(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
37014 Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions
38014.1Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment
39014.1.1Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment
40014.1.2(-) Permitted offsetting short positions in relation to the direct gross holdings included above
41014.2Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment
42014.2.1Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment
43014.2.2(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
43114.3Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment
43214.3.1Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment
43314.3.2(-) 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
44015 Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions
45015.1Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment
46015.1.1Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment
47015.1.2(-) Permitted offsetting short positions in relation to the direct gross holdings included above
48015.2Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment
49015.2.1Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment
50015.2.2(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
50115.3Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment
50215.3.1Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment
50315.3.2(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
51016 Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions
52016.1Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment
53016.1.1Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment
54016.1.2(-) Permitted offsetting short positions in relation to the direct gross holdings included above
55016.2Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment
56016.2.1Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment
57016.2.2(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
57116.3Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment
57216.3.1Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment
57316.3.2(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
58017 Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions
59017.1Direct holdings of T2 capital of financial sector entities where the institution has a significant investment
60017.1.1Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment
61017.1.2(-) Permitted offsetting short positions in relation to the direct gross holdings included above
62017.2Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment
63017.2.1Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment
64017.2.2(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
64117.3Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment
64217.3.1Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment
64317.3.2(-) 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:
65018 Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital
66019 Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital
67020 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
68021 Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived
69022 Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived
70023 Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived
71024 Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived
72025 Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived
73026 Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived
Capital buffers
74027 Combined buffer requirement
750 Capital conservation buffer
760 Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State
770 Institution specific countercyclical capital buffer
780 Systemic risk buffer
800 Global Systemically Important Institution buffer
810 Other Systemically Important Institution buffer
Pillar II requirements
82028 Own funds requirements related to Pillar II adjustments
Additional information for investment firms
83029 Initial capital
84030 Own funds based on Fixed Overheads
Additional information for calculation of reporting thresholds
85031 Non-domestic original exposures
86032 Total original exposures
Basel I floor
870 Adjustments to total own funds
880 Own funds fully adjusted for Basel I floor
890 Own funds requirements for Basel I floor
900 Own funds requirements for Basel I floor - SA alternative
910 Deficit of total capital as regards the minimum own funds requirements of the Basel I floor

C 05.01 - TRANSITIONAL PROVISIONS (CA5.1)

Adjustments to CET1 Adjustments to AT1 Adjustments to T2 Adjustments included in RWAs Memorandum items
Applicable percentage Eligible amount without transitional provisions
Code ID Item010020030040050060
0101 TOTAL ADJUSTMENTS
0201.1 GRANDFATHERED INSTRUMENTSlink to {CA1;r220}link to {CA1;r660}link to {CA1;r880}
0301.1.1 Grandfathered instruments: Instruments constituting state aid
0401.1.1.1Instruments that qualified as own funds according to 2006/48/EC
0501.1.1.2Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme
0601.1.2 Instruments not constituting state aidlink to {CA5.2;r010;c060}link to {CA5.2;r020;c060}link to {CA5.2;r090;c060}
0701.2 MINORITY INTERESTS AND EQUIVALENTSlink to {CA1;r240}link to {CA1;r680}link to {CA1;r900}
0801.2.1 Capital instruments and items that do not qualify as minority interests
0901.2.2 Transitional recognition in consolidated own funds of minority interests
0911.2.3Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital
0921.2.4Transitional recognition in consolidated own funds of qualifying Tier 2 capital
1001.3 OTHER TRANSITIONAL ADJUSTMENTSlink to {CA1;r520}link to {CA1;r730}link to {CA1;r960}
1101.3.1 Unrealised gains and losses
1201.3.1.1Unrealised gains
1301.3.1.2Unrealised losses
1331.3.1.3.Unrealised gains on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39
1361.3.1.4.Unrealised loss on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39
1381.3.1.5.Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities
1401.3.2 Deductions
1501.3.2.1Losses for the current financial year
1601.3.2.2Intangible assets
1701.3.2.3Deferred tax assets that rely on future profitability and do not arise from temporary differences
1801.3.2.4IRB shortfall of provisions to expected losses
1901.3.2.5Defined benefit pension fund assets
1941.3.2.5*of which: Introduction of amendments to IAS 19 - positive item
1981.3.2.5**of which: Introduction of amendments to IAS 19 - negative item
2001.3.2.6Own instruments
2101.3.2.6.1Own CET1 instruments
2111.3.2.6.1**of which: Direct holdings
2121.3.2.6.1*of which: Indirect holdings
2201.3.2.6.2Own AT1 instruments
2211.3.2.6.2**of which: Direct holdings
2221.3.2.6.2*of which: Indirect holdings
2301.3.2.6.3Own T2 instruments
2311.3.2.6.3*of which: Direct holdings
2321.3.2.6.3**of which: Indirect holdings
2401.3.2.7Reciprocal cross holdings
2501.3.2.7.1Reciprocal cross holdings in CET1 Capital
2601.3.2.7.1.1Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment
2701.3.2.7.1.2Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment
2801.3.2.7.2Reciprocal cross holdings in AT1 Capital
2901.3.2.7.2.1Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment
3001.3.2.7.2.2Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment
3101.3.2.7.3Reciprocal cross holdings in T2 Capital
3201.3.2.7.3.1Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment
3301.3.2.7.3.2Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment
3401.3.2.8Own funds instruments of financial sector entities where the institution does not have a significant investment
3501.3.2.8.1CET1 instruments of financial sector entities where the institution does not have a significant investment
3601.3.2.8.2AT1 instruments of financial sector entities where the institution does not have a significant investment
3701.3.2.8.3T2 instruments of financial sector entities where the institution does not have a significant investment
3801.3.2.9Deferred 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
3851.3.2.9aDeferred tax assets that are dependent on future profitability and arise from temporary differences
3901.3.2.10Own funds instruments of financial sector entities where the institution has a significant investment
4001.3.2.10.1CET1 instruments of financial sector entities where the institution has a significant investment
4101.3.2.10.2AT1 instruments of financial sector entities where the institution has a significant investment
4201.3.2.10.3T2 instruments of financial sector entities where the institution has a significant investment
4251.3.2.11Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items
4301.3.3 Additional filters and deductions
4401.3.4 Adjustments due to IFRS 9 transitional arrangements

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

CA 5.2 Grandfathered instruments: Instruments not constituting State aid Amount of instruments plus related share premium Base for calculating the limit Applicable percentage Limit (-) Amount that exceeds the limits for grandfathering Total grandfathered amount
Code ID Item010020030040050060
0101. Instruments that qualified for point a) of Article 57 of 2006/48/EClink to {CA5.1;r060;c010)
0202. Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489link to {CA5.1;r060;c020)
0302.1Total instruments without a call or an incentive to redeem
0402.2.Grandfathered instruments with a call and incentive to redeem
0502.2.1Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of CRR after the date of effective maturity
0602.2.2Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity
0702.2.3Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity
0802.3Excess on the limit of CET1 grandfathered instruments
0903 Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490link to {CA5.1;r060;c030)
1003.1Total items without an incentive to redeem
1103.2Grandfathered items with an incentive to redeem
1203.2.1Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity
1303.2.2Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity
1403.2.3Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity
1503.3Excess 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 COUNTERCYCLICAL 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
250260270280290300310320330340350360370380390400410420430440450470480
010TOTAL

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

ENTITIES WITHIN SCOPE OF CONSOLIDATION INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP CAPITAL BUFFERS
NAME CODE LEI code INSTITUTION OR EQUIVALENT (YES/NO) 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 REQUIREMENTS
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 COUNTERCYCLICAL 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
010020025030040050060070080090100110120130140150160170180190200210220230240250260270280290300310320330340350360370380390400410420430440450470480

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

SA Exposure class
ORIGINAL EXPOSURE PRE CONVERSION FACTORS (-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD FULLY ADJUSTED EXPOSURE VALUE (E*) BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM VOLATILITY ADJUSTMENT TO THE EXPOSURE (-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam) 0 % 20 % 50 % 100 % OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT
(-) GUARANTEES (-) CREDIT DERIVATIVES (-) FINANCIAL COLLATERAL: SIMPLE METHOD (-) OTHER FUNDED CREDIT PROTECTION (-) TOTAL OUTFLOWS TOTAL INFLOWS (+) (-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS
010030040050060070080090100110120130140150160170180190200210215220230240
010 TOTAL EXPOSURESCell linked to CA
015 of which: Defaulted exposures
020 of which: SME
030 of which: Exposures subject to SME-supporting factor
040 of which: Secured by mortgages on immovable property - Residential property
050 of which: Exposures under the permanent partial use of the standardised approach
060 of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
070 On balance sheet exposures subject to credit risk
080 Off balance sheet exposures subject to credit risk
Exposures/Transactions subject to counterparty credit risk
090 Securities Financing Transactions
100 of which: centrally cleared through a QCCP
110 Derivatives & Long Settlement Transactions
120 of which: centrally cleared through a QCCP
130 From Contractual Cross Product Netting
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:
140 0 %
150 2 %
160 4 %
170 10 %
180 20 %
190 35 %
200 50 %
210 70 %
220 75 %
230 100 %
240 150 %
250 250 %
260 370 %
270 1 250 %
280 Other risk weights
MEMORANDUM ITEMS
290 Exposures secured by mortgages on commercial immovable property
300 Exposures in default subject to a risk weight of 100 %
310 Exposures secured by mortgages on residential property
320 Exposures in default subject to a risk weight of 150 %

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

IRB Exposure class:
Own estimates of LGD and/or conversion factors:
INTERNAL RATING SYSTEM ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS EXPOSURE VALUE CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT SUBJECT TO DOUBLE DEFAULT TREATMENT EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR MEMORANDUM ITEMS:
UNFUNDED CREDIT PROTECTION (-) OTHER FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION FUNDED CREDIT PROTECTION UNFUNDED CREDIT PROTECTION EXPECTED LOSS AMOUNT (-) VALUE ADJUSTMENTS AND PROVISIONS NUMBER OF OBLIGORS
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES (-) GUARANTEES (-) CREDIT DERIVATIVES (-) TOTAL OUTFLOWS TOTAL INFLOWS (+) OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES GUARANTEES CREDIT DERIVATIVES OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION ELIGIBLE FINANCIAL COLLATERAL OTHER ELIGIBLE COLLATERAL OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
REAL ESTATE OTHER PHYSICAL COLLATERAL RECEIVABLES
010020030040050060070080090100110120130140150160170180190200210220230240250255260270280290300
010 TOTAL EXPOSURES Cell linked to CA
015 of which: Exposures subject to SME-supporting factor
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
020 On balance sheet items subject to credit risk
030 Off balance sheet items subject to credit risk
Exposures/Transactions subject to counterparty credit risk
040 Securities Financing Transactions
050 Derivatives & Long Settlement Transactions
060 From Contractual Cross Product Netting
070 EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL
080 SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL
BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:
090 RISK WEIGHT: 0 %
100 50 %
110 70 %
120 Of which: in category 1
130 90 %
140 115 %
150 250 %
160 ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE
170 EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS
180 DILUTION RISK: TOTAL PURCHASED RECEIVABLES

C 08.02 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)

IRB Exposure class:
Own estimates of LGD and/or conversion factors:
OBLIGOR GRADE (ROW IDENTIFIER) INTERNAL RATING SYSTEM ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS EXPOSURE VALUE CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT SUBJECT TO DOUBLE DEFAULT TREATMENT EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) RISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR MEMORANDUM ITEMS:
UNFUNDED CREDIT PROTECTION (-) OTHER FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION FUNDED CREDIT PROTECTION UNFUNDED CREDIT PROTECTION EXPECTED LOSS AMOUNT (-) VALUE ADJUSTMENTS AND PROVISIONS NUMBER OF OBLIGORS
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES (-) GUARANTEES (-) CREDIT DERIVATIVES (-) TOTAL OUTFLOWS TOTAL INFLOWS (+) OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES GUARANTEES CREDIT DERIVATIVES OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION ELIGIBLE FINANCIAL COLLATERAL OTHER ELIGIBLE COLLATERAL OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
REAL ESTATE OTHER PHYSICAL COLLATERAL RECEIVABLES
005010020030040050060070080090100110120130140150160170180190200210220230240250255260270280290300

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

Country:
ORIGINAL EXPOSURE PRE CONVERSION FACTORS Defaulted exposures Observed new defaults for the period General credit risk adjustments Specific credit risk adjustments Of which: write off Credit risk adjustments/write-offs for observed new defaults EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
010020040050055060070075080090
010Central governments or central banks
020Regional governments or local authorities
030Public sector entities
040Multilateral Development Banks
050International Organisations
060Institutions
070Corporates
075of which: SME
080Retail
085of which: SME
090Secured by mortgages on immovable property
095of which: SME
100Exposures in default
110Items associated with particularly high risk
120Covered bonds
130Claims on institutions and corporates with a short-term credit assessment
140Collective investments undertakings (CIU)
150Equity exposures
160Other exposures
170 Total exposures

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

Country:
ORIGINAL EXPOSURE PRE CONVERSION FACTORS Of which: defaulted Observed new defaults for the period General credit risk adjustments Specific credit risk adjustments Of which: write off Credit risk adjustments/write-offs for observed new defaults PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) EXPOSURE WEIGHTED AVERAGE LGD (%) Of which: defaulted EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR Of which: defaulted RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR EXPECTED LOSS AMOUNT
010030040050055060070080090100105110120125130
010Central governments or central banks
020Institutions
030Corporates
042Of Which: Specialised Lending (excl. SL subject to slotting criteria)
045Of Which: Specialised Lending subject to slotting criteria
050Of Which: SME
060Retail
070Secured by real estate property
080SME
090Non-SME
100Qualifying Revolving
110Other Retail
120SME
130Non-SME
140Equity
150 Total exposures

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

Country:
Amount Percentage Qualitative information
010020030
Relevant credit exposures - Credit Risk
010Exposure value under the Standardised Approach
020Exposure value under the IRB Approach
Relevant credit exposures – Market risk
030Sum of long and short positions of trading book exposures for standardised approaches
040Value of trading book exposures for internal models
Relevant credit exposures – Securitisation
050Exposure value of securitisation positions in the banking book under the Standardised Approach
060Exposure value of securitisation positions in the banking book under the IRB Approach
Own funds requirements and weights
070Total own funds requirements for CCB
080Own funds requirements for relevant credit exposures – Credit risk
090Own funds requirements for relevant credit exposures – Market risk
100Own funds requirements for relevant credit exposures – Securitisation positions in the banking book
110Own funds requirements weights
Countercyclical capital buffer rates
120Countercyclical capital buffer rate set by the Designated Authority
130Countercyclical capital buffer rate applicable for the country of the institution
140Institution-specific countercyclical capital buffer rate
Use of 2 % threshold
150Use of 2 % threshold for general credit exposure
160Use of 2 % threshold for trading book exposure

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

INTERNAL RATING SYSTEM ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE VALUE EXPOSURE WEIGHTED AVERAGE LGD (%) RISK WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM:
UNFUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM EXPECTED LOSS AMOUNT
PD ASSIGNED TO THE OBLIGOR GRADE (%) (-) GUARANTEES (-) CREDIT DERIVATIVES (-) TOTAL OUTFLOWS
010020030040050060070080090
010 TOTAL IRB EQUITY EXPOSURESCell linked to CA
020 PD/LGD APRROACH: TOTAL
050 SIMPLE RISK WEIGHT APPROACH: TOTAL
060 BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:
070RISK WEIGHT: 190 %
080290 %
090370 %
100 INTERNAL MODELS APPROACH
110 EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS

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

OBLIGOR GRADE (ROW IDENTIFIER) INTERNAL RATING SYSTEM ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE VALUE EXPOSURE WEIGHTED AVERAGE LGD (%) RISK WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM:
UNFUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM EXPECTED LOSS AMOUNT
PD ASSIGNED TO THE OBLIGOR GRADE (%) (-) GUARANTEES (-) CREDIT DERIVATIVES (-) TOTAL OUTFLOWS
005010020030040050060070080090

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
010020030040
010 Total unsettled transactions in the Non-trading BookCell linked to CA
020Transactions unsettled up to 4 days (Factor 0 %)
030Transactions unsettled between 5 and 15 days (Factor 8 %)
040Transactions unsettled between 16 and 30 days (Factor 50 %)
050Transactions unsettled between 31 and 45 days (Factor 75 %)
060Transactions unsettled for 46 days or more (Factor 100 %)
070 Total unsettled transactions in the Trading BookCell linked to CA
080Transactions unsettled up to 4 days (Factor 0 %)
090Transactions unsettled between 5 and 15 days (Factor 8 %)
100Transactions unsettled between 16 and 30 days (Factor 50 %)
110Transactions unsettled between 31 and 45 days (Factor 75 %)
120Transactions unsettled for 46 days or more (Factor 100 %)

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

TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES SECURITISATION POSITIONS (-) VALUE ADJUSTMENTS AND PROVISIONS EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam) FULLY ADJUSTED EXPOSURE VALUE (E*) BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS EXPOSURE VALUE BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS RISK-WEIGHTED EXPOSURE AMOUNT OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES TOTAL RISK-WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES
(-) FUNDED CREDIT PROTECTION (Cva) (-) TOTAL OUTFLOWS NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION ORIGINAL EXPOSURE PRE CONVERSION FACTORS (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) (-) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM 0 % > 0 % and <= 20 % > 20 % and <= 50 % > 50 % and <= 100 % (-) DEDUCTED FROM OWN FUNDS SUBJECT TO RISK WEIGHTS RATED (CREDIT QUALITY STEPS) 1 250 % LOOK-THROUGH INTERNAL ASSESMENT APPROACH
(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) (-) TOTAL OUTFLOWS TOTAL INFLOWS CQS 1 CQS 2 CQS 3 CQS 4 ALL OTHER CQS UNRATED OF WHICH: SECOND LOSS IN ABCP OF WHICH: AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) OF WHICH: SYNTHETIC SECURITISATIONS BEFORE CAP AFTER CAP
010020030040050060070080090100110120130140150160170180190200210220230240250260270280290300310320330340350360370380390
010 TOTAL EXPOSURESCell linked to CA
020OF WHICH: RE-SECURITISATIONSCell linked to CA
030 ORIGINATOR: TOTAL EXPOSURES
040ON-BALANCE SHEET ITEMS
050SECURITISATIONS
060RE-SECURITISATIONS
070OFF-BALANCE SHEET ITEMS AND DERIVATIVES
080SECURITISATIONS
090RE-SECURITISATIONS
100EARLY AMORTISATION
110 INVESTOR: TOTAL EXPOSURES
120ON-BALANCE SHEET ITEMS
130SECURITISATIONS
140RE-SECURITISATIONS
150OFF-BALANCE SHEET ITEMS AND DERIVATIVES
160SECURITISATIONS
170RE-SECURITISATIONS
180 SPONSOR: TOTAL EXPOSURES
190ON-BALANCE SHEET ITEMS
200SECURITISATIONS
210RE-SECURITISATIONS
220OFF-BALANCE SHEET ITEMS AND DERIVATIVES
230SECURITISATIONS
240RE-SECURITISATIONS
BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:
250CQS 1
260CQS 2
270CQS 3
280CQS 4
290ALL OTHER CQS AND UNRATED

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

TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES SECURITISATION POSITIONS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam) FULLY ADJUSTED EXPOSURE VALUE (E*) BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CREDIT CONVERSION FACTORS EXPOSURE VALUE BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS (-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS RISK-WEIGHTED EXPOSURE AMOUNT OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES TOTAL RISK-WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES
(-) FUNDED CREDIT PROTECTION (Cva) (-) TOTAL OUTFLOWS NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION ORIGINAL EXPOSURE PRE CONVERSION FACTORS (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) (-) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM 0 % > 0 % and <= 20 % > 20 % and <= 50 % > 50 % and <= 100 % (-) DEDUCTED FROM OWN FUNDS SUBJECT TO RISK WEIGHTS RATINGS BASED METHOD (CREDIT QUALITY STEPS) 1 250 % SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESSMENT APPROACH
(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) (-) TOTAL OUTFLOWS TOTAL INFLOWS CQS 1 & S/T CQS 1 CQS 2 CQS 3 CQS 4 & S/T CQS 2 CQS 5 CQS 6 CQS 7 & S/T CQS 3 CQS 8 CQS 9 CQS 10 CQS 11 ALL OTHER CQS UNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) OF WHICH: SYNTHETIC SECURITISATIONS BEFORE CAP AFTER CAP
010020030040050060070080090100110120130140150160170180190200210220230240250260270280290300310320330340350360370380390400410420430440450460
010 TOTAL EXPOSURESCell linked to CA
020OF WHICH: RE-SECURITISATIONSCell linked to CA
030 ORIGINATOR: TOTAL EXPOSURES
040ON-BALANCE SHEET ITEMS
050SECURITISATIONSA
060B
070C
080RE-SECURITISATIONSD
090E
100OFF-BALANCE SHEET ITEMS AND DERIVATIVES
110SECURITISATIONSA
120B
130C
140RE-SECURITISATIONSD
150E
160EARLY AMORTISATION
170 INVESTOR: TOTAL EXPOSURES
180ON-BALANCE SHEET ITEMS
190SECURITISATIONSA
200B
210C
220RE-SECURITISATIONSD
230E
240OFF-BALANCE SHEET ITEMS AND DERIVATIVES
250SECURITISATIONSA
260B
270C
280RE-SECURITISATIONSD
290E
300 SPONSOR: TOTAL EXPOSURES
310ON-BALANCE SHEET ITEMS
320SECURITISATIONSA
330B
340C
350RE-SECURITISATIONSD
360E
370OFF-BALANCE SHEET ITEMS AND DERIVATIVES
380SECURITISATIONSA
390B
400C
410RE-SECURITISATIONSD
420E
BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:
430CQS 1 & S/T CQS 1
440CQS 2
450CQS 3
460CQS 4 & S/T CQS 2
470CQS 5
480CQS 6
490CQS 7 & S/T CQS 3
500CQS 8
510CQS 9
520CQS 10
530CQS 11
540ALL OTHER CQS AND UNRATED

C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details)

ROW NUMBER INTERNAL CODE IDENTIFIER OF THE SECURITISATION IDENTIFIER OF THE ORIGINATOR SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC) ACCOUNTING TREATMENT: Securitised exposures are kept or removed from the balance sheet? SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements? SECURITISATION OR RE-SECURITISATION? RETENTION ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR) NON ABCP PROGRAMMES SECURITISED EXPOSURES SECURITISATION STRUCTURE SECURITISATION POSITIONS (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS TOTAL RISK-WEIGHTED EXPOSURE AMOUNT SECURITISATION POSITIONS - TRADING BOOK
TYPE OF RETENTION APPLIED % OF RETENTION AT REPORTING DATE COMPLIANCE WITH THE RETENTION REQUIREMENT? ORIGINATION DATE (mm/yyyy) TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE TOTAL AMOUNT INSTITUTION'S SHARE (%) TYPE APPROACH APPLIED (SA/IRB/MIX) NUMBER OF EXPOSURES COUNTRY ELGD (%) (-) VALUE ADJUSTMENTS AND PROVISIONS OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) ON-BALANCE SHEET ITEMS OFF-BALANCE SHEET ITEMS AND DERIVATIVES MATURITY ORIGINAL EXPOSURE PRE-CONVERSION FACTORS MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES EARLY AMORTISATION CTP OR NON-CTP? NET POSITIONS TOTAL OWN FUNDS REQUIREMENTS (SA)
SENIOR MEZZANINE FIRST LOSS SENIOR MEZZANINE FIRST LOSS FIRST FORESEEABLE TERMINATION DATE LEGAL FINAL MATURITY DATE ON-BALANCE SHEET ITEMS OFF-BALANCE SHEET ITEMS AND DERIVATIVES DIRECT CREDIT SUBSTITUTES IRS/CRS ELIGIBLE LIQUIDITY FACILITIES OTHER (including non-eligible LF) CONVERSION FACTOR APPLIED
SENIOR MEZZANINE FIRST LOSS SENIOR MEZZANINE FIRST LOSS BEFORE CAP AFTER CAP
LONG SHORT SPECIFIC RISK
005010020030040050060070080090100110120130140150160170180190200210220230240250260270280290300310320330340350360370380390400410420430440450460470480

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)
010 020 030 040 050 060 070 O71 080 090 100 110 120
010
1. BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)
Cell linked to CA2
020
2. BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA)/ALTERNATIVE STANDARDISED (ASA) APPROACHES
Cell linked to CA2
SUBJECT TO TSA:
030CORPORATE FINANCE (CF)
040TRADING AND SALES (TS)
050RETAIL BROKERAGE (RBr)
060COMMERCIAL BANKING (CB)
070RETAIL BANKING (RB)
080PAYMENT AND SETTLEMENT (PS)
090AGENCY SERVICES (AS)
100ASSET MANAGEMENT (AM)
SUBJECT TO ASA:
110COMMERCIAL BANKING (CB)
120RETAIL BANKING (RB)
130
3. BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA
Cell linked to CA2

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

MAPPING OF LOSSES TO BUSINESS LINES EVENT TYPES TOTAL EVENT TYPES MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION
INTERNAL FRAUD EXTERNAL FRAUD EMPLOYMENT PRACTICES AND WORKPLACE SAFETY CLIENTS, PRODUCTS & BUSINESS PRACTICES DAMAGE TO PHYSICAL ASSETS BUSINESS DISRUPTION AND SYSTEM FAILURES EXECUTION, DELIVERY & PROCESS MANAGEMENT LOWEST HIGHEST
Rows010020030040050060070080090100
010 CORPORATE FINANCE [CF]Number of events (new events)
020Gross loss amount (new events)
030Number of events subject to loss adjustments
040Loss adjustments relating to previous reporting periods
050Maximum single loss
060Sum of the five largest losses
070Total direct loss recovery
080Total recovery from insurance and other risk transfer mechanisms
110 TRADING AND SALES [TS]Number of events (new events)
120Gross loss amount (new events)
130Number of events subject to loss adjustments
140Loss adjustments relating to previous reporting periods
150Maximum single loss
160Sum of the five largest losses
170Total direct loss recovery
180Total recovery from insurance and other risk transfer mechanisms
210 RETAIL BROKERAGE [RBr]Number of events (new events)
220Gross loss amount (new events)
230Number of events subject to loss adjustments
240Loss adjustments relating to previous reporting periods
250Maximum single loss
260Sum of the five largest losses
270Total direct loss recovery
280Total recovery from insurance and other risk transfer mechanisms
310 COMMERCIAL BANKING [CB]Number of events (new events)
320Gross loss amount (new events)
330Number of events subject to loss adjustments
340Loss adjustments relating to previous reporting periods
350Maximum single loss
360Sum of the five largest losses
370Total direct loss recovery
380Total recovery from insurance and other risk transfer mechanisms
410 RETAIL BANKING [RB]Number of events (new events)
420Gross loss amount (new events)
430Number of events subject to loss adjustments
440Loss adjustments relating to previous reporting periods
450Maximum single loss
460Sum of the five largest losses
470Total direct loss recovery
480Total recovery from insurance and other risk transfer mechanisms
510 PAYMENT AND SETTLEMENT [PS]Number of events (new events)
520Gross loss amount (new events)
530Number of events subject to loss adjustments
540Loss adjustments relating to previous reporting periods
550Maximum single loss
560Sum of the five largest losses
570Total direct loss recovery
580Total recovery from insurance and other risk transfer mechanisms
610 AGENCY SERVICES [AS]Number of events (new events)
620Gross loss amount (new events)
630Number of events subject to loss adjustments
640Loss adjustments relating to previous reporting periods
650Maximum single loss
660Sum of the five largest losses
670Total direct loss recovery
680Total recovery from insurance and other risk transfer mechanisms
710 ASSET MANAGEMENT [AM]Number of events (new events)
720Gross loss amount (new events)
730Number of events subject to loss adjustments
740Loss adjustments relating to previous reporting periods
750Maximum single loss
760Sum of the five largest losses
770Total direct loss recovery
780Total recovery from insurance and other risk transfer mechanisms
810 CORPORATE ITEMS [CI]Number of events (new events)
820Gross loss amount (new events)
830Number of events subject to loss adjustments
840Loss adjustments relating to previous reporting periods
850Maximum single loss
860Sum of the five largest losses
870Total direct loss recovery
880Total recovery from insurance and other risk transfer mechanisms
910 TOTAL BUSINESS LINESNumber of events (new events). Of which:
911related to losses ≥ 10 000 and < 20 000
912related to losses ≥ 20 000 and < 100 000
913related to losses ≥ 100 000 and < 1 000 000
914related to losses ≥ 1 000 000
920Gross loss amount (new events). Of which:
921related to losses ≥ 10 000 and < 20 000
922related to losses ≥ 20 000 and < 100 000
923related to losses ≥ 100 000 and < 1 000 000
924related to losses ≥ 1 000 000
930Number of events subject to loss adjustments. Of which:
935of which: number of events with a positive loss adjustment
936of which: number of events with a negative loss adjustment
940Loss adjustments relating to previous reporting periods
945of which: positive loss adjustment amounts (+)
946of which: negative loss adjustment amounts (–)
950Maximum single loss
960Sum of the five largest losses
970Total direct loss recovery
980Total recovery from insurance and other risk transfer mechanisms

C 17.02 - OPERATIONAL RISK: LARGE LOSS EVENTS (OPR DETAILS 2)

Event ID Date of accounting Date of occurrence Date of discovery Event Type Gross loss Gross loss net of direct recoveries GROSS LOSS BY BUSINESS LINE Legal Entity name Legal Entity ID Business Unit Description
Corporate Finance [CF] Trading and Sales [TS] Retail Brokerage [RBr] Commercial Banking [CB] Retail Banking [RB] Payment and Settlement [PS] Agency Services [AS] Asset Management [AM] Corporate Items [CI]
Rows010020030040050060070080090100110120130140150160170180190200
…

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
010020030040050060070
010 TRADED DEBT INSTRUMENTS IN TRADING BOOKCell linked to CA2
011 General risk
012Derivatives
013Other assets and liabilities
020Maturity-based approach
030Zone 1
0400 ≤ 1 month
050> 1 ≤ 3 months
060> 3 ≤ 6 months
070> 6 ≤ 12 months
080Zone 2
090> 1 ≤ 2 (1,9 for cupon of less than 3 %) years
100> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3 %) years
110> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3 %) years
120Zone 3
130> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3 %) years
140> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3 %) years
150> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3 %) years
160> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3 %) years
170> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3 %) years
180> 20 (> 10,6 ≤ 12,0 for cupon of less than 3 %) years
190(> 12,0 ≤ 20,0 for cupon of less than 3 %) years
200(> 20 for cupon of less than 3 %) years
210Duration-based approach
220Zone 1
230Zone 2
240Zone 3
250 Specific risk
251Own funds requirement for non-securitisation debt instruments
260Debt securities under the first category in Table 1
270Debt securities under the second category in Table 1
280With residual term ≤ 6 months
290With a residual term > 6 months and ≤ 24 months
300With a residual term > 24 months
310Debt securities under the third category in Table 1
320Debt securities under the fourth category in Table 1
321Rated nth-to default credit derivatives
325Own funds requirement for securitisation instruments
330Own funds requirement for the correlation trading portfolio
350Additional requirements for options (non-delta risks)
360Simplified method
370Delta plus approach - additional requirements for gamma risk
380Delta plus approach - additional requirements for vega risk
390Scenario matrix approach

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

ALL POSITIONS (-) POSITIONS DEDUCTED FROM OWN FUNDS NET POSITIONS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS BEFORE CAP AFTER CAP TOTAL OWN FUNDS REQUIREMENTS
RISK WEIGHTS < 1 250 % 1 250 % SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESMENT APPROACH RISK WEIGHTS < 1 250 % 1 250 % SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESMENT APPROACH
LONG SHORT (-) LONG (-) SHORT LONG SHORT 7 - 10 % 12 - 18 % 20 - 35 % 40 - 75 % 100 % 150 % 200 % 225 % 250 % 300 % 350 % 425 % 500 % 650 % 750 % 850 % RATED UNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) 7 - 10 % 12 - 18 % 20 - 35 % 40 - 75 % 100 % 150 % 200 % 225 % 250 % 300 % 350 % 425 % 500 % 650 % 750 % 850 % RATED UNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS SUM OF WEIGHTED NET LONG AND SHORT POSITIONS WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS SUM OF WEIGHTED NET LONG AND SHORT POSITIONS
010020030040050060070080090100110120130140150160170180190200210220230240250260270280290300310320330340350360370380390400410420430440450460470480490500510520530540550560570580590600610
010 TOTAL EXPOSURESCell linked to MKR SA TDI {325:060}
020Of which: RE-SECURITISATIONS
030 ORIGINATOR: TOTAL EXPOSURES
040SECURITISATIONS
050RE-SECURITISATIONS
060 INVESTOR: TOTAL EXPOSURES
070SECURITISATIONS
080RE-SECURITISATIONS
090 SPONSOR: TOTAL EXPOSURES
100SECURITISATIONS
110RE-SECURITISATIONS
BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES:
1201. Residential mortgages
1302. Commercial mortgages
1403. Credit card receivables
1504. Leasing
1605. Loans to corporates or SMEs
1706. Consumer loans
1807. Trade receivables
1908. Other assets
2009. Covered Bondes
21010. Other liabilities

C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

ALL POSITIONS (-) POSITIONS DEDUCTED FROM OWN FUNDS NET POSITIONS BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS BEFORE CAP AFTER CAP TOTAL OWN FUNDS REQUIREMENTS
RISK WEIGHTS < 1 250 % 1 250 % SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESMENT APPROACH RISK WEIGHTS < 1 250 % 1 250 % SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESMENT APPROACH
LONG SHORT (-) LONG (-) SHORT LONG SHORT 7 - 10 % 12 - 18 % 20 - 35 % 40- 75 % 100 % 250 % 350 % 425 % 650 % Other RATED UNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) 7 - 10 % 12 - 18 % 20 - 35 % 40 - 75 % 100 % 250 % 350 % 425 % 650 % Other RATED UNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS
010020030040050060070080090100110120130140150160170180190200210220230240250260270280290300310320330340350360370380390400410420430440450
010 TOTAL EXPOSURESCell linked to MKR SA TDI {330:060}
SECURITISATION POSITIONS:
020 ORIGINATOR: TOTAL EXPOSURES
030SECURITISATIONS
040OTHER CTP POSITIONS
050 INVESTOR: TOTAL EXPOSURES
060SECURITISATIONS
070OTHER CTP POSITIONS
080 SPONSOR: TOTAL EXPOSURES
090SECURITISATIONS
100OTHER CTP POSITIONS
N-TH-TO-DEFAULT CREDIT DERIVATIVES:
110N-TH-TO-DEFAULT CREDIT DERIVATIVES
120OTHER 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
010020030040050060070
010 EQUITIES IN TRADING BOOKCell linked to CA
020General risk
021Derivatives
022Other assets and liabilities
030Exchange traded stock-index futures broadly diversified subject to particular approach
040Other equities than exchange traded stock-index futures broadly diversified
050Specific risk
090Additional requirements for options (non-delta risks)
100Simplified method
110Delta plus approach - additional requirements for gamma risk
120Delta plus approach - additional requirements for vega risk
130Scenario 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
020030040050060070080090100
010 TOTAL POSITIONSCell linked to CA
020Currencies closely correlated
025of which: reporting currency
030All other currencies (including CIUs treated as different currencies)
040Gold
050Additional requirements for options (non-delta risks)
060Simplified method
070Delta plus approach - additional requirements for gamma risk
080Delta plus approach - additional requirements for vega risk
090Scenario matrix approach
BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES
100Other assets and liabilities other than off-balance sheet items and derivatives
110Off-balance sheet items
120Derivatives
Memorandum items: CURRENCY POSITIONS
130Euro
140Lek
150Argentine Peso
160Australian Dollar
170Brazilian Real
180Bulgarian Lev
190Canadian Dollar
200Czech Koruna
210Danish Krone
220Egyptian Pound
230Pound Sterling
240Forint
250Yen
270Lithuanian Litas
280Denar
290Mexican Peso
300Zloty
310Rumanian Leu
320Russian Ruble
330Serbian Dinar
340Swedish Krona
350Swiss Franc
360Turkish Lira
370Hryvnia
380US Dollar
390Iceland Krona
400Norwegian Krone
410Hong Kong Dollar
420New Taiwan Dollar
430New Zealand Dollar
440Singapore Dollar
450Won
460Yuan Renminbi
470Other
480Croatian 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
010020030040050060070
010 TOTAL POSITIONS IN COMMODITIESCell linked to CA
020Precious metals (except gold)
030Base metals
040Agricultural products (softs)
050Others
060Of which energy products (oil, gas)
070Maturity ladder approach
080Extended maturity ladder approach
090Simplified approach: All positions
100Additional requirements for options (non-delta risks)
110Simplified method
120Delta plus approach - additional requirements for gamma risk
130Delta plus approach - additional requirements for vega risk
140Scenario 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
030040050060070080090100110120130140150160170180
010 TOTAL POSITIONSCell linked to CA
Memorandum items: BREAKDOWN OF MARKET RISK
020 Traded debt instruments
030 TDI - General risk
040 TDI - Specific Risk
050 Equities
060 Equities - General risk
070 Equities - Specific Risk
080 Foreign Exchange risk
090 Commodities risk
100 Total amount for general risk
110 Total amount for specific risk

C 25.00 - CREDIT VALUE ADJUSTMENT RISK (CVA)

EXPOSURE VALUE VaR STRESSED VaR OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT MEMORANDUM ITEMS CVA RISK HEDGE NOTIONALS
of which: OTC Derivatives of which: SFT MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) PREVIOUS DAY (VaRt – 1) MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) LATEST AVAILABLE (SVaRt – 1) Number of counterparties of which: proxy was used to determine credit spread INCURRED CVA SINGLE NAME CDS INDEX CDS
010020030040050060070080090100110120130140
010 CVA risk totalLink to {CA2;r640;c010}
020 According to Advanced methodLink to {CA2;r650;c010}
030 According to Standardised methodLink to {CA2;r660;c010}
040 Based on OEMLink to {CA2;r670;c010}

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
010020030040050060070080090100110120130140150160170180190200210220230240250260270280290300
010Total exposures
BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:
020Exposures under the credit risk framework
030Standardised Approach
040Central governments
050Regional governments or local authorities
060Public sector entities
070International Organisations
080IRB Approach
090Central governments
100Regional governments or local authorities [Central governments]
110Regional governments or local authorities [Institutions]
120Public sector entities [Central governments]
130Public sector entities [Institutions]
140International Organisations [Central governments]
150International Organisations [Institutions]
160Exposures under the market risk framework
BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:
170[ 0 - 3M [
180[ 3M - 1Y [
190[ 1Y - 2Y [
200[ 2Y - 3Y [
210[3Y - 5Y [
220[5Y - 10Y [
230[10Y – more’

ANNEX II

‘ANNEX II REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

PART I: GENERAL INSTRUCTIONS

1.STRUCTURE AND CONVENTIONS

1.1.STRUCTURE
1.Overall, the framework consists of five blocks of templates:
(a)

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

(b)

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

(c)

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

(d)

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

(e)

operational risk.

2.For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as validation rules are included in this part of the Implementing Technical Standard.
3.Institutions report only those templates that are relevant depending on the approach used for determining own funds requirements.
1.2.NUMBERING CONVENTION
4.The document follows the labelling convention set in the following table, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules.
5.The following general notation is followed in the instructions: {Template;Row;Column}.
6.In the case of validations inside a template, in which only data points of that template is used, notations do not refer to a template: {Row;Column}.
7.In the case of templates with only one column, only rows are referred to. {Template;Row}
8.An asterisk sign is used to express that the validation is done for the rows or columns specified before.
1.3.SIGN CONVENTION
9.Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the capital requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is expected to be reported for that item.

PART II: TEMPLATE RELATED INSTRUCTIONS

1.CAPITAL ADEQUACY OVERVIEW (CA)

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

CA1 template contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount. The amount of own funds obtained includes the aggregate effect of transitional provisions per type of capital

(b)

CA2 template summarizes the total risk exposures amounts as defined in Article 92(3) of Regulation (EU) No 575/2013 (‘CRR’)

(c)

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

(d)

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

(e)

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

11.The templates shall apply to all reporting entities, irrespective of the accounting standards followed, although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount.
12.The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common Equity Tier 1 capital (CET1), Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).
13.Transitional provisions are treated as follows in CA templates:
(a)

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

(b)

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

(c)

Template CA5 is exclusively used for reporting the transitional provisions.

14.The treatment of Pillar II requirements can be different within the EU (Article 104(2) CRD IV has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting of CRR. A detailed reporting of Pillar II requirements is not within the mandate of Article 99 CRR.
a)

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

b)

The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. One block focuses on the impact of amounts on the ratios, whereas the other block focuses on the ratio itself. Both blocks of ratios do not have any further link to the templates CA1, CA2 or CA5.

c)

The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. This cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104(2) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.

1.2.C 01.00 — OWN FUNDS (CA1)
1.2.1.Instructions concerning specific positions
RowLegal references and instructions
010
1. Own funds

Articles 4(1)(118) and 72 of CRR

The own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital.

015
1.1. Tier 1 capital

Article 25 of CRR

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

020
1.1.1. Common Equity Tier 1 capital

Article 50 of CRR

030
1.1.1.1. Capital instruments eligible as CET1 capital

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

040
1.1.1.1.1. Paid up capital instruments

Articles 26(1) point (a) and 27 to 31 of CRR

Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of CRR) shall be included.

The share premium related to the instruments shall not be included.

Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 CRR are fulfilled.

045
1.1.1.1.1* Of which: Capital instruments subscribed by public authorities in emergency situations

Article 31 of CRR

Capital instruments subscribed by public authorities in emergency situations shall be included in CET1 capital if all conditions of Article 31 CRR are fulfilled.

050
1.1.1.1.2* Memorandum item: Capital instruments not eligible

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

Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.

The amount to be reported shall not include the share premium related to the instruments

060
1.1.1.1.3. Share premium

Articles 4(1)(124), 26(1) point (b) of CRR

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’.

070
1.1.1.1.4. (-) Own CET1 instruments

Articles 36(1) point (f) and 42 of CRR

Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of CRR.

Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row.

The amount to be reported shall include the share premium related to the own shares.

Items 1.1.1.1.4 to 1.1.1.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own CET1 instruments are reported separately in item 1.1.1.1.5.

080
1.1.1.1.4.1. (-) Direct holdings of CET1 instruments

Articles 36(1) point (f) and 42 of CRR

Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group.

The amount to be reported shall include holdings in the trading book calculated on the basis of the net long position, as stated in Article 42 point (a) of CRR.

090
1.1.1.1.4.2. (-) Indirect holdings of CET1 instruments

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

091
1.1.1.1.4.3. (-) Synthetic holdings of CET1 instruments

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

092
1.1.1.1.5. (-) Actual or contingent obligations to purchase own CET1 instruments

Articles 36(1) point (f) and 42 of CRR

According to Article 36(1) point (f) of CRR, ‘own Common Equity Tier 1 instruments that an institution is under an actual or contingent obligation to purchase by virtue of an existing contractual obligation’ shall be deducted.

130
1.1.1.2. Retained earnings

Articles 26(1) point (c) and 26(2) of CRR

Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits

140
1.1.1.2.1. Previous years retained earnings

Articles 4(1)(123) and 26(1) c) of CRR

Article 4(1)(123) of CRR defines retained earnings as ‘Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting framework’.

150
1.1.1.2.2. Profit or loss eligible

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

Article 26(2) of CRR allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met.

On the other hand, losses shall be deducted from CET1, as stated in article 36(1) point (a) of CRR.

160
1.1.1.2.2.1. Profit or loss attributable to owners of the parent

Articles 26(2) and 36(1) point (a) of CRR

The amount to be reported shall be the profit or loss reported in the accounting income statement.

170
1.1.1.2.2.2. (-) Part of interim or year-end profit not eligible

Article 26(2) of CRR

This row shall not present any figure if, for the reference period, the institution has reported losses. This is because the losses shall be completely deducted from CET1.

If the institution reports profits, it shall be reported the part which is not eligible according to article 26(2) of CRR (i.e. profits not audited and foreseeable charges or dividends)

Note that, in case of profits, the amount to be deduced shall be, at least, the interim dividends.

180
1.1.1.3. Accumulated other comprehensive income

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

The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation, and prior to the application of prudential filters. The amount to be reported shall be determined in accordance with Article 13(4) of Commission Delegated Regulation (EU) No 241/2014.

200
1.1.1.4. Other reserves

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

Other reserves are defined in CRR as ‘Reserves within the meaning of the applicable accounting framework that are required to be disclosed under that applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings’.

The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.

210
1.1.1.5. Funds for general banking risk

Articles 4(1)(112) and 26(1) point (f) of CRR

Funds for general banking risk are defined in article 38 of Directive 86/635/EEC as ‘Amounts which a credit institution decides to put aside to cover such risks where that is required by the particular risks associated with banking’

The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.

220
1.1.1.6. Transitional adjustments due to grandfathered CET1 Capital instruments

Articles 483(1) to (3), and 484 to 487 of CRR

Amount of capital instruments transitionally grandfathered as CET1. The amount to be reported is directly obtained from CA5.

230
1.1.1.7. Minority interest given recognition in CET1 capital

Article 4(120) and 84 of CRR

Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1.

240
1.1.1.8. Transitional adjustments due to additional minority interests

Articles 479 and 480 of CRR

Adjustments to the minority interests due to transitional provisions. This item is obtained directly from CA5.

250
1.1.1.9. Adjustments to CET1 due to prudential filters

Articles 32 to 35 of CRR

260
1.1.1.9.1. (-) Increases in equity resulting from securitised assets

Article 32(1) of CRR

The amount to be reported is the increase in the equity of the institution resulting from securitised assets, according to the applicable accounting standard.

For example, this item includes the future margin income that results in a gain on sale for the institution, or, for originators, the net gains that arise from the capitalisation of future income from the securitised assets that provide credit enhancement to positions in the securitisation.

270
1.1.1.9.2. Cash flow hedge reserve

Article 33(1) point (a) of CRR

The amount to be reported could either be positive or negative. It shall be positive if cash flow hedges result in a loss (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.

The amount shall be net of any tax charge foreseeable at the moment of the calculation.

280
1.1.1.9.3. Cumulative gains and losses due to changes in own credit risk on fair valued liabilities

Article 33(1) point (b) of CRR

The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.

Unaudited profit shall not be included in this item.

285
1.1.1.9.4. Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities

Article 33(1) point (c) and 33(2) of CRR

The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.

Unaudited profit shall not be included in this item.

290
1.1.1.9.5. (-) Value adjustments due to the requirements for prudent valuation

Articles 34 and 105 of CRR

Adjustments to the fair value of exposures included in the trading book or non-trading book due to stricter standards for prudent valuation set in Article 105 of CRR

300
1.1.1.10. (-) Goodwill

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

310
1.1.1.10.1. (-) Goodwill accounted for as intangible asset

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

Goodwill has the same meaning as under the applicable accounting standard.

The amount to be reported here shall be the same that is reported in the balance sheet.

320
1.1.1.10.2. (-) Goodwill included in the valuation of significant investments

Article 37 point (b) and 43 of CRR

330
1.1.1.10.3. Deferred tax liabilities associated to goodwill

Article 37 point (a) of CRR

Amount of deferred tax liabilities that would be extinguished if the goodwill became impaired or was derecognised under the relevant accounting standard

340
1.1.1.11. (-) Other intangible assets

Articles 4(1)(115), 36(1) point (b) and 37 point (a) of CRR

Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.

350
1.1.1.11.1. (-) Other intangible assets before deduction of deferred tax liabilities

Articles 4(1)(115) and 36(1) point (b) of CRR

Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.

The amount to be reported here shall correspond to the amount reported in the balance sheet of intangible assets others than goodwill.

360
1.1.1.11.2. Deferred tax liabilities associated to other intangible assets

Article 37 point (a) of CRR

Amount of deferred tax liabilities that would be extinguished if the intangibles assets other than goodwill became impaired or was derecognised under the relevant accounting standard

370
1.1.1.12. (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities

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

380
1.1.1.13. (-) IRB shortfall of credit risk adjustments to expected losses

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

The amount to be reported shall not be reduced by a rise in the level of deferred tax assets that rely on future profitability, or other additional tax effect, that could occur if provisions were to rise to the level of expected losses' (Article 40 of CRR)

390
1.1.1.14. (-) Defined benefit pension fund assets

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

400
1.1.1.14.1. (-) Defined benefit pension fund assets

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

Defined benefit pension fund assets are defined as ‘the assets of a defined pension fund or plan, as applicable, calculated after they have been reduced by the amount of obligations under the same fund or plan’

The amount to be reported here shall correspond to the amount reported in the balance sheet (if reported separately).

410
1.1.1.14.2. Deferred tax liabilities associated to defined benefit pension fund assets

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

Amount of deferred tax liabilities that would be extinguished if the defined benefit pension fund assets became impaired or were derecognised under the relevant accounting standard.

420
1.1.1.14.3. Defined benefit pension fund assets which the institution has an unrestricted ability to use

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

This item shall only present any amount if there is a prior consent of the competent authority to reduce the amount of defined benefit pension fund assets to be deducted.

The assets included in this row shall receive a risk weight for credit risk requirements.

430
1.1.1.15. (-) Reciprocal cross holdings in CET1 Capital

Articles 4(1)(122), 36(1) point (g) and 44 of CRR

Holdings in CET1 instruments of financial sector entities (as defined in Article 4(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution

The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 1 own-fund insurance items.

440
1.1.1.16. (-) Excess of deduction from AT1 items over AT1 Capital

Article 36(1) point (j) of CRR

The amount to be reported is directly taken from CA 1 item ‘Excess of deduction from AT1 items over AT1 Capital. The amount has to be deducted from CET1’.

450
1.1.1.17. (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight

Articles 4(1)(36), 36(1) point (k) (i) and 89 to 91 of CRR

Qualifying holdings are defined as ‘direct or indirect holding in an undertaking which represents 10 % or more of the capital or of the voting rights or which makes it possible to exercise a significant influence over the management of that undertaking’.

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

460
1.1.1.18. (-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight

Articles 36(1) point (k) (ii), 243(1) point (b), 244(1) point (b), 258 and 266(3) of CRR

Securitisation positions which are subject to a 1 250 % risk weight, but alternatively, are allowed to be deducted from CET1 (Article 36(1) point (k) (ii) of CRR). In the latter case, they shall be reported in this item.

470
1.1.1.19. (-) Free deliveries which can alternatively be subject to a 1 250 % risk weight

Articles 36(1) point (k) (iii) and 379(3) of CRR

Free deliveries are subject to a 1 250 % risk weight after 5 days post second contractual payment or delivery leg until the extinction of the transaction, according to the own funds requirements for settlement risk. Alternatively, they are allowed to be deducted from CET1 (Article 36(1) point (k) (iii) of CRR). In the latter case, they shall be reported in this item.

471
1.1.1.20. (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250 % risk weight

Articles 36(1) point (k) (iv) and 153(8) of CRR

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

472
1.1.1.21. (-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight

Articles 36(1) point (k) (v) and 155(4) of CRR

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

480
1.1.1.22. (-) CET1 instruments of financial sector entities where the institution does not have a significant investment

Articles 4(1)(27), 36(1) point (h); 43 to 46, 49 (2) and (3) and 79 of CRR

Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from CET1

See alternatives to deduction when consolidation is applied (Article 49(2) and (3))

490
1.1.1.23. (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences

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

Part of deferred tax assets that rely in future profitability and arise from temporary differences (net of the part of associated deferred tax liabilities allocated to deferred tax assets that arise from temporary differences, according to article 38(5) point (b) of CRR) which has to be deducted, applying the 10 % threshold in article 48(1) point (a) of CRR.

500
1.1.1.24. (-) CET1 instruments of financial sector entities where the institution has a significant investment

Articles 4(1)(27); 36(1) point (i); 43, 45; 47; 48(1) point (b); 49(1) to (3) and 79 of CRR

Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 10 % threshold in Article 48(1) point (b) of CRR.

See alternatives to deduction when consolidation is applied (article 49(1), (2) and (3)).

510
1.1.1.25. (-) Amount exceeding the 17,65 % threshold

Article 48(1) of CRR

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

520
1.1.1.26. Other transitional adjustments to CET1 Capital

Articles 469 to 472, 478 and 481 of CRR

Adjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5.

524
1.1.1.27. (-) Additional deductions of CET1 Capital due to Article 3 CRR

Article 3 CRR

529
1.1.1.28. CET1 capital elements or deductions — other

This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a CET1 capital element respective a deduction of a CET1 element cannot be assigned to one of the rows 020 to 524.

This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR).

530
1.1.2. ADDITIONAL TIER 1 CAPITAL

Article 61 of CRR

540
1.1.2.1. Capital instruments eligible as AT1 Capital

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

550
1.1.2.1.1. Paid up capital instruments

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

The amount to be reported shall not include the share premium related to the instruments

560
1.1.2.1.2 (*) Memorandum item: Capital instruments not eligible

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

Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.

The amount to be reported shall not include the share premium related to the instruments

570
1.1.2.1.3. Share premium

Article 51 point (b) of CRR

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’.

580
1.1.2.1.4. (-) Own AT1 instruments

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

Own AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 57 of CRR.

Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row.

The amount to be reported shall include the share premium related to the own shares.

Items 1.1.2.1.4 to 1.1.2.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own AT1 instruments are reported separately in item 1.1.2.1.5.

590
1.1.2.1.4.1. (-) Direct holdings of AT1 instruments

Articles 4(1)(114) 52 (1) point (b), 56 point (a) and 57 of CRR

Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group.

620
1.1.2.1.4.2. (-) Indirect holdings of AT1 instruments

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

621
1.1.2.1.4.3. (-) Synthetic holdings of AT1 instruments

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

622
1.1.2.1.5. (-) Actual or contingent obligations to purchase own AT1 instruments

Articles 56 point (a) and 57 of CRR

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

660
1.1.2.2. Transitional adjustments due to grandfathered AT1 Capital instruments

Articles 483(4) and (5), 484 to 487, 489 and 491 of CRR

Amount of capital instruments transitionally grandfathered as AT1. The amount to be reported is directly obtained from CA5.

670
1.1.2.3. Instruments issued by subsidiaries that are given recognition in AT1 Capital

Articles 83, 85 and 86 of CRR

Sum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated AT1.

Qualifying AT1 capital issued by a special purpose entity (Article 83 of CRR) shall be included.

680
1.1.2.4. Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries

Article 480 of CRR

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

690
1.1.2.5. (-) Reciprocal cross holdings in AT1 Capital

Articles 4(1)(122), 56 point (b) and 58 of CRR

Holdings in AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution

The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Additional Tier 1 own-fund insurance items.

700
1.1.2.6. (-) AT1 instruments of financial sector entities where the institution does not have a significant investment

Articles 4(1)(27), 56 point (c); 59, 60 and 79 of CRR

Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from AT1

710
1.1.2.7. (-) AT1 instruments of financial sector entities where the institution has a significant investment

Articles 4(1)(27), 56 point (d), 59 and 79 of CRR

Holdings by the institution of AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment are completely deducted

720
1.1.2.8. (-) Excess of deduction from T2 items over T2 Capital

Article 56 point (e) of CRR

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

730
1.1.2.9. Other transitional adjustments to AT1 Capital

Articles 474, 475, 478 and 481 of CRR

Adjustments due to transitional provisions. The amount to be reported is directly obtained from CA5.

740
1.1.2.10. Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)

Article 36(1) point (j) of CRR

Additional Tier 1 cannot be negative, but it is possible that AT1 deductions are greater than AT1 Capital plus related share premium. When this happens, AT1 has to be equal to zero, and the excess of AT1 deductions has to be deducted from CET1.

With this item, it is achieved that the sum of items 1.1.2.1 to 1.1.2.12 is never lower than zero. Then, if this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure.

744
1.1.2.11. (-) Additional deductions of AT1 Capital due to Article 3 CRR

Article 3 CRR

748
1.1.2.12. AT1 capital elements or deductions — other

This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if an AT1 capital element respective a deduction of an AT1 element cannot be assigned to one of the rows 530 to 744.

This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR).

750
1.2. TIER 2 CAPITAL

Article 71 of CRR

760
1.2.1. Capital instruments and subordinated loans eligible as T2 Capital

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

770
1.2.1.1. Paid up capital instruments and subordinated loans

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

The amount to be reported shall not include the share premium related to the instruments

780
1.2.1.2 (*) Memorandum item: Capital instruments and subordinated loans not eligible

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

Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.

The amount to be reported shall not include the share premium related to the instruments

790
1.2.1.3. Share premium

Articles 62 point (b) and 65 of CRR

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’.

800
1.2.1.4. (-) Own T2 instruments

Article 63 point (b) (i), 66 point (a), and 67 of CRR

Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 67 of CRR.

Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row.

The amount to be reported shall include the share premium related to the own shares.

Items 1.2.1.4 to 1.2.1.4.3 do not include actual or contingent obligations to purchase own T2 instruments. Actual or contingent obligations to purchase own T2 instruments are reported separately in item 1.2.1.5.

810
1.2.1.4.1. (-) Direct holdings of T2 instruments

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

Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group.

840
1.2.1.4.2. (-) Indirect holdings of T2 instruments

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

841
1.2.1.4.3. (-) Synthetic holdings of T2 instruments

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

842
1.2.1.5. (-) Actual or contingent obligations to purchase own T2 instruments

Articles 66 point (a) and 67 of CRR

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

880
1.2.2. Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans

Articles 483(6) and (7), 484, 486, 488, 490 and 491 of CRR

Amount of capital instruments transitionally grandfathered as T2. The amount to be reported is directly obtained from CA5.

890
1.2.3. Instruments issued by subsidiaries that are given recognition in T2 Capital

Articles 83, 87 and 88 of CRR

Sum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2.

Qualifying Tier 2 capital issued by a special purpose entity (Article 83 of CRR) shall be included.

900
1.2.4. Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries

Article 480 of CRR

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

910
1.2.5. IRB Excess of provisions over expected losses eligible

Article 62 point (d) of CRR

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

920
1.2.6. SA General credit risk adjustments

Article 62 point (c) of CRR

For institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item contains the general credit risk adjustments eligible as T2 capital.

930
1.2.7. (-) Reciprocal cross holdings in T2 Capital

Articles 4(1)(122), 66 point (b) and 68 of CRR

Holdings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution.

The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 2 and Tier 3 own-fund insurance items.

940
1.2.8. (-) T2 instruments of financial sector entities where the institution does not have a significant investment

Articles 4(1)(27), 66 point (c), 68 to 70 and 79 of CRR

Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from T2.

950
1.2.9. (-) T2 instruments of financial sector entities where the institution has a significant investment

Articles 4(1)(27), 66 point (d), 68, 69 and 79 of CRR

Holdings by the institution of T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment shall be completely deducted.

960
1.2.10. Other transitional adjustments to T2 Capital

Articles 476 to 478 and 481 of CRR

Adjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5.

970
1.2.11. Excess of deduction from T2 items over T2 Capital (deducted in AT1)

Article 56 point (e) of CRR

Tier 2 cannot be negative, but it is possible that T2 deductions are greater than T2 Capital plus related share premium. When this happens, T2 shall be equal to zero, and the excess of T2 deductions shall be deducted from AT1.

With this item, the sum of items 1.2.1 to 1.2.13 is never lower than zero. If this item shows a positive figure, item 1.1.2.8 shall be the inverse of that figure.

974
1.2.12. (-) Additional deductions of T2 Capital due to Article 3 CRR

Article 3 CRR

978
1.2.13. T2 capital elements or deductions — other

This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a T2 capital element respective a deduction of a T2 element cannot be assigned to one of the rows 750 to 974.

This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR).

1.3.C 02.00 — OWN FUNDS REQUIREMENTS (CA2)
1.3.1.Instructions concerning specific positions
RowLegal references and instructions
010
1. TOTAL RISK EXPOSURE AMOUNT

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

020
1* Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR

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

030
1** Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR

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

040
1.1. RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES

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

050
1.1.1. Standardised approach (SA)

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

060
1.1.1.1. SA exposure classes excluding securitisations positions

CR SA template at the level of total exposures. The SA exposure classes are those mentioned in Article 112 of CRR excluding securitisation positions.

070
1.1.1.1.01. Central governments or central banks

See CR SA template

080
1.1.1.1.02. Regional governments or local authorities

See CR SA template

090
1.1.1.1.03. Public sector entities

See CR SA template

100
1.1.1.1.04. Multilateral Development Banks

See CR SA template

110
1.1.1.1.05. International Organisations

See CR SA template

120
1.1.1.1.06. Institutions

See CR SA template

130
1.1.1.1.07. Corporates

See CR SA template

140
1.1.1.1.08. Retail

See CR SA template

150
1.1.1.1.09. Secured by mortgages on immovable property

See CR SA template

160
1.1.1.1.10. Exposures in default

See CR SA template

170
1.1.1.1.11. Items associated with particular high risk

See CR SA template

180
1.1.1.1.12. Covered bonds

See CR SA template

190
1.1.1.1.13. Claims on institutions and corporate with a short-term credit assessment

See CR SA template

200
1.1.1.1.14. Collective investments undertakings (CIU)

See CR SA template

210
1.1.1.1.15. Equity

See CR SA template

211
1.1.1.1.16. Other items

See CR SA template

220
1.1.1.2. Securitisations positions SA

CR SEC SA template at the level of total securitisation types

230
1.1.1.2.* Of which: resecuritisation

CR SEC SA template at the level of total securitisation types

240
1.1.2. Internal ratings based Approach (IRB)
250
1.1.2.1. IRB approaches when neither own estimates of LGD nor Conversion Factors are used

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

260
1.1.2.1.01. Central governments and central banks

See CR IRB template

270
1.1.2.1.02. Institutions

See CR IRB template

280
1.1.2.1.03. Corporates — SME

See CR IRB template

290
1.1.2.1.04. Corporates – Specialised Lending

See CR IRB template

300
1.1.2.1.05. Corporates – Other

See CR IRB template

310
1.1.2.2. IRB approaches when own estimates of LGD and/or Conversion Factor are used

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

320
1.1.2.2.01. Central governments and central banks

See CR IRB template

330
1.1.2.2.02. Institutions

See CR IRB template

340
1.1.2.2.03. Corporates — SME

See CR IRB template

350
1.1.2.2.04. Corporates – Specialised Lending

See CR IRB template

360
1.1.2.2.05. Corporates – Other

See CR IRB template

370
1.1.2.2.06. Retail – secure by real estate SME

See CR IRB template

380
1.1.2.2.07. Retail – secure by real estate non-SME

See CR IRB template

390
1.1.2.2.08. Retail – Qualifying revolving

See CR IRB template

400
1.1.2.2.09. Retail – Other SME

See CR IRB template

410
1.1.2.2.10. Retail – Other non-SME

See CR IRB template

420
1.1.2.3. Equity IRB

See CR EQU IRB template

430
1.1.2.4. Securitisations positions IRB

CR SEC IRB template at the level of total securitisation types

440
1.1.2.4* Of which: resecuritisation

CR SEC IRB template at the level of total securitisation types

450
1.1.2.5. Other non credit-obligation assets

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

460
1.1.3. Risk exposure amount for contributions to the default fund of a CCP

Articles 307 to 309 of CRR

490
1.2. TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

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

500
1.2.1. Settlement/delivery risk in the non-Trading book

See CR SETT template

510
1.2.2. Settlement/delivery risk in the Trading book

See CR SETT template

520
1.3. TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS

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

530
1.3.1. Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)
540
1.3.1.1. Traded debt instruments

MKR SA TDI template at the level of total currencies.

550
1.3.1.2. Equity

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

555
1.3.1.3. Particular approach for position risk in CIUs

Articles 348(1), 350 (3) c) and 364 (2) a) CRR

Total risk exposure amount for positions in CIUs if capital requirements are calculated according to Article 348(1) CRR either immediately or as a consequence of the cap defined in Article 350(3) c) CRR. The CRR does not explicitly assign those positions to either the interest rate risk or the equity risk.

If the particular approach according to Article 348(1) sentence 1 of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question, multiplied by 12,5.

If the particular approach according to Article 348(1) sentence 2 of CRR is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure, multiplied by 12,5 respectively.

556
1.3.1.3.* Memo item: CIUs exclusively invested in traded debt instruments

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

557
1.3.1.3.** CIUs invested exclusively in equity instruments or in mixed instruments

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

560
1.3.1.4. Foreign Exchange

See MKR SA FX template

570
1.3.1.5. Commodities

See MKR SA COM template

580
1.3.2. Risk exposure amount for positions, foreign exchange and commodity risks under internal models (IM)

See MKR IM template

590
1.4. TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR)

Article 92(3) point (e) and 92(4) point (b) of CRR

For investment firms under Article 95(2), Article 96(2) and Article 98 of CRR this element shall be zero.

600
1.4.1. OpR Basic Indicator approach (BIA)

See OPR template

610
1.4.2. OpR Standardised (TSA)/Alternative Standardised (ASA) approaches

See OPR template

620
1.4.3. OpR Advanced measurement approaches (AMA)

See OPR template

630
1.5. ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

Articles 95(2), 96(2), 97 and 98(1) point (a) of CRR

Only for investment firms under Article 95(2), Article 96(2) and Article 98 of CRR. See also Article 97 of CRR

Investment firms under Article 96 of CRR shall report the amount referred to in Article 97 multiplied by 12,5.

Investment firms under Article 95 of CRR shall report:

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

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

640
1.6. TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

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

650
1.6.1. Advanced method

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

660
1.6.2. Standardised method

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

670
1.6.3. Based on OEM

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

680
1.7. TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK

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

690
1.8. OTHER RISK EXPOSURE AMOUNTS

Articles 3, 458 and 459 of CRR and risk exposure amounts which cannot be assigned to one of the items from 1.1 to 1.7.

Institutions shall report the amounts needed to comply with the following:

Stricter prudential requirements imposed by the Commission, in accordance with Article 458 and 459 of CRR

Additional risk exposure amounts due to Article 3 CRR

This item does not have a link to a details template.

710
1.8.2. Of which: Additional stricter prudential requirements based on Art 458

Article 458 of CRR

720
1.8.2* Of which: requirements for large exposures

Article 458 of CRR

730
1.8.2** Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property

Article 458 of CRR

740
1.8.2*** Of which: due to intra financial sector exposures

Article 458 of CRR

750
1.8.3. Of which: Additional stricter prudential requirements based on Art 459

Article 459 of CRR

760
1.8.4. Of which: Additional risk exposure amount due to Article 3 CRR

Article 3 CRR

The additional risk exposure amount has to be reported. It shall only include the additional amounts (e.g. if an exposure of 100 has a risk-weight of 20 % and the institutions applies a risk weight of 50 % based on article 3 CRR, the amount to be reported is 30).

1.4.C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
1.4.1.Instructions concerning specific positions
Rows
010
1. CET1 Capital ratio

Article 92(2) point (a) of CRR

The CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount.

020
2. Surplus(+)/Deficit(–) of CET1 capital

This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirement set in Article 92(1) point (a) of CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

030
3. T1 Capital ratio

Article 92(2) point (b) of CRR

The T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount.

040
4. Surplus(+)/Deficit(–) of T1 capital

This item shows, in absolute figures, the amount of T1 capital surplus or deficit relating to the requirement set in Article 92(1) point (b) of CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

050
5. Total capital ratio

Article 92(2) point (c) of CRR

The total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount.

060
6. Surplus(+)/Deficit(–) of total capital

This item shows, in absolute figures, the amount of own funds surplus or deficit relating to the requirement set in Article 92(1) point (c) of CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

070
CET1 capital ratio including Pillar II adjustments

Article 92(2) point (a) of CRR and Article 104(2) CRD IV

This cell only has to be populated if a decision of a competent authority has an impact on the CET1 capital ratio.

080
Target CET1 capital ratio due to Pillar II adjustments

Article 104(2) CRD

This cell only has to be populated if a competent authority decides that an institution has to meet a higher target CET1capital ratio.

The target CET1 capital ratio reflects the minimum requirement of Article 92(1) point (a) CRR and the requirement imposed in accordance with Article 104(2) CRD, but excludes other requirements (e.g. the capital buffer requirements).

090
T1 capital ratio including Pillar II adjustments

Article 92(2) point (b) of CRR and Article 104(2) CRD IV

This cell only has to be populated if a decision of a competent authority has an impact on the T1 capital ratio.

100
Target T1 capital ratio due to Pillar II adjustments

Article 104(2) CRD IV

This cell only has to be populated if a competent authority decides that an institution has to meet a higher target T1 capital ratio.

The target T1 capital ratio reflects the minimum requirement of Article 92(1) point (b) CRR and the requirement imposed in accordance with Article 104(2) CRD, but excludes other requirements (e.g. the capital buffer requirements).

110
Total capital ratio including Pillar II adjustments

Article 92(2) point (c) of CRR and Article 104(2) CRD IV

This cell only has to be populated if a decision of a competent authority has an impact on the total capital ratio.

120
Target total capital ratio due to Pillar II adjustments

Article 104(2) CRD IV

This cell only has to be populated if a competent authority decides that an institution has to meet a higher target total capital ratio.

The target total capital ratio reflects the minimum requirement of Article 92(1) point (c) CRR and the requirement imposed in accordance with Article 104(2) CRD, but excludes other requirements (e.g. the capital buffer requirements).

1.5.C 04.00 — MEMORANDUM ITEMS (CA4)
1.5.1.Instructions concerning specific positions
Rows
010
1. Total deferred tax assets

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

020
1.1. Deferred tax assets that do not rely on future profitability

Article 39(2) of CRR

Deferred tax assets that do not rely on future profitability, and thus are subject to the application of a risk weight.

030
1.2. Deferred tax assets that rely on future profitability and do not arise from temporary differences

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

Deferred tax assets that rely on future profitability, but do not arise from temporary differences, and thus are not subject to any threshold (i.e. are completely deducted from CET1).

040
1.3. Deferred tax assets that rely on future profitability and arise from temporary differences

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

Deferred tax assets that rely on future profitability and arise from temporary differences, and thus, their deduction from CET1 is subject to 10 % and 17,65 % thresholds in Article 48 of CRR.

050
2. Total deferred tax liabilities

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

060
2.1. Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability

Article 38(3) and (4) of CRR

Deferred tax liabilities for which conditions in Article 38(3) and (4) of CRR are not met. Hence, this item shall include the deferred tax liabilities that reduce the amount of goodwill, other intangible assets or defined benefit pension fund assets required to be deducted, which are reported, respectively, in CA1 items 1.1.1.10.3, 1.1.1.11.2 and 1.1.1.14.2.

070
2.2. Deferred tax liabilities deductible from deferred tax assets that rely on future profitability

Article 38 of CRR

080
2.2.1. Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences

Article 38(3), (4) and (5) of CRR

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

090
2.2.2. Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences

Article 38(3), (4) and (5) of CRR

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

093
2A Tax overpayments and tax loss carry backs

Article 39(1) CRR

The amount of tax overpayments and tax loss carry backs which is not deducted from own funds in accordance with Article 39(1) CRR; the amount reported shall be the amount before the application of risk weights.

096
2B Deferred Tax Assets subject to a risk weight of 250 %

Article 48(4) CRR

The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to Article 48(1) CRR, but subject to a risk weight of 250 % in accordance with Article 48(4) CRR, taking into account the effect of Article 470 CRR. The amount reported shall be the amount of DTAs before the application of the risk weight.

097
2C Deferred Tax Assets subject to a risk weight of 0 %

Article 469(1) lit. d, 470, 472 (5) and 478 CRR

The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to Articles 469(1) lit. d and 470 CRR, but subject to a risk weight of 0 % in accordance with Article 472(5) CRR. The amount reported shall be the amount of DTAs before the application of the risk weight.

100
3. IRB excess (+) or shortfall (–) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures

Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR

This item shall only be reported by IRB institutions.

110
3.1. Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount

Article 159 of CRR

This item shall only be reported by IRB institutions.

120
3.1.1. General credit risk adjustments

Article 159 of CRR

This item shall only be reported by IRB institutions.

130
3.1.2. Specific credit risk adjustments

Article 159 of CRR

This item shall only be reported by IRB institutions.

131
3.1.3. Additional value adjustments and other own funds reductions

Articles 34, 110 and 159 of CRR

This item shall only be reported by IRB institutions.

140
3.2. Total expected losses eligible

Articles 158(5), (6) and (10), and 159 of CRR

This item shall only be reported by IRB institutions. Only the expected loss related to non-defaulted exposures shall be reported.

145
4. IRB excess (+) or shortfall (–) of specific credit risk adjustments to expected losses for defaulted exposures

Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR

This item shall only be reported by IRB institutions.

150
4.1. Specific credit risk adjustments and positions treated similarily

Article 159 of CRR

This item shall only be reported by IRB institutions.

155
4.2. Total expected losses eligible

Articles 158(5), (6) and (10), and 159 of CRR

This item shall only be reported by IRB institutions. Only the expected loss related to defaulted exposures shall be reported.

160
5. Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2

Article 62 point (d) of CRR

For IRB institutions, according to Article 62 point (d) of CRR, the excess amount of provisions (to expected losses) eligible for inclusion in Tier 2 capital is capped at 0,6 % of risk-weighted exposure amounts calculated with the IRB approach.

The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 0,6 %) which is the base for calculating the cap.

170
6. Total gross provisions eligible for inclusion in T2 capital

Article 62 point (c) of CRR

This item includes the general credit risk adjustments that are eligible for inclusion in T2 capital, before cap.

The amount to be reported shall be gross of tax effects.

180
7. Risk weighted exposure amounts for calculating the cap to the provision eligible as T2

Article 62 point (c) of CRR

According to Article 62 point (c) of CRR, the credit risk adjustments eligible for inclusion in Tier 2 capital is capped at 1,25 % of risk-weighted exposure amounts.

The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 1,25 %) which is the base for calculating the cap.

190
8. Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment

Article 46(1) point (a) of CRR

This item contains the threshold up to which holdings in a financial sector entity where an institution does not have a significant investment are not deducted. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.

200
9. 10 % CET1 threshold

Article 48(1) points (a) and (b) of CRR

This item contains the 10 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences.

The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.

210
10. 17,65 % CET1 threshold

Article 48(1) of CRR

This item contains the 17,65 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences, to be applied after the 10 % threshold.

The threshold is calculated so that the amount of the two items that is recognised must not exceed 15 % of the final Common Equity Tier 1 capital, i.e. the CET1 capital calculated after all deductions, not including any adjustment due to transitional provisions.

225
11.1. Eligible capital for the purposes of qualifying holdings outside the financial sector

Article 4(1)(71)(a)

226
11.2. Eligible capital for the purposes of large exposures

Article 4(1)(71)(b)

230
12. Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

Articles 44 to 46 and 49 of CRR

240
12.1. Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

Articles 44, 45, 46 and 49 of CRR

250
12.1.1. Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

Articles 44, 46 and 49 of CRR

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

a)

Underwriting positions held for 5 working days or fewer;

b)

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

c)

Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR

260
12.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 45 of CRR

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

270
12.2. Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

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

280
12.2.1. Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

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

The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.

Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included

290
12.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

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

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

291
12.3.1. Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

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

292
12.3.2. Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

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

293
12.3.3. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

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

300
13. Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

Articles 58 to 60 of CRR

310
13.1. Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

Articles 58, 59 and 60(2) of CRR

320
13.1.1. Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

Articles 58 and 60(2) of CRR

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

a)

Underwriting positions held for 5 working days or fewer; and

b)

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

330
13.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 59 of CRR

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

340
13.2. Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

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

350
13.2.1. Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

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

The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.

Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included

360
13.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

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

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

361
13.3. Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

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

362
13.3.1. Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

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

363
13.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

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

370
14. Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions

Articles 68 to 70 of CRR

380
14.1. Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment

Articles 68, 69 and 70(2) of CRR

390
14.1.1. Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment

Articles 68 and 70(2) of CRR

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

a)

Underwriting positions held for 5 working days or fewer; and

b)

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

400
14.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 69 of CRR

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

410
14.2. Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment

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

420
14.2.1. Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment

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

The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.

Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included

430
14.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

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

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

431
14.3. Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment

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

432
14.3.1. Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment

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

433
14.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

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

440
15. Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions

Articles 44, 45, 47 and 49 of CRR

450
15.1. Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment

Articles 44, 45, 47 and 49 of CRR

460
15.1.1. Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment

Articles 44, 45, 47 and 49 of CRR

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

a)

Underwriting positions held for 5 working days or fewer;

b)

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

c)

Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR

470
15.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 45 of CRR

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

480
15.2. Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment

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

490
15.2.1. Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment

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

The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.

Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included.

500
15.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

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

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

501
15.3. Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment

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

502
15.3.1. Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment

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

503
15.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

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

510
16. Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions

Articles 58 and 59 of CRR

520
16.1. Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment

Articles 58 and 59 of CRR

530
16.1.1. Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment

Article 58 of CRR

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

a)

Underwriting positions held for 5 working days or fewer (Article 56 point (d); and

b)

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

540
16.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 59 of CRR

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

550
16.2. Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment

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

560
16.2.1. Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment

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

The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.

Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included.

570
16.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

Article 4(1)(114) and 59 of CRR

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

571
16.3. Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment

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

572
16.3.1. Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment

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

573
16.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

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

580
17. Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions

Articles 68 and 69 of CRR

590
17.1. Direct holdings of T2 capital of financial sector entities where the institution has a significant investment

Articles 68 and 69 of CRR

600
17.1.1. Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment

Article 68 of CRR

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

a)

Underwriting positions held for 5 working days or fewer (Article 66 point (d); and

b)

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

610
17.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 69 of CRR

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

620
17.2. Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment

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

630
17.2.1. Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment

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

The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.

Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included

640
17.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

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

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

641
17.3. Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment

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

642
17.3.1. Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment

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

643
17.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

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

650
18. Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital

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

660
19. Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital

Article 60(4) of CRR

670
20. Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital

Article 70(4) of CRR

680
21. Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

Article 79 of CRR

A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that these instruments shall also be reported on item 12.1.

690
22. Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

Article 79 of CRR

A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that these instruments shall also be reported on item 15.1.

700
23. Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

Article 79 of CRR

A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that these instruments shall also be reported on item 13.1.

710
24. Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

Article 79 of CRR

A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that these instruments shall also be reported on item 16.1.

720
25. Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

Article 79 of CRR

A competent authority may waive on a temporary basis the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that these instruments shall also be reported on item 14.1.

730
26. Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

Article 79 of CRR

A competent authority may waive on a temporary basis the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that these instruments shall also be reported on item 17.1.

740
27. Combined buffer requirement

Article 128 point (6) of CRD

750
Capital conservation buffer

Articles 128 point (1) and 129 of CRD

According to Article 129(1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this cell.

760
Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State

Article 458(2) point d (iv) of CRR

In this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 CRR in addition to the capital conservation buffer shall be reported.

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

770
Institution specific countercyclical capital buffer

Articles 128 point (2), 130, 135-140 of CRD

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

780
Systemic risk buffer

Articles 128 point (5), 133 and 134 of CRD

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

800
Global Systemically Important Institution buffer

Articles 128 point (3) and 131 of CRD

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

810
Other Systemically Important Institution buffer

Articles 128 point (4) and 131 of CRD

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

820
28. Own funds requirements related to Pillar II adjustments

Article 104(2) of CRD.

If a competent authority decides that an institution has to calculate additional own funds requirements for Pillar II reasons, those additional own funds requirements shall be reported in this cell.

830
29. Initial capital

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

840
30. Own funds based on Fixed Overheads

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

850
31. Non-domestic original exposures

Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of this Regulation. The calculation of the threshold shall be done at the basis of the original exposure pre conversion factor.

Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.

860
32. Total original exposures

Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of this Regulation. The calculation of the threshold shall be done at the basis of the original exposure pre conversion factor

Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.

870
Adjustments to total own funds

Article 500(4) of CRR

The difference between the amount reported in position 880 and the total own funds pursuant to CRR has to be reported in this position.

If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty.

880
Own funds fully adjusted for Basel I floor

Article 500(4) of CRR

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

If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty.

890
Own funds requirements for Basel I floor

Article 500(1) point (b) of CRR

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

900
Own funds requirements for Basel I floor — SA alternative

Article 500(2) and (3) of CRR

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

910
Deficit of total own funds as regards the own funds requirements of the Basel I floor or SA alternative

Articles 500(1) point (b) and 500 (2) CRR

This row has to be filled with:

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

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

1.6.TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5)
1.6.1.General remarks
15.CA5 summarizes the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491 of CRR.
16.CA5 is structured as follows:
(a)

Template 5.1 summarizes the total adjustments which need to be made to the different components of own funds (reported in CA1 according to the final provisions) as a consequence of the application of the transitional provisions. The elements of this table are presented as ‘adjustments’ to the different capital components in CA1, in order to reflect in own funds components the effects of the transitional provisions.

(b)

Template 5.2 provides further details on the calculation of those grandfathered instruments which do not constitute state aid.

17.Institutions shall report in the first four columns the adjustments to Common Equity Tier 1 capital, Additional Tier 1 capital and Tier 2 capital as well as the amount to be treated as risk weighted assets. Institutions are also required to report the applicable percentage in column 050 and the eligible amount without the recognition of transitional provisions in column 060.
18.Institutions shall only report elements in CA5 during the period where transitional provisions in accordance with Part Ten of CRR apply.
19.Some of the transitional provisions require a deduction from Tier 1. If this is the case the residual amount of a deduction or deductions is applied to Tier 1 and there is insufficient AT1 to absorb this amount then the excess shall be deducted from CET1.
1.6.2.C 05.01 — TRANSITIONAL PROVISIONS (CA5.1)
20.Institutions shall report in Table 5.1 the transitional provisions to own funds components as laid down in Articles 465 to 491 of CRR, compared to applying the final provisions laid down in Title II of Part Two of CRR.
21.Institutions shall report in rows 020 to 060 information in relation with the transitional provisions of grandfathered instruments. The figures to be reported in columns 010 to 030 of row 060 of CA 5.1 can be derived from the respective sections of CA 5.2.
22.Institutions shall report in rows 070 to 092 information in relation with the transitional provisions of minority interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 of CRR).
23.In rows 100 onwards institutions shall report information in relation with the transitional provisions of unrealized gains and losses, deductions as well as additional filters and deductions.
24.There might be cases where the transitional deductions of CET1, AT1 or T2 capital exceed the CET1, AT1 or T2 capital of an institution. This effect – if it results from transitional provisions – shall be shown in the CA1 template using the respective cells. As a consequence, the adjustments in the columns of the CA5 template do not include any spill-over effects in the case of insufficient capital available.
1.6.2.1.Instructions concerning specific positions
Columns
010
Adjustments to CET1
020
Adjustments to AT1
030
Adjustments to T2
040
Adjustments included in RWAs

Column 040 includes the relevant amounts adjusting the total risk exposure amount of Article 92(3) of CRR due to transitional provisions. The amounts reported shall consider the application of provisions of Chapter 2 or 3 of Title II of Part Three or of Title IV of Part Three in accordance with Art. 92 (4) of CRR. This means that transitional amounts subject to provisions of Chapter 2 or 3 of Title II of Part Three should be reported as risk weighted exposure amounts, whereas transitional amounts subject to Title IV of Part Three should represent the own funds requirements multiplied by 12,5.

Whereas columns 010 to 030 have a direct link to the CA1 template, the adjustments to the total risk exposure amount do not have a direct link to the relevant templates for credit risk. If there are adjustments stemming from the transitional provisions to the total risk exposure amount, those adjustments shall be included directly in the CR SA, CR IRB, CR EQU IRB, MKR SA TDI, MKR SA EQU or MKR IM. Additionally, those effects shall be reported in column 040 of CA5.1. As a consequence, those amounts are only memorandum items.

050
Applicable percentage
060
Eligible amount without transitional provisions

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

Rows
010
1. Total adjustments

This row reflects the overall effect of transitional adjustments in the different types of capital, plus the risk weighted amounts arising from these adjustments

020
1.1. Grandfathered instruments

Articles 483 to 491 of CRR

This row reflects the overall effect of instruments transitionally grandfathered in the different types of capital.

030
1.1.1. Grandfathered instruments: Instruments constituting state aid

Article 483 CRR

040
1.1.1.1. Instruments that qualified as own funds according to 2006/48/EC

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

050
1.1.1.2. Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme

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

060
1.1.2. Instruments not constituting state aid

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

070
1.2. Minority interests and equivalents

Articles 479 and 480 of CRR

This row reflects the effects of transitional provisions in the minority interests eligible as CET1; the qualifying T1 instruments eligible as consolidated AT1; and the qualifying own funds eligible as consolidated T2.

080
1.2.1. Capital instruments and items that do not qualify as minority interests

Articles 479 of CRR

The amount to be reported in column 060 of this row shall be the amount qualifying as consolidated reserves in accordance with prior regulation.

090
1.2.2. Transitional recognition in consolidated own funds of minority interests

Articles 84 and 480 of CRR

The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.

091
1.2.3. Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital

Article 85 and 480 of CRR

The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.

092
1.2.4. Transitional recognition in consolidated own funds of qualifying Tier 2 capital

Article 87 and 480 of CRR

The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.

100
1.3. Other transitional adjustments

Articles 467 to 478 and 481 of CRR

This row reflects the overall effect of transitional adjustments in the deduction to different types of capital, unrealised gains and losses, additional filters and deductions plus the risk weighted amounts arising from these adjustments.

110
1.3.1. Unrealised gains and losses

Articles 467 and 468 of CRR

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

120
1.3.1.1. Unrealised gains

Article 468(1) of CRR

130
1.3.1.2. Unrealised losses

Article 467(1) of CRR

133
1.3.1.3. Unrealised gains on exposures to central governments classified in the ‘Available for sale’ category of EU-endorsed IAS39

Article 468 of CRR

136
1.3.1.4. Unrealised loss on exposures to central governments classified in the ‘Available for sale’ category of EU-endorsed IAS39

Article 467 of CRR

138
1.3.1.5. Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities

Article 468 of CRR

140
1.3.2. Deductions

Articles 36(1), 469 to 478 of CRR

This row reflects the overall effect of transitional provisions on deductions.

150
1.3.2.1. Losses for the current financial year

Articles 36(1) point (a), 469 (1), 472 (3) and 478 of CRR

The amount to be reported in column 060 of this row shall be the original deduction according to Article 36(1)(a) of CRR.

Where firms have only been required to deduct material losses:

  • where the total interim net loss was ‘material’, the full residual amount would be deducted from Tier 1, or

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

160
1.3.2.2. Intangible assets

Articles 36(1) point (b), 469 (1), 472 (4) and 478 of CRR

When determining the amount of intangible assets to be deducted, institutions shall take into account the provisions of Article 37 of CRR.

The amount to be reported in column 060 of this row shall be the original deduction according to Article 36(1)(b) of CRR.

170
1.3.2.3. Deferred tax assets that rely on future profitability and do not arise from temporary differences

Articles 36(1) point (c), 469 (1), 472 (5) and 478 of CRR

When determining the amount of the above-mentioned deferred tax assets (DTA) to be deducted, institutions shall take into account the provisions of Article 38 of CRR relating to the reduction of DTA by deferred tax liabilities.

The amount to be reported in column 060 of this row: Total amount according to Article 469(1) of CRR.

180
1.3.2.4. IRB shortfall of provisions to expected losses

Articles 36(1) point (d), 469 (1), 472 (6) and 478 of CRR

When determining the amount of the above-mentioned IRB shortfall of provisions to expected losses to be deducted, institutions shall take into account the provisions of Article 40 of CRR.

The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(d) of CRR

190
1.3.2.5. Defined benefit pension fund assets

Articles 33(1) point (e), 469 (1), 472 (7), 473 and 478 of CRR

When determining the amount of the above-mentioned defined benefit pension fund assets to be deducted, institutions shall take into account the provisions of Article 41 of CRR.

The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(e) of CRR

194
1.3.2.5.* of which: Introduction of amendments to IAS 19 – positive item

Article 473 of CRR

198
1.3.2.5.** of which: Introduction of amendments to IAS 19 – negative item

Article 473 of CRR

200
1.3.2.6. Own instruments

Articles 36(1) point (f), 469 (1), 472 (8) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(f) of CRR

210
1.3.2.6.1. Own CET1 instruments

Articles 36(1) point (f), 469 (1), 472 (8) and 478 of CRR

When determining the amount of the above-mentioned Own Common Equity Tier 1 instruments to be deducted, institutions shall take into account the provisions of Article 42 of CRR.

Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument, institutions shall break down holdings in own Common Equity instruments according to ‘direct’ and ‘indirect’ holdings.

The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(f) of CRR.

211
1.3.2.6.1** of which: Direct holdings

Article 469(1)(b), 472 (8) (a) of CRR

The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation.

212
1.3.2.6.1* of which: Indirect holdings

Article 469(1)(b), 472 (8) (b) of CRR

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

220
1.3.2.6.2. Own AT1 instruments

Articles 56 point (a), 474, 475(2) and 478 of CRR

When determining the amount of the above-mentioned holdings to be deducted, institutions shall take into account the provisions of Article 57 of CRR.

Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument (Article 475(2) of CRR), institutions shall break down the above-mentioned holdings according to ‘direct’ and ‘indirect’ own Additional Tier 1 holdings.

The amount to be reported in column 060 of this row: Original deduction according to Article 56 (a) of CRR.

221
1.3.2.6.2** of which: Direct holdings

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

222
1.3.2.6.2* of which: Indirect holdings

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

230
1.3.2.6.3. Own T2 instruments

Articles 66 point (a), 476, 477(2) and 478 of CRR

When determining the amount of the holdings to be deducted, institutions shall take into account the provisions of Article 67 of CRR.

Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument (Article 477(2) of CRR), institutions shall break down the above-mentioned holdings according to ‘direct’ and ‘indirect’ own Tier 2 holdings.

The amount to be reported in column 060 of this row: Original deduction0 according to Article 66 (a) of CRR.

231
of which: Direct holdings

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

232
of which: Indirect holdings

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

240
1.3.2.7. Reciprocal cross holdings

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

250
1.3.2.7.1. Reciprocal cross holdings in CET1 Capital

Articles 36(1) point (g), 469 (1), 472(9) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(g) of CRR

260
1.3.2.7.1.1. Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment

Articles 36(1) point (g), 469 (1), 472(9) point (a) and 478 of CRR

The amount to be reported in column 060 of this row: Residual amount according to Article 469(1)(b) of CRR

270
1.3.2.7.1.2. Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment

Articles 36(1) point (g), 469 (1), 472(9) point (b) and 478 of CRR

The amount to be reported in column 060 of this row: Residual amount according to Article 469(1)(b) of CRR

280
1.3.2.7.2. Reciprocal cross holdings in AT1 Capital

Articles 56 point (b), 474, 475(3) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction according to Article 56 (b) of CRR

290
1.3.2.7.2.1. Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment

Articles 56 point (b), 474, 475(3) point (a) and 478 of CRR

The amount to be reported in column 060 of this row: Residual amount according to Article 475(3) of CRR

300
1.3.2.7.2.2. Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment

Articles 56 point (b), 474, 475(3) point (b) and 478 of CRR

The amount to be reported in column 060 of this row: Residual amount according to Article 475(3) of CRR

310
1.3.2.7.3. Reciprocal cross holdings in T2 Capital

Articles 66 point (b), 476, 477(3) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction according to Article 66 (b) of CRR

320
1.3.2.7.3.1. Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment

Articles 66 point (b), 476, 477(3) point (a) and 478 of CRR

The amount to be reported in column 060 of this row: Residual amount according to Article 477(3) of CRR

330
1.3.2.7.3.2. Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment

Articles 66 point (b), 476, 477(3) point (b) and 478 of CRR

The amount to be reported in column 060 of this row: Residual amount according to Article 477(3) of CRR

340
1.3.2.8. Own funds instruments of financial sector entities where the institution does not have a significant investment
350
1.3.2.8.1. CET1 instruments of financial sector entities where the institution does not have a significant investment

Articles 36(1) point (h), 469 (1), 472(10) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(h) of CRR

360
1.3.2.8.2. AT1 instruments of financial sector entities where the institution does not have a significant investment

Articles 56 point (c), 474, 475(4) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction according to Article 56 (c) of CRR

370
1.3.2.8.3. T2 instruments of financial sector entities where the institution does not have a significant investment

Articles 66 point (c), 476, 477(4) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction according to Article 66 (c) of CRR

380
1.3.2.9. Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment

Article 470(2) and (3) of CRR

The amount to be reported in column 060 of this row: Article 470(1) of CRR

385
Deferred tax assets that are dependent on future profitability and arise from temporary differences

Article 469(1)(c), 478 and 472(5) CRR.

Part of deferred tax assets that rely in future profitability and arise from temporary differences which exceeds the 10 % threshold in Article 470(2) lit. (a) CRR.

390
1.3.2.10. Own funds instruments of financial sector entities where the institution has a significant investment
400
1.3.2.10.1. CET1 instruments of financial sector entities where the institution has a significant investment

Articles 36(1) point (i), 469 (1), 472(11) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(i) of CRR

410
1.3.2.10.2. AT1 instruments of financial sector entities where the institution has a significant investment

Articles 56 point (d), 474, 475(4) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction according to Article 56 (d) of CRR

420
1.3.2.10.2. T2 instruments of financial sector entities where the institution has a significant investment

Articles 66 point (d), 476, 477(4) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction according to Article 66 (d) of CRR

425
1.3.2.11. Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items

Article 471 of CRR

430
1.3.3. Additional filters and deductions

Article 481 of CRR

This row reflects the overall effect of transitional provisions on additional filters and deductions.

In accordance with Article 481 of CRR, institutions shall report in item 1.3.3 information relating to the filters and deductions required under the national transposition measures for Articles 57 and 66 of Directive 2006/48/EC and for Articles 13 and 16 of Directive 2006/49/EC, and which are not required in accordance with Part Two.

440
1.3.4. Adjustments due to IFRS 9 transitional arrangements

Institutions shall report information in relation with the transitional arrangements due to IFRS 9 in accordance with the applicable legal provisions.

1.6.3.C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)
25.Institutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting state aid (Article 484 to 491 of CRR).
1.6.3.1.Instructions concerning specific positions
Columns
010
Amount of instruments plus related share premium

Article 484(3) to (5) of CRR

Instruments which are eligible for each respective row, including their related share premiums.

020
Base for calculating the limit

Articles 486(2) to (4) of CRR

030
Applicable percentage

Article 486(5) of CRR

040
Limit

Article 486(2) to (5) of CRR

050
(-) Amount that exceeds the limits for grandfathering

Article 486(2) to (5) of CRR

060
Total grandfathered amount

The amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA 5.1.

Rows
010
1. Instruments that qualified for point (a) of Article 57 of 2006/48/EC

Article 484(3) of CRR

The amount to be reported shall include the related share premium accounts.

020
2. Instruments that qualified for point (ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489

Article 484(4) of CRR

030
2.1. Total instruments without a call or an incentive to redeem

Article 484(4) and 489 of CRR

The amount to be reported shall include the related share premium accounts.

040
2.2. Grandfathered instruments with a call and incentive to redeem

Article 489 of CRR

050
2.2.1. Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of CRR after the date of effective maturity

Articles 489(3), and 491 point (a) of CRR

The amount to be reported shall include the related share premium accounts.

060
2.2.2. Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity

Articles 489(5), and 491 point (a) of CRR

The amount to be reported shall include the related share premium accounts.

070
2.2.3. Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity

Articles 489(6) and 491 point (c) of CRR

The amount to be reported shall include the related share premium accounts

080
2.3. Excess on the limit of CET1 grandfathered instruments

Article 487(1) of CRR

The excess on the limit of CET1 grandfathered instruments may be treated as instruments which can be grandfathered as AT1 instruments.

090
3. Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490

Article 484(5) of CRR

100
3.1. Total items without an incentive to redeem

Article 490 of CRR

110
3.2. Grandfathered items with an incentive to redeem

Article 490 of CRR

120
3.2.1. Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity

Articles 490(3), and 491 point (a) of CRR

The amount to be reported shall include the related share premium accounts.

130
3.2.2. Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity

Articles 490(5), and 491 point (a) of CRR

The amount to be reported shall include the related share premium accounts.

140
3.2.3. Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity

Articles 490(6) and 491 point (c) of CRR

The amount to be reported shall include the related share premium accounts.

150
3.3. Excess on the limit of AT1 grandfathered instruments

Article 487(2) of CRR

The excess on the limit of AT1 grandfathered instruments may be treated as instruments which can be grandfathered as T2 instruments.

2.GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

2.1.GENERAL REMARKS
26.Templates C 06.01 and C 06.02 shall be reported if own funds requirements are calculated on a consolidated basis. This template consists of four parts in order to gather different information on all individual entities (including the reporting institution) included in the scope of consolidation.
(a)

Entities within the scope of consolidation;

(b)

Detailed group solvency information;

(c)

Information on the contribution of individual entities to group solvency;

(d)

Information on capital buffers;

27.Institutions waived according to Article 7 of CRR shall only report the columns 010 to 060 and 250 to 400.
28.The figures reported take into account all applicable transitional provisions of Regulation (EU) No 575/2013 which are applicable at the respective reporting date.
2.2.DETAILED GROUP SOLVENCY INFORMATION
29.The second part of this template (detailed group solvency information) in columns 070 to 210 is designed to gather information on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for each risk category and the own funds for solvency purposes.
30.In the case of proportional consolidation of participations, the figures related to own funds requirements and own funds shall reflect the respective proportional amounts.
2.3.INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY
31.The objective of the third part of this template (information on the contributions of all entities within CRR scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 250 to 400, is to identify which entities within the group generate the risks and raise own funds from the market, based on data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared to each other.
32.The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds.
33.As this third part of the template refers to ‘contributions’, the figures to be reported herein shall defer, when applicable, from the figures reported in the columns referring to detailed group solvency information.
34.The principle is to delete the cross-exposures within the same groups in a homogeneous way both in terms of risks or own funds, in order to cover the amounts reported in the group's consolidated CA template by adding the amounts reported for each entity in ‘Group Solvency’ template. In cases where the 1 % threshold is not exceeded a direct link to the CA template is not possible.
35.The institutions shall define the most appropriate breakdown method between the entities to take into account the possible diversification effects for market risk and operational risk.
36.It is possible for one consolidated group to be included within another consolidated group. This means that the entities within a subgroup shall be reported entity-by-entity in the GS of the entire group, even if the sub-group itself is subject to reporting requirements. If the subgroup is subject to reporting requirements, it shall also report the GS template on an entity-by-entity basis, although those details are included in the GS template of a higher consolidated group.
37.An institution shall report data of the contribution of an entity when its contribution to the total risk exposure amount exceeds 1 % of the total risk exposure amount of the group or when its contribution to the total own funds exceeds 1 % of the total own funds of the group. This threshold does not apply in the case of subsidiaries or subgroups that provide own funds (in the form of minority interests or qualifying AT1 or T2 instruments included in own funds) to the group.
2.4.C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – Total (GS Total)
ColumnsInstructions
250-400
ENTITIES WITHIN SCOPE OF CONSOLIDATION

See instructions for C 06.02

410-480
CAPITAL BUFFERS

See instructions for C 06.02

RowsInstructions
010
TOTAL

The Total shall represent the sum of the values reported in all rows of template C 06.02.

2.5.C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
ColumnsInstructions
010-060
ENTITIES WITHIN SCOPE OF CONSOLIDATION

This template is designed to gather information on all entities on an entity-by-entity-basis within the scope of consolidation according to Chapter 2 of Title II of Part One of CRR.

010
NAME

Name of the entity within the scope of consolidation.

020
CODE

This code is a row identifier and shall be unique for each row in the table.

Code assigned to the entity within the scope of consolidation.

The actual composition of the code depends on the national reporting system.

025
LEI CODE

LEI code stands for Legal Entity Identification code which is a reference code proposed by the Financial Stability Board (FSB) and endorsed by the G20, aimed at achieving a unique and worldwide identification of parties to financial transactions.

Until the global LEI system is fully operational, pre-LEI codes are being assigned to counterparties by a Local Operational Unit that has been endorsed by Regulatory Oversight Committee (ROC, detailed information may be found at the following website: www.leiroc.org).

Where a Legal Entity Identification code (LEI code) exists for a given counterparty, it shall be used to identify that counterparty.

030
INSTITUTION OR EQUIVALENT (YES/NO)

‘YES’ shall be reported in case the entity is subject to own funds requirements according to CRR and CRD or provisions at least equivalent to Basel provisions.

‘NO’ shall be reported otherwise.

Minority interests:

Articles 81(1) point (a) (ii) and 82(1) point (a) (ii) of CRR

To the effects of minority interests and AT1 and T2 instruments issued by subsidiaries, the subsidiaries whose instruments can be eligible shall be institutions or undertakings subject by virtue of applicable national law to the requirements of CRR.

040
SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP)

‘SF’ shall be reported for individual subsidiaries fully consolidated.

‘SP’ shall be reported for individual subsidiaries partially consolidated.

050
COUNTRY CODE

Institutions shall report the two-letter country code according to ISO 3166-2.

060
SHARE OF HOLDING (%)

This percentage refers to the actual share of capital the parent undertaking holds in subsidiaries. In case of full consolidation of a direct subsidiary, the actual share is e.g. 70 %. In accordance with Article 4(16) of CRR, the share of holding of a subsidiary of a subsidiary to be reported results from a multiplication of the shares between the subsidiaries concerned.

070-240
INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT

The section of detailed information (i.e. columns 070 to 240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Chapter 2 of Title II of Part One of CRR), are effectively subject to solvency requirements according to CRR or provisions at least equivalent to Basel provisions (i.e, reported yes in column 030).

Information shall be included about all individual institutions of a consolidated group that are subject to own funds requirements, regardless where they are located.

The information reported in this part shall be according to the local solvency rules where the institution is operating (therefore for this template it is not necessary to do a double calculation on an individual basis according to the parent institution's rules). When local solvency rules differ from CRR and a comparable breakdown is not given, the information shall be completed where data is available in the respective granularity. Therefore, this part is a factual template that summarises the calculations that the individual institutions of a group shall carry out, bearing in mind that some of those institutions may be subject to different solvency rules.

Reporting of fixed overheads of investment firms:

Investment firms shall include own funds requirements related to fixed overheads in their calculation of capital ratio according to Articles 95, 96, 97 and 98 of CRR.

The part of the total risk exposure amount related to fixed overheads shall be reported in column 100 of part 2 of this template.

070
TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 080 to 110 shall be reported.

080
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK

The amount to be reported in this column corresponds to the sum of risk weighted exposure amounts that are equal or equivalent to the ones that must be reported in row 040 ‘RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES’ and the amounts of own funds requirements that are equal or equivalent to the ones that must be reported in row 490 ‘TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS’ of the template CA2.

090
POSITION, FX AND COMMODITY RISKS

The amount to be reported in this column corresponds to the amount of own funds requirements that are equal or equivalent to the ones that must be reported in row 520 ‘TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS’ of the template CA2.

100
OPERATIONAL RISK

The amount to be reported in this column corresponds to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 590 ‘TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR)’ of the template CA2.

Fixed overheads shall be included in this column including the row 630 ‘ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS’ of the template CA2.

110
OTHER RISK EXPOSURE AMOUNTS

The amount to be reported in this column corresponds to the risk exposure amount not especially listed above. It is the sum of the amounts of rows 640, 680 and 690 of the template CA2.

120-240
DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS

The information reported in the following columns shall be according to the local solvency rules where the entity or subgroup is operating.

120
OWN FUNDS

The amount to be reported in this column corresponds to the amount of own funds that are equal or equivalent to the ones that must be reported in row 010 ‘OWN FUNDS’ of the template CA1.

130
OF WHICH: QUALIFYING OWN FUNDS

Article 82 of CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions.

Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings, share premium accounts and other reserves) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

140
RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES

Article 87(1)(b) of CRR

150
TOTAL TIER 1 CAPITAL

Article 25 of CRR

160
OF WHICH: QUALIFYING TIER 1 CAPITAL

Article 82 of CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions.

Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

170
RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

Article 85(1)(b) of CRR

180
COMMON EQUITY TIER 1 CAPITAL

Article 50 of CRR

190
OF WHICH: MINORITY INTERESTS

Article 81 of CRR

This column shall only be reported for subsidiaries fully consolidated which are institutions, except subsidiaries referred to in article 84(3) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 84 of CRR, if relevant, in accordance with article 84(2), otherwise on a solo basis.

To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the CET1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

200
RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES

Article 84(1)(b) of CRR

210
ADDITIONAL TIER 1 CAPITAL

Article 61 of CRR

220
OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

Articles 82 and 83 of CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated which are institutions, except subsidiaries referred to in Article 85(2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 85 of CRR, if relevant, in accordance with article 85(2), otherwise on a solo basis.

To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the AT1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

230
TIER 2 CAPITAL

Article 71 of CRR

240
OF WHICH: QUALIFYING TIER 2 CAPITAL

Articles 82 and 83 of CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions, except subsidiaries referred to in Article 87(2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 87 of CRR, if relevant, in accordance with article 87(2) of CRR, otherwise on a solo basis.

To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the T2 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision, i.e. it has to be the eligible amount in the date of reporting.

250-400
INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP
250-290
CONTRIBUTION TO RISKS

The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution.

250
TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 260 to 290 shall be reported.

260
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK

The amount to be reported shall be the risk weighted exposure amounts for credit risk and own funds requirements of settlement/delivery risk as per CRR, excluding any amount related to transactions with other entities included in the Group consolidated solvency ratio computation.

270
POSITION, FX AND COMMODITY RISKS

Risk exposure amounts for market risks are to be computed at each entity level following CRR. Entities shall report the contribution to the total risk exposure amounts for position, FX and commodity risk of the group. The sum of amounts reported here corresponds to the amount reported in row 520 ‘TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS’ of the consolidated report.

280
OPERATIONAL RISK

In case of AMA, the reported risk exposure amounts for operational risk include the effect of diversification.

Fixed overheads shall be included in this column.

290
OTHER RISK EXPOSURE AMOUNTS

The amount to be reported in this column corresponds to the risk exposure amount not especially listed above.

300-400
CONTRIBUTION TO OWN FUNDS

This part of the template does not intend to impose that institutions perform a full computation of the total capital ratio at the level of each entity.

Columns 300 to 350 shall be reported for those consolidated entities which contribute to own funds by minority interest, qualifying Tier 1 capital and/or qualifying own funds. Subject to the threshold defined in the last paragraph of Part II, chapter 2.3 above, columns 360 to 400 shall be reported for all consolidated entities which contribute to the consolidated own funds.

Own funds brought to an entity by the rest of entities included within the scope of the reporting entity shall not to be taken into account, only the net contribution to the group own funds shall be reported in this column, that is mainly the own funds raised from third parties and accumulated reserves.

The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution.

300-350
QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

The amount to be reported as ‘QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS’ shall be the amount as derived from Title II of Part Two of CRR, excluding any fund brought in by other group entities.

300
QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

Article 87 of CRR

310
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

Article 85 of CRR

320
MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

Article 84 of CRR

The amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated CET1 according to the CRR.

330
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

Article 86 of CRR

The amount to be reported is the amount of qualifying T1 capital of a subsidiary that is included in consolidated AT1 according to the CRR.

340
QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

Article 88 of CRR

The amount to be reported is the amount of qualifying own funds of a subsidiary that is included in consolidated T2 according to the CRR.

350
MEMORANDUM ITEM: GOODWILL (–)/(+) NEGATIVE GOODWILL
360-400
CONSOLIDATED OWN FUNDS

Article 18 CRR

The amount to be reported as ‘CONSOLIDATED OWN FUNDS’ is the amount as derived from the balance sheet, excluding any fund brought in by other group entities.

360
CONSOLIDATED OWN FUNDS
370
OF WHICH: COMMON EQUITY TIER 1
380
OF WHICH: ADDITIONAL TIER 1
390
OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

The contribution of each entity to the consolidated result (profit or loss (–)) is reported. This includes the results attributable to minority interests.

400
OF WHICH: (–) GOODWILL/(+) NEGATIVE GOODWILL

Goodwill or negative goodwill of the reporting entity on the subsidiary is reported here.

410-480
CAPITAL BUFFERS

The structure of the reporting of capital buffers for the GS template follows the general structure of the template CA4, using the same reporting concepts. When reporting the capital buffers for the GS template, the relevant amounts shall be reported in accordance with the provisions applicable to determine the buffer requirement for the consolidated situation of a group. Therefore, the reported amounts of capital buffers represent the contributions of each entity to group capital buffers. The amounts reported shall be based on the national transposition measures of Directive 2013/36/EU (CRD) and on Regulation (EU) No 575/2013 (CRR), including any transitional provisions provided for therein.

410
COMBINED BUFFER REQUIREMENTS

Article 128 point (6) of CRD

420
CAPITAL CONSERVATION BUFFER

Article 128 point (1) and 129 of CRD

According to Article 129(1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this cell.

430
INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER

Article 128 point (2), Article 130 and 135-140 of CRD

In this cell the concrete amount of the countercyclical buffer shall be reported.

440
CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE

Article 458(2) point d (iv) of CRR

In this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 of CRR in addition to the capital conservation buffer shall be reported.

450
SYSTEMIC RISK BUFFER

Articles 128 point (5), 133 and 134 of CRD

In this cell the amount of the systemic risk buffer shall be reported.

470
GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Articles 128 point (3) and 131 of CRD

In this cell the amount of the Global Systemically Important Institution buffer shall be reported.

480
OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Articles 128 point (4) and 131 of CRD

In this cell the amount of the Other Systemically Important Institution buffer shall be reported.

3.CREDIT RISK TEMPLATES

3.1.GENERAL REMARKS
38.There are different sets of templates for the Standardised approach and the IRB approach for credit risk. Additionally, separate templates for the geographical breakdown of positions subject to credit risk shall be reported if the relevant threshold as set out in Article 5(a)(4) is exceeded.
3.1.1.Reporting of CRM techniques with substitution effect
39.Article 235 of CRR describes the computation procedure of the exposure which is fully protected by unfunded protection.
40.Article 236 of CRR describes the computation procedure of exposure which is fully protected by unfunded protection in the case of full protection/partial protection — equal seniority.
41.Articles 196, 197 and 200 of CRR regulate the funded credit protection.
42.Reporting of exposures to obligors (immediate counterparties) and protection providers which are assigned to the same exposure class shall be done as an inflow as well as an outflow to the same exposure class.
43.The exposure type does not change because of unfunded credit protection.
44.If an exposure is secured by an unfunded credit protection, the secured part is assigned as an outflow e.g. in the exposure class of the obligor and as an inflow in the exposure class of the protection provider. However, the type of the exposure does not change due to the change of the exposure class.
45.The substitution effect in the COREP reporting framework shall reflect the risk weighting treatment effectively applicable to the covered part of the exposure. As such, the covered part of the exposure is risk weighted according to the SA approach and shall be reported in the CR SA template.
3.1.2.Reporting of Counterparty Credit Risk
46.Exposures stemming from Counterparty Credit Risk positions shall be reported in templates CR SA or CR IRB independent from whether they are Banking Book items or Trading Book items.
3.2.C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)
3.2.1.General remarks
47.The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk according to the standardised approach. In particular, they provide detailed information on:
a)

the distribution of the exposure values according to the different, exposure types, risk weights and exposure classes;

b)

the amount and type of credit risk mitigation techniques used for mitigating the risks.

3.2.2.Scope of the CR SA template
48.According to Article 112 of CRR each SA exposure shall be assigned to one of the 16 SA exposure classes in order to calculate the own funds requirements.
49.The information in CR SA is requested for the total exposure classes and individually for each of the exposure classes as defined for the standardised approach. The total figures as well as the information of each exposure class are reported in a separate dimension.
50.However the following positions are not within the scope of CR SA:
(a)

Exposures assigned to exposure class ‘items representing securitisation positions’ according to Article 112 (m) of CRR which shall be reported in the CR SEC templates.

(b)

Exposures deducted from own funds.

51.The scope of the CR SA template covers the following own funds requirements:
(a)

Credit risk in accordance with Chapter 2 (Standardised Approach) of Title II of Part Three of CRR in the banking book, among which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the banking book;

(b)

Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the trading book;

(c)

Settlement risk arising from free deliveries in accordance with Article 379 of CRR in respect of all the business activities.

52.The scope of the template are all exposures for which the own funds requirements are calculated according to part 3 title II chapter 2 of CRR in conjunction with part 3 title II chapter 4 and 6 of CRR. Institutions that apply Article 94(1) of CRR also need to report their trading book positions in this template when they apply part 3 title II chapter 2 of CRR to calculate the own funds requirements thereof (part 3 title II chapter 2 and 6 and title V of CRR). Therefore the template provides not only detailed information on the type of the exposure (e.g. on balance sheet/off balance sheet items), but also information on the allocation of risk weights within the respective exposure class.
53.In addition CR SA includes memorandum items in rows 290 to 320 in order to collect further information about exposures secured by mortgages on immovable property and exposures in default.
54.These memorandum items shall only be reported for the following exposure classes:
(a)

Central governments or central banks (Article 112 point (a) of CRR)

(b)

Regional governments or local authorities (Article 112 point (b) of CRR)

(c)

Public sector entities (Article 112 point (c) of CRR)

(d)

Institutions (Article 112 point (f) of CRR)

(e)

Corporates (Article 112 point (g) of CRR)

(f)

Retail (Article 112 point (h) of CRR).

55.The reporting of the memorandum items affect neither the calculation of the risk weighted exposure amounts of the exposure classes according to Article 112 points a) to c) and f) to h) of CRR nor of the exposure classes according to Article 112 points i) and j) of CRR reported in CR SA.
56.The memorandum rows provide additional information about the obligor structure of the exposure classes ‘in default’ or ‘secured by immovable property’. Exposures shall be reported in these rows where the obligors would have been reported in the exposure classes ‘Central governments or central banks’, ‘Regional governments or local authorities’, ‘Public sector entities’, ‘Institutions’, ‘Corporates’ and ‘Retail’ of CR SA, if those exposures were not assigned to the exposure classes ‘in default’ or ‘secured by immovable property’. However the figures reported are the same as used to calculate the risk weighted exposure amounts in the exposure classes ‘in default’ or ‘secured by immovable property’.
57.E.g. if an exposure, the risk exposure amounts of which are calculated subject to Article 127 of CRR and the value adjustments are less than 20 %, then this information is reported in CR SA, row 320 in the total and in the exposure class ‘in default’. If this exposure, before it defaulted, was an exposure to an institution then this information shall also be reported in row 320 of exposure class ‘institutions’.
3.2.3.Assignment of exposures to exposure classes under the Standardised Approach
58.In order to ensure a consistent categorisation of exposures into the different exposure classes as defined in Article 112 of CRR the following sequential approach shall be applied:
(a)

In the first step the Original exposure pre conversion factors is classified into the corresponding (original) exposure class as referred to in Article 112 of CRR, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.

(b)

In a second step the exposures may be redistributed to other exposure classes due to the application of credit risk mitigation (CRM) techniques with substitution effects on the exposure (e.g. guarantees, credit derivatives, financial collateral simple method) via inflows and outflows.

59.The following criteria apply for the classification of the Original exposure pre conversion factors into the different exposure classes (first step) without prejudice to the subsequent redistribution caused by the use of CRM techniques with substitution effects on the exposure or to the treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.
60.For the purpose of classifying the original exposure pre conversion factor in the first step, the CRM techniques associated to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class mentioned in Article 112 point (i) of CRR (exposures secured by mortgages on immovable property).
61.Article 112 of CRR does not provide criteria for disjoining the exposure classes. This might imply that one exposure could potentially be classified in different exposure classes if no prioritisation in the assessment criteria for the classification is provided. The most obvious case arises between exposures to institutions and corporate with a short-term credit assessment (Article 112 point (n) of CRR) and exposures to institutions (Article 112 point (f) of CRR)/exposures to corporates (Article 112 point (g) of CRR). In this case it is clear that there is an implicit prioritisation in the CRR since it shall be assessed first if a certain exposure fit for being assigned to Short-term exposures to institutions and corporate and only afterwards do the same process for exposures to institutions and exposures to corporates. Otherwise it is obvious that the exposure class mentioned in Article 112 point (n) of CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but not the only one. It is worth noting that the criteria used for establishing the exposure classes under the standardised approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is the underlying reason for non disjoint groupings.
62.For a homogeneous and comparable reporting it is necessary to specify prioritisation assessment criteria for the assignment of the Original exposure pre conversion factor by exposure classes, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. The prioritisation criteria presented below using a decision tree scheme are based on the assessment of the conditions explicitly laid down in the CRR for an exposure to fit in a certain exposure class and, if it is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. As such, the outcome of the exposure assignment process for reporting purposes would be in line with CRR provisions. This does not preclude institutions to apply other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora.
63.An exposure class shall be given priority to others in the assessment ranking in the decision tree (i.e. it shall be first assessed if an exposure can be assigned to it, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. This would be the case when in the absence of prioritisation criteria one exposure class would be a subset of others. As such the criteria graphically depicted in the following decision tree would work on a sequential process.
64.With this background the assessment ranking in the decision tree mentioned below would follow the following order:
1.

Securitisation positions;

2.

Items associated with particular high risk;

3.

Equity exposures

4.

Exposures in default;

5.

Exposures in the form of units or shares in collective investment undertakings (‘CIU’)/Exposures in the form of covered bonds (disjoint exposure classes);

6.

Exposures secured by mortgages on immovable property;

7.

Other items;

8.

Exposures to institutions and corporates with a short-term credit assessment;

9.

All other exposure classes (disjoint exposure classes) which include Exposures to central governments or central banks; Exposures to regional governments or local authorities; Exposures to public sector entities; Exposures to multilateral development banks; Exposures to international organisations; Exposures to institutions; Exposures to corporate and Retail exposures.

65.In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach (Article 132(3) to (5) of CRR) is used, the underlying individual exposures shall be considered and classified into their corresponding risk weight line according to their treatment, but all the individual exposures shall be classified within the exposure class of exposures in the form of units or shares in collective investment undertakings (‘CIU’).
66.In the case of ‘nth’ to default credit derivatives specified in Article 134(6) of CRR, if they are rated, they shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the ‘Other items’ exposure class. In this latter case the nominal amount of the contract shall be reported as the Original exposure pre conversion factors in the line for ‘Other risk weights’ (the risk weight used shall be that specified by the sum indicated under Article 134(6) of CRR.
67.In a second step, as a consequence of credit risk mitigation techniques with substitution effects, exposures shall be reallocated to the exposure class of the protection provider.
DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH ACCORDING TO CRR
Original exposure pre conversion factors
Does it fit for being assigned to the exposure class of Article 112 (m)?

YES

Securitisation positions

NO

Does it fit for being assigned to the exposure class of Article 112point (k)?

YES

Items associated with particular high risk (also see Article 128)

NO

Does it fit for being assigned to the exposure class of Article 112 point (p)?

YES

Equity exposures (also see Article 133)

NO

Does it fit for being assigned to the exposure class of Article 112 point (j)?

YES

Exposures in default

NO

Does it fit for being assigned to the exposure classes of Article 112 points (l) and (o)?

YES

Exposures in the form of units or shares in collective investment undertakings (CIU)

Exposures in the form of covered bonds (also see Article 129)

These two exposure classes are disjoint among themselves (see comments on the look-through approach in the answer above). Therefore the assignment to one of them is straightforward.

NO

Does it fit for being assigned to the exposure class of Article 112 point (i)?

YES

Exposures secured by mortgages on immovable property (also see Article 124)

NO

Does it fit for being assigned to the exposure class of Article 112 point (q)?

YES

Other items

NO

Does it fit for being assigned to the exposure class of Article 112 point (n)?

YES

Exposures to institutions and corporates with a short-term credit assessment

NO

The exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward.

Exposures to central governments or central banks

Exposures to regional governments or local authorities

Exposures to public sector entities

Exposures to multilateral development banks

Exposures to international organisations

Exposures to institutions

Exposures to corporates

Retail exposures

3.2.4.Clarifications on the scope of some specific exposure classes referred to in Article 112 of CRR
3.2.4.1.Exposure Class ‘Institutions’
68.Reporting of intra-group exposures according to Article 113(6) to (7) of CRR shall be done as follows:
69.Exposures which fulfil the requirements of Article 113(7) of CRR shall be reported in the respective exposure classes where they would be reported if they were no intra-group exposures.
70.According Article 113(6) and (7) of CRR ‘an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of this Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC.’ This means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings within the meaning of Article 12(1) of Directive 83/349/EEC. Therefore intra-group exposures shall be reported in the corresponding exposure class.
3.2.4.2.Exposure Class ‘Covered Bonds’
71.The assignment of SA exposures to the exposure class ‘covered bonds’ shall be done as follows:
72.Bonds as defined in Article 52(4) of Directive 2009/65/EC shall fulfil the requirements of Article 129(1) to (2) of CRR to be classified in the exposure class ‘Covered Bonds’. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds according to Article 52(4) of Directive 2009/65/EC and issued before 31 December 2007, are also assigned to the exposure class ‘Covered Bonds’ because of Article 129(6) of CRR.
3.2.4.3.Exposure class ‘Collective Investment Undertakings’
73.Where the possibility according to Article 132(5) of CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items according to Article 111(1) sentence 1 of CRR.
3.2.5.Instructions concerning specific positions
Columns
010
ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Exposure value according to Article 111 of CRR without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) of CRR:

For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR or subject to Article 92(3) point (f) of CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 of CRR.

Exposure values for leases are subject to Article 134(7) of CRR.

In case of on-balance sheet netting laid down in Article 219 of CRR the exposure values shall be reported according to the received cash collateral.

In the case of master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market driven transactions subject to part 3 title II chapter 6 of CRR, the effect of Funded Credit Protection in the form of master netting agreements as under Article 220(4) of CRR shall be included in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to the provisions in part 3 title II chapter 6 of CRR, E* as calculated under Articles 220 and 221 of CRR shall be reported in column 010 of the CR SA template.

030
(-) Value adjustments and provision associated with the original exposure

Article 24 and 111 of CRR

Value adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject to.

040
Exposure net of value adjustments and provisions

Sum of columns 010 and 030.

050-100
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

Credit risk mitigation techniques as defined in Article 4(57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in Substitution of the exposure due to CRM.

If collateral has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value.

Items to be reported here:

  • collateral, incorporated according to Financial Collateral Simple Method;

  • eligible unfunded credit protection.

Please also see instructions of point 4.1.1.

050-060
Unfunded credit protection: adjusted values (Ga)

Article 235 of CRR

Article 239(3) of CRR defines the adjusted value Ga of an unfunded credit protection.

050
Guarantees

Article 203 of CRR

Unfunded Credit Protection as defined in Article 4(59) of CRR different from Credit Derivatives.

060
Credit derivatives

Article 204 of CRR.

070-080
Funded credit protection

These columns refer to funded credit protection according to Article 4(58) of CRR and Articles 196, 197 and 200 of CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre conversion factors).

Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR shall be treated as cash collateral.

070
Financial collateral: simple method

Article 222(1) to (2) of CRR.

080
Other funded credit protection

Article 232 of CRR.

090-100
SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Articles 222(3), Article 235(1) to (2) and Article 236 of CRR.

Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and subsequently assigned to the protection provider's exposure class. This amount shall be considered as an Inflow into the protection provider's exposure class.

Inflows and outflows within the same exposure classes shall also be reported.

Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.

110
NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

Amount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

120-140
CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD

Articles 223, 224, 225, 226, 227 and 228 of CRR. It also includes credit linked notes (Article 218 of CRR)

Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR are treated as cash collateral.

The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, is calculated according to Articles 223, 224, 225, 226, 227 and 228 of CRR.

120
Volatility adjustment to the exposure

Article 223(2) to (3) of CRR.

The amount to be reported is given by the impact of the volatility adjustment to the exposure (EVA-E) = E*He

130
(-) Financial collateral adjusted value (Cvam)

Article 239(2) of CRR.

For trading book operations includes financial collateral and commodities eligible for trading book exposures according to Article 299(2) points (c) to (f) of CRR.

The amount to be reported corresponds to Cvam = C*(1-Hc-Hfx)*(t-t*)/(T-t*). For a definition of C, Hc, Hfx, t, T and t* see part 3 title II chapter 4 section 4 and 5 of CRR.

140
(-) Of which: Volatility and maturity adjustments

Article 223(1) of CRR and Article 239(2) of CRR.

The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva) = C*(1-Hc-Hfx)*[(t-t*)/(T-t*)-1]

150
Fully adjusted exposure value (E*)

Article 220(4), Article 223(2) to (5) and Article 228(1) of CRR.

160-190
Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors

Article 111(1) and Article 4(56) of CRR. See also Article 222(3) and Article 228(1) of CRR.

The figures reported shall be the fully adjusted exposure values before application of the conversion factor.

200
Exposure value

Article 111 of CRR and Part 3 title II chapter 4 section 4 of CRR.

Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights according to Article 113 and part 3 title II chapter 2 section 2 of CRR.

210
Of which: Arising from Counterparty Credit Risk

For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR, the exposure value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 2, 3, 4, 5 of CRR.

215
Risk weighted exposure amount pre SME-supporting factor

Article 113(1) to (5) of CRR without taking into account the SME-supporting factor according to Article 501 of CRR.

220
Risk weighted exposure amount after SME-supporting factor

Article 113(1) to (5) of CRR taking into account the SME-supporting factor according to Article 500 of CRR.

230
Of which: with a credit assessment by a nominated ECAI

Article 112 a) to d), f), g), l), n) o) and q) of CRR

240
Of which: with a credit assessment derived from central government

Article 112 b) to d), f), g), l) and o) of CRR

RowsInstructions
010
Total exposures
015
of which: Defaulted exposures

Article 127 CRR

This row shall only be reported in exposure classes ‘Items associated with a particular high risk’ and ‘Equity exposures’.

If an exposure is either listed in Article 128(2) of CRR or meets the criteria set in Articles 128(3) or 133 of CRR, it shall be assigned to the exposure class ‘Items associated with particular high risk’ or ‘Equity exposures’. Consequently, there should be no other allocation, even if the exposure is defaulted according to Article 127 of CRR.

020
of which: SME

All exposures to SME shall be reported here.

030
of which: Exposures subject to the SME-supporting factor

Only exposures which meet the requirements of Article 501 CRR shall be reported here.

040
of which: Secured by mortgages on immovable property — Residential property

Article 125 of CRR.

Only reported in exposure class ‘Secured by mortgages on immovable property’

050
of which: Exposures under the permanent partial use of the standardised approach

Exposures treated under Article 150(1) of the CRR

060
of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation

Exposures treated under Article 148(1) of the CRR

070-130
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES

Reporting institution's ‘banking book’ positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.

Reporting institution's ‘trading book’ counterparty credit risk positions according to Article 92(3) point (f) and Article 299(2) of CRR are assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) of CRR also break down their ‘trading book’ positions following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.

070
On balance sheet exposures subject to credit risk

Assets referred to in Article 24 of CRR not included in any other category.

Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 090, 110 and 130, and therefore shall not be reported in this row.

Free deliveries according to Article 379(1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.

Exposures arising from assets posted to a CCP according to Article 4(90) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if not reported in row 030.

080
Off balance sheet exposures subject to credit risk

Off-balance sheet positions comprise those items listed in Annex I of CRR.

Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040, 060 and, therefore, not reported in this row.

Exposures arising from assets posted to a CCP according to Article 4(90) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if they are considered as off-balance sheet items.

090-130
Exposures/Transactions subject to counterparty credit risk
090
Securities Financing Transactions

Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document ‘The Application of Basel II to Trading Activities and the Treatment of Double Default Effects’, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4(82) of CRR as well as securities or commodities lending and borrowing transactions; (ii) margin lending transactions as defined in Article 272(3) of CRR.

100
Of which: centrally cleared through a QCCP

Article 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR.

Trade exposures to a CCP according to Article 4(91) of CRR

110
Derivatives and Long Settlement Transactions

Derivatives comprise those contract listed in Annex II of CRR.

Long Settlement Transactions as defined in Article 272(2) of CRR.

Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 130, shall not be reported in this row.

120
Of which: centrally cleared through a QCCP

Article 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR

Trade exposures to a CCP according to Article 4(91) of CRR

130
From Contractual Cross Product Netting

Exposures that due to the existence of a contractual cross product netting (as defined in Article 272(11) of CRR) cannot be assigned to either Derivatives & Long Settlement Transactions or Securities Financing Transactions, shall be included in this row.

140-280
BREAKDOWN OF EXPOSURES BY RISK WEIGHTS
140 0 %
150

2 %

Article 306(1) of CRR

160

4 %

Article 305(3) of CRR

170 10 %
180 20 %
190 35 %
200 50 %
210

70 %

Article 232(3) point (c) of CRR.

220 75 %
230 100 %
240 150 %
250

250 %

Article 133(2) of CRR

260

370 %

Article 471 of CRR

270

1 250 %

Article 133(2) of CRR

280
Other risk weights

This row is not available for exposure classes Government, Corporates, Institutions and Retail.

For reporting those exposures not subject to the risk weights listed in the template.

Article 113(1) to (5) of CRR.

Unrated nth to default credit derivatives under the Standardized Approach (Article 134(6) of CRR) shall be reported in this row under the exposure class ‘Other items’.

See also Article 124(2) and Article 152(2) point (b) of CRR.

290-320
Memorandum Items

See also the explanation of the purpose of the memorandum items in the general section of the CR SA.

290
Exposures secured by mortgages on commercial immovable property

Article 112 point (i) of CRR

This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property according to Article 124 and 126 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by commercial real estate.

300
Exposures in default subject to a risk weight of 100 %

Article 112 point (j) of CRR.

Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default.

310
Exposures secured by mortgages on residential property

Article 112 point (i) of CRR.

This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property according to Article 124 and 125 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by real estate property.

320
Exposures in default subject to a risk weight of 150 %

Article 112 point (j) of CRR.

Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default.

3.3.CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)
3.3.1.Scope of the CR IRB template
74.The scope of the CR IRB template covers own funds requirements for:
i.

Credit risk in the banking book, among which:

  • Counterparty credit risk in the banking book;

  • Dilution risk for purchased receivables;

ii.

Counterparty credit risk in the trading book;

iii.

Free deliveries resulting from all business activities..

75.The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated according to Articles 151 to 157 Part Three Title II Chapter 3 CRR (IRB approach).
76.The CR IRB template does not cover the following data:
i.

Equity exposures, which are reported in the CR EQU IRB template;

ii.

Securitisation positions, which are reported in the CR SEC SA, CR SEC IRB and/or CR SEC Details templates;

iii.

‘Other non-obligation assets’, according to Article 147(2) point (g) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, according to Article 156 CRR. The risk weighted exposure amounts for this exposure class are reported directly in the CA-Template;

iv.

Credit valuation adjustment risk, which is reported on the CVA Risk template;

The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown is reported in the template CR GB.

77.In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors the following information shall be provided for each reported exposure class:

In any case, for the reporting of the retail portfolios ‘YES’ has to be reported.

In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as uses supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.

3.3.2.Breakdown of the CR IRB template
78.The CR IRB consists of two templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate total risk exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools. The templates CR IRB 1 and CR IRB 2 shall be reported separately for the following exposure and sub-exposure classes:
1.

Total

(The Total template must be reported for the Foundation IRB and, separately for the Advanced IRB approach.)

2.

Central banks and central governments

(Article 147(2)(a) CRR)

3.

Institutions

(Article 147(2) point (b) CRR)

4.1).

Corporate – SME

(Article 147(2) point (c) CRR

4.2).

Corporate – Specialised lending

(Article 147(8) CRR)

4.3).

Corporate – Other

(All corporates according to Article 147(2) point (c), not reported under 4.1 and 4.2).

5.1).

Retail – Secured by immovable property SME

(Exposures reflecting Article 147(2) point (d) in conjunction with Article 154(3) CRR which are secured by immovable property).

5.2).

Retail – Secured by immovable property non-SME

(Exposures reflecting Article 147(2) point (d) CRR which are secured by immovable property and not reported under 5.1).

5.3).

Retail – Qualifying revolving

(Article 147(2) point (d) in conjunction with Article 154(4) CRR).

5.4).

Retail – Other SME

(Article 147(2) point (d) not reported under 5.1 and 5.3).

5.5).

Retail – Other non – SME

(Article 147(2) point (d) CRR which were not reported under 5.2 and 5.3).

3.3.3.C 08.01 — Credit and counterparty credit risks and free deliveries: IRB Approach to Capital Requirements (CR IRB 1)
3.3.3.1.Instructions concerning specific positions
ColumnsInstructions
010
INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of CRR. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the exposure-weighted average PD.

For each individual grade or pool the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.

It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale is used.

Otherwise, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.

Institutions shall contact their competent authority in advance, if they want to report a different number of grades in comparison with the internal number of grades.

For the purposes of weighting the average PD the exposure value reported in column 110 is used. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD (e.g. for ‘total exposure’). Defaulted exposures are those assigned to the last rating grade/s with a PD of 100 %.

020
ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Institutions report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors.

The original exposure value shall be reported in accordance with Article 24 of CRR and Article 166(1) and (2) and (4) to (7) of CRR.

The effect resulting from Article 166(3) of CRR (effect of on balance sheet netting of loans and deposits) is reported separately as Funded Credit Protection and therefore shall not reduce the Original Exposure.

030
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the original exposure pre conversion factor for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR.

040-080
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

Credit risk mitigation techniques as defined in Article 4(57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in ‘SUBSTITUTION OF THE EXPOSURE DUE TO CRM’.

040-050
UNFUNDED CREDIT PROTECTION

Unfunded credit protection: Values as they are defined in Article 4(59) of CRR.

If collateral has an effect on the exposure (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value.

040
GUARANTEES:

When own estimates of LGD are not used, the Adjusted Value (Ga) as defined in Article 236 of CRR shall be provided.

When Own estimates of LGD are used, (Article 183 of CRR, except paragraph 3), the relevant value used in the internal model shall be reported.

Guarantees shall be reported in column 040 when the adjustment is not made in the LGD. When the adjustment is made in the LGD, the amount of the guarantee shall be reported in column 150.

Regarding exposures subject to the double default treatment, the value of unfunded credit protection is re-ported in column 220.

050
CREDIT DERIVATIVES:

When own estimates of LGD are not used, the Adjusted Value (Ga) as defined in Article 216 of CRR shall be provided.

When own estimates of LGD are used (Article 183 of CRR), the relevant value used in the internal modelling shall be reported.

When the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 160

Regarding exposures subject to the double default treatment the value of unfunded credit protection shall be reported in column 220.

060
OTHER FUNDED CREDIT PROTECTION

If collateral has an effect on the exposure (e.g. if used for credit risk mitigation techniques with substitution effects of the exposure), it shall be capped at the exposure value.

When own estimates of LGD are not used, Article 232 of CRR shall be applied.

When own estimates of LGD are used, those credit risk mitigants that comply with the criteria in Article 212 of the CRR shall be reported. The relevant value used in the internal model shall be reported.

To be reported in column 060 when the adjustment is not made in the LGD. When an adjustment is made in the LGD the amount shall be reported in column 170.

070-080
SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and, when relevant, obligor grade or pool, and subsequently assigned to the protection provider's exposure class and, when relevant, obligor grade or pool. This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, obligor grades or pools.

Inflows and outflows within the same exposure classes and, when relevant, obligor grades or pools shall also be considered.

Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.

090
EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure.

100, 120
Of which: Off Balance Sheet Items

See CR-SA instructions

110
EXPOSURE VALUE

The value in accordance with Article 166 of CRR and Article 230(1) sentence 2 of CRR are reported.

For the instruments as defined in Annex I, the credit conversion factors (Article 166(8) to (10) of CRR) irrespective the approach chosen by the institution, are applied.

For rows 040-060 (securities financing transactions, derivatives and long settlement transactions and exposures from contractual cross-product netting) subject to part 3 title II chapter 6 of CRR, the Exposure Value is the same as the value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 3, 4, 5, 6 and 7 of CRR. These values are reported in this column and not column 130 ‘Of which: arising from counterparty credit risk’.

130
Of which: Arising from counterparty Credit Risk

See CR SA instructions.

140
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the exposure value for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR.

150-210
CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT

CRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques shall not be included in these columns.

Where own estimates of LGD are not used: Articles 228(2), 230 (1) and (2), 231 of the CRR

Where own estimates of LGD are used:

  • Regarding unfunded credit protection, for exposures to central government and central banks, institutions and corporates: Article 161 paragraph 3 of the CRR. For retail exposures Article 164 paragraph 2 of the CRR.

  • Regarding funded credit protection collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of the CRR.

150
GUARANTEES

See instructions to column 040.

160
CREDIT DERIVATIVES

See instructions to column 050.

170
OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION

The relevant value used in the internal modelling of the institution.

Those credit risk mitigants that comply with the criteria in Article 212 of the CRR.

180
ELIGIBLE FINANCIAL COLLATERAL

For trading book operations includes financial instruments and commodities eligible for trading book exposures according to Article 299 paragraph 2 point. (c) to (f) of CRR Credit linked Notes and on -balance sheet netting according to Part 3 Title II Chapter 4 Section 4 of CRR are treated as cash collateral.

When own estimates of LGD are not used: values in accordance with Article 193(1) to (4) and Article 194(1) of CRR. The adjusted value (Cvam) as set out in Article 223(2) of CRR is reported.

When own estimates of LGD are used: financial collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of CRR. The amount to be reported shall be the estimated market value of the collateral.

190-210
OTHER ELIGIBLE COLLATERAL

Where own estimates of LGD are not used: Article 199(1) to (8) of CRR and Article 229 of CRR.

Where own estimates of LGD are used: other collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of CRR.

190
REAL ESTATE

Where own estimates of LGD are not used, values in accordance with Article 199(2) to (4) of CRR shall be reported. Leasing of real estate property is also included (see Article 199(7) of CRR). See also Article 229 of CRR.

When own estimates of LGD are used the amount to be reported shall be the estimated market value.

200
OTHER PHYSICAL COLLATERAL

Where own estimates of LGD are not used, values in accordance with Article 199(6) and (8) of CRR shall be reported. Leasing of property different from real estate is also included (see Article 199(7) of CRR). See also Article 229(3) of CRR.

Where own estimates of LGD are used the amount to be reported shall be the estimated market value of collateral.

210
RECEIVABLES

When own estimates of LGD are not used, values in accordance with Articles 199(5), 229 (2) of CRR are reported.

When own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.

220
SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION

Guarantees and credit derivatives covering exposures subject to the double default treatment reflecting Articles 202 and 217 (1) of CRR. See also columns 040 ‘Guarantees’ and 050 ‘Credit derivatives’.

230
EXPOSURE WEIGHTED AVERAGE LGD (%)

All the impact of CRM techniques on LGD values as specified in Part 3 Title II Chapters 3 and 4 of CRR shall be considered. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161(4) of CRR.

For defaulted exposures, provisions laid down in Article 181(1) point (h) of CRR shall be considered.

The definition of exposure value as in Column 110 shall be used for the calculation of the exposure-weighted averages.

All effects shall be considered (so the floor applicable to mortgages shall be included in the reporting).

For institutions applying the IRB approach but not using their own estimates of LGD the risk mitigation effects of financial collateral are reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* according to Article 228(2) CRR.

The exposure weighted average LGD associated to each PD ‘obligor grade or pool’ shall result from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, weighted by the respective exposure value of Column 110.

If own estimates of LGD are applied Article 175 and Article 181(1) and (2) of CRR shall be considered.

In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161(4) of CRR.

The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating system approved by the respective competent authority.

Data shall not be reported for specialized lending exposures referred to in Article 153(5).

Exposure and the respective LGD's for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, they shall only be included in the calculation of column 240.

240
EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Exposure weighted average LGD (%) for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR.

250
EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

The value reported reflects Article 162 of CRR. The exposure value (Column 110) shall be used for the calculation of the exposure-weighted averages. The average maturity is reported in days.

This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts. This means that this column shall not be filled in for the exposure class ‘retail’.

255
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

For Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR.

The SME-supporting factor according to Article 501 of CRR shall not be taken into account.

260
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

For Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR.

The SME-supporting factor according to Article 501 of CRR shall be taken into account.

270
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the risk weighted exposure amount after SME supporting factor for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR.

280
EXPECTED LOSS AMOUNT

For the definition of Expected Loss see Article 5(3) of CRR and, for calculation see Article 158 of CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating system approved by the respective competent authority.

290
(-) VALUE ADJUSTMENTS AND PROVISIONS

Value Adjustments as well as specific and general provisions under Article 159 CRR are reported. General provisions shall be reported by assigning the amount pro rata — according to the expected loss of the different obligor grades.

300
NUMBER OF OBLIGORS

Articles 172(1) and (2) of CRR.

For all exposure classes with the exception of the exposure class retail and the cases mentioned in Article 172(1) lit. e, second sentence CRR, the institution shall report the number of legal entities/obligors which were separately rated, regardless of the number of different loans or exposures granted.

Within the exposure class retail or if separate exposures to the same obligor are assigned to different obligor grades in accordance with Article 172(1) lit. e, second sentence CRR in other exposure classes, the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172(2) of CRR applies, an obligor may be considered in more than one grade.

As this column deals with an element of the structure of the rating systems, it relates to the original exposures pre conversion factor assigned to each obligor grade or pool without taking into account the effect of CRM techniques (in particular redistribution effects).

RowsInstructions
010
TOTAL EXPOSURES
015
of which: Exposures subject to SME-supporting factor

Only exposures which meet the requirements of Article 501 CRR shall be reported here.

020-060
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
020
On balance sheet items subject to credit risk

Assets referred to in Article 24 of CRR not included in any other category.

Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row.

Free deliveries according to Article 379(1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.

Exposures arising from assets posted to a CCP according to Article 4(91) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if not reported in row 030.

030
Off balance sheet items subject to credit risk

Off-balance sheet positions comprise those items listed in Annex I of CRR.

Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row.

Exposures arising from assets posted to a CCP according to Article 4(91) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if they are considered as off-balance sheet items.

040-060
Exposures/Transactions subject to counterparty credit risk
040
Securities Financing Transactions

Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document ‘The Application of Basel II to Trading Activities and the Treatment of Double Default Effects’, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4(82) of CRR as well as securities or commodities lending and borrowing transactions and (ii) margin lending transactions as defined in Article 272(3) of CRR.

Securities Financing Transactions, which are included in a Cross Product Netting and therefore reported in row 060, shall not be reported in this row.

050
Derivatives and Long Settlement Transactions

Derivatives comprise those contracts listed in Annex II of CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 060 shall not be reported in this row.

060
From Contractual Cross Product Netting

See CR SA instructions

070
EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

For exposures to corporates, institutions and Central governments and Central Banks see Article 142(1) point (6) and Article 170(1) point (c) of CRR.

For retail exposures see Article 170(3) point (b) of CRR. For Exposures arising from purchased receivables see Article 166(6) of CRR.

Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 180.

Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.

A master scale is not used. Instead, institutions shall determine the scale to be used themselves.

080
SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL

Article 153(5) of CRR. This only applies to the corporates, institutions and central governments and central banks exposure classes.

090-150
BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:
120
Of which: In category 1

Article 153(5) table 1 of CRR.

160
ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

Articles 193(1) and (2), 194 (1) to (7) and 230 (3) of CRR.

170
EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS

Exposures arising from free deliveries for which the alternative treatment referred to in Article 379(2) first subparagraph, last sentence of CRR is used or for which a 100 % risk weight is applied according to Article 379(2) last subparagraph of CRR. Unrated nth to default credit derivatives under Article 153(8) of CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row.

180
DILUTION RISK: TOTAL PURCHASED RECEIVABLES

See Article 4(53) of CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157(1) of CRR.

According to Article 166(6) of CRR the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation.

3.3.4.C 08.02 — Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (breakdown by obligor grades or pools (CR IRB 2 template)
ColumnInstructions
005
Obligor grade (row identifier)

This is a row identifier and shall be unique for each row on a particular sheet of the table. It shall follow the numerical order 1, 2, 3, etc.

010-300Instructions for each of these columns are the same as for the corresponding numbered columns in table CR IRB 1.
RowInstructions
010-001 – 010-NNNValues reported in these rows must be in ordered from the lower to the higher according to the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned according to the PD of the obligor and not reported in this template.
3.4.CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN
79.Institutions fulfilling the threshold set in Article 5 (a) (4) of this Regulation shall submit information regarding the domestic country as well as any non-domestic country. The threshold is only applicable to Table 1 and Table 2. Exposures to supranational organisations shall be assigned to the geographical area ‘other countries’.
80.The term ‘residence of the obligor’ refers to the country of incorporation of the obligor. This concept can be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques with substitution effects can change the allocation of an exposure to a country. Exposures to supranational organisations shall not be assigned to the country of residence of the institution but to the geographical area ‘Other countries’ irrespective of the exposure class where the exposure to supranational organisations is assigned.
81.Data regarding ‘original exposure pre conversion factors’ shall be reported referring to the country of residence of the immediate obligor. Data regarding ‘exposure value’ and ‘Risk weighted exposure amounts’ shall be reported as of the country of residence of the ultimate obligor.
3.4.1.C 09.01 – Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1)
3.4.1.1.Instructions concerning specific positions
Columns
010
ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Same definition as for column 010 of CR SA template

020
Defaulted exposures

Original exposure pre conversion factors for those exposures which have been classified as ‘exposures in default’ and for defaulted exposures assigned to the exposure classes ‘exposures associated with particularly high risk’ or ‘equity exposures’.

This ‘memorandum item’ provides additional information about the obligor structure of defaulted exposures. Exposures classified as ‘exposures in default’ in accordance with Article 112 point (j) CRR shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes ‘exposures in default’.

This information is a ‘memorandum item’ – hence does not affect the calculation of risk weighted exposure amounts of exposure classes ‘exposures in default’, ‘exposures associated with particularly high risk’ or ‘equity exposures’ according to Article 112 points (j), (k) respectively (p) of CRR.

040
Observed new defaults for the period

The amount of original exposures which have moved into exposure class ‘Exposures in default’ during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.

050
General credit risk adjustments

Credit risk adjustments according to Article 110 of CRR.

055
Specific credit risk adjustments

Credit risk adjustments according to Article 110 of CRR.

060
Write-offs

Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].

070
Credit risk adjustments/write-offs for observed new defaults

Sum of credit risk adjustments and write-offs for those exposures which were classified as ‘defaulted exposures’ during the 3-month period since the last data submission.

075
Exposure value

Same definition as for column 200 of CR SA template

080
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

Same definition as for column 215 of CR SA template

090
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

Same definition as for column 220 of CR SA template

Rows
010
Central governments or central banks

Article 112 point (a) of CRR.

020
Regional governments or local authorities

Article 112 point (b) of CRR.

030
Public sector entities

Article 112 point (c) of CRR.

040
Multilateral developments banks

Article 112 point (d) of CRR.

050
International organisations

Article 112 point (e) of CRR.

060
Institutions

Article 112 point (f) of CRR.

070
Corporates

Article 112 point (g) of CRR.

075
of which: SME

Same definition as for row 020of CR SA template

080
Retail

Article 112 point (h) of CRR.

085
of which: SME

Same definition as for row 020of CR SA template

090
Secured by mortgages on immovable property

Article 112 point (i) of CRR.

095
of which: SME

Same definition as for row 020of CR SA template

100
Exposures in default

Article 112 point (j) of CRR.

110
Items associated with particularly high risk

Article 112 point (k) of CRR.

120
Covered bonds

Article 112 point (l) of CRR.

130
Claims on institutions and corporates with a short-term credit assessment

Article 112 point (n) of CRR.

140
Collective investments undertakings (CIU)

Article 112 point (o) of CRR.

150
Equity exposures

Article 112 point (p) of CRR.

160
Other exposures

Article 112 point (q) of CRR.

170
Total exposures
3.4.2.C 09.02 – Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2)
3.4.2.1.Instructions concerning specific positions
Columns
010
ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Same definition as for column 020 of CR IRB template

030
Of which defaulted

Original exposure value for those exposures which have been classified as ‘defaulted exposures’ according to CRR article 178.

040
Observed new defaults for the period

The amount of original exposures which have moved into exposure class ‘Exposures in default’ during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.

050
General credit risk adjustments

Credit risk adjustments according to Article 110 of CRR.

055
Specific credit risk adjustments

Credit risk adjustments according to Article 110 of CRR.

060
Write-offs

Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].

070
Credit risk adjustments/write-offs for observed new defaults

Sum of credit risk adjustments and write-offs for those exposures which were classified as ‘defaulted exposures’ during the 3-month period since the last data submission.

080
INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

Same definition as for column 010 of CR IRB template

090
EXPOSURE WEIGHTED AVERAGE LGD (%)

Same definition as for column 230 of CR IRB template. Provisions laid down in Article 181(1) point (h) of CRR shall apply.

Data shall not be reported for specialized lending exposures referred to in Article 153(5).

100
Of which: defaulted

Exposure weighted LGD for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR.

105
Exposure value

Same definition as for column 110 of CR IRB template.

110
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

Same definition as for column 255 of CR IRB template

120
Of which defaulted

Risk weighted exposure amount for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR.

125
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

Same definition as for column 260 of CR IRB template

130
EXPECTED LOSS AMOUNT

Same definition as for column 280 of CR IRB template

Rows
010
Central banks and central governments

(Article 147(2)(a) CRR)

020
Institutions

(Article 147(2) point (b) CRR)

030
Corporates

(All corporates according to Article 147(2) point (c).)

042
Of which: Specialized lending (excl. SL subject to slotting criteria)

(Article 147(8) a CRR)

Data shall not be reported for specialized lending exposures referred to in Article 153(5).

045
Of which: Specialized lending subject to slotting criteria

Articles 147(8) lit. a and 153(5) CRR

050
Of which: SME

(Article 147(2) point (c) CRR)

060
Retail

All Retail exposures according to Article 147(2) point (d)

070
Retail – Secured by real estate property

Exposures reflecting Article 147(2) point (d) CRR which are secured by real estate.

080
SME

Retail exposures reflecting Article 147(2) point (d) in conjunction with Article 153(3) CRR which are secured by real estate.

090
non-SME

Retail exposures reflecting Article 147(2) point (d) CRR which are secured by real estate.

100
Retail – Qualifying revolving

(Article 147(2) point (d) in conjunction with Article 154(4) CRR).

110
Other Retail

Other retail exposures according to Article 147(2) point (d) not reported in rows 070 - 100.

120
SME

Other retail exposures reflecting Article 147(2) point (d) in conjunction with Article 153(3) CRR.

130
non-SME

Other retail exposures reflecting Article 147(2) point (d) CRR.

140
Equity

Equity exposures reflecting Article 147(2) point (e) CRR.

150
Total exposures
3.4.3.C 09.04 – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB)
3.4.3.1.General remarks
82.This table is implemented in order to receive more information regarding the elements of the institution specific countercyclical capital buffer. The information requested refers to the own funds requirements determined in accordance with Part Three, Title II and Title IV of the CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution specific counter-cyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit exposures).
83.Information in template C 09.04 is requested for the ‘Total’ of relevant credit exposures across all jurisdictions where these exposures are located and individually for each of the jurisdictions in which relevant credit exposures are located. The total figures as well as the information of each jurisdiction are reported in a separate dimension.
84.The threshold set in Article 5 (a) (4) of this Regulation is not relevant for the reporting of this breakdown.
85.In order to determine the geographical location, the exposures are allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 with regard to regulatory technical standards on the identification of the geographical location of the relevant credit exposures for calculating institution-specific countercyclical capital buffer rates. Therefore CRM techniques do not change the allocation of an exposure to its geographical location for the purpose of reporting information set out in this template.
3.4.3.2.Instructions concerning specific positions
Columns
010
Amount

The value of the relevant credit exposures and their associated own-funds requirements determined in accordance with the instructions for the respective row.

020
Percentage
030
Qualitative Information

This information shall only be reported for the country of residence of the institution (the jurisdiction corresponding to its home Member State) and the ‘Total’ of all countries.

Institutions shall report either {y} or {n} in accordance with the instructions for the relevant row.

Rows
010-020
Relevant credit exposures – Credit risk

Relevant credit exposures defined in accordance with Article 140(4)(a) CRD.

010
Exposure value under the Standardised Approach

Exposure value determined in accordance with Article 111 CRR for relevant credit exposures defined in accordance with Article 140(4)(a) CRD.

The exposure value of securitisation positions in the banking book under the Standardised Approach shall be excluded from this row and reported in row 050.

020
Exposure value under the IRB Approach

Exposure value determined in accordance with Article 166 CRR for relevant credit exposures defined in accordance with Article 140(4)(a) CRD.

The exposure value of securitisation positions in the banking book under the IRB Approach shall be excluded from this row and reported in row 060

030-040
Relevant credit exposures – Market risk

Relevant credit exposures defined in accordance with Article 140(4)(b) CRD.

030
Sum of long and short positions of trading book exposures for standardised approaches

Sum of net long and net short positions according to Article 327 CRR of relevant credit exposures defined in accordance with Article 140(4)(b) CRD under Part Three, Title IV, Chapter 2 CRR:

  • exposures to debt instruments other than securitisation,

  • exposures to securitisation positions in the trading book,

  • exposures to correlation trading portfolios,

  • exposures to equity securities, and

  • exposures to CIUs if capital requirements are calculated according to Article 348 CRR.

040
Value of trading book exposures under internal model approaches

For relevant credit exposures defined in accordance with Article 140(4)(b) CRD under Part Three, Title IV, Chapter 2 and Chapter 5 CRR, the sum of the following shall be reported:

  • Fair value of non-derivative positions, that represent relevant credit exposures as defined in Article 140(4)(b) CRD, determined in accordance with Article 104 CRR.

  • Notional value of derivatives, that represent relevant credit exposures as defined in accordance with Article 140(4)(b) CRD.

050-060
Relevant credit exposures – Securitisation positions in the banking book

Relevant credit exposures defined in accordance with Article 140(4)(c) CRD.

050
Exposure value of securitisation positions in the banking book under the Standardised Approach

Exposure value determined in accordance with Article 246 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD.

060
Exposure value of securitisation positions in the banking book under the IRB Approach

Exposure value determined in accordance with Article 246 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD.

070-110
Own funds requirements and weights
070
Total own funds requirements for CCB

The sum of rows 080, 090 and 100.

080
Own funds requirements for relevant credit exposures – Credit risk

Own funds requirements determined in accordance with Part Three, Title II, Chapter 1 to 4 and Chapter 6 CRR for relevant credit exposures, defined in accordance with Article 140(4)(a) of CRD, in the country in question.

Own fund requirements for securitisation positions in the banking book shall be excluded from this row and reported in row 100.

The own-funds requirements are 8 % of the risk-weighted exposure amount determined according to the provisions of Part Three, Title II, Chapter 1 to 4 and Chapter 6 of the CRR.

090
Own funds requirements for relevant credit exposures – Market risk

Own funds requirements determined in accordance with Part Three, Title IV, Chapter 2 of CRR for specific risk, or in accordance with Part Three, Title IV, Chapter 5 of CRR for incremental default and migration risk for relevant credit exposures, defined in accordance with Article 140(4)(b) of CRD, in the country in question.

The own funds requirements for relevant credit exposures under the market risk framework include, among others, the own fund requirements for securitisation positions under Part Three, Title IV, Chapter 2 CRR and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 CRR.

100
Own funds requirements for relevant credit exposures – Securitisation positions in the banking book

Own funds requirements determined in accordance with Part Three, Title II, Chapter 5 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD in the country in question.

The own-funds requirements are 8 % of the risk-weighted exposure amount determined according to the provisions of Part Three, Title II, Chapter 5 CRR.

110
Own funds requirements weights

The weight applied to the countercyclical buffer rate in each country is calculated as a ratio of own fund requirements, determined as follows:

1.

Numerator: The total own funds requirements that relates to the relevant credit exposures in the country in question [r070; c010 country sheet],

2.

Denominator: The total own funds requirements that relate to all credit exposures relevant for the calculation of the countercyclical buffer in accordance with Article 140(4) of CRD [r070; c010; ‘Total’].

Information on the Own fund requirements weights shall not be reported for the ‘Total’ of all countries.

120-140
Countercyclical buffer rates
120
Countercyclical capital buffer rate set by the Designated Authority

Countercyclical capital buffer rate set for the country in question by the Designated Authority of that country in accordance with Article 136, 137, 138 and 139 CRD.

This row should be left empty when no countercyclical buffer rate was set for the country in question by the Designated Authority of that country.

Countercyclical capital buffer rates that were set by the Designated Authority, but are not yet applicable in the country in question at the reporting reference date shall not be reported.

Information on the Countercyclical capital buffer rate set by the Designated Authority shall not be reported for the ‘Total’ of all countries.

130
Countercyclical capital buffer rate applicable for the country of the institution

Countercyclical capital buffer rate applicable for the country in question which was set by the Designated Authority of the country of residence of the institution, in accordance with Article 137, 138, 139 and Article 140(1), (2) and (3) CRD. Countercyclical capital buffer rates that are not yet applicable at the reporting reference date shall not be reported.

Information on the Countercyclical capital buffer rate applicable in the country of the institution shall not be reported for the ‘Total’ of all countries.

140
Institution-specific countercyclical capital buffer rate

Institution-specific countercyclical capital buffer rate, determined in accordance with Article 140(1) CRD.

The institution-specific countercyclical capital buffer rate is calculated as the weighted average of the countercyclical buffer rates that apply in the jurisdictions where the relevant credit exposures of the institution are located or are applied for the purposes of Article 140 by virtue of Article 139(2) or (3) CRD. The relevant countercyclical buffer rate is reported in [r120; c020; country sheet], or [r130; c020; country sheet] as applicable.

The weight applied to the countercyclical buffer rate in each country is the share of own funds requirements in total own funds requirements, and is reported in [r110; c020; country sheet].

Information on the institution-specific countercyclical capital buffer rate shall only be reported for the ‘Total’ of all countries and not for each country separately.

150 - 160
Use of the 2 % threshold
150
Use of 2 % threshold for general credit exposure

In accordance with Article 2(5)(b) of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, whose aggregate does not exceed 2 % of the aggregate of the general credit, trading book and securitisation exposures of that institution, may be allocated to the institutions' home Member State. The aggregate of the general credit, trading book and securitisation exposures is calculated by excluding the general credit exposures located in accordance with Article 2(5) point (a) and Article 2(4) of Commission Delegated Regulation (EU) No 1152/2014.

If the institution makes use of this derogation, it shall indicate ‘y’ in the table for the jurisdiction corresponding to its home Member State and for the ‘Total’ of all countries.

If an institution does not make use of this derogation, it shall indicate ‘n’ in the respective cell.

160
Use of 2 % threshold for trading book exposure

In accordance with Article 3(3) of Commission Delegated Regulation (EU) No 1152/2014, institutions may allocate trading book exposures to their home Member State, if the total trading book exposures do not exceed 2 % of their total general credit, trading book and securitisation exposures.

If the institution makes use of this derogation, it shall indicate ‘y’ in the table for the jurisdiction corresponding to its home Member State and for the ‘Total’ of all countries.

If an institution does not make use of this derogation, it shall indicate ‘n’ in the respective cell.

3.5.C 10.01 AND C 10.02 – EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2)
3.5.1.General remarks
86.The CR EQU IRB template consists of two templates: CR EQU IRB 1 provides a general overview of IRB exposures of the equity exposure class and the different methods to calculate total risk exposure amounts. CR EQU IRB 2 provides a breakdown of total exposures assigned to obligor grades in the context of the PD/LGD approach. ‘CR EQU IRB’ refers to both ‘CR EQU IRB 1’ and ‘CR EQU IRB 2’ templates, as applicable, in the following instructions.
87.The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (Article 92(3) point (a) of CRR) according to the IRB method (Part Three, Title II, Chapter 3 of CRR) for equity exposures referred to in Article 147(2) point (e) of CRR.
88.According to Article 147(6) of CRR, the following exposures shall be assigned to the equity exposure class:
(a)

non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer; or

(b)

debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance of which is similar to the exposures specified in point (a).

89.Collective investment undertakings treated according to the simple risk weight approach as referred to in Article 152 of CRR shall also be reported in the CR EQU IRB template.
90.In accordance with Article 151(1) of CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 of CRR:

Moreover, institutions applying the IRB approach shall also report in the CR EQU IRB template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach (e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) of CRR, respectively a risk-weight of 370 % in accordance with Article 471(2) of CRR))).

91.The following equity claims shall not be reported in the CR EQU IRB template:
3.5.2.Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2)
Columns
005
OBLIGOR GRADE (ROW IDENTIFIER)

The obligor grade is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc.

010
INTERNAL RATING SYSTEM PD ASSIGNED TO THE OBLIGOR GRADE (%)

Institutions applying the PD/LGD approach report in column 010 the probability of default (PD) calculated in accordance with the provisions referred to in Article 165(1) of CRR.

The PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements as laid down in Part Three, Title II, Chapter 3, Section 6 of CRR. For each individual grade or pool, the PD assigned to that specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.

For figures corresponding to an aggregation of obligor grades or pools (e.g. ‘total exposures’) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD. For the calculation of the exposure-weighted average PD, the exposure value taking into account unfunded credit protection (column 060) shall be used for weighting purposes.

020
ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Institutions report in column 020 the original exposure value (pre conversion factors). According to the provisions laid down in Article 167 of CRR, the exposure value for equity exposures shall be the accounting value remaining after specific credit risk adjustments. The exposure value of off-balance sheet equity exposures shall be its nominal value after specific credit risk adjustments.

Institutions also include in column 020 off balance sheet items referred to in Annex I of CRR assigned to the equity exposure class (e.g. ‘the unpaid portion of partly-paid shares’).

Institutions applying the Simple Risk Weight approach or the PD/LGD approach (as referred to in Article 165(1) also consider the offsetting provisions referred to in Article 155(2) of CRR.

030-040
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE UNFUNDED CREDIT PROTECTION GUARANTEES CREDIT DERIVATIVES

Irrespective of the approach adopted for the calculation of risk weighted exposure amounts for equity exposures, institutions may recognize unfunded credit protection obtained on equity exposures (Article 155(2),(3) and (4) of CRR). Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in columns 030 and 040 the amount of unfunded credit protection under the form of guarantees (column 030) or credit derivatives (column 040) recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR.

050
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE SUBSTITUTION OF THE EXPOSURE DUE TO CRM (-) TOTAL OUTFLOWS

Institutions report in column 050 the part of the original exposure pre conversion factors covered by unfunded credit protection recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR.

060
EXPOSURE VALUE

Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in column 060 the exposure value taking into account substitution effects stemming from unfunded credit protection (Article 155(2) and (3), Article 167 of CRR).

As a reminder, in the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 of CRR).

070
EXPOSURE WEIGHTED AVERAGE LGD (%)

Institutions applying the PD/LGD approach report in column 070 of the CR EQU IRB 2 template the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation; the same applies for row 020 of the CR EQU IRB template. The exposure value taking into account unfunded credit protection (column 060) shall be used for the calculation of the exposure-weighted average LGD. Institutions shall take into accounts the provisions laid down in Article 165(2) of CRR.

080
RISK WEIGHTED EXPOSURE AMOUNT

Institutions report risk-weighted exposure amounts for equity exposures in column 080, calculated in accordance with the provisions laid down in Article 155 of CRR.

In case where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 of CRR, a scaling factor of 1.5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) of CRR).

With regard to the input parameter M (Maturity) to the risk-weight function, the maturity assigned to equity exposures equals 5 years (Article 165(3) of CRR).

090
MEMORANDUM ITEM: EXPECTED LOSS AMOUNT

Institutions report in column 090 the expected loss amount for equity exposures calculated in accordance with Article 158(4), (7), (8) and (9) of CRR.

92.In accordance with Article 155 of CRR, institutions may employ different approaches (Simple Risk Weight approach, PD/LGD approach or Internal Models approach) to different portfolios when they use these different approaches internally. Institutions shall also report in the CR EQU IRB 1 template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised approach).
Rows
CR EQU IRB 1 — row 020
PD/LGD APRROACH: TOTAL

Institutions applying the PD/LGD approach (Article 155(3) of CRR) report the requested information in row 020 of the CR EQU IRB 1 template.

CR EQU IRB 1 — rows 050-090
SIMPLE RISK WEIGHT APPROACH: TOTAL BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:

Institutions applying the Simple Risk Weight approach (Article 155(2) of CRR) report the requested informaton according to the characteristics of the underlying exposures in rows 050 to 090.

CR EQU IRB 1 — row 100
INTERNAL MODELS APPROACH

Institutions applying the Internal Models approach (Article 155(4) of CRR) report the requested information in row 100.

CR EQU IRB 1 — row 110
EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS

Institutions applying the IRB approach shall report risk weighted exposure amounts for those equity exposures which attract a fixed risk weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach). As an example,

  • the risk weighted exposure amount of equity positions in financial sector entities treated in accordance with Article 48(4) of the CRR, as well as

  • equity positions risk-weighted with 370 % in accordance with Article 471(2) CRR

shall be reported in row 110.

CR EQU IRB 2
BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:

Institutions applying the PD/LGD approach (Article 155(3) of CRR) report the requested information in the CR EQU IRB 2 template.

In case where institutions using the PD/LGD approach apply a unique rating system or are able to report according to an internal master scale, they report in CR EQU IRB 2 the rating grades or pools associated to this unique rating system/masterscale. In any other case, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades or pools of the different rating systems shall be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher.

3.6.C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)
3.6.1.General remarks
93.This template requests information on both trading and non-trading book transactions which are unsettled after their due delivery dates, and their corresponding own funds requirements for settlement risk according to Articles 92(3) point (c) ii) and 378 of CRR.
94.Institutions report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book.
95.According to Article 378 of CRR, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates are nevertheless subject to own funds requirements for settlement/delivery risk as determined in Article 378 of CRR.
96.In the case of unsettled transactions after the due delivery date, institutions calculate the price difference to which they are exposed. This is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the institution.
97.Institutions multiply this difference by the appropriate factor of Table 1 of Article 378 of CRR to determine the corresponding own funds requirements.
98.According to Article 92(4) Point (b), the own funds requirements for settlement/delivery risk shall be multiplied by 12.5 to calculate the risk exposure amount.
99.Note that own funds requirements for free deliveries as laid down in Article 379 of CRR are not within the scope of the CR SETT template; the latter shall be reported in the credit risk templates (CR SA, CR IRB).
3.6.2.Instructions concerning specific positions
Columns
010
UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE

In accordance with Article 378 of CRR, institutions report in this column 010 the unsettled transactions after their due delivery date at the respective agreed settlement prices.

All unsettled transactions shall be included in this column 010, irrespective of whether or not they are at a gain or at a loss after the due settlement date.

020
PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS

In accordance with Article 378 of CRR, institutions report in column 020 the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution.

Only unsettled transactions at a loss after the due settlement date shall be reported in column 020

030
OWN FUNDS REQUIREMENTS

Institutions report in column 030 the own funds requirements calculated in accordance with Article 378 of CRR.

040
TOTAL SETTLEMENT RISK EXPOSURE AMOUNT

In accordance with Article 92(4) point (b) of CRR, institutions multiply their own funds requirements reported in column 030 by 12.5 in order to obtain the settlement risk exposure amount.

Rows
010
Total unsettled transactions in the Non-trading Book

Institutions report in row 010 aggregated information in relation with settlement/delivery risk for non-trading book positions (in accordance with Articles 92(3) point (c) ii) and 378 of CRR).

Institutions report in 010/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.

Institutions report in 010/020 the aggregated information for price difference exposure due to unsettled transactions at a loss.

Institutions report in 010/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR).

020 to 060

Transactions unsettled up to 4 days (Factor 0 %)

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

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

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

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

Institutions report the information in relation with settlement/delivery risk for non-trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 020 to 060.

No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.

070
Total unsettled transactions in the Trading Book

Institutions report in row 070 aggregated information in relation with settlement/delivery risk for trading book positions (in accordance with Articles 92(3) point (c) ii) and 378 of CRR).

Institutions report in 070/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.

Institutions report in 070/020 the aggregated information for price difference exposure due to unsettled transactions at a loss.

Institutions report in 070/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR).

080 to 120

Transactions unsettled up to 4 days (Factor 0 %)

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

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

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

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

Institutions report the information in relation with settlement/delivery risk for trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 080 to 120.

No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.

3.7.C 12.00 – CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)
3.7.1.General remarks
100.The information in this template is requested for all securitisations for which a significant risk transfer is recognised and in which the reporting institution is involved in a securitisation treated under the Standardised Approach. The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.
101.The CR SEC SA template gathers joint information on both traditional and synthetic securitisations held in the banking book, as defined in Article 242(10) and (11) of CRR, respectively.
3.7.2.Instructions concerning specific positions
Columns
010
TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED

Originator institutions must report the outstanding amount at the reporting date of all current securitisation exposures originated in the securitisation transaction, irrespective of who holds the positions. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, credit default swaps, etc.) that have been originated in the securitisation shall be reported.

In the case of traditional securitisations where the originator does not hold any position, then the originator shall not consider that securitisation in the reporting of the CR SEC SA or CR SEC IRB templates. For this purpose securitisation positions held by the originator include early amortisation provisions in a securitisation of revolving exposures, as defined under Article 242(12) of CRR.

020-040
SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

Following the provisions in Articles 249 and 250 of CRR the credit protection to the securitised exposures shall be as if there was no maturity mismatch.

020
(-) FUNDED CREDIT PROTECTION (CVA)

The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which is expected to be reported in this column is established in Article 223(2) of CRR.

030
(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

Following the general rule for ‘inflows’ and ‘outflows’ the amounts reported under this column shall appear as ‘inflows’ in the corresponding credit risk template (CR SA or CR IRB) and exposure class relevant for the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection)

The calculation procedure of the ‘foreign exchange risk’- adjusted nominal amount of the credit protection (G*) is established in Article 233(3) of CRR.

040
NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount.

The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection.

050
SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Securitisation positions held by the reporting institution, calculated according to Article 246(1)(a), (c) and (e), and (2) of CRR, without applying credit conversion factors and any credit risk adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement.

Value adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitised positions are not considered.

In case of early amortization clauses, institutions must specify the amount of ‘originator's interest’ as defined in Article 256(2) of CRR.

In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor's interest (early amortisation) shall be the result of the aggregation of columns 010 to 040.

060
(-) VALUE ADJUSTMENTS AND PROVISIONS

Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items.

070
EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

Securitisation positions according to Article 246(1) and (2) of CRR, without applying conversion factors.

This piece of information is related to column 040 of the CR SA Total template.

080-110
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

Article 4(57) and Part Three, Title II, Chapter 4 of CRR.

This block of columns gathers information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows).

See CR SA instructions (Reporting of CRM techniques with substitution effect).

080
(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA)

Unfunded credit protection is defined in Article 4(59) and regulated in Article 235 of CRR.

See CR SA instructions (Reporting of CRM techniques with substitution effect).

090
(-) FUNDED CREDIT PROTECTION

Funded credit protection is defined in Article 4(58) and regulated in Articles 195, 197 and 200 of CRR.

Credit linked notes and on-balance sheet netting according to Articles 218-236 of CRR are treated as cash collateral.

See CR SA instructions (Reporting of CRM techniques with substitution effect).

100-110
SUBSTITUTION OF THE EXPOSURE DUE TO CRM:

Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported.

100
(-) TOTAL OUTFLOWS

Articles 222(3) and 235 (1) and (2).

Outflows correspond to the covered part of the ‘Exposure net of value adjustments and provisions’, that is deducted from the obligor's exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider's exposure class and, when relevant, risk weight or obligor grade.

This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades.

This piece of information is related to column 090 [(-) Total Outflows] of the CR SA Total template.

110
TOTAL INFLOWS

Securitisation positions which are debt securities and are eligible financial collateral according to Article 197(1) of CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column.

This piece of information is related to column 100 (Total Inflows) of the CR SA Total template.

120
NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

Exposure assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to ‘Credit risk mitigation (CRM) techniques with substitution effects on the exposure’.

This piece of information is related to column 110 of the CR SA Total template.

130
(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM)

This item also includes credit linked notes (Article 218 of CRR).

This piece of information is related to columns 120 and 130 of the CR SA Total template.

140
FULLY ADJUSTED EXPOSURE VALUE (E*)

Securitisation positions according to Article 246 of CRR, therefore without applying the conversion figures laid down in Article 246(1) point (c) of CRR.

This piece of information is related to column 150 of the CR SA Total template.

150-180
BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS

Article 246(1) point (c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion factor. This conversion figure shall be 100 % unless otherwise specified in the CRR.

See columns 160 to 190 of the CR SA Total template.

For reporting purposes, fully adjusted exposure values (E*) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %,]0 %, 20 %],]20 %, 50 %] and]50 %, 100 %].

190
EXPOSURE VALUE

Securitisation positions according to Article 246 of CRR.

This piece of information is related to column 200 of the CR SA Total template.

200
(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

Article 258 of CRR envisages that in case of a securitisation position in respect of which a 1 250 % risk weight is assigned, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position.

210
EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

Exposure value minus the exposure value deducted from own funds.

220-320
BREAKDOWN OF EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS
220-260
RATED

Article 242(8) of CRR defines rated positions.

Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the SA in Article 251 (Table 1) of CRR.

270
1 250 % (UNRATED)

Article 242(7) of CRR defines unrated positions.

280
LOOK-THROUGH

Articles 253, 254 and 256(5) of CRR.

The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).

290
LOOK-THROUGH — OF WHICH: SECOND LOSS IN ABCP

Exposure value subject to the treatment of securitisation positions in a second loss tranche or better in an ABCP programme is set in 254 of CRR.

Article 242(9) of CRR defines Asset-backed commercial paper (ABCP) programme.

300
LOOK-THROUGH OF WHICH: AVERAGE RISK WEIGHT (%)

Exposure value weighted average risk weight shall be provided.

310
INTERNAL ASSESSMENT APPROACH (IAA)

Articles 109(1) and 259 (3) of CRR. Exposure value of securitisation positions under the internal assessment approach.

320
IAA: AVERAGE RISK WEIGHT (%)

Exposure value weighted average risk weight shall be provided.

330
RISK-WEIGHTED EXPOSURE AMOUNT

Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template.

340
OF WHICH: SYNTHETIC SECURITISATIONS

For synthetic securitisations, the amount to be reported in this column shall ignore any maturity mismatch.

350
OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

Articles 14(2), 406(2) and 407 of CRR require that whenever certain requirements in Articles 405, 406 or 409 of CRR are not met by the institution, Member States shall ensure that the competent authorities impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1 250 %) which would apply to the relevant securitisation positions under Part Three, Title II, Chapter 5, Section 3 of CRR. Such an additional risk weight may not only be imposed to investor institutions, but also to originators, sponsors and original lenders.

360
ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250 % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 330 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.

370-380
TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/AFTER CAP

Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (column 370)/after (column 380) applying the limits specified in Articles 252 -securitisation of items currently in default or associated with particular high risk items- or 256 (4) -additional own funds requirements for securitisations of revolving exposures with early amortisation provisions- of CRR.

390
MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES

Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions.

102.The CR SEC SA template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives as well as by securitisations and re-securitisations.
103.Positions treated according to the ratings based method and unrated positions (exposures at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.
Rows
010
TOTAL EXPOSURES

Total exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows.

020
OF WHICH: RE-SECURITISATIONS

Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR.

030
ORIGINATOR: TOTAL EXPOSURES

This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(1)(13) of CRR.

040-060
ON-BALANCE SHEET ITEMS

Article 246(1) point (a) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the Standardised Approach, the exposure value of an on-balance sheet securitisation position shall be its accounting value after application of specific credit risk adjustments.

On-balance sheet items are broken down by securitisations (row 050) and re-securitisations (row 060).

070-090
OFF-BALANCE SHEET ITEMS AND DERIVATIVES

These rows gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion figure unless otherwise specified.

The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR.

For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount.

For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template.

Off-balance sheet items and derivatives are broken down by securitisations (row 080) and re-securitisations (row 090) as in Article 251 Table 1 of CRR.

100
EARLY AMORTISATION

This row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242(13) and (14) of CRR.

110
INVESTOR: TOTAL EXPOSURES

This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor.

The CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.

120-140
ON-BALANCE SHEET ITEMS

The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.

150-170
OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here.

180
SPONSOR: TOTAL EXPOSURES

This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows the information regarding its own securitised assets.

190-210
ON-BALANCE SHEET ITEMS

The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.

220-240
OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here.

250-290
BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION

These rows gather information on outstanding positions treated according to the ratings based method and unrated positions (at reporting date) according to credit quality steps (envisaged for the SA in Article 251 (Table 1) of CRR) applied at origination date (inception). In the absence of this information, the earliest CQS-equivalent data available shall be reported.

These rows are only to be reported for columns 190, 210 to 270 and columns 330 to 340.

3.8.C 13.00 — CREDIT RISK – SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)
3.8.1.General remarks
104.The information in this template is requested for all securitisations for which a significant risk transfer is recognised and in which the reporting institution is involved in a securitisation treated under the Internal Ratings Based Approach.
105.The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.
106.The CR SEC IRB template has the same scope as the CR SEC SA, it gathers joint information on both traditional and synthetic securitisations held in the banking book.
3.8.2.Instructions concerning specific positions
Columns
010
TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED

For the row total on balance sheet items the amount reported under this column corresponds to the outstanding amount of securitised exposures at the reporting date.

See column 010 of CR SEC SA.

020-040
SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

Articles 249 and 250 of CRR.

Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure.

020
(-) FUNDED CREDIT PROTECTION (CVA)

The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which is expected to be reported in this column is established in Article 223(2) of CRR.

030
(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

Following the general rule for ‘inflows’ and ‘outflows’ the amounts reported under column 030 of the CR SEC IRB template shall appear as ‘inflows’ in the corresponding credit risk template (CR SA or CR IRB) and exposure class relevant for the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection).

The calculation procedure of the ‘foreign exchange risk’- adjusted nominal amount of the credit protection (G*) is established in Article 233(3) of CRR.

040
NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount.

The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection.

050
SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Securitisation positions held by the reporting institution, calculated according to Article 246(1)(b), (d) and (e), and (2) of CRR, without applying credit conversion factors and gross of value adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement.

Value adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitized positions are not considered.

In case of early amortisation clauses, institutions must specify the amount of ‘originator's’ interest' as defined in Article 256(2) of CRR.

In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor's interest (early amortisation) shall be the result of the aggregation of columns 010 to 040.

060-090
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

See Article 4(1)(57) and Part Three, Title II, Chapter 4 of CRR.

This block of columns gathers information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows).

060
(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA)

Unfunded credit protection is defined in Article 4(1)(59) of CRR.

Article 236 of CRR describes the computation procedure of GA in the case of full protection/partial protection — equal seniority.

This piece of information is related to columns 040 and 050 of the CR IRB template.

070
(-) FUNDED CREDIT PROTECTION

Funded credit protection is defined in Article 4(1)(58) of CRR.

Since the Financial Collateral Simple Method is not applicable, only funded credit protection according to Article 200 of CRR shall be reported in this column.

This piece of information is related to column 060 of the CR IRB template.

080-090
SUBSTITUTION OF THE EXPOSURE DUE TO CRM:

Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported.

080
(-) TOTAL OUTFLOWS

Article 236 of CRR.

Outflows correspond to the covered part of the ‘Exposure net of value adjustments and provisions’, that is deducted from the obligor's exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider's exposure class and, when relevant, risk weight or obligor grade.

This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades.

This piece of information is related to column 070 of the CR IRB template.

090
TOTAL INFLOWS

This piece of information is related to column 080 of the CR IRB template.

100
EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

Exposure assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to ‘Credit risk mitigation (CRM) techniques with substitution effects on the exposure’.

This piece of information is related to column 090 of the CR IRB template.

110
(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM)

Articles 218 to 222 of CRR. This item also includes credit linked notes (Article 218 of CRR).

120
FULLY ADJUSTED EXPOSURE VALUE (E*)

Securitisation positions according to Article 246 of CRR, therefore without applying the conversion factors laid down in Article 246(1) point (c) of CRR.

130-160
BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS

Article 246(1) point (c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion figure. This conversion figure shall be 100 % unless otherwise specified.

In this respect, Article 4(1)(56) of CRR defines conversion factor.

For reporting purposes, fully adjusted exposure values (E*) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %, (0 %, 20 %], (20 %, 50 %] and (50 %, 100 %].

170
EXPOSURE VALUE

Securitisation positions according to Article 246 of CRR.

This piece of information is related to column 110 of the CR IRB template.

180
(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

Article 266(3) of CRR foresees that in case of a securitisation position in respect of which a 1 250 % risk weight applies, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position.

190
EXPOSURE VALUE SUBJECT TO RISK WEIGHTS
200-320
RATINGS BASED METHOD (CREDIT QUALITY STEPS)

Article 261 of CRR.

IRB-Securitisation positions with an inferred rating according to Article 259(2) of CRR shall be reported as positions with a rating.

Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the IRB Approach Article 261(1) Table 4 of CRR.

330
SUPERVISORY FORMULA METHOD

For the Supervisory Formula Method (SFM), Article 262 of CRR.

The risk weight for a securitisation position shall be the greater of 7 % or the risk weight to be applied in accordance with the formulas provided.

340
SUPERVSIORY FORMULA METHOD: AVERAGE RISK WEIGHT

Credit risk mitigation on securitisation positions may be recognised in accordance with Article 264 of CRR. In this case, the institution shall indicate the ‘effective risk weight’ of the position when full protection has been received, according to what is established in Article 264(2) of CRR (the effective risk weight equals the risk-weighted exposure amount of the position divided by the exposure value of the position, multiplied by 100).

When the position benefits from partial protection, the institution must apply the Supervisory Formula Method using the ‘T’ adjusted according to what is established in Article 264(3) of CRR.

Weighted average risk weights shall be reported in this column.

350
LOOK-THROUGH

The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (highest risk weight of the pool).

Article 263(2) and (3) of CRR envisage an exceptional treatment where Kirb cannot be calculated.

The undrawn amount of the liquidity facilities shall be reported under ‘Off balance sheet items and derivatives’.

As long as an originator would be under the exceptional treatment where Kirb cannot be calculated, then column 350 would be the right column to use for the reporting of the risk weighting treatment given to the exposure value of a liquidity facility subject to the treatment laid down in Article 263 of CRR.

For early amortisations see Articles 256(5) and 265 of CRR.

360
LOOK-THROUGH: AVERAGE RISK WEIGHT

Exposure value weighted average risk weight shall be provided.

370
INTERNAL ASSESSMENT APPROACH

Article 259(3) and (4) of CRR envisages the ‘Internal Assessment Approach’ (IAA) for positions in ABCP programmes.

380
IAA: AVERAGE RISK WEIGHT

Weighted average risk weights shall be reported in this column.

390
(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS

Institutions applying the IRB Approach shall follow Article 266(1) (only applicable for originators, when the exposure has not been deducted from own funds) and (2) of CRR.

Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items.

400
RISK-WEIGHTED EXPOSURE AMOUNT

Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template.

410
RWEA OF WHICH: SYNTHETIC SECURITISATIONS

For synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch.

420
OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

Articles 14(2), 406(2) and 407 of CRR foresee that whenever certain requirements are not met by the institution, Member States shall ensure that the competent authorities impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1 250 %) which would apply to the relevant securitisation positions under Part Three, Title II, Chapter 5, Section 3 of CRR.

430
ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250 % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 400 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.

Negative values shall be reported in this column.

440-450
TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/AFTER CAP

Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (col 440)/after (col 450) applying the limits specified in Article 260 of CRR. Additionally Article 265 of CRR (additional own funds requirements for securitisations of revolving exposures with early amortisation provisions) has to be considered.

460
MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES

Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions.

107.The CR SEC IRB template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as by risk weight groupings of securitisations and re-securitisations.
108.Positions treated according to the ratings based method and unrated positions (exposures at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.
Rows
010
TOTAL EXPOSURES

Total exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows.

020
OF WHICH: RE-SECURITISATIONS

Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR.

030
ORIGINATOR: TOTAL EXPOSURES

This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(1)(13) of CRR.

040-090
ON-BALANCE SHEET ITEMS

Article 246(1) lit b) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the IRB Approach, the exposure value of an on-balance sheet securitisation position shall be the accounting value without taking into account any credit risk adjustments made.

On-balance sheet items are broken down according to risk weight groupings of securitisations (A-B-C), in rows 050-070, and re-securitisations (D-E), in rows 080-090, as stated in Article 261(1) Table 4 of CRR.

100-150
OFF-BALANCE SHEET ITEMS AND DERIVATIVES

These rows gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion factor unless otherwise specified.

Off-balance sheet securitisation positions arising from a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR.

For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount.

For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template.

Off-balance sheet items are broken down according to risk weight groupings of securitisations (A-B-C), in rows 110-130, and re-securitisations (D-E), in rows 140-150, as stated in Article 261(1) Table 4 of CRR.

160
EARLY AMORTISATION

This row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242(13) and (14) of CRR.

170
INVESTOR: TOTAL EXPOSURES

This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor.

The CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.

180-230
ON-BALANCE SHEET ITEMS

The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items for originators shall be applied here.

240-290
OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here.

300
SPONSOR: TOTAL EXPOSURES

This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4(1)(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets.

310-360
ON-BALANCE SHEET ITEMS

The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items and derivatives for originators shall be applied here.

370-420
OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here.

430-540
BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION

These rows gather information on outstanding positions treated according to the ratings based method and unrated positions (at reporting date) according to credit quality steps (envisaged for the IRB in Article 261 Table 4 of CRR) applied at origination date (inception). In the absence of this information, the earliest CQS-equivalent data available shall be reported.

These rows are only to be reported for columns 170, 190 to 320 and columns 400 to 410.

3.9.C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)
3.9.1.General remarks
109.This template gathers information on a transaction basis (versus the aggregate information reported in CR SEC SA, CR SEC IRB, MKR SA SEC and MKR SA CTP templates) on all securitisations the reporting institution is involved. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements are requested.
110.This template is to be reported for:
a.

Securitisations originated/sponsored by the reporting institution in case it holds at least one position in the securitisation. This means that, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 405 of CRR.

b.

Securitisations originated/sponsored by the reporting institution during the year of report(5), in case it holds no position.

c.

Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. This underlying could include covered bonds or other liabilities and shall be identified as such in column 160.

d.

Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).

111.This template shall be reported by consolidated groups and stand-alone institutions(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.
112.On account of Article 406(1) of CRR, which establishes that institutions investing in securitisation positions shall acquire a great deal of information on them in order to comply with due diligence requirements the reporting scope of the template is applied to a limited extent to investors. In particular, they shall report columns 010-040; 070-110; 160; 190; 290-400; 420-470.
113.Institutions playing the role of original lenders (not performing also the role of originators or sponsors in the same securitisation) shall generally report the template to the same extent as investors.
3.9.2.Instructions concerning specific positions
Columns
005
ROW NUMBER

The row number is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc.

010
INTERNAL CODE

Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation.

020
IDENTIFIER OF THE SECURITISATION (Code/Name)

Code used for the legal registration of the securitisation or, if not available, the name by which the securitisation is known in the market. When the International Securities Identification Number -ISIN- is available (i.e. for public transactions) the characters that are common to all tranches of the securitisation shall be reported in this column.

030
IDENTIFIER OF THE ORIGINATOR (Code/Name)

The code given by the supervisory authority to the originator or, if not available, the name of the institution itself shall be reported for this column.

In the case of multi-seller securitisations the reporting entity shall provide the identifier of all the entities within its consolidated group that are involved (as originator, sponsor or original lender) in the transaction. Whenever the code is not available or is not known by the reporting entity, the name of the institution shall be reported.

040
SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC)

Report the following abbreviations:

  • ‘T’ for Traditional;

  • ‘S’ for Synthetic.

The definitions of ‘traditional securitisation’ and ‘synthetic securitisation’ is provided in Article 242(10) and (11) of CRR.

050
ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?

Originators, sponsors and original lenders shall report one of the following abbreviations:

  • ‘K’ if entirely recognised

  • ‘P’ if partially derecognised

  • ‘R’ if entirely derecognised

  • ‘N’ if not applicable.

This column summarises the accounting treatment of the transaction.

In case of synthetic securitisations, originators shall report that securitised exposures are removed from the balance sheet.

In case of the securitisations of liabilities originators shall not report this column.

Option ‘P’ (partially removed) shall be reported when the securitised assets are recognized in the balance sheet to the extent of the reporting entity' continuing involvement as regulated in IAS 39.30-35.

060
SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS?

Originators, only, shall report the following abbreviations:

  • ‘N’ not subject to own funds requirements;

  • ‘B’ banking book;

  • ‘T’ trading book;

  • ‘A’ partly in both books.

Articles 109, 243 and 244 of CRR.

This column summarises the solvency treatment of the securitisation scheme by the originator. It indicates whether own funds requirements are computed according to securitised exposures or securitisation positions (banking book/trading book).

If own funds requirements are based on securitised exposures (for not being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SA template, in case the Standardised Approach is used, or in the CR IRB template, in case the Internal Ratings Based Approach is used by the institution.

Conversely, if own funds requirements are based on securitisation positions held in the banking book (for being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SEC SA template or in the CR SEC IRB template. In the case of securitisation positions held in the trading book the computation of own funds requirements for market risk shall be reported in the MKR SA TDI (standardised general position risk) and in the MKR SA SEC or MKR SA CTP (standardised specific position risk) or in the MKR IM (internal models) templates.

In the case of the securitisations of liabilities originators shall not report this column.

070
SECURITISATION OR RE-SECURITISATION?

According to definitions of ‘securitisation’ and ‘re-securitisation’ are provided in Article 4(1)(61) and (62) to (64) of CRR, report the type of underlying using the following abbreviations:

  • ‘S’ for securitisation;

  • ‘R’ for re-securitisation.

080-100
RETENTION

Articles 404 to 410 of CRR.

080
TYPE OF RETENTION APPLIED

For each securitisation scheme originated, it shall be reported the relevant type of retention of net economic interest, as envisaged in Article 405 of CRR:

  • A — Vertical slice (securitisation positions): ‘retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to the investors’.

  • V — Vertical slice (securitised exposures): retention of no less than 5 % of the credit risk of each of the securitised exposures, if the credit risk thus retained with respect to such securitised exposures always ranks pari passu with, or is subordinated to, the credit risk that has been securitised with respect to those same exposures.

  • B — Revolving exposures: ‘in the case of securitisations of revolving exposures, retention of the originator's interest of no less than 5 % of the nominal value of the securitised exposures’.

  • C — On-balance sheet: ‘retention of randomly selected exposures, equivalent to no less than 5 % of the nominal amount of the securitised exposures, where such exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is no less than 100 at origination’.

  • D — First loss: ‘retention of the first loss tranche and, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, so that the retention equals in total no less than 5 % of the nominal value of the securitised exposures’.

  • E — Exempted. This code shall be reported for those securitisations affected by provisions in Article 405(3) of CRR.

  • N — Not applicable. This code shall be reported for those securitisations affected by provisions in Article 404 of CRR.

  • U — In breach or unknown. This code shall be reported when the reporting does not know with certain which type of retention is being applied or in case of non-compliance.

090
% OF RETENTION AT REPORTING DATE

The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be no less than 5 % (at origination date).

Notwithstanding Article 405(1) of CRR, measurement of retention at origination can typically be interpreted as being when the exposures were first securitised, and not when the exposures were first created (for instance, not when the underlying loans were first extended). Measurement of retention at origination means that 5 % is the retention percentage that is required at the point in time when such retention level was measured and the requirement fulfilled (for instance, when the exposures were first securitised); dynamic re-measurement and readjustment of the retained percentage throughout the life of the transaction is not required.

This column shall not be reported in case codes ‘E’ (exempted) or ‘N’ (not applicable) are reported under column 080 (Type of retention applied).

100
COMPLIANCE WITH THE RETENTION REQUIREMENT?

Article 405(1) of CRR.

Report the following abbreviations:

  • Y-Yes;

  • N-No.

This column shall not be reported in case codes ‘E’ (exempted) or ‘N’ (not applicable) are reported under column 080 (Type of retention applied).

110
ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR)

Report the following abbreviations:

  • ‘O’ for Originator;

  • ‘S’ for Sponsor;

  • ‘L’ for Original Lender;

  • ‘I’ for Investor.

See definitions in Article 4(1)(13) (Originator) and Article 4(1)(14) (Sponsor) of CRR. Investors are assumed to be those institutions to which provisions in Articles 406 and 407of CRR apply.

120-130
NON ABCP PROGRAMS

Because of their special character because they comprise of several single securitisation positions, ABCP programs (defined in Article 242(9) of CRR) are exempted from reporting in columns 120 and 130.

120
ORIGINATION DATE (mm/yyyy)

The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported according to the following format: ‘mm/yyyy’.

For each securitisation scheme the origination date cannot change between reporting dates. In the particular case of securitisation schemes backed by open pools, the origination date shall be the date of the first issuance of securities.

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

130
TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE

This column gathers the amount (according to original exposures pre conversion factors) of the securitised portfolio at the origination date.

In case of securitisation schemes backed by open pools the amount referring to the origination date of the first issuance of securities shall be reported. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity's contribution in the securitised portfolio shall be reported. In the case of the securitisation of liabilities only the amounts issued by the reporting entity shall be reported.

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

140-220
SECURITISED EXPOSURES

Columns 140 to 220 request information on several features of the securitised portfolio by the reporting entity.

140
TOTAL AMOUNT

Institutions shall report the value of the securitised portfolio at reporting date, i.e. the outstanding amount of the securitised exposures. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity's contribution in the securitised portfolio shall be reported. In the case of securitisation schemes backed by closed pools (i.e. the portfolio of securitised assets cannot be enlarged after the origination date) the amount will progressively be reduced.

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

150
INSTITUTION'S SHARE (%)

It shall be reported the institution's share (percentage with two decimals) at reporting date in the securitised portfolio. The figure to be reported in this column is, by default, 100 % except for multi-seller securitisation schemes. In that case the reporting entity shall report its current contribution to the securitised portfolio (equivalent to column 140 in relative terms).

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

160
TYPE

This column gathers information on the type of assets (‘1’ to ‘8’) or liabilities (‘9’ and ‘10’) of the securitised portfolio. The institution must report one of the following number codes:

  • 1 — Residential mortgages;

  • 2 — Commercial mortgages;

  • 3 — Credit card receivables;

  • 4 — Leasing;

  • 5 — Loans to corporates or SMEs (treated as corporates);

  • 6 — Consumer loans;

  • 7 — Trade receivables;

  • 8 — Other assets;

  • 9 — Covered bonds;

  • 10 — Other liabilities.

In case the pool of securitised exposures is a mix of the previous types, the institution shall indicate the most important type. In case of re-securitisations, the institution shall refer to the ultimate underlying pool of assets. Type ‘10’ (Other liabilities) includes treasury bonds and credit linked notes.

For securitisation schemes backed by closed pools the type cannot change between reporting dates.

170
APPROACH APPLIED (SA/IRB/MIX)

This column gathers information on the approach that at reporting date the institution would apply to the securitised exposures.

Report the following abbreviations:

  • ‘S’ for Standardised Approach;

  • ‘I’ for Internal Ratings Based Approach;

  • ‘M’ for a combination of both approaches (SA/IRB).

If under SA, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC SA template.

If under IRB, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC IRB template.

If under combination of SA and IRB, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in both the CR SEC SA and CR SEC IRB templates.

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Nevertheless, this column does not apply to securitisations of liabilities. Sponsors shall not report this column.

180
NUMBER OF EXPOSURES

Article 261(1) of CRR.

This column is only compulsory for those institutions using the IRB approach to the securitisation positions (and, therefore, reporting ‘I’ in column 170). The institution shall report the effective number of exposures.

This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled when the reporting entity does not hold any positions in the securitisation. This column shall not be fulfilled by investors.

190
COUNTRY

Report the code (ISO 3166-1 alpha-2) of the country of origin of the ultimate underlying of the transaction, i.e. the country of the immediate obligor of the original securitised exposures (look through). In case the pool of the securitisation consists of different countries, the institution shall indicate the most important country. If no country exceeds a 20 % threshold based on the amount of assets/liabilities, then ‘OT’ (other) shall be reported.

200
ELGD (%)

The exposure-weighted average loss-given-default (ELGD) shall only be reported by those institutions applying the Supervisory Formula Method (and, therefore, reporting ‘I’ in column 170). The ELGD is to be calculated as indicated in Article 262(1) of CRR.

This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled either when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column.

210
(-) VALUE ADJUSTMENTS AND PROVISIONS

Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items.

This column gathers information on the value adjustments and provisions applied to the securitised exposures. This column shall not be reported in case of securitisation of liabilities.

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

Sponsors shall not report this column.

220
OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)

This column gathers information on the own funds requirements of the securitised portfolio in case there had been no securitisation plus the expected losses related to those risks (Kirb), as a percentage (with two decimals) on the total of securitised exposures at origination date. Kirb is defined in Article 242(4) of CRR.

This column shall not be reported in case of securitisation of liabilities. In case of the securitisation of assets, this piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

Sponsors shall not report this column.

230-300
SECURITISATION STRUCTURE

This block of six columns gathers information on the structure of the securitisation according to on/off balance sheet positions, tranches (senior/mezzanine/first loss) and maturity.

In the case of multi-seller securitisations, for the first loss tranche only the amount corresponding or attributed to the reporting institution shall be reported.

230-250
ON-BALANCE SHEET ITEMS

This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss).

230
SENIOR

All tranches that do not qualify as mezzanine or first loss shall be included in this category.

240
MEZZANINE

See Articles 243(3) (traditional securitisations) and 244 (3) (synthetic securitisations) of CRR.

250
FIRST LOSS

First loss tranche is defined in Article 242(15) of CRR.

260-280
OFF-BALANCE SHEET ITEMS AND DERIVATIVES

This block of columns gathers information on off-balance sheet items and derivatives broken down by tranches (senior/mezzanine/first loss).

The same criteria of classification among tranches used for on-balance sheet items shall be applied here.

290
FIRST FORESEEABLE TERMINATION DATE

The likely termination date of the whole securitisation in the light of its contractual clauses and the currently expected financial conditions. Generally, it would be the earliest of the following dates:

(i)

the date when a clean-up call (defined in Article 242(2) of CRR) might first be exercised taking into account the maturity of the underlying exposure(s) as well as their expected pre-payment rate or potential re-negotiation activities;

(ii)

the date on which the originator may first exercise any other call option embedded in the contractual clauses of the securitisation which would result in the total redemption of the securitisation.

The day, month and year of the first foreseeable termination date shall be reported. The exact day shall be reported if this data is available, otherwise the first day of the month shall be reported.

300
LEGAL FINAL MATURITY DATE

The date upon which all principal and interest of the securitisation must be legally repaid (based on the transaction documentation).

The day, month and year of the legal final maturity date shall be reported. The exact day shall be reported if this data is available, otherwise the first day of the month shall be reported.

310-400
SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

This block of columns gathers information on the securitisation positions according to on/off balance sheet positions and the tranches (senior/mezzanine/first loss) at reporting date.

310-330
ON-BALANCE SHEET ITEMS

The same criteria of classification among tranches used for on-balance sheet items shall be applied here.

340-360
OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among tranches used for off-balance sheet items shall be applied here.

370-400
MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

This block of columns gathers additional information on the total off-balance sheet items and derivatives (which are already reported under a different breakdown in columns 340-360).

370
DIRECT CREDIT SUBSTITUTES (DCS)

This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS).

According to Annex I of CRR the following full risk off-balance sheet items are regarded as DCS:

  • Guarantees having the character of credit substitutes.

  • Irrevocable standby letters of credit having the character of credit substitutes.

380
IRS/CRS

IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. These derivatives are listed in Annex II of CRR.

390
ELIGIBLE LIQUIDITY FACILITIES

Liquidity facilities (LF), defined in Article 242(3) of CRR must satisfy a list of six conditions established in Article 255(1) of CRR to be considered as eligible (regardless of the method applied by the institution -SA or IRB-).

400
OTHER (INCLUDING NON-ELIGIBLE LF)

This column is devoted to remaining off-balance sheet items such as non-eligible liquidity facilities (i.e. those LF that do not meet the conditions listed in Article 255(1) of CRR).

410
EARLY AMORTISATION: CONVERSION FACTOR APPLIED

Articles 242(12) and 256(5) (SA) and Article 265(1) (IRB) of CRR envisage a set of conversion factors to be applied to amount of the investors' interest (in order to calculate risk-weighted exposure amounts).

This column applies to securitisation schemes with early amortisation clauses (i.e. revolving securitisations).

According to Article 256(6) of CRR, the conversion figure to be applied shall be determined by the level of the actual three month average excess spread.

In the case of the securitisations of liabilities this column shall not be reported. This piece of information is related to row 100 in CR SEC SA and row 160 in the CR SEC IRB template.

420
(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

This piece of information is closely related to column 200 in the CR SEC SA template and column 180 in the CR SEC IRB template.

A negative figure shall be reported in this column.

430
TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP

This column gathers information on the risk weighted exposure amount before cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount computed according securitised exposures) no data shall be reported in this column.

In the case of the securitisations of liabilities this column shall not be reported.

440
TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP

This column gathers information on the risk weighted exposure amount after cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. own funds requirements computed according securitised exposures) no data shall be reported in this column.

In the case of the securitisations of liabilities this column shall not be reported.

450-510
SECURITISATION POSITIONS — TRADING BOOK
450
CTP OR NON-CTP?

Report the following abbreviations:

  • C — Correlation Trading Portfolio (CTP);

  • N — Non-CTP

460-470
NET POSITIONS — LONG/SHORT

See columns 050/060 of MKR SA SEC or MKR SA CTP, respectively.

480
TOTAL OWN FUNDS REQUIREMENTS (SA) - SPECIFIC RISK

See column 610 of MKR SA SEC, or column 450 of MKR SA CTP, respectively.

4.OPERATIONAL RISK TEMPLATES

4.1.C 16.00 – OPERATIONAL RISK (OPR)
4.1.1.General Remarks
114.This template provides information on the calculation of own funds requirements according to Articles 312 to 324 of CRR for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA). An institution cannot apply TSA and ASA for the business lines retail banking and commercial banking at the same time at solo level
115.Institutions using the BIA, TSA and/or ASA shall calculate their own funds requirement, based on the information at financial year end. When audited figures are not available, institutions may use business estimates. If audited figures are used, institutions shall report the audited figures which should remain unchanged. Deviations from this ‘unchanged’ principle are possible, for instance if during that period the exceptional circumstances, such as recent acquisitions or disposals of entities or activities, are met.
116.If an institution can justify its competent authority that – due to exceptional circumstances such as a merger or a disposal of entities or activities – using a three year average to calculating the relevant indicator would lead to a biased estimation for the own funds requirement for operational risk, the competent authority may permit the institution to modify the calculation in a way that would take into account such events. Also the competent authority may on its own initiative, require an institution to modify the calculation. Where an institution has been in operation for less than three years it may use forward looking business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as they are available.
117.By columns, this template presents information, for the three most recent years, on the amount of the relevant indicator of the banking activities subject to operational risk and on the amount of loans and advances (the latter only applicable in the case of ASA). Next, information on the amount of own funds requirement for operational risk is reported. If applicable, it must be detailed which part of this amount is due to an allocation mechanism. Regarding AMA, memorandum items are added to present a detail of the effect of the expected loss, diversification and mitigation techniques on own funds requirement for operational risk.
118.By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA.
119.This template shall be submitted by all institutions subject to operational risk own funds requirement.
4.1.2.Instructions concerning specific positions
Columns
010-030
RELEVANT INDICATOR

Institutions using the relevant indicator to calculate the own funds requirement for operational risk (BIA, TSA and ASA) report relevant indicator for the respective years in columns 010 to 030. Moreover, in the case of a combined use of different approaches as referred in Article 314 of CRR, institutions also report, for information purposes, relevant indicator for the activities subject to AMA. It is also the case for all other AMA banks.

Hereafter, the term ‘relevant indicator’ refers to ‘the sum of the elements’ at the end of the financial year as defined in Article 316 point 1, Table1 of CRR.

If the institution has less than 3 years of data on ‘relevant indicator’ available, the available historical data (audited figures) shall be assigned by priority to the corresponding columns in the table. If, for instance, historical data for only one year is available, it shall be reported in column 030. If it seems reasonable, the forward looking estimates shall then be included in column 020 (estimate of next year) and column 010 (estimate of year +2).

Furthermore if there are no historical data on ‘relevant indicator’ available the institution may use forward-looking business estimates.

040-060
LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION)

These columns shall be used to report the amounts of the loans and advances for business lines ‘Commercial banking’ and ‘Retail banking’, as referred to in Article 319(1) point (b) of CRR. These amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to ASA (Article 319(1) point (a) of CRR).

For the ‘commercial banking’ business line, securities held in the non-trading book shall also be included.

070
OWN FUND REQUIREMENT

The own fund requirement is calculated according to the approach used, following Articles 312 to 324 of CRR The resulting amount is reported in column 070.

071
TOTAL OPERATIONAL RISK EXPOSURE AMOUNT

Article 92(4) of CRR. Own funds requirements in column 070 multiplied by 12.5.

080
OF WHICH: DUE TO AN ALLOCATION MECHANISM

Article 18(1) of CRR (related to the inclusion, in the application referred to in Article 312(2) of CRR) of the methodology used for allocating operational risk capital between the different entities of the group and of whether and how diversification effects are intended to be factored in the risk measurement system used by a EU parent credit institution and its subsidiaries or jointly by the subsidiaries of an EU parent financial holding company or EU parent mixed financial holding company.

090-120
AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE
090
OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES

The own funds requirement reported in column 090 is the one of column 070 but calculated before taking into account the alleviation effects due to expected loss, diversification and risk mitigation techniques (see below).

100
(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES

In column 100 the alleviation of own funds requirements due to expected loss captured in internal business practices (as referred to in Article 322(2) point (a) of CRR) is reported.

110
(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION

The diversification effect in column 110 is the difference between the sum of own funds requirements calculated separately for each operational risk class (i.e. a ‘perfect dependence’ situation) and the diversified own funds requirement calculated by taking into account correlations and dependencies (i.e. assuming less than ‘perfect dependence’ between the risk classes). The ‘perfect dependence’ situation occurs in the ‘default case’, that is when the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is computed as the sum of the individual operational risk measures of the chosen risk classes. In this case the correlation between the risk classes is assumed of 100 % and the value in the column has to be set to zero. Conversely, when the institution computes an explicit correlations structure between risk classes, it has to include in this column the difference between the AMA capital as stemming from the ‘default case’ and that obtained after applying the correlations structure between the risk classes. The value reflects the ‘diversification capacity’ of the AMA model, that is the ability of the model to capture the not simultaneous occurrence of severe operational risk loss events. In the column 110 the amount by which the assumed correlation structure decreases the AMA capital relative to the assumption of 100 % correlation has to be reported.

120
(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)

In column 120 the impact of insurance and other risk transfer mechanisms according to Article 323(1) to (5) of CRR is reported.

Rows
010
BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)

This row shall present the amounts corresponding to activities subject to the BIA to calculate the own funds requirement for operational risk (Articles 315 and 316 of CRR).

020
BANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ALTERNATIVE STANDARDISED (ASA) APPROACHES

The own funds requirement calculated according to the TSA and ASA (Articles 317 to 319 of CRR) shall be reported.

030-100
SUBJECT TO TSA

In the case of using the TSA, relevant indicator for each respective year shall be distributed in rows 030 to 100 amongst the business lines defined in Article 317, Table 2 of CRR. The mapping of activities into business lines shall follow the principles described in Article 318 of CRR.

110-120
SUBJECT TO ASA

Institutions using the ASA (Article 319 of CRR) shall report for the respective years the relevant indicator separately for each business line in the rows 030 to 050 and 080 to 100 and in the rows 110 and 120 for business lines ‘Commercial banking’ and ‘Retail banking’.

Rows 110 and 120 shall present the amount of relevant indicator of activities subject to ASA distinguishing between those corresponding to the business line ‘Commercial banking’ and those corresponding to the business line ‘Retail banking’ (Article 319 of CRR). There can be amounts for the rows corresponding to ‘Commercial banking’ and ‘Retail banking’ under the TSA (rows 060 and 070) as well as under the ASA rows 110 and 120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA).

130
BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA

The relevant data for AMA institutions (Article 312 point 2 and Article 321 to 323 of CRR) shall be reported.

In the case of combined use of different approaches as indicated in Article 314 of CRR, information on relevant indicator for activities subject to AMA shall be reported. It is also the case for all other AMA banks.

4.2.OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS)
4.2.1.General Remarks
120.Template C 17.01 (OPR DETAILS 1) summarises the information on the gross losses and loss recoveries registered by an institution in the last year according to event types and business lines. Template C 17.02 (OPR DETAILS 2) provides detailed information on the largest loss events in the last year.
121.Operational risk losses that are related to credit risk and are subject to own funds requirements for credit risk (boundary credit-related operational risk events) are neither considered in template C 17.01 nor template C 17.02.
122.In case of a combined use of different approaches for the calculation of own funds requirements for operational risk according to Article 314 CRR, losses and recoveries registered by an institution shall be reported in C 17.01 and C 17.02 irrespective of the approach applied to calculate own funds requirements.
123.‘Gross loss’ means a loss stemming from an operational risk event or event type — as referred to in Article 322(3)(b) of Regulation (EU) No 575/2013 — before recoveries of any type, without prejudice to ‘rapidly recovered loss events’ as defined below.
124.‘Recovery’ means an independent occurrence related to the original operational risk loss that is separate in time, in which funds or inflows of economic benefits are received from first or third parties, such as insurers or other parties. Recoveries are broken down into recoveries from insurance and other risk transfer mechanisms and direct recoveries.
125.‘Rapidly recovered loss events’ means operational risk events that lead to losses that are partly or fully recovered within five working days. In case of a rapidly recovered loss event, only the part of the loss that is not fully recovered (i.e. the loss net of the partial rapid recovery) shall be included into the gross loss definition. As a consequence, loss events that lead to losses that are fully recovered within five working days shall not be included into the gross loss definition, as well as into the OPR DETAILS reporting at all.
126.‘Date of accounting’ means the date when a loss or reserve/provision was first recognized in the Profit and Loss statement, against an operational risk loss. This date logically follows the ‘Date of occurrence’ (i.e. the date when the operational risk event happened or first began) and the ‘Date of discovery’ (i.e. the date on which the institution became aware of the operational risk event).
127.Losses caused by a common operational risk event or by multiple events linked to an initial operational risk event generating events or losses (‘root-event’) are grouped. The grouped events shall be considered and reported as one event, and thus the related gross loss amounts respectively amounts of loss adjustments shall be summed up.
128.The figures reported in June of the respective year are interim figures, while the final figures are reported in December. Therefore the figures in June have a six-month reference period (i.e. from 1 January to 30 June of the calendar year) while the figures in December have a twelve-month reference period (i.e. from 1 January to 31 December of the calendar year). Both for data reported as of June and December, ‘previous reporting reference periods’ means all reporting reference periods until and including the one ending at the preceding calendar year end.
129.In order to verify the conditions envisaged by Article 5 (b) (2) (b) (i) of this Regulation, the institutions shall use the latest statistics as available in the Supervisory Disclosure webpage of the EBA to get ‘the sum of individual balance sheet totals of all institutions within the same Member State’. In order to verify the conditions envisaged by Article 5 (b) 2 (b) (iii), the gross domestic product at market prices as defined in point 8.89 of Annex A to Regulation (EU) No 549/2013 of the European Parliament and of the Council (ESA 2010) and published by Eurostat for the previous calendar year shall be used.
4.2.2.C 17.01: Operational risk losses and recoveries by business lines and event types in the last year (OPR DETAILS 1)
4.2.2.1.General Remarks
130.In template C 17.01, the information is presented by distributing the losses and recoveries above internal thresholds amongst business lines (as defined in Article 317, Table 2 of CRR including the additional business line ‘Corporate items’ as referred to in Article 322(3) point (b) CRR) and event types (as defined in Article 324 CRR), being possible that the losses corresponding to one event are distributed amongst several business lines.
131.Columns present the different event types and the totals for each business line, together with a memorandum item that shows the lowest internal threshold applied in the data collection of losses, revealing within each business line the lowest and the highest threshold if there is more than one threshold.
132.Rows present the business lines, and within each business line, information on the number of events (new events), the gross loss amount (new events), the number of events subject to loss adjustments, the loss adjustments relating to previous reporting periods, the maximum single loss, the sum of the five largest losses and the total loss recoveries (direct loss recoveries as well as recoveries from insurance and other risk transfer mechanisms).
133.For the total business lines, data on the number of events and the gross loss amount is also requested for certain ranges based on set thresholds, 10 000, 20 000, 100 000, and 1 000 000. The thresholds are set in Euro amounts and are included for comparability purposes of the reported losses among institutions; therefore they do not necessarily relate with the minimum loss thresholds used for the internal loss data collection, to be reported in another section of the template.
4.2.2.2.Instructions concerning specific positions
Columns
010-070
EVENT TYPES

Institutions report the losses in the respective columns 010 to 070 according to the event types as defined in Article 324 CRR.

Institutions that calculate their own funds requirement according to BIA may report those losses for which the event type is not identified in column 080 only.

080
TOTAL EVENT TYPES

In column 080, for each business line, institutions report the total ‘number of events (new events)’, the total of ‘gross loss amount (new events)’, the total ‘number of events subject to loss adjustments’, the total of ‘loss adjustments relating to previous reporting periods’, the ‘maximum single loss’, the ‘sum of the five largest losses’, the total of ‘total direct loss recovery’ and the total of ‘total recovery from insurance and other risk transfer mechanisms’.

Provided that the institution has identified the event types for all losses, column 080 shows the simple aggregation of the number of loss events, the total gross loss amounts, the total loss recovery amounts and the ‘loss adjustments relating to previous reporting periods’ reported in columns 010 to 070.

The ‘maximum single loss’ reported in column 080 is the maximum single loss within a business line and identical to the maximum of the ‘maximum single losses’ reported in columns 010 to 070, provided that the institution has identified the event types for all losses.

For the sum of the five largest losses, in column 080 the sum of the five largest losses within one business line is reported.

090-100
MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION

Institutions report in the columns 090 and 100 the minimum loss thresholds they are using for the internal loss data collection in accordance with Article 322(3) point (c), last sentence CRR.

If the institution applies only one threshold for in each business line, only the column 090 shall be filled in.

In the case where there are different thresholds applied within the same regulatory business line, then the highest applicable threshold (column 100) shall be filled in as well.

Rows
010-880
BUSINESS LINES: CORPORATE FINANCE, TRADING AND SALES, RETAIL BROKERAGE, COMMERCIAL BANKING, RETAIL BANKING, PAYMENT AND SETTLEMENT, AGENCY SERVICES, ASSET MANAGEMENT, CORPORATE ITEMS

For each business line as defined in Article 317(4), table 2 CRR, including the additional business line ‘Corporate items’ as referred to in Article 322(3) point (b) CRR, and for each event type, the institution shall report, according to the internal thresholds the following information: number of events (new events), gross loss amount (new events), the number of events subject to loss adjustments, loss adjustments relating to previous reporting periods, maximum single loss, sum of the five largest losses, total direct loss recovery and the total recovery from insurance and other risk transfer mechanisms.

For a loss event that affects more than one business line the ‘gross loss amount’ is distributed among all the affected business lines.

Institutions that calculate their own funds requirement according to BIA can report those losses for which the business line is not identified in rows 910-980 only.

010, 110, 210, 310, 410, 510, 610, 710, 810
Number of events (new events)

The number of events is the number of operational risk events for which gross losses were accounted for within the reporting reference period.

The number of events shall refer to ‘new events’, i.e. operational risk events

(i)

‘accounted for the first time’ within the reporting reference period or

(ii)

‘accounted for the first time’ within a previous reporting reference period, if the event had not been included in any previous supervisory report, e.g. because it was identified as operational risk event only in the current reporting reference period or because the accumulated loss attributable to that event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period.

‘New events’ do not include operational risk events ‘accounted for the first time’ within a previous reporting reference period, which had been included already in previous supervisory reports.

020, 120, 220, 320, 420, 520, 620, 720, 820
Gross loss amount (new events)

The gross loss amount is the gross loss amounts pertinent to operational risk events (e.g. direct charges, provisions, settlements). All losses related to a single event which are accounted for within the reporting reference period are summed up and considered as the gross loss for that event for that reporting reference period.

The reported gross loss amount shall refer to ‘new events’ as defined in the row above. For events ‘accounted for the first time’ within a previous reporting reference period which had not been included in any previous supervisory report, the total loss accumulated until the reporting reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) shall be reported as the gross loss at the reporting reference date.

The amounts to be reported do not take into account obtained recoveries.

030, 130, 230, 330, 430, 530, 630, 730, 830
Number of loss events subject to loss adjustments

The number of loss events subject to loss adjustments is the number of operational risk events ‘accounted for the first time’ in previous reporting reference periods and already included in previous reports, for which loss adjustments were made in the current reporting reference period.

If more than one loss adjustment was made for an event within the reporting reference period, the sum of those loss adjustments shall be counted as one adjustment in the period.

040, 140, 240, 340, 440, 540, 640, 740, 840
Loss adjustments relating to previous reporting periods

Loss adjustments relating to previous reporting reference periods is the sum of the following elements (positive or negative):

(i)

the gross loss amounts pertinent to positive loss adjustments made within the reporting reference period (e.g. increase of provisions, linked loss events, additional settlements) of operational risk events ‘accounted for the first time’ and reported in previous reporting reference periods;

(ii)

the gross loss amounts pertinent to negative loss adjustments made within the reporting reference period (e.g. due to decrease of provisions) of operational risk events ‘accounted for the first time’ and reported in previous reporting reference periods.

If more than one loss adjustment was made for an event within the reporting reference period, the amounts of all those loss adjustments are summed up, taking into account the sign of the adjustments (positive, negative). This sum is considered as the loss adjustment for that event for that reporting reference period.

If, due to a negative loss adjustment, the adjusted loss amount attributable to an event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that event accumulated until the last time when the event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign instead of the amount of the negative loss adjustment itself.

The amounts to be reported do not take into account obtained recoveries.

050, 150, 250, 350, 450, 550, 650, 750, 850
Maximum single loss

The Maximum single loss is the larger of

(i)

the largest gross loss amount related to an event reported for the first time within the reporting reference period and

(ii)

the largest positive loss adjustment amount (as defined above) related to an event reported for the first time within a previous reporting reference period.

The amounts to be reported do not take into account obtained recoveries.

060, 160, 260, 360, 460, 560, 660, 760, 860
Sum of the five largest losses

The sum of the five largest losses is the sum of the five largest amounts among

(i)

the gross loss amounts for events reported for the first time within the reporting reference period and

(ii)

the positive loss adjustment amounts (as defined for rows 040, 140, …, 840 above) relating to events reported for the first time within a previous reporting reference period. The amount which can qualify as one of the five largest ones is the amount of the loss adjustment itself, not the total loss associated with the respective event before or after the loss adjustment.

The amounts to be reported do not take into account obtained recoveries.

070, 170, 270, 370, 470, 570, 670, 770, 870
Total direct loss recovery

Direct recoveries are all recoveries obtained except those which are subject to Article 323 CRR as reported in the row below.

The total direct loss recovery is the sum of all the direct recoveries and adjustments to direct recoveries accounted for within the reporting period and pertinent to operational risk events accounted for the first time within the reporting reference period or in previous reporting reference periods.

080, 180, 280, 380, 480, 580, 680, 780, 880
Total recovery from insurance and other risk transfer mechanisms

Recoveries from insurance and other risk transfer mechanisms are those recoveries which are subject to Article 323 CRR.

The total recovery from insurance and other risk transfer mechanisms is the sum of all the recoveries from insurance and other risk transfer mechanisms and adjustments to such recoveries accounted within the reporting reference period and pertinent to operational risk events accounted for the first time within the reporting reference period or in previous reporting reference periods.

910-980
TOTAL BUSINESS LINES

For each event type (column 010 to 080), the information (Article 322(3) lit. b), c) and e) of CRR on total business lines has to be reported.

910-914
Number of Events

In row 910, the number of events above the internal threshold by event types for the total business lines shall be reported. This figure may be lower than the aggregation of the number of events by business lines since the events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, if an institution calculating its own funds requirements according to BIA cannot identify the business line(s) affected by the loss in every case.

In rows 911 – 914, the number of events with a gross loss amount within the ranges defined in the pertinent rows shall be reported.

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line ‘Corporate items’ as referred to in Article 322(3) point (b) CRR respectively that it has identified the event types for all losses, the following shall apply for column 080:

  • The total number of events reported in rows 910 to 914 is equal to the horizontal aggregation of the number of events in the corresponding row, given that in those figures the events with impacts in different business lines shall have already been considered as one event.

  • The figure reported in column 080, row 910 shall not necessarily be equal to the vertical aggregation of the number of events which are included in column 080, given that one event can have an impact in different business lines simultaneously.

920-924
Gross loss amount (new events)

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line ‘Corporate items’ as referred to in Article 322(3) point (b) CRR, the gross loss amount (new events) reported in row 920 is the simple aggregation of the gross loss amounts of new events for each business line.

In rows 921 – 924, the gross loss amount for events with a gross loss amount within the ranges defined in the pertinent rows shall be reported.

930, 935, 936
Number of loss events subject to loss adjustments

In row 930, the total of the numbers of events subject to loss adjustments as defined for rows 030, 130, …, 830 shall be reported. This figure may be lower than the aggregation of the number of events subject to loss adjustments by business lines since events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, if an institution calculating its own funds requirements according to BIA cannot identify the business line(s) affected by the loss in every case.

The number of loss events subject to loss adjustments shall be broken down into the number of events for which a positive loss adjustment was made within the reporting reference period and the number of events for which a negative loss adjustment was made within the reporting period (all reported with a positive sign).

940, 945, 946
Loss adjustments relating to previous reporting periods

In row 940, the total of the loss adjustment amounts relating to previous reporting periods per business lines (as defined for rows 040, 140, …, 840) shall be reported. Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 of CRR or the business line ‘Corporate items’ as referred to in Article 322(3) point (b) of CRR, the amount reported in row 940 is the simple aggregation of the loss adjustments relating to previous reporting periods reported for the different business lines.

The amount of loss adjustments shall be broken down into the amount related to events for which a positive loss adjustment was made in the reporting reference period (row 945, reported with as positive figure) and the amount related to events for which a negative loss adjustment was made within the reporting period (row 946, reported as negative figure). If, due to a negative loss adjustment, the adjusted loss amount attributable to an event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that event accumulated until the last time when the event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign in row 946 instead of the amount of the negative loss adjustment itself.

950
Maximum single loss

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line ‘Corporate items’ as referred to in Article 322(3) point (b) CRR, the maximum single loss is the maximum loss over the internal threshold for each event type and amongst all business lines. These figures may be higher than the highest single loss recorded in each business line if an event impacts different business lines.

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line ‘Corporate items’ as referred to in Article 322(3) point (b) CRR respectively that it has identified the event types for all losses, the following shall apply for column 080:

  • The maximum single loss reported shall be equal to the highest of the values reported in columns 010 – 070 of this row.

  • If there are events having an impact in different business lines, the amount reported in {r950, c080} may be higher than the amounts of ‘Maximum single loss’ per business line reported in other rows of column 080.

960
Sum of the five largest losses

The sum of the five largest gross losses for each event type and amongst all business lines is reported. This sum may be higher than the highest sum of the five largest losses recorded in each business line. This sum has to be reported regardless of the number of losses.

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line ‘Corporate items’ as referred to in Article 322(3) point (b) CRR respectively that it has identified the event types for all losses, for column 080, the sum of the five largest losses shall be the sum of the five largest losses in the whole matrix, which means that it may not necessarily be equal to neither the maximum value of ‘sum of the five largest losses’ in row 960 nor the maximum value of ‘sum of the five largest losses’ in column 080.

970
Total direct loss recovery

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line ‘Corporate items’ as referred to in Article 322(3) point (b) CRR, the total direct loss recovery is the simple aggregation of the total direct loss recovery for each business line.

980
Total recovery from insurance and other risk transfer mechanisms

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line ‘Corporate items’ as referred to in Article 322(3) point (b) CRR, the total recovery from insurance and other risk transfer mechanisms is the simple aggregation of the total loss recovery from insurance and other risk transfer mechanisms for each business line.

4.2.3.C 17.02: Operational risk: Detailed information on the largest loss events in the last year (OPR DETAILS 2)
4.2.3.1.General Remarks
134.In template C 17.02, information on individual loss events shall be provided (one row per event).
135.The information reported in this template shall refer to ‘new events’, i.e. operational risk events
(a)

‘accounted for the first time’ within the reporting reference period or

(b)

‘accounted for the first time’ within a previous reporting reference period, if the event had not been included in any previous supervisory report, e.g. because it was identified as operational risk event only in the current reporting reference period or because the accumulated loss attributable to that event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period.

136.Only events entailing a gross loss amount of 100 000 EUR or more shall be reported.

Subject to that threshold,

(a)

the largest event for each event type, provided that the institution has identified the event types for losses and

(b)

at least the ten largest of the remaining events with or without identified event type by gross loss amount shall be included in the template.

(c)

Events are ranked based on the gross loss attributed to them.

(d)

An event shall only be considered once.

4.2.3.2.Instructions concerning specific positions
Columns
010
Event ID

The event ID is a row identifier and shall be unique for each row in the table.

Where an internal ID is available, institutions shall provide the internal ID. Otherwise, the reported ID shall follow the numerical order 1, 2, 3, etc.

020
Date of Accounting

Date of accounting means the date when a loss or reserve/provision against an operational risk loss was first recognized in the Profit and Loss statement.

030
Date of occurrence

Date of occurrence is the date when the operational risk event happened or first began.

040
Date of discovery

Date of discovery is the date on which the institution became aware of the operational risk event.

050
Event Type

Event types as defined in Article 324 CRR

060
Gross loss

Gross loss related to the event as defined for rows 020, 120 etc. of template C 17.01 above

070
Gross loss net of direct recoveries

Gross loss related to the event as defined for rows 020, 120 etc. of template C 17.01 above net of direct recoveries pertinent to that loss event

080 - 160
Gross loss by business line

The gross loss as reported in column 060 shall be allocated to the relevant business lines as defined in Articles 317 and 322 (3) point (b) CRR.

170
Legal Entity name

Name of the legal entity as reported in column 010 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.

180
Legal Entity ID

LEI code of the legal entity as reported in column 025 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.

190
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.

200
Description

Narrative description of the event, where necessary in an generalised or anonymised manner, which should comprise at least information about the event itself and information about the drivers or causes of the event, where known.

5.MARKET RISK TEMPLATES

137.These instructions refer to the templates reporting of the calculation of own funds requirements according to the standardised approach for foreign exchange risk (MKR SA FX), commodities risk (MKR SA COM) interest rate risk (MKR SA TDI, MKR SA SEC, MKR SA CTP) and equity risk (MKR SA EQU). Additionally, instructions for the template reporting of the calculation of own funds requirements according to the internal models approach (MKR IM) are included in this part.
138.The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components in order to calculate the capital required against it. The first shall be its specific-risk component — this is the risk of a price change in the instrument concerned due to factors related to its issuer or, in the case of a derivative, the issuer of the underlying instrument. The second component shall cover its general risk — this is the risk of a price change in the instrument due (in the case of a traded debt instrument or debt derivative) to a change in the level of interest rates or (in the case of an equity or equity derivative) to a broad equity- market movement unrelated to any specific attributes of individual securities. The general treatment of specific instruments and netting procedures can be found in Articles 326 to 333 of CRR.
5.1.C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
5.1.1.General Remarks
139.This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the standardised approach (Articles 102 and 105 (1) of CRR). The different risks and methods available under the CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP only has to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {325;060} (securitisations) and {330;060} (CTP) respectively.
140.The template has to be filled out separately for the ‘Total’, plus a pre-defined list of following currencies: EUR, ALL, BGN, CZK, DKK, EGP, GBP, HRK, HUF, ISK, JPY, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.
5.1.2.Instructions concerning specific positions
Columns
010-020
ALL POSITIONS (LONG AND SHORT)

Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR.

030-040
NET POSITIONS (LONG AND SHORT)

Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR.

050
POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge.

060
OWN FUNDS REQUIREMENTS

The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.

070
TOTAL RISK EXPOSURE AMOUNT

Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.

Rows
010-350
TRADED DEBT INSTRUMENTS IN TRADING BOOK

Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk according to Article 92(3) point (b) (i) CRR and Part 3 Title IV Chapter 2 of CRR are reported depending on risk category, maturity and approach used.

011
GENERAL RISK.
012
Derivatives

Derivatives included in the calculation of interest rate risk of trading book positions taking into account Articles 328 to 331, if applicable.

013
Other assets and liabilities

Instruments other than derivatives included in the calculation of interest rate risk of trading book positions.

020-200
MATURITY BASED APPROACH

Positions in traded debt instruments subject to the maturity-based approach according to Article 339(1) to (8) of CRR and the correspondent own funds requirements set up in Article 339(9) of CRR. The position shall be split by zones 1, 2 and 3 and these by the maturity of the instruments.

210-240
GENERAL RISK. DURATION BASED APPROACH

Positions in traded debt instruments subject to the duration-based approach according to Article 340(1) to (6) of CRR and the correspondent own funds requirements set up in Article 340(7) of CRR. The position shall be split by zones 1, 2 and 3.

250
SPECIFIC RISK

Sum of amounts reported in rows 251, 325 and 330.

Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to Article 92(3) lit. b and 335, 336 (1) to (3), 337 and 338 of CRR. Be also aware of last sentence in Article 327(1) of CRR.

251-321
Own funds requirement for non-securitisation debt instruments

Sum of the amounts reported in rows 260 to 321.

The own funds requirement of the n-th to default credit derivatives which are not rated externally has to be computed by summing up the risk weights of the reference entities (Article 332(1) point (e) para 1 and 2 CRR – ‘look-through’). N-th-to-default credit derivatives which are rated externally (Article 332(1) point (e) para 3 CRR) shall be reported separately in line 321.

Reporting of positions subject to Article 336(3) CRR:

There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book according to Article 129(3) CRR (covered bonds). The specific own funds requirements is half of the percentage of the second category of table 1 of Article 336 CRR. Those positions have to be assigned to rows 280-300 according to the residual term to final maturity.

If the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 shall be applied.

325
Own funds requirement for securitisation instruments

Total own funds requirements reported in column 610 of template MKR SA SEC. It shall only be reported on Total level of the MKR SA TDI.

330
Own funds requirement for the correlation trading portfolio

Total own funds requirements reported in column 450 of template MKR SA CTP. It shall only be reported on Total level of the MKR SA TDI.

350-390
ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 329(3) of CRR.

The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

5.2.C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
5.2.1.General Remarks
141.This template requests information on positions (all/net and long/short) and the related own funds requirements for the specific risk component of position risk in securitisations/re-securitisations held in the trading book (not eligible for correlation trading portfolio) under the standardised approach.
142.The MKR SA SEC template determines the own funds requirement only for the specific risk of securitisation positions according to Articles 335 in connection with 337 CRR. If securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.
143.Positions which receive a risk weight of 1 250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.
5.2.2.Instructions concerning specific positions
Columns
010-020
ALL POSITIONS (LONG AND SHORT)

Articles 102 and 105 (1) of CRR in connection with Article 337 of CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR.

030-040
(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

Article 258 of CRR.

050-060
NET POSITIONS (LONG AND SHORT)

Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR.

070-520
BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS

Articles 251 (Table 1) and 261 (1) (Table 4) of CRR. The breakdown has to be done separately for long and short positions.

230-240 and 460-470
1 250 %

Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.

250-260 and 480-490
SUPERVISORY FORMULA METHOD

Article 337(2) of CRR in connection with Article 262 of CRR.

These columns shall be reported when the institutions uses the alternative Supervisory Formula Approach (SFA), which determines the own funds requirements as a function of the characteristics of the collateral pool and contractual properties of the tranche.

270 and 500
LOOK THROUGH

SA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).

IRB: Articles 263(2) and (3) of CRR. For early amortisations see Article 265(1) and 256 (5) of CRR.

280-290/510-520
INTERNAL ASSESSMENT APPROACH

Article 109(1) sentence 2 and Article 259(3) and (4) of CRR.

These columns shall be reported when the institution uses the internal assessment approach for determining capital charges for liquidity facilities and credit enhancements that banks (including third-party banks) extend to ABCP conduits. The IAA, based on ECAI's methodologies, is applicable only to exposures to ABCP conduits that have an internal rating equivalent of investment-grade at inception.

530-540
OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

Article 337(3) of CRR in connection with Article 407 of CRR. Article 14(2) of CRR

550-570
BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

Article 337 of CRR without taking into account the discretion of Article 335 of CRR, that allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss.

580-600
AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

Article 337 of CRR taking into account the discretion of Article 335 of CRR.

610
TOTAL OWN FUNDS REQUIREMENTS

According to Article 337(4) of CRR for a transitional period ending 31 December 2014, the institution shall sum separately its weighted net long positions (column 580) and its weighted net short positions (column 590). The larger of those sums (after cap) shall constitute the own funds requirement. From 2015 onwards according to Article 337(4) of CRR, the institution shall sum its weighted net positions, regardless whether they are long or short (column 600), in order to calculate the own funds requirements.

Rows
010
TOTAL EXPOSURES

Total amount of outstanding securitisations (held in the trading book) reported by the institution playing the role/s of originator and/or investor and/or sponsor.

040, 070 and 100
SECURITISATIONS

Article 4(61) and (62) of CRR.

020, 050, 080 and 110
RE-SECURITISATIONS

Article 4(63) of CRR.

030-050
ORIGINATOR

Article 4(13) of CRR

060-080
INVESTOR

Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor

090-110
SPONSOR

Article 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets

120-210
BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES

Article 337(4), last sentence of CRR.

The breakdown of the underlying assets follows the classification used in the SEC Details template (Column ‘Type’):

  • 1-residential mortgages;

  • 2-commercial mortgages;

  • 3-credit card receivables;

  • 4-leasing;

  • 5-loans to corporates or SMEs (treated as corporates);

  • 6-consumer loans;

  • 7-trade receivables;

  • 8-other assets;

  • 9-covered bonds;

  • 10-other liabilities.

For each securitisation, in case the pool consists of different types of assets, the institution shall consider the most important type.

5.3.C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
5.3.1.General Remarks
144.This template requests information on positions of the CTP (comprising securitisations, nth-to-default credit derivatives and other CTP positions included according to Article 338(3)) and the corresponding own funds requirements under the standardised approach.
145.The MKR SA CTP template determines the own funds requirement only for the specific risk of positions assigned to the Correlation Trading Portfolio according to Articles 335 in connection with 338 (2) and (3) of CRR. If CTP- positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all CTP-positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.
146.This structure of the template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. As a result, securitisation positions shall always be reported in rows 030, 060 or 090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in line 110. The ‘other CTP-positions’ are neither securitisation positions nor n-th to default credit derivatives (see definition in Article 338(3) CRR), but they are explicitly ‘linked’ (because of the hedging intent) to one of these two positions. That is why they are assigned either under the sub-heading ‘securitisation’ or ‘n-th to default credit derivative’.
147.Positions which receive a risk weight of 1 250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.
5.3.2.Instructions concerning specific positions
Columns
010-020
ALL POSITIONS (LONG AND SHORT)

Articles 102 and 105 (1) of CRR in connection with positions assigned to the Correlation Trading Portfolio according to Article 338(2) and (3) of CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR.

030-040
(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

Article 258 of CRR.

050-060
NET POSITIONS (LONG AND SHORT)

Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR.

070-400
BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS (SA AND IRB)

Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.

160 and 330
OTHER

Other risk weights not explicitly mentioned in the previous columns.

For n-th-to-default credit derivatives only those which are not externally rated. Externally rated n-th to default credit derivatives are either to be reported in the MKR SA TDI template (row 321) or – if they are incorporated into the CTP – shall be assigned to the column of the respective risk weight.

170-180 and 360-370
1 250 %

Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.

190-200 and 340-350
SUPERVISORY FORMULA METHOD

Article 337(2) of CRR in connection with Article 262 of CRR.

210/380
LOOK THROUGH

SA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).

IRB: Articles 263(2) and (3) of CRR. For early amortisations see Article 265(1) and 256 (5) of CRR.

220-230 and 390-400
INTERNAL ASSESSMENT APPROACH

Article 259(3) and (4) of CRR.

410-420
BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS

Article 338 without taking into account the discretion of Article 335 of CRR.

430-440
AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS

Article 338 taking into account the discretion of Article 335 of CRR.

450
TOTAL OWN FUNDS REQUIREMENTS

The own funds requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (column 430) or (ii) the specific risk charge that would apply just to the net short positions (column 440).

Rows
010
TOTAL EXPOSURES

Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor.

020-040
ORIGINATOR

Article 4(13) of CRR

050-070
INVESTOR

Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor

080-100
SPONSOR

Article 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets

030, 060 and 090
SECURITISATIONS

The correlation trading portfolio comprises securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set in Article 338(2) and (3) of CRR.

Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row ‘Other CTP positions’.

110
N-TH-TO-DEFAULT CREDIT DERIVATIVES

N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives according to Article 347 CRR shall both be reported here.

The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives.

040, 070, 100 and 120
OTHER CTP POSITIONS

The positions in:

  • Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions;

  • CTP positions hedged by credit derivatives according to Article 346 CRR;

  • Other positions that satisfy Article 338(3) of CRR;

are included.

5.4.C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
5.4.1.General Remarks
148.This template requests information on the positions and the corresponding own funds requirements for position risk in equities held in the trading book and treated under the standardised approach.
149.The template has to be filled out separately for the ‘Total’, plus a static, pre-defined list of following markets: Bulgaria, Croatia, Czech Republic, Denmark, Egypt, Hungary, Iceland, Liechtenstein, Norway, Poland, Romania, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA, Euro Area plus one residual template for all other markets. For the purpose of this reporting requirement the term ‘market’ shall be read as ‘country’ (except for countries belonging to the Euro Area, see Commission Delegated Regulation (EU) No 525/2014).
5.4.2.Instructions concerning specific positions
Columns
010-020
ALL POSITIONS (LONG AND SHORT)

Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR).

030-040
NET POSITIONS (LONG AND SHORT)

Articles 327, 329, 332, 341 and 345 of CRR.

050
POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge. The capital charge has to be calculated for each national market separately. Positions in stock-index futures according to the second sentence of Article 344(4) CRR shall not be included in this column.

060
OWN FUNDS REQUIREMENTS

The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.

070
TOTAL RISK EXPOSURE AMOUNT

Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.

Rows
010-130
EQUITIES IN TRADING BOOK

Own funds requirements for position risk according to Article 92(3) point (b) (i) CRR and Part 3 Title IV Chapter 2 Section 3 of CRR.

020-040
GENERAL RISK

Positions in equities subject to general risk (Article 343 of CRR) and their correspondent own funds requirement according to Part 3 Title IV Chapter 2 Section 3 of CRR.

Both breakdowns (021/022 as well as 030/040) are a breakdown related to all positions subject to general risk.

Rows 021 and 022 requests information on the breakdown according to instruments. Only the breakdown in rows 030 and 040 is used as a basis for the calculation of own funds requirements.

021
Derivatives

Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332, if applicable.

022
Other assets and liabilities

Instruments other than derivatives included in the calculation of equity risk of trading book positions.

030
Exchange traded stock-index futures broadly diversified and subject to a particular approach

Exchange traded stock-index futures broadly diversified and subject to a particular approach according to Article 344(1) and (4) of CRR. These positions are only subject to general risk and, accordingly, must not be reported in row (050).

040
Other equities than exchange traded stock-index futures broadly diversified

Other positions in equities subject to specific risk and the correspondent own funds requirements according to Article 343 and 344 (3) of CRR.

050
SPECIFIC RISK

Positions in equities subject to specific risk and the correspondent own funds requirement according to Articles 342 and 344 (4) CRR.

090-130
ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 329(2) and (3) of CRR.

The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

5.5.C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
5.5.1.General Remarks
150.Institutions shall report information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange treated under the standardised approach. The position is calculated for each currency (including euro), gold, and positions to CIUs.
151.Rows 100 to 480 of this template shall be reported even if institutions are not required to calculate own funds requirements for foreign exchange risk according to Article 351 of CRR. In those memorandum items, all the positions in the reporting currency are included, irrespective of the extent to which they are considered for the purposes of Article 354 CRR. Rows 130 to 480 of the memorandum items of the template shall be filled out separately for all currencies of the Member States of the European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.
5.5.2.Instructions concerning specific positions
Columns
020-030
ALL POSITIONS (LONG AND SHORT)

Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) of CRR. According to Article 352(2) and subject to permission from competent authorities, positions taken to hedge against the adverse effect of the exchange rate on their ratios in accordance with Article 92(1) and positions related to items that are already deducted in the calculation of own funds shall not be reported.

040-050
NET POSITIONS (LONG AND SHORT)

Articles 352(3) and (4), first and second sentences, and 353 of CRR.

The net positions are calculated by each currency, accordingly there may be simultaneous long and short positions.

060-080
POSITIONS SUBJECT TO CAPITAL CHARGE

Articles 352(4), third sentence, 353 and 354 of CRR.

060-070
POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT)

The long and short net positions for each currency are calculated by deducting the total of short positions from the total of long positions.

Long net positions for each operation in a currency are added to obtain the long net position in that currency.

Short net positions for each operation in a currency are added to obtain the short net position in that currency.

Unmatched positions in non-reporting currencies are added to positions subject to capital charges for other currencies (row 030) in column (060) or (070) depending on their short or long arrangement.

080
POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED)

Matched positions for closely correlated currencies

RISK CAPITAL CHARGE (%)

As defined in Articles 351 and 354, the risk capital charges in percentage.

090
OWN FUNDS REQUIREMENTS

The capital charge for any relevant position according to Part 3 Title IV Chapter 3 of CRR.

100
TOTAL RISK EXPOSURE AMOUNT

Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.

Rows
010
TOTAL POSITIONS

All positions in non-reporting currencies and those positions in the reporting currency that are considered for the purposes of Article 354 CRR as well as their correspondent own funds requirements according to Article 92(3) point (c) (i) and Article 352(2) and (4) of CRR (for conversion into the reporting currency).

020
CURRENCIES CLOSELY CORRELATED

Positions and their correspondent own funds requirements for currencies referred to in Article 354 of CRR.

025
Currencies closely correlated: of which: reporting currency

Positions in the reporting currency which contribute to the calculation of the capital requirements according to Article 354 CRR

030
ALL OTHER CURRENCIES (including CIU's treated as different currencies)

Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR.

Reporting of CIU's treated as separate currencies according to Article 353 CRR:

  • There are two different treatments of CIU's treated as separate currencies for calculating the capital requirements:

    1.

    The modified gold method, if the direction of the CIU's investment is not available (those CIU's shall be added to an institution's overall net foreign-exchange position)

    2.

    If the direction of the CIU's investment is available, those CIU's shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU)

  • The reporting of those CIU's follows the calculation of the capital requirements accordingly.

040
GOLD

Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR.

050 - 090
ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 352(5) and (6) of CRR.

The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

100-120
Breakdown of total positions (reporting currency included) by exposure types

Total positions shall be broken down according to derivatives, other assets and liabilities and off-balance sheet items.

100
Other assets and liabilities other than off-balance sheet items and derivatives

Positions not included in row 110 or 120 shall be included here.

110
Off-balance sheet items

Items included in Annex I of CRR except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.

120
Derivatives

Positions valued according to Articles 352 CRR.

130-480
MEMORANDUM ITEMS: CURRENCY POSITIONS

The memorandum items of the template shall be filled out separately for All currencies of the Member States of the European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

5.6.C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
5.6.1.General Remarks
152.This template request information on the positions in commodities and the corresponding own funds requirements treated under the standardised approach.
5.6.2.Instructions concerning specific positions
Columns
010-020
All POSITIONS (LONG AND SHORT)

Gross long/short positions considered positions in the same commodity according to Article 357(1) and (4) of CRR (see also Article 359(1) of CRR).

030-040
NET POSITIONS (LONG AND SHORT)

As defined in Article 357(3) of CRR.

050
POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 4 of CRR, receive a capital charge.

060
OWN FUNDS REQUIREMENTS

The capital charge for any relevant position according to Part 3 Title IV Chapter 4 of CRR.

070
TOTAL RISK EXPOSURE AMOUNT

Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.

Rows
010
TOTAL POSITIONS IN COMMODITIES

Positions in commodities and their correspondent own funds requirements for market risk according to Article 92(3) point (c) (iii) CRR and Part 3 Title IV Chapter 4 of CRR.

020-060
POSITIONS BY CATEGORY OF COMMODITY

For reporting purposes commodities are grouped in the four main groups of commodities referred to in Table 2 of Article 361 CRR.

070
MATURITY LADDER APPROACH

Positions in commodities subject to the Maturity Ladder approach as referred to in Article 359 of CRR.

080
EXTENDED MATURITY LADDER APPROACH

Positions in commodities subject to the Extended Maturity Ladder approach as referred to in Article 361 of CRR

090
SIMPLIFIED APPROACH

Positions in commodities subject to the Simplified approach as referred to in Article 360 of CRR.

100-140
ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 358(4) of CRR.

The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation

5.7.C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM)
5.7.1.General Remarks
153.This template provides a breakdown of VaR and stressed VaR (sVaR) figures according to the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements.
154.Generally the reporting depends on the structure of the model of the institutions whether they report the figures for general and specific risk separately or together. The same holds true for the decomposition of the VAR/Stress-Var into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution can resign to report the decompositions mentioned above if it proves that a reporting of these figures would be unduly burdensome.
5.7.2.Instructions concerning specific positions
Columns
030-040
VaR

It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon.

030
Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg)

Articles 364(1) point (a) (ii) and 365 (1) of CRR.

040
Previous day VaR (VaRt-1)

Articles 364(1) point (a) (i) and 365 (1) of CRR.

050-060
Stressed VaR

It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution's portfolio.

050
Multiplication factor (ms) x Average of previous 60 working days (SVaRavg)

Articles 364(1) point (b) (ii) and 365 (1) of CRR.

060
Latest available (SVaRt-1)

Articles 364(1) point (b) (i) and 365 (1) of CRR.

070-080
INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

It means the maximum potential loss that would result from a price change linked to default and migration risks calculated accordingly to Article 364(2) point (b) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.

070
12 weeks average measure

Article 364(2) point (b) (ii) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.

080
Last Measure

Article 364(2) point (b) (i) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.

090-110
ALL PRICE RISKS CAPITAL CHARGE FOR CTP
090
FLOOR

Article 364(3) point (c) of CRR.

= 8 % of the capital charge that would be calculated in accordance with Article 338(1) of CRR for all positions in the ‘all price risks’ capital charge.

100-110
12 WEEKS AVERAGE MEASURE AND LAST MEASURE

Article 364(3) point (b).

110
LAST MEASURE

Article 364(3) point (a)

120
OWN FUNDS REQUIREMENTS

Referred to in Article 364 of CRR of all risk factors taking into account correlation effects, if applicable, plus incremental default and migration risk and all price of risks for CTP but excluding the Securitization capital charges for Securitization and nth-to-default credit derivative according Article 364(2) of CRR.

130
TOTAL RISK EXPOSURE AMOUNT

Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.

140
Number of overshootings (during previous 250 working days)

Referred to in Article 366 of CRR.

150-160
VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)

As referred to in Article 366 of CRR.

170-180
ASSUMED CHARGE FOR CTP FLOOR — WEIGHTED NET LONG/SHORT POSITIONS AFTER CAP

The amounts reported and serving as the basis to calculate the floor capital charge for all price risks according to Article 364(3) point (c) of CRR take into account the discretion of Article 335 of CRR which says that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss.

Rows
010
TOTAL POSITIONS

Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) of CRR linked to the risk factors specified in Article 367(2) of CRR.

Concerning the columns 030 to 060 (VAR and Stress-VAR) the figures in the total row is not equal to the decomposition of the figures for the VAR/Stress-VAR of the relevant risk components. Hence the decomposition are memorandum items.

020
TRADED DEBT INSTRUMENTS

Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the interest rates risk factors as specified in Article 367(2) of CRR.

030
TDI – GENERAL RISK

General risk defined in Article 362 of CRR.

040
TDI – SPECIFIC RISK

Specific risk defined in Article 362 of CRR.

050
EQUITIES

Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the equity risk factors as specified in Article 367(2) of CRR.

060
EQUITIES – GENERAL RISK

General risk defined in Article 362 of CRR.

070
EQUITIES – SPECIFIC RISK

Specific risk defined in Article 362 of CRR.

080
FOREIGN EXCHANGE RISK

Articles 363(1) and 367 (2) of CRR.

090
COMMODITY RISK

Articles 363(1) and 367 (2) of CRR.

100
TOTAL AMOUNT FOR GENERAL RISK

Market risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VAR for general risk of all risk factors (taking into account correlation effects if applicable).

110
TOTAL AMOUNT FOR SPECIFIC RISK

Specific risk component of traded debt instruments and equities. VAR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects if applicable).

5.8.C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA)
5.8.1.Instructions concerning specific positions
Columns
010
Exposure value

Article 271 of CRR in accordance with article 382 of CRR

Total EAD from all transactions subject to CVA charge

020
Of which: OTC derivatives

Article 271 of CRR in accordance with Article 382(1) of CRR

The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set

030
Of which: SFT

Article 271 of CRR in accordance with Article 382(2) of CRR

The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set

040
MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)

Article 383 of CRR in accordance with Article 363(1)(d) of CRR

VaR calculation based on internal models for market risk

050
PREVIOUS DAY (VaRt-1)

See instructions referring to column 040

060
MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)

See instructions referring to column 040

070
LATEST AVAILABLE (SVaRt-1)

See instructions referring to column 040

080
OWN FUNDS REQUIREMENTS

Article 92(3) d) of CRR

Own funds requirements for CVA Risk calculated via the chosen method

090
TOTAL RISK EXPOSURE AMOUNT

Article 92(4) b) of CRR

Own funds requirements multiplied by 12,5.

Memorandum items
100
Number of counterparties

Article 382 of CRR

Number of counterparties included in calculation of own funds for CVA risk

Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are simply the other contracting party.

110
Of which: proxy was used to determine credit spread

number of counterparties where the credit spread was determined using a proxy instead of directly observed market data

120
INCURRED CVA

Accounting provisions due to decreased credit worthiness of derivatives counterparties

130
SINGLE NAME CDS

Article 386(1) lit. a of CRR

Total notional amounts of single name CDS used as hedge for CVA risk

140
INDEX CDS

Article 386(1) lit. b) of CRR

Total notional amounts of index CDS used as hedge for CVA risk

Rows
010
CVA risk total

Sum of rows 020-040 as applicable

020
According to Advanced method

Advanced CVA risk method as prescribed by Article 383 of CRR

030
According to Standardised method

Standardised CVA risk method as prescribed by Article 384 of CRR

040
Based on OEM

Amounts subject to the application of Article 385 of CRR

6.C 33.00 — EXPOSURES TO GENERAL GOVERNMENTS (GOV)

6.1.GENERAL REMARKS
155.The information for the purpose of template C 33.00 shall cover all exposures to ‘General governments’ as defined in paragraph 42 (b) of Annex V.
156.Exposures to ‘General governments’ are included in different exposure classes in accordance with Article 112 and Article 147 of CRR, as specified by the instructions for the completion of template C 07.00, C 08.01 and C 08.02.
157.Table 2 (Standardised approach) and Table 3 (IRB approach), included in Part 3 of Annex 5, shall be observed for the mapping of exposure classes used to calculate capital requirements under the CRR to counterparty sector ‘General governments’.
158.Information shall be reported for the total aggregate exposures (meaning the sum of all countries in which the bank has sovereign exposures) and for each country on the basis of the residence of the counterparty on an immediate borrower basis.
159.The allocation of exposures to exposure classes or jurisdictions shall be made without considering credit mitigation techniques and in particular without considering substitution effects. However the calculation of exposure values and risk weighted exposure amounts for each exposure class and each jurisdiction includes the incidence of credit risk mitigation techniques, including substitution effects.
160.The reporting of information on exposures to ‘General governments’ by jurisdiction of residence of the immediate counterparty other than the domestic jurisdiction of the reporting institution is subject to the thresholds in Article 5 (b) point 3 of this Regulation.
6.2.SCOPE OF THE TEMPLATE ON EXPOSURES TO ‘GENERAL GOVERNMENTS’
161.The scope of the GOV template covers on, off-balance sheet and derivatives direct exposures to ‘General governments’ in the banking and trading book. In addition a memorandum item on indirect exposures in the form of credit derivatives sold on general government exposures is also requested.
162.An exposure is a direct exposure when the immediate counterparty is an entity covered by the definition of ‘General governments’.
163.The template is divided in two sections. The first one is based on a breakdown of exposures by risk, regulatory approach and exposure classes whereas a second one is based on a breakdown by residual maturity
6.3.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
ColumnsInstructions
010-260
DIRECT EXPOSURES
010-140
ON-BALANCE SHEET EXPOSURES
010
Total gross carrying amount of non-derivative financial assets

Aggregate of gross carrying amount, as determined in accordance with paragraph 34 in Annex V, Part 1, of non-derivative financial assets to General governments, for all accounting portfolios under IFRS or national GAAP based on Directive 86/635/EEC (Bank Accounting Directive, ‘BAD’) defined in paragraphs 15 to 22 in Annex V, Part 1 and listed in columns 030 to 120.

Prudent valuation adjustments shall not reduce the gross carrying amount of trading and non-trading exposures measured at fair value.

020
Total carrying amount of non-derivative financial assets (net of short positions)

Aggregate of the carrying amount, in accordance with paragraph 27 in Annex V, Part 1, of non-derivative financial assets to General governments for all accounting portfolios under IFRS or national GAAP based on BAD defined in paragraphs 15 to 22 in Annex V, Part 1 and listed in columns 030 to 120, net of short positions.

When the institution has a short position, for the same residual maturity and for the same immediate counterparty, the carrying amount of the short position shall be netted against the carrying amount of the direct position. This net amount shall be considered as zero when it is a negative amount.

The sum of the columns 030 to 120 minus column 130 must be reported. If this amount is lower than zero, the amount to be reported shall be zero.

030-120
NON-DERIVATIVE FINANCIAL ASSETS BY ACCOUNTING PORTFOLIOS

Aggregate carrying amount of non-derivative financial assets, as defined above, to General governments by accounting portfolio under the applicable accounting framework.

030
Financial assets held for trading

IFRS 7.8(a)(ii); IFRS 9 Appendix A

040
Trading financial assets

BAD Articles 32-33; Annex V. Part 1.16; Accounting Directive Article 8(1)(a)

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

050
Non-trading financial assets mandatorily at fair value through profit or loss

IFRS 7.8(a)(ii); IFRS 9.4.1.4

060
Financial assets designated at fair value through profit or loss

IFRS 7.8(a)(i); IFRS 9.4.1.5 and Accounting Directive Article 8(1)(a), (6)

070
Non-trading non-derivative financial assets measured at fair value through profit or loss

BAD Article 36(2); Accounting Directive Article 8(1)(a)

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

080
Financial assets at fair value through other comprehensive income

IFRS 7.8(d); IFRS 9.4.1.2 A

090
Non-trading non-derivative financial assets measured at fair value to equity

Accounting Directive Article 8(1)(a), (8)

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

100
Financial assets at amortised cost

IFRS 7.8(f); IFRS 9.4.1.2; Annex V. Part 1.15

110
Non-trading non-derivative financial assets measured at a cost-based method

BAD Article 35; Accounting Directive Article 6(1)(i) and Article 8(2); Annex V. Part 1.16

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

120
Other non-trading non-derivative financial assets

BAD Article 37; Accounting Directive Article 12(7); Annex V. Part 1.16

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

130
Short positions

Carrying amount of short positions, as defined in IFRS 9 BA.7(b) when the direct counterparty is a General government as defined in paragraph 1.

Short positions arise when the institution sells securities acquired in a reverse repurchase loan, or borrowed in a securities lending transaction, which direct counterparty is a General government.

The carrying amount is the fair value of the short positions.

Short positions must be reported by residual maturity bucket, as defined in row 170 to 230, and by immediate counterparty. Short positions will be then used for netting with positions for the same residual maturity and immediate counterparty for the computation of columns 030 to 120.

140
Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets

Carrying amount of short positions, as defined in IFRS 9 BA.7(b), that arise when the institution sells the securities acquired in reverse repurchase loans, which direct counterparty is a General government, that are included in the held for trading or trading financial assets accounting portfolios (columns 030 or 040).

Short positions that arise when the sold securities were borrowed in a securities lending transition shall not be included in this column.

150
Accumulated impairment

Aggregate accumulated impairment related to non-derivative financial assets reported in columns 080 to 120. [Annex V, Part 2, paragraphs 70 and 71]

160
Accumulated impairment — of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity

Aggregate of accumulated impairment related to non-derivative financial assets reported in columns 080 and 090.

170
Accumulated negative changes in fair value due to credit risk

Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 050, 060, 070, 080 and 090. [Annex V, Part 2, paragraph 69]

180
Accumulated negative changes in fair value due to credit risk — of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss

Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 050, 060 and 070.

190
Accumulated negative changes in fair value due to credit risk — of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity

Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 080 and 090.

200-230
DERIVATIVES

Direct derivative positions are to be reported in columns 200 to 230.

For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges see instructions for the row breakdown.

200-210
Derivatives with positive fair value

All derivative instruments with a General government counterparty with a positive fair value for the institution at the reporting date, regardless of whether they are used in a qualifying hedging relationship, are held for trading or are included in the trading portfolio under IFRS and national GAAP based on BAD.

Derivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (Annex V, Part 2, paragraphs 120, 124, 125 and 137 to 140).

200
Derivatives with positive fair value: Carrying amount

Carrying amount of the derivatives accounted for as financial assets at the reporting reference date.

Under GAAP based on BAD, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments.

210
Derivatives with positive fair value: Notional amount

Under IFRS and national GAAP based on BAD, notional amount, as defined in Annex V, Part 2, paragraphs 133 to 135, of all derivative contracts concluded and not yet settled at the reporting reference date whose counterparty is a General government, as defined above in paragraph 1, when its fair value is positive for the institution at the reporting reference date.

220-230
Derivatives with negative fair value

All derivative instruments with a General government counterparty with a negative fair value for the institution at the reporting reference date, regardless of whether they are used in a qualifying hedging relationship or are held for trading or included in the trading portfolio under IFRS and national GAAP based on BAD.

Derivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (Annex V, Part 2, paragraphs 120, 124, 125 and 137 to 140).

220
Derivatives with negative fair value: Carrying amount

Carrying amount of the derivatives accounted for as financial liabilities at the reporting reference date.

Under GAAP based on BAD, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments.

230
Derivatives with negative fair value: Notional amount

Under IFRS and national GAAP based on BAD, notional amount, as defined in Annex V, Part 2, paragraphs 133 to 135, of all derivative contracts concluded and not yet settled at the reference date whose counterparty is a General government, as defined above in paragraph 1, when its fair value is negative for the institution.

240-260
OFF-BALANCE SHEET EXPOSURES
240
Nominal amount

When the direct counterparty of the off-balance sheet item is a General government as defined above in paragraph 1, nominal amount of the commitments and financial guarantees that are not considered as a derivative in accordance with IFRS or under national GAAP based on BAD (Annex V, Part 2, paragraphs 102-119).

In accordance with Annex V, Part 1, paragraphs 43 and 44, the General government is the direct counterparty: (a) in a financial guarantee given, when it is the direct counterparty of the guaranteed debt instrument, and (b) in a loan commitment and other commitment given, when it is the counterparty whose credit risk is assumed by the reporting institution.

250
Provisions

BAD Article 4 Liabilities (6)(c), Off balance sheet items, Article 27(11), Article 28(8), Article 33; IFRS 9.4.2.1(c)(ii),(d)(ii), 9.5.5.20;IAS 37, IFRS 4, Annex V Part 2.11.

Provisions on all off-balance sheet exposures regardless how they are measured except those that are measured at fair value through profit or loss in accordance with IFRS 9.

Under IFRS, the impairment of a loan commitment given shall be reported in column 150 when the institution cannot separately identify the expected credit losses related to the drawn and undrawn amount of the debt instrument. In case the combined expected credit losses for that financial instrument exceed the gross carrying amount of the loan component of the instrument, the remaining balance of the expected credit losses shall be reported as a provision in column 250.

260
Accumulated negative changes in fair value due to credit risk

For off-balance sheet items measured at fair value through profit or loss under IFRS 9, accumulated negative changes in fair value due to credit risk (Annex V, Part 2, paragraph110)

270-280
Memorandum item: credit derivatives sold on general government exposures

Credit derivatives that do not meet the definition of financial guarantees that the reporting institution has underwritten with counterparties other than General governments and whose reference exposure is a General government must be reported.

These columns will not be reported for exposures broken down by risk, regulatory approach and exposure class (rows 020 to 160).

The exposures reported in the section are not to be considered in the computation of exposure Value and Risk weighted amount (columns 290 and 300) which is based solely on direct exposures.

270
Derivatives with positive fair value — Carrying amount

Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a positive fair value for the institution at the reference reporting date, without considering prudent valuation adjustments.

For derivatives under IFRS, the amount to be reported in this column is the carrying amount of the derivatives that are financial assets at the reporting date.

For derivatives under GAAP based on BAD, the amount to be reported in this column is the fair value of the derivatives with a positive fair value at the reference reporting date, independently how they are accounted for.

280
Derivatives with negative fair value — Carrying amount

Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a negative fair value for the institution at the reference reporting date, without considering prudent valuation adjustments.

For derivatives under IFRS, the amount to be reported in this column is the carrying amount of the derivatives that are financial liabilities at the reporting date.

For derivatives under GAAP based on BAD, the amount to be reported in this column is the fair value of the derivatives with a negative fair value at the reference reporting date, independently how they are accounted for.

290
Exposure value

Exposure value for exposures subject to the credit risk framework.

For exposures under the Standardised Approach (SA): see Article 111 of CRR. For exposures under the IRB approach: see Article 166 and Article 230(1) sentence 2 of CRR.

For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges see instructions for the row breakdown.

300
Risk weighted exposure amount

Risk weighted exposure amount for exposures subject to the credit risk framework.

For exposures under the Standardised Approach (SA): see Article 113(1) to (5) of CRR. For exposures under the IRB approach: see Article 153(1) and (3) of CRR.

For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges see instructions for the row breakdown.

RowsInstructions
BREAKDOWN OF EXPOSURES BY REGULATORY APPROACH
010
Total exposures

Aggregate of exposures to General governments, as defined in paragraph 1

020-150
Exposures under the credit risk framework

Aggregate of exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II CRR. Exposures under the credit risk framework include exposures from the non-trading book subject to a capital charge for counterparty credit risk. Trading book exposures subject to a capital charge for counterparty credit risk shall be reported in rows 160 to 260, as applicable.

Direct exposures to derivatives subject to both counterparty credit risk and market risk capital charges will be reported both in the credit risk rows (020 to 150) and the market risk row (row 160). However, risk weighted exposures due to counterparty credit risk will be reported in the credit risk rows, while the risk weighted exposures due to market risk for this derivatives will be reported in the market risk row.

030
Standardised Approach

Exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II, Chapter 2 CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.

040
Central governments

Exposures to General governments that are central governments. These exposures are allocated to the ‘Central governments or central banks’ exposure class in accordance with Articles 112 and 114 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

050
Regional governments or local authorities

Exposures to General governments that are regional governments or local authorities. These exposures are allocated to the ‘Regional governments or local authorities’ exposure class in accordance with Articles 112 and 115 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

060
Public sector entities

Exposures to General governments that are public sector entities. These exposures are allocated to the ‘Public sector entities’ exposure class in accordance with Articles 112 and 116 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

070
International Organisations

Aggregate exposures to General government that are international organisations. These exposures are allocated to the ‘International Organisations’ exposure classes in accordance with Articles 112 and 118 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

080
IRB Approach

Exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II, Chapter 3 CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.

090
Central governments

Exposures to General governments that are central governments and that are allocated to the ‘Central governments and central banks’ exposure class in accordance with Article 147(3)(a) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply..

100
Regional governments or local authorities [Central governments and central banks]

Exposures to General governments that are regional governments or local authorities and that are allocated to the ‘Central governments and central banks’ exposure class in accordance with Article 147(3)(a) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

110
Regional governments or local authorities [Institutions]

Exposures to General governments that are regional governments or local authorities and that are allocated to the ‘Institutions’ exposure class in accordance with Article 147(4)(a) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

120
Public sector entities [Central governments and central banks]

Exposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the ‘Central governments and central banks’ exposure class in accordance with Article 147(3)(a) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

130
Public sector entities [Institutions]

Exposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the ‘Institutions’ exposure class in accordance with Article 147(4)(b) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

140
International Organisations [Central governments and central banks]

Exposures to General governments that are International Organisations and that are allocated to the ‘Central governments and central banks’ exposure class in accordance with Article 147(3)(a) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

150
International Organisations [Institutions]

Exposures to General governments that are International Organisations and that are allocated to the ‘Institutions’ exposure class in accordance with Article 147(4)(a) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

160
Exposures subject to market risk

Market risk exposures cover positions for which own funds requirements are calculated according to Title IV of Part Three CRR.

Direct exposures to derivatives subject to both counterparty credit risk and market risk capital charges will be reported both in the credit risk rows (020 to 150) and the market risk row (row 160). However, risk weighted exposures due to counterparty credit risk will be reported in the credit risk rows, while the risk weighted exposures due to market risk for this derivatives will be reported in the market risk row.

170-230
BREAKDOWN OF EXPOSURES BY RESIDUAL MATURITY

Residual maturity shall be computed in days between the contractual date of maturity and the reporting reference date for all positions.

Exposures to General governments shall be broken-down by residual maturity and allocated to the buckets provided as follows:

  • [0 - 3M [: Less than 90 days

  • [3M - 1Y [: Equal or greater than 90 days and less than 365 days

  • [1Y – 2Y [: Equal or greater than 365 days and less than 730 days

  • [2Y – 3Y [: Equal or greater than 730 days and less than 1 095 days

  • [3Y – 5Y [: Equal or greater than 1 095 days and less than 1 825 days

  • [5Y – 10Y [: Equal or greater than 1 825 days and less than 3 650 days

  • [10Y – more: Equal or greater than 3 650 days’

ANNEX III

‘ANNEX VII INSTRUCTIONS FOR THE REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY

1.This Annex contains additional instructions in relation to the tables included in Annex VI of this Regulation. This Annex complements the instructions in format of references included in the tables in Annex VI.

2.All the general instructions included in Part I of Annex II of this regulation shall also apply.

1. Reporting scope

3.Data specified in Article 101(1) of CRR is subject to reporting by all institutions using immovable property for the purposes of Part Three, Title II of CRR.
4.The template covers all national markets an institution/group of institution is exposed to (see Article 101(1) CRR). According to Article 101(2) sentence 3 the data shall be reported for each property market within the Union separately.

2. Definitions

5.Definition of loss: “Loss” means “economic loss” as defined in Article 5(2) CRR, including losses stemming from leased property. The recovery flows stemming from other sources (e.g. bank guarantees, life insurance, etc.) shall not be recognised when calculating losses stemming from immovable property. Losses of one position shall not be netted with the profit of a successful recovery of another position.
6.According to the definition of Article 5(2) CRR, for exposures secured by residential and commercial property the calculation of economic loss should start from outstanding exposure value at reporting date and should include at least: (i) proceeds from collateral realisation; (ii) direct costs (including interest rates payments and workouts costs linked to the liquidation of the collateral); and (iii) indirect costs (including operating costs of the workout unit). All components need to be discounted to the reporting reference date.
7.Exposure value: The exposure value follows the rules stipulated in Part Three, Title II of CRR (see Chapter 2 for institutions using the standardised approach, and Chapter 3 for institutions using the IRB approach).
8.Property value: The property value follows the rules stipulated in Part Three, Title II of CRR
9.F/X effect: The reporting currency shall be used with the exchange rate at the reporting date. Moreover, the estimates of the economic losses should consider the F/X effect if the exposure or collateral is denominated in different currency.

3. Geographical breakdown

10.Following the reporting scope, the CR IP Losses reporting shall consist of the following templates:
a)

one total template

b)

one template for each national market in the Union where the institution is exposed to, and

c)

one template aggregating the data for all national markets outside the Union where the institution is exposed to.

4. Reporting of exposures and losses

11.Exposures: All exposures that are treated according to Part Three, Title II of CRR and where the collateral is used to reduce the risk-weighted exposure amount are reported in CR IP Losses. This also means that in case the risk mitigation effect of immovable property is only used for internal purposes (i.e. under Pillar 2) or for large exposures (see Part Four CRR), the exposures and losses concerned must not reported.
12.Losses: The institution which has the exposure by the end of the reporting period shall report the losses. Losses shall be reported as soon as provisions are to be booked according to accounting rules. Also estimated losses should be reported. Loss data shall be collected on a loan-by-loan basis, i.e. aggregation of individual loss data stemming from exposures collateralised by immovable property.
13.Reference date: The exposure value at default should be used for reporting of losses.
a)

Losses should be reported for all defaults on loans secured by real estate property that occur during the respective reporting period and irrespective of whether the work out is completed during the period or not. Loss data reported as of 30 June shall refer to the period 1 January until 30 June and loss data reported as of 31 December shall refer to the whole calendar year. Since there may be a long time lag between default and loss realisation, loss estimates (which includes incomplete workout process) shall be reported in cases where the workout has not been completed within the reporting period.

b)

For all defaults observed within the reporting period, there are three scenarios: (i.) defaulted loan can be restructured so that it is no longer treated as in default (no loss observed); (ii.) realization of all collateral is completed (completed workout, actual loss known); or (iii.) incomplete workout (loss estimates to be used). Loss reporting shall include only losses stemming from scenario (ii.) realisation of collateral (observed losses) and scenario (iii.) incomplete workout (estimates of losses).

c)

As losses shall be reported only for exposures having defaulted during the reporting period, changes to losses of exposures having defaulted during previous reporting periods will not be reflected in the reported data. I.e. proceeds from the realisation of the collateral at a later reporting period or lower realised costs than previously estimated shall not be reported.

14.Role of the valuation of the property: The latest valuation of the property before the default date of the exposure is needed as reference date for reporting the part of exposure secured by mortgages on immovable property. After default, the property might be re-valued. This new value should however not be relevant for identifying the part of the exposure which was originally fully (and completely) secured by the mortgages on immovable property. However the new value of the property shall be considered in economic loss reporting (a reduced property value is part of economic costs). In other words, the latest valuation of the property before the default date shall be used to determine which part of the loss shall be reported in cell 010 (identification of exposure values which is fully and completely secured) and the re-valued property value for the amount to be reported (estimation a possible workout from collateral) in cells 010 and 030.
15.Treatment of loan sales during the reporting period: The institution which has the exposure by the end of the reporting period shall report losses, but only if a default for that exposure was identified.

5. Instructions concerning specific positions

Columns
010
Sum of losses stemming from lending up to the reference percentages

Article 101(1) points a) and point (d) of CRR respectively,

Market value and mortgage lending value according to Article 4(74) and (76) of CRR

This column collects all losses stemming from lending collateralised by residential property or by commercial immovable property up to the part of exposure treated as fully and completely secured according to Article 124 paragraph 1 of CRR.

020
Of which: immovable property valued with mortgage lending value

Reporting of those losses, where the value of the collateral has been calculated as mortgage lending value.

030
Sum of overall losses

Article 101(1) point (b) and point (e) CRR respectively

Market value and mortgage lending value according to Article 4(74) and (76) of CRR

This column collects all losses stemming from lending collateralised by residential property or by commercial immovable property up to the part of exposure treated as fully secured according to Article 124 paragraph 1 of CRR.

040
Of which: immovable property valued with mortgage lending value

Reporting of those losses, where the value of the collateral has been calculated as mortgage lending value

050
Sum of the exposures

Article 101(1) point (c) and point (f) CRR respectively

The value to be reported is only that part of the exposure value which is treated as fully secured by immovable property, i.e. the part that is treated as unsecured is not relevant for the loss reporting.

In the event of default, the exposure value reported equals the exposure value directly before default.

Rows
010
Residential property
020
Commercial immovable property’

ANNEX IV

‘ANNEX XI REPORTING ON LEVERAGE

PART I: GENERAL INSTRUCTIONS

1. Template labelling and other conventions

1.1. Template labelling
1.This Annex contains additional instructions for the templates (hereinafter ‘LR’) included in Annex X of this Regulation.
2.Overall, the framework consists of six templates:
3.For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting.
1.2. Numbering convention
4.The document will follow the labelling convention set in the following paragraphs, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules.
5.The following general notation is followed in the instructions: {Template;Row;Column}. An asterisk sign will be used to refer to the whole row or column.
6.In the case of validations within a template, where only data points from that template are used, notations will not refer to a template: {Row;Column}.
7.For the purpose of the reporting on leverage, ‘of which’ refers to an item that is a subset of a higher level exposure category whereas ‘memo item’ refers to a separate item that is not a subset of an exposure class. Reporting of both types of cells is mandatory unless otherwise specified.
1.3. Abbreviations
8.For the purposes of this annex and related templates the following abbreviations are used:
a.

CRR, which is an abbreviation of Capital Requirements Regulation and shall mean Regulation (EU) No 575/2013;

b.

SFT, which is an abbreviation of Securities Financing Transaction and shall mean ‘repurchase transaction, securities or commodities lending or borrowing transaction, long settlement transaction and margin lending transaction’ as referred to in Regulation (EU) No 575/2013;

c.

CRM, which is an abbreviation for Credit Risk Mitigation.

1.4. Sign convention
9.All amounts shall be reported as positive figures. An exception are the amounts reported in {LRCalc;050;010}, {LRCalc;070;010}, {LRCalc;080;010}, {LRCalc;100;010}, {LRCalc;120;010}, {LRCalc;140;010}, {LRCalc;210;010}, {LRCalc;220;010}, {LRCalc;240;010}, {LRCalc;250;010}, {LRCalc;260;010}, {LRCalc;310;010}, {LRCalc;320;010}, {LRCalc;270;010}, {LRCalc;280;010}, {LRCalc;330;010}, {LRCalc;340;010}, {LR3;010;010}, {LR3;020;010}, {LR3;030;010}, {LR3;040;010}, {LR3;055;010}, {LR3;065;010}, {LR3;075;010} and {LR3;085;010}. Thereby note that {LRCalc;050;010}, {LRCalc;070;010}, {LRCalc;080;010}, {LRCalc;100;010}, {LRCalc;120;010}, {LRCalc;140;010}, {LRCalc;210;010}, {LRCalc;220;010}, {LRCalc;240;010}, {LRCalc;250;010}, {LRCalc;260;010}, {LRCalc;270;010}, {LRCalc;280;010}, {LR3;055;010}, {LR3;065;010}, {LR3;075;010} and {LR3;085;010} only take negative values. Also note that, apart from extreme cases, {LRCalc;310;010}, {LRCalc;320;010}, {LRCalc;330;010}, {LRCalc;340;010}, {LR3;010;010}, {LR3;020;010}, {LR3;030;010} and {LR3;040;010} only take positive values.

PART II: TEMPLATE RELATED INSTRUCTIONS

1. Structure and frequency

1.The leverage ratio template is divided into two parts. Part A comprises all the data items that enter into the calculation of the leverage ratio that institutions shall submit to competent authorities in accordance with the first subparagraph of Article 430(1) of the CRR, while Part B comprises all the data items that institutions shall submit in accordance with the second subparagraph of Article 430(1) of the CRR (i.e. for the purposes of the report referred to in Article 511 of the CRR).
2.When compiling the data for this ITS, institutions shall consider the treatment of fiduciary assets in accordance with Article 429(13) of the CRR.

2. Formulas for leverage ratio calculation

3.The leverage ratio is based on a capital measure and a total exposure measure, which can be calculated with cells from Part A.
4.Leverage Ratio – fully phased-in definition = {LRCalc;310;010}/{LRCalc;290;010}.
5.Leverage Ratio – transitional definition = {LRCalc;320;010}/{LRCalc;300;010}.

3. Materiality thresholds for derivatives

6.In order to reduce the reporting burden for institutions with limited exposures in derivatives, the following measures are used to gauge the relative importance of derivatives exposures to the total exposure of the leverage ratio. Institutions shall calculate these measures as follows:
7. .
8.Where total exposure measure is equal to: {LRCalc;290;010}.
9.Total notional value referenced by derivatives = {LR1; 010;070}. This is a cell that institutions shall always report.
10.Credit derivatives volume = {LR1;020;070} + {LR1;050;070}. These are cells that institutions shall always report.
11.Institutions are required to report the cells referred to in paragraph 14 in the next reporting period, if any of the following conditions is met:
12.Institutions for which the total notional value referenced by derivatives as defined in paragraph 9 exceeds 10 billion EUR shall report the cells referred to in paragraph 14, even though their derivatives share does not fulfil the conditions described in paragraph 11.
13.Institutions are required to report the cells referred to in paragraph 15 if any of the following conditions is met:
14.The cells which are required to be reported by institutions in accordance with paragraph 11 are the following: {LR1;010;010}, {LR1;010;020}, {LR1;010;050}, {LR1;020;010}, {LR1;020;020}, {LR1;020;050}, {LR1;030;050}, {LR1;030;070}, {LR1;040;050}, {LR1;040;070}, {LR1;050;010}, {LR1;050;020}, {LR1;050;050}, {LR1;060;010}, {LR1;060;020}, {LR1;060;050} and {LR1;060;070}.
15.The cells which are required to be reported by institutions in accordance with paragraph 13 are the following: {LR1;020;075}, {LR1;050;075} and {LR1;050;085}.

4. C 47.00 – Leverage ratio calculation (LRCalc)

16.This part of the reporting template collects the data that are needed to calculate the leverage ratio as defined in Articles 429, 429a and 429b of the CRR.
17.Institutions shall perform the reporting of the leverage ratio quarterly. In each quarter, the value ‘at reporting reference date’ shall be the value at the last calendar day of the third month of the respective quarter.
18.Institutions shall report {010;010} to {030;010}, {060;010}, {090;010}, {110;010}, and {150;010} to {190;010} as if the exemptions referred to in {050;010}, {080;010}, {100;010}, {120;010}, and {220;010} did not apply.
19.Institutions shall report {010;010} to {240;010} as if the exemptions referred to in {250;010} and {260;010} did not apply.
20.Any amount that increases the own funds or the leverage ratio exposure shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the leverage ratio exposure shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is expected to be reported for that item.
Legal references and instructions
Row and columnExposure Values
{010;010}
SFTs: Exposure in accordance with Articles 429(5) and 429(8) of the CRR

Articles 429(5)(d) and 429(8) of the CRR

The exposure for SFTs calculated in accordance with Article 429(5)(d) and (8) of the CRR.

Institutions shall consider in this cell transactions in accordance with Article 429b(6)(c).

Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include those items in {190,010}.

Institutions shall not include in this cell agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with Article 429b(6)(a) of the CRR.

{020;010}
SFTs: Add-on for counterparty credit risk

Article 429b(1) of the CRR

The add-on for counterparty credit risk of SFTs, including those that are off-balance sheet, determined in accordance with Article 429b(2) or (3) of the CRR, as applicable.

Institutions shall consider in this cell transactions in accordance with Article 429b(6)(c).

Institutions shall not include in this cell agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with Article 429b(6)(a) of the CRR. Institutions shall instead include those items in {040;010}.

{030;010}
Derogation for SFTs: Add-on in accordance with Articles 429b(4) and 222 of the CRR

Article 429b(4) and 222 of the CRR

The exposure value for SFTs, including those that are off-balance sheet, calculated in accordance with Article 222 of the CRR, subject to a 20 % floor for the applicable risk weight.

Institutions shall consider in this cell transactions in accordance with Article 429b(6)(c) of the CRR.

Institutions shall not consider in this cell transactions for which the add-on part of the leverage ratio exposure value is determined in accordance with the method defined in Article 429b(1) of the CRR.

{040;010}
Counterparty credit risk of SFT agent transactions in accordance with Article 429b(6) of the CRR

Article 429b(6)(a), (2) and (3) of the CRR

The exposure value for agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with Article 429b(6)(a) of the CRR, consists only of the add-on determined in accordance with Article 429b(2) or (3) of the CRR, as applicable.

Institutions shall not include in this cell transactions in accordance with Article 429b(6)(c). Institutions shall instead include those items in {010;010} and {020;010} or {010;010} and {030;010}, as applicable.

{050;010}
(-) Exempted CCP leg of client-cleared SFT exposures

Articles 429(11) and 306(1)(c) of the CRR

The exempted CCP leg of client-cleared trade exposures of SFTs, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR.

Where the exempted leg to the CCP is a security it shall not be reported in this cell unless it is a re-pledged security that under the applicable accounting framework (i.e. in accordance with the first sentence of Article 111(1) of the CRR) is included at full value.

Institutions shall, as if no exemption applies, also include the amount reported in this cell in {010;010}, {020;010} and {030;010}, and, if the condition in the second half of the previous sentence is met, in {190;010}.

Where there is initial margin posted by the institution for an exempted leg of an SFT that is reported in {190;010} and not reported in {020;010} or {030;010}, then the institution can report it in this cell.

{060;010}
Derivatives: Current replacement cost

Articles 429a, 274, 295, 296, 297 and 298 of the CRR.

The current replacement cost as specified in Article 274(1) of the CRR of contracts listed in Annex II of the CRR and credit derivatives including those that are off-balance sheet reported gross of variation margin received.

As determined by Article 429a(1) of the CRR, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295 of the CRR. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (25)(c) of Article 272 of the CRR and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in Article 295(c) of the CRR.

Institutions shall not include in this cell contracts measured by application of the original exposure method in accordance with Articles 429a(8) and 275 of the CRR.

{070;010}
(-) Eligible cash variation margin received offset against derivatives market value

Article 429a(3) of the CRR

Variation margin received in cash from the counterparty eligible for offsetting against the replacement cost portion of the derivatives exposure in accordance with Article 429a(3) of the CRR.

Any cash variation margin received on an exempted CCP leg in accordance with Article 429(11) of the CRR shall not be reported.

{080;010}
(-) Exempted CCP leg of client-cleared trade exposures (replacement costs)

Article 429(11) of the CRR

The replacement cost portion of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR. This amount shall be reported gross of cash variation margin received on this leg.

Institutions shall include the amount reported in this cell also in {060;010} as if no exemption applied.

{090;010}
Derivatives: Add-on under the mark-to-market method

Articles 429a, 274, 295, 296, 297, 298 and 299(2) of the CRR

This cell provides the add-on for the potential future exposure of contracts listed in Annex II of the CRR and of credit derivatives including those that are off-balance sheet calculated in accordance with the mark-to-market Method (Article 274 of the CRR for contracts listed in Annex II of the CRR and Article 299(2) of the CRR for credit derivatives) and applying netting rules in accordance with Article 429a(1) of the CRR. In determining the exposure value of those contracts, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295 of the CRR. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (25)(c) of Article 272 of the CRR and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in Article 295(c) of the CRR.

In accordance with the second subparagraph of Article 429a(1) of the CRR, when determining the potential future credit exposure of credit derivatives, institutions shall apply the principles laid down in Article 299(2)(a) of the CRR to all their credit derivatives, not just those assigned to the trading book.

Institutions shall not include in this cell contracts measured by application of the original exposure method in accordance with Articles 429a(8) and 275 of the CRR.

{100;010}
(-) Exempted CCP leg of client-cleared trade exposures (potential future exposure)

Article 429(11) of the CRR

The potential future exposure of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR.

Institutions shall include the amount reported in this cell also in {090;010} as if no exemption applied.

{110;010}
Derogation for derivatives: original exposure method

Articles 429a(8) and 275 of the CRR

This cell provides the exposure measure of contracts listed in points 1 and 2 of Annex II of the CRR calculated in accordance with the original exposure method set out in Article 275 of the CRR.

Institutions that apply the original exposure method shall not reduce the exposure measure by the amount of variation margin received in cash in accordance with Article 429a(8) of the CRR.

Institutions that do not use the original exposure method shall not report this cell.

Institutions shall not consider in this cell contracts measured by application of the mark-to-market method in accordance with Articles 429a(1) and 274 of the CRR.

{120;010}
(-) Exempted CCP leg of client-cleared trade exposures (original exposure method)

Article 429(11) of the CRR

The exempted CCP leg of client-cleared trade exposures when applying the original exposure method as set out in Article 275 of the CRR, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR.

Institutions shall include the amount reported in this cell also in {110;010} as if no exemption applied.

{130;010}
Capped notional amount of written credit derivatives

Article 429a(5) to (7) of the CRR

Capped notional value of written credit derivatives (i.e. where the institution is providing credit protection to a counterparty) as set out in Article 429a(5) to (7) of the CRR.

{140;010}
(-) Eligible purchased credit derivatives offset against written credit derivatives

Article 429a(5) to (7) of the CRR

Capped notional value of purchased credit derivatives (i.e. where the institution is buying credit protection from a counterparty) on the same reference names as those credit derivatives written by the institution, where the remaining maturity of the purchased protection is equal to or greater than the remaining maturity of the sold protection. Hence, the value shall not be greater than the value entered in {130;010} for each reference name.

{150;010}
Off-balance sheet items with a 10 % CCF in accordance with Article 429(10) of the CRR

Articles 429(10), 111(1)(d) and 166(9) of the CRR

The exposure value, in accordance with Articles 429(10) and 111(1)(d) of the CRR, of low risk off-balance sheet items that would be assigned a 0 % credit conversion factor referred to in points 4(a) to (c) of Annex I of the CRR (as a reminder the exposure value here shall be 10 % of the nominal value). That is commitments which may be cancelled unconditionally at any time by the institution without prior notice (UCC), or that effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness. As a reminder the nominal value shall not be reduced by specific credit risk adjustments.

Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) of the CRR.

Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.

{160;010}
Off-balance sheet items with a 20 % CCF in accordance with Article 429(10) of the CRR

Articles 429(10), 111(1)(c) and 166(9) of the CRR

The exposure value, in accordance with Articles 429(10) and 111(1)(c) of the CRR, of medium/low risk off-balance-sheet items that would be assigned a 20 % credit conversion factor referred to in points 3(a) and (b) of Annex I of the CRR (as a reminder the exposure value here shall be 20 % of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments.

Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) of the CRR.

Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.

{170;010}
Off-balance sheet items with a 50 % CCF in accordance with Article 429(10) of the CRR

Articles 429(10), 111(1)(b) and 166(9) of the CRR

The exposure value, in accordance with Articles 429(10) and 111(1)(b) of the CRR, of medium risk off-balance sheet items that would be assigned a 50 % credit conversion factor as defined in the Standardised Approach to credit risk referred to in points 2(a) and (b) of Annex I of the CRR (as a reminder the exposure value here shall be 50 % of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments.

This cell includes liquidity facilities and other commitments to securitisations. In other words the CCF for all liquidity facilities in accordance with Article 255 of the CRR is 50 % regardless of the maturity.

Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) of the CRR.

Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.

{180;010}
Off-balance sheet items with a 100 % CCF in accordance with CRR 429 (10)

Articles 429(10), 111(1)(a) and 166(9) of the CRR

The exposure value, in accordance with Articles 429(10) and 111(1)(a) of the CRR, of high risk off-balance sheet items that would be assigned a 100 % credit conversion factor referred to in points 1(a) to (k) of Annex I of the CRR (as a reminder the exposure value here shall be 100 % of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments.

This cell includes liquidity facilities and other commitments to securitisations.

Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) of the CRR.

Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.

{190;010}
Other assets

Article 429(5) of the CRR

All assets other than contracts listed in Annex II of the CRR, credit derivatives and SFTs (e.g. amongst others assets to be reported in this cell are accounting receivables for cash variation margin provided where recognised under the operative accounting framework, liquid assets as defined under the liquidity coverage ratio, failed and unsettled transactions). Institutions shall base valuation on the principles set out in Article 429(5) of the CRR.

Institutions shall include in this cell cash received or any security that is provided to a counterparty via SFTs and that is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Furthermore, institutions shall recognise items that are deducted from CET1 and Additional Tier 1 items (e.g. intangibles, deferred tax assets etc.) here.

{200;010}
Gross-up for derivatives collateral provided

Article 429a(2) of the CRR

The amount of any derivatives collateral provided where the provision of that collateral reduces the amount of assets under the applicable accounting framework, as set out in Article 429a(2) of the CRR.

Institutions shall not include in this cell initial margin for client-cleared derivative transactions with a qualifying CCP (QCCP) or eligible cash variation margin, as defined in Article 429a(3) of the CRR.

{210;010}
(-) Receivables for cash variation margin provided in derivatives transactions

Third subparagraph of Article 429a(3) of the CRR

The receivables for variation margin paid in cash to the counterparty in derivatives transactions if the institution is required, under the applicable accounting framework, to recognise these receivables as an asset, provided that the conditions in points (a) to (e) of Article 429a(3) of the CRR are met.

The amount reported shall also be included in the other assets reported in {190, 010}.

{220;010}
(-) Exempted CCP leg of client-cleared trade exposures (initial margin)

Article 429(11) of the CRR

The initial margin (posted) portion of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR.

The amount reported shall also be included in the other assets reported in {190, 010}.

{230;010}
Adjustments for SFT sales accounting transactions

Article 429b(5) of the CRR

The value of securities lent in a repurchase transaction that are derecognised due to a sales accounting transaction under the applicable accounting framework.

{240;010}
(-) Fiduciary assets

Article 429(13) of the CRR

The value of fiduciary assets that meet the IAS 39 criteria for derecognition and, where applicable, IFRS 10 for deconsolidation, in accordance with Article 429(13) of the CRR, assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed).

The amount reported shall also be included in the other assets reported in {190, 010}.

{250;010}
(-) Intragroup exposures (solo basis) exempted in accordance with Article 429(7) of the CRR

Articles 429(7) and 113(6) of the CRR

Exposures that have not been consolidated on the applicable level of consolidation, that can benefit from the treatment laid down in Article 113(6) of the CRR, provided that all the conditions set out in points (a) to (e) of Article 113(6) of the CRR are met and where the competent authorities have given their approval.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{260;010}
(-) Exposures exempted in accordance with Article 429(14) of the CRR

Article 429(14) of the CRR

Exposures exempted in accordance with 429(14) of the CRR subject to the therein stated conditions being met and where the competent authorities have given their approval.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{270;010}
(-) Asset amount deducted — Tier 1 capital — fully phased-in definition

Articles 429(4)(a) and 499(1)(a) of the CRR

It includes all the adjustments that target the value of an asset and which are required by:

  • Articles 32 to 35 of the CRR, or

  • Articles 36 to 47 of the CRR, or

  • Articles 56 to 60 of the CRR,

as applicable.

Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Title I of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {010;010} to {260;010}, nor shall they report any adjustment that does not deduct the value of a specific asset.

As these amounts are already deducted from the capital measure, they reduce the leverage ratio exposure and shall be reported as a negative figure.

{280;010}
(-) Asset amount deducted — Tier 1 capital — transitional definition

Articles 429(4)(a) and 499(1)(b) of the CRR

It includes all the adjustments that adjust the value of an asset and which are required by:

  • Articles 32 to 35 of the CRR, or

  • Articles 36 to 47 of the CRR, or

  • Articles 56 to 60 of the CRR,

as applicable.

Institutions shall take into account exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, in addition to taking into account the derogations laid down in Chapter 1 and 2 of Title I of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {010;010} to {260;010}, nor shall they report any adjustment that does not deduct the value of a specific asset.

As these amounts are already deducted from the capital measure, they reduce the leverage ratio exposure and shall be reported as a negative figure.

{290;010}
Total Leverage Ratio exposure — using a fully phased-in definition of Tier 1 capital

Institutions shall report the following amount:

{LRCalc;010;010} + {LRCalc;020;010} + {LRCalc;030;010} + {LRCalc;040;010} + {LRCalc;050;010} + {LRCalc;060;010} + {LRCalc;070;010} + {LRCalc;080;010} + {LRCalc;090;010} + {LRCalc;100;010} + {LRCalc;110;010} + {LRCalc;120;010} + {LRCalc;130;010} + {LRCalc;140;010} + {LRCalc;150;010} + {LRCalc;160;010} + {LRCalc;170;010} + {LRCalc;180;010} + {LRCalc;190;010} + {LRCalc;200;010} + {LRCalc;210;010} + {LRCalc;220;010} + {LRCalc;230;010} + {LRCalc;240;010} + {LRCalc;250;010} + {LRCalc;260;010} + {LRCalc;270;010}.

{300;010}
Total Leverage Ratio exposure — using a transitional definition of Tier 1 capital

Institutions shall report the following amount:

{LRCalc;010;010} + {LRCalc;020;010} + {LRCalc;030;010} + {LRCalc;040;010} + {LRCalc;050;010} + {LRCalc;060;010} + {LRCalc;070;010} + {LRCalc;080;010} + {LRCalc;090;010} + {LRCalc;100;010} + {LRCalc;110;010} + {LRCalc;120;010} + {LRCalc;130;010} - {LRCalc;140;010} + {LRCalc;150;010} + {LRCalc;160;010} + {LRCalc;170;010} + {LRCalc;180;010} + {LRCalc;190;010} + {LRCalc;200;010} + {LRCalc;210;010} + {LRCalc;220;010} + {LRCalc;230;010} + {LRCalc;240;010} + {LRCalc;250;010} + {LRCalc;260;010} + {LRCalc;280;010}.

Row and columnCapital
{310;010}
Tier 1 capital — fully phased-in definition

Articles 429(3) and 499(1) of the CRR

This is the amount of Tier 1 capital as calculated in accordance with Article 25 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Title I of Part Ten of the CRR.

{320;010}
Tier 1 capital — transitional definition

Articles 429(3) and 499(1) of the CRR

This is the amount of Tier 1 capital as calculated in accordance with Article 25 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Title I of Part Ten of the CRR.

Row and columnLeverage Ratio
{330;010}
Leverage Ratio – using a fully phased-in definition of Tier 1 capital

Articles 429(2) and 499(1) of the CRR

This is the leverage ratio as calculated under paragraph 4 of Part II of this Annex.

{340;010}
Leverage Ratio – using a transitional definition of Tier 1 capital

Articles 429(2) and 499(1) of the CRR

This is the leverage ratio as calculated under paragraph 5 of Part II of this Annex.

5. C 40.00 – Alternative treatment of the Exposure Measure (LR1)

21.This part of the reporting collects data on an alternative treatment of derivatives, SFTs and off-balance sheet items.
22.Institutions shall determine the ‘accounting balance sheet values’ in LR1 based on the applicable accounting framework in accordance with Article 4(1)(77) of the CRR. ‘Accounting value assuming no netting or other CRM’ refers to the accounting balance sheet value not taking into account any effects of netting or other credit risk mitigation.
23.Apart from {250;120} and {260;120}, institutions shall report LR1 as if the exemptions referred to in LRCalc cells {050;010}, {080;010}, {100;010}, {120;010}, {220;010}, {250;010} and {260;010} did not apply.
Row and columnLegal references and instructions
{010;010}
Derivatives – Accounting balance sheet value

This is the sum of {020;010}, {050;010} and {060;010}.

{010;020}
Derivatives – Accounting value assuming no netting or other CRM

This is the sum of {020;020}, {050;020} and {060;020}.

{010;050}
Derivatives – Add-on under the mark-to-market method (assuming no netting or other CRM)

This is the sum of {020;050}, {050;050} and {060;050}.

{010;070}
Derivatives – Notional amount

This is the sum of {020;070}, {050;070} and {060;070}.

{020;010}
Credit derivatives (protection sold) – Accounting balance sheet value

Article 4(1)(77) of the CRR

The accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is selling credit protection to a counterparty and the contract is recognised as an asset on the balance sheet.

{020;020}
Credit derivatives (protection sold) – Accounting value assuming no netting or other CRM

Article 4(1)(77) of the CRR

The accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is selling credit protection to a counterparty and the contract is recognised as an asset on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed).

{020;050}
Credit derivatives (protection sold) – Add-on under the mark-to-market method (assuming no netting or other CRM)

This is the sum of {030;050} and {040;050}.

{020;070}
Credit derivatives (protection sold) – Notional amount

This is the sum of cells {030;070} and {040;070}.

{020;075}
Credit derivatives (protection sold) – Capped notional amount

This cell provides the notional amount referenced by the credit derivatives (protection sold) as in {020; 070} after reduction by any negative fair value changes that have been incorporated in Tier 1 capital with respect to the written credit derivative.

{030;050}
Credit derivatives (protection sold), which are subject to a close-out clause – Add-on under the mark-to-market method (assuming no netting or other CRM)

Article 299(2) of the CRR

This cell provides the potential future exposure of credit derivatives where the institution is selling credit protection to a counterparty subject to a close-out clause assuming no netting or other CRM. Institutions shall not include in this cell the add-on for credit derivatives where the institution is selling credit protection to a counterparty not subject to a close-out clause. Institutions shall instead include this in {LR1;040;050}.

A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty.

Institutions shall consider all credit derivatives, not just those assigned to the trading book.

{030;070}
Credit derivatives (protection sold), which are subject to a close-out clause – Notional amount

This cell provides the notional amount referenced by credit derivatives where the institution is selling credit protection to a counterparty subject to a close-out clause.

A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty.

Institutions shall consider all credit derivatives, not just those assigned to the trading book.

{040;050}
Credit derivatives (protection sold), which are not subject to a close-out clause – Add-on under the mark-to-market method (assuming no netting or other CRM)

Article 299(2) of the CRR

This cell provides the potential future exposure of credit derivatives where the institution is selling credit protection to a counterparty not subject to a ‘close-out clause’ assuming no netting or other CRM.

A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty.

Institutions shall consider all credit derivatives, not just those assigned to the trading book.

{040;070}
Credit derivatives (protection sold), which are not subject to a close-out clause – Notional amount

This cell provides the notional amount referenced by credit derivatives where the institution is selling credit protection to a counterparty not subject to a ‘close-out clause’.

A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty.

Institutions shall consider all credit derivatives, not just those assigned to the trading book

{050;010}
Credit derivatives (protection bought) – Accounting balance sheet value

Article 4(1)(77) of the CRR

The accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is buying credit protection from a counterparty and the contract is recognised as an asset on the balance sheet.

Institutions shall consider all credit derivatives, not just those assigned to the trading book.

{050;020}
Credit derivatives (protection bought) – Accounting value assuming no netting or other CRM

Article 4(1)(77) of the CRR

The accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is buying credit protection from a counterparty and the contract is recognised as an asset on the balance sheet assuming no prudential or accounting netting or CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed).

Institutions shall consider all credit derivatives, not just those assigned to the trading book.

{050;050}
Credit derivatives (protection bought) – Add-on under the mark-to-market method (assuming no netting or other CRM)

Article 299(2) of the CRR

This cell provides the potential future exposure of credit derivatives where the institution is buying credit protection from a counterparty assuming no netting or other CRM.

Institutions shall consider all credit derivatives, not just those assigned to the trading book

{050;070}
Credit derivatives (protection bought) – Notional amount

This cell provides the notional amount referenced by credit derivatives where the institution is buying credit protection from a counterparty.

Institutions shall consider all credit derivatives, not just those assigned to the trading book

{050;075}
Credit derivatives (protection bought) – Capped notional amount

This cell provides the notional amount referenced by credit derivatives (protection bought) as in {050;050} after reduction by any positive fair value changes that have been incorporated in Tier 1 capital with respect to the bought credit derivative.

{050;085}
Credit derivatives (protection bought) – Capped notional amount (same reference name)

The notional amount referenced by credit derivatives where the institution is buying credit protection on the same underlying reference name as those credit derivatives written by the reporting institution.

For the purpose of reporting this cell value, underlying reference names are considered the same if they refer to the same legal entity and level of seniority.

Credit protection bought on a pool of reference entities is considered the same if this protection is economically equivalent to buying protection separately on each of the individual names in the pool.

If an institution is buying credit protection on a pool of reference names, then this credit protection is only considered the same if the bought credit protection covers the entirety of the subsets of the pool on which credit protection has been sold. In other words, offsetting may only be recognised when the pool of reference entities and the level of subordination in both transactions are identical.

For each reference name, the notional amounts of credit protection bought which are considered in this cell shall not exceed the amounts reported in {020;075} and {050;075}.

{060;010}
Financial derivatives – Accounting balance sheet value

Article 4(1)(77) of the CRR

The accounting balance sheet value under the applicable accounting framework of contracts listed in Annex II of the CRR where the contracts are recognised as assets on the balance sheet.

{060;020}
Financial derivatives – Accounting value assuming no netting or other CRM

Article 4(1)(77) of the CRR

The accounting balance sheet value under the applicable accounting framework of contracts listed in Annex II of the CRR where the contracts are recognised as assets on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed).

{060;050}
Financial derivatives – Add-on under the mark-to-market method (assuming no netting or other CRM)

Article 274 of the CRR

This cell provides the regulatory potential future exposure of contracts listed in Annex II of the CRR assuming no netting or other CRM.

{060;070}
Financial derivatives — Notional amount

This cell provides the notional amount referenced by contracts listed in Annex II of the CRR.

{070;010}
SFTs covered by a master netting agreement – Accounting balance sheet value

Articles 4(1)(77) and 206 of the CRR

The accounting balance sheet value of SFTs under the applicable accounting framework that are covered by a master netting agreement eligible under Article 206 of the CRR.

Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in {090,010}.

{070;020}
SFTs covered by a master netting agreement – Accounting value assuming no netting or other CRM

Articles 4(77) and 206 of the CRR

The accounting balance sheet value under the applicable accounting framework of SFTs that are covered by a master netting agreement eligible under Article 206 of the CRR where the contracts are recognised as an asset on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). Furthermore, where sale accounting is achieved for an SFT under the applicable accounting framework, institutions shall reverse all sales-related accounting entries.

Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in {090,020}.

{070;040}
Securities financing transactions covered by a master netting agreement – Add-on for SFT

Articles 206 of the CRR

For SFTs, including those that are off-balance sheet, that are covered by a netting agreement that meets the requirements in Article 206 of the CRR, institutions shall form netting sets. For each netting set, institutions shall calculate the add-on for current counterparty exposure (CCE) in accordance with the formula

CCE = max{(Σi E i – Σi C i); 0}

Where

i

=

each transaction included in the netting set.

Ei

=

for transaction i, the value Ei as defined in Article 220(3) of the CRR.

Ci

=

for transaction i, the value Ci as defined in Article 220(3) of the CRR.

Institutions shall aggregate the outcome of this formula for all netting sets and report the result in this cell.

{080;010}
SFTs not covered by a master netting agreement – Accounting balance sheet value

Article 4(1)(77) of the CRR

The accounting balance sheet value under the applicable accounting framework of SFTs that are not covered by a master netting agreement eligible under Article 206 of the CRR where the contracts are recognised as assets on the balance sheet.

Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in {090,010}.

{080;020}
SFTs not covered by a master netting agreement — Accounting value assuming no netting or other CRM

Article 4(1)(77) of the CRR

The accounting balance sheet value under the applicable accounting framework of SFTs that are not covered by a master netting agreement eligible under Article 206 of the CRR where the contracts are recognised as assets on the balance sheet assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). Furthermore, where sale accounting is achieved for an SFT under the applicable accounting framework, institutions shall reverse all sales-related accounting entries.

Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in {090,020}.

{080;040}
SFTs not covered by a master netting agreement – Add-on for SFT

Articles 206 of the CRR

For SFTs, including those that are off-balance sheet, that are not covered by a master netting agreement eligible under Article 206 of the CRR, institutions shall form sets that consist of all assets included in a transaction (i.e. each SFT is treated as its own set), and shall determine for each set the add-on for current counterparty exposure (CCE) in accordance with the formula

CCE = max {(E – C); 0}

Where

E

=

the value Ei as defined in Article 220(3) of the CRR.

C

=

the value Ci as defined in Article 220(3) of the CRR.

Institutions shall aggregate the outcome of this formula for all of above-mentioned sets and report the result in this cell.

{090;010}
Other assets – Accounting balance sheet value

Article 4(1)(77) of the CRR

The accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II of the CRR, credit derivatives and SFTs.

{090;020}
Other assets – Accounting value assuming no netting or other CRM

Article 4(1)(77) of the CRR

The accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II of the CRR, credit derivatives and SFTs assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed).

{100;070}
Low risk off-balance sheet items in the RSA; of which – nominal value

Article 111 of the CRR

This cell provides the nominal value of off-balance sheet items that would be assigned a 0 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments.

Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.

{110;070}
Revolving retail exposures; of which – Nominal value

Articles 111 and 154(4) of the CRR

This cell provides the nominal value of off-balance sheet qualifying revolving retail exposures that meet the conditions set in points (a) to (c) of Article 154(4) of the CRR. This value shall not be reduced by specific credit risk adjustments.

This covers all exposures that are to individuals, are revolving and unconditionally cancellable as described in point (b) of Article 149 of the CRR, and are in total limited to EUR 100 000 per obligor.

Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.

{120;070}
Unconditionally cancellable credit cards commitments – Nominal value

Articles 111 and 154(4) of the CRR

This cell provides the nominal value of credit cards commitments that are unconditionally cancellable at any time by the institution without prior notice (UCC) that would receive a 0 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments.

Institutions shall not include in this cell credit commitments that effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness but are not UCC.

Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.

{130;070}
Non revolving unconditionally cancellable commitments – Nominal value

Articles 111 and 154(4) of the CRR

It provides the nominal value of other commitments that are unconditionally cancellable at any time by the institution without prior notice (UCC) and that would receive a 0 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments.

Institutions shall not include in this cell credit commitments that effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness but are not UCC.

Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.

{140;070}
Medium/low risk off-balance sheet items under the RSA – Nominal value

Article 111 of the CRR

This cell provides the nominal value of off-balance sheet items that would be assigned a 20 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments.

Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.

{150;070}
Medium risk off-balance sheet items under the RSA – Nominal value

Article 111 of the CRR

This cell provides the nominal value of off-balance sheet items that would be assigned a 50 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments.

Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.

{160;070}
Full risk off-balance sheet items under the RSA – Nominal value

Article 111 of the CRR

This cell provides the nominal value of off-balance sheet items that would be assigned a 100 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments.

Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.

{170;070}
(memo item) Drawn amounts of revolving retail exposures – Nominal value

Article 154(4) of the CRR

This cell provides the nominal value of amounts drawn on off-balance sheet revolving retail exposures. This value shall not be reduced by specific credit risk adjustments.

{180;070}
(memo item) Drawn amounts on unconditionally cancellable credit card commitments – Nominal value

Articles 111 and 154(4) of the CRR

This cell provides the nominal value of amounts drawn on unconditionally cancellable credit card commitments. This value shall not be reduced by specific credit risk adjustments.

{190;070}
(memo item) Drawn amounts on non-revolving unconditionally cancellable commitments – Nominal value

Articles 111 and 154(4) of the CRR

This cell provides the nominal value of amounts drawn on non-revolving unconditionally cancellable commitments. This value shall not be reduced by specific credit risk adjustments.

{210;020}
Cash collateral received in derivatives transactions – Accounting value assuming no netting or other CRM

The accounting balance sheet value under the applicable accounting framework of cash collateral received in derivatives transactions assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed).

For the purpose of this cell, cash is defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks is included to the extent that these deposits can be withdrawn in times of stress. Institutions shall not report cash on deposit with other institutions in this cell.

{220;020}
Receivables for cash collateral posted in derivatives transactions – Accounting value assuming no netting or other CRM

The accounting balance sheet value under the applicable accounting framework of receivables for cash collateral posted against derivatives transactions assuming no accounting netting or CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). Institutions that are permitted under the applicable accounting framework to net the receivable for cash collateral posted against the related derivative liability (negative fair value) and that elect to do so shall reverse out the netting and report the net cash receivable.

{230;020}
Securities received in an SFT that are recognised as an asset – Accounting value assuming no netting or other CRM

The accounting balance sheet value under the applicable accounting framework of securities received in an SFT that are recognised as an asset under the applicable accounting framework assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed).

{240;020}
SFT cash conduit lending (cash receivables) – Accounting value assuming no netting or other CRM

The accounting balance sheet value under the applicable accounting framework of the cash receivable for the cash on-lent to the securities owner in a qualifying cash conduit lending transaction (CCLT) assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed).

For the purpose of this cell, cash is defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks is included to the extent that these deposits can be withdrawn in times of stress. Institutions shall not report in this cell cash on deposit with other institutions.

A CCLT is defined as a combination of two transactions where an institution borrows securities from the securities owner and on-lends securities to the securities borrower. Concurrently, the institution receives cash collateral from the securities borrower and on-lends the cash received to the securities owner. A qualifying CCLT shall comply with all the following conditions:

(a)

both of the individual transactions which comprise the qualifying CCLT shall be effected on the same trade date, or for international transactions adjacent business days;

(b)

where its comprising transactions do not specify a maturity, the institution shall have the legal right to close out either side of the CCLT, that is both of its comprising transactions, at any time and without prior notice;

(c)

where its comprising transactions specify a maturity, the CCLT shall not give rise to maturity mismatches for the institution; the institution shall have the legal right to close out either side of the CCLT, that is both of its comprising transactions, at any time and without prior notice;

(d)

it does not give rise to any other incremental exposures.

{250;120}
Exposures that can benefit from treatment under Article 113(6) of the CRR – Leverage ratio exposure amount hypothetically exempted

The amount of total leverage ratio exposure that would be exempted if competent authorities would to the fullest extent grant permission to exempt exposures for which all the conditions set out in points (a) to (e) of Article 113(6) of the CRR are met and for which approval laid down in Article 113(6) of the CRR has been provided. If the competent authority already grants permission to the fullest extent then the value in this cell equals that in {LRCalc;250;010}.

{260;120}
Exposures that meet conditions in points (a) to (c) of Article 429(14) of the CRR – Leverage ratio exposure amount hypothetically exempted

The amount of total leverage ratio exposure that would be exempted if competent authorities would to the fullest extent grant permission to exempt exposures that meet conditions in points (a) to (c) of Article 429(14) of the CRR. If the competent authority already grants permission to the fullest extent then the value in this cell equals that in {LRCalc;260;010}.

6. C 41.00 – On- and off-balance sheet items – additional breakdown of exposures (LR2)

24.Template LR2 provides information on additional breakdown items of all on- and off-balance sheet exposures(7) belonging to the non-trading book and of all exposures of the trading book subject to counterparty credit risk. The breakdown is in accordance with the risk weights applied under the credit risk section of the CRR. The information is derived differently for exposures under respectively the Standardised and the IRB Approach.
25.For exposures supported by CRM techniques implying the substitution of the risk weighting of the counterparty with the risk weighting of the guarantee, institutions shall refer to the risk weight after the substitution effect. Under the IRB Approach, institutions shall proceed with the following calculation: for exposures (other than those for which specific regulatory risk weights are provided for) belonging to each obligor grade, the risk weight shall be derived by dividing the risk weighted exposure obtained from the risk weight formula or the supervisory formula (for credit risk and securitisations exposures, respectively) by the exposure value after taking into account inflows and outflows due to CRM techniques with substitution effect on the exposure. Under the IRB Approach, exposures classified as in default shall be excluded from {020;010} to {090;010} and included in {100;010}. Under the Standardised Approach, exposures falling under Article 112(j) of the CRR shall be excluded from {020;020} to {090;020} and included in {100;020}.
26.Under both approaches, institutions shall consider exposures deducted from the regulatory capital as being applied a 1250 % risk weight.
RowLegal references and instructions
010
Total on- and off-balance sheet exposures belonging to the non-trading book as well as exposures of the trading book subject to counterparty credit risk (breakdown in accordance with the risk weight):

This is the sum of {020:*} to {100;*}.

020
= 0 %

Exposures with a 0 % risk weight.

030
> 0 % and ≤ 12 %

Exposures with a risk weight included within a range of risk weights strictly greater than 0 % and smaller than or equal to 12 %.

040
> 12 % and ≤ 20 %

Exposures with a risk weight included within a range of risk weights strictly greater than 12 % and smaller than or equal to 20 %.

050
> 20 % and ≤ 50 %

Exposures with a risk weight included within a range of risk weights strictly greater than 20 % and smaller than or equal to 50 %.

060
> 50 % and ≤ 75 %

Exposures with a risk weight included within a range of risk weights strictly greater than 50 % and smaller than or equal to 75 %.

070
> 75 % and ≤ 100 %

Exposures with a risk weight included within a range of risk weights strictly greater than 75 % and smaller than or equal to 100 %.

080
> 100 % and ≤ 425 %

Exposures with a risk weight included within a range of risk weights strictly greater than 100 % and smaller than or equal to 425 %.

090
> 425 % and ≤ 1 250 %

Exposures with a risk weight included within a range of risk weights strictly greater than 425 % and smaller than or equal to 1 250 %.

100
Exposures in default

Under the Standardised Approach, exposures falling under Article 112(j) of the CRR.

Under the IRB approach, all exposures with a PD of 100 % are exposures in default.

110
(memo item) Low-risk off-balance sheet items or off-balance sheet items attracting a 0 % conversion factor under the solvency ratio

Low risk off-balance sheet items in accordance with Article 111 of the CRR and off-balance sheet items attracting a 0 % conversion factor in accordance with Article 166 of the CRR.

ColumnLegal references and instructions
010
On- and off-balance sheet exposures (SA exposures)

On- and off-balance sheet exposure values after taking into account value adjustments, all CRM and credit conversion factors, as calculated under Title II, Chapter 2, Part Three of the CRR.

020
On and off-balance sheet exposures (IRB exposures)

On- and off-balance sheet exposures values in accordance with Article 166 of the CRR and the first sentence of the second subparagraph of Article 230(1) of the CRR, after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure.

For off-balance sheet items, institutions shall apply the conversion factors as defined in Article 166(8) to (10) of the CRR.

030
Nominal value

Exposure values of off-balance sheet items as defined in Articles 111 and 166 of the CRR without the application of conversion factors.

7. C 42.00 – Alternative definition of capital (LR3)

27.Template LR3 provides information on the capital measures needed for the review of Article 511 of the CRR.
Row and columnLegal references and instructions
{010;010}
Common Equity Tier 1 capital – fully phased-in definition

Article 50 of the CRR

This is the amount of CET1 capital as defined in Article 50 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.

{020;010}
Common Equity Tier 1 capital – transitional definition

Article 50 of the CRR

This is the amount of CET1 capital as calculated defined in Article 50 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.

{030;010}
Total own funds – fully phased-in definition

Article 72 of the CRR

This is the amount of own funds as defined in Article 72 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.

{040;010}
Total own funds – transitional definition

Article 72 of the CRR

This is the amount of own fund as defined in Article 72 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.

{055;010}
Asset amount deducted – from CET1 items – fully phased-in definition

It includes the amount of regulatory adjustments to CET1 items that adjust the value of an asset and which are required by:

  • Articles 32 to 35 of the CRR, or

  • Articles 36 to 47 of the CRR,

as applicable

Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset.

As these adjustments reduce the total own funds, they shall be reported as a negative figure.

{065;010}
Asset amount deducted – from CET1 items – transitional definition

It includes the amount of regulatory adjustments from CET1 that adjust the value of an asset and which are required by:

  • Articles 32 to 35 of the CRR, or

  • Articles 36 to 47 of the CRR,

as applicable.

Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, in addition taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset.

As these adjustments reduce the total own funds, they shall be reported as a negative figure.

{075;010}
Asset amount deducted – from own funds items – fully phased-in definition

It includes the amount of regulatory adjustments from own funds items that adjust the value of an asset and which are required by:

  • Articles 32 to 35 of the CRR, or

  • Articles 36 to 47 of the CRR, or

  • Articles 56 to 60 of the CRR, or

  • Articles 66 to 70 of the CRR,

as applicable.

Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in rows {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset.

As these adjustments reduce the total own funds, they shall be reported as a negative figure.

{085,010}
Asset amount deducted – from own funds items – transitional definition

It includes the amount of regulatory adjustments from own funds items that adjust the value of an asset and which are required by:

  • Articles 32 to 35 of the CRR, or

  • Articles 36 to 47 of the CRR, or

  • Articles 56 to 60 of the CRR, or

  • Articles 66 to 70 of the CRR,

as applicable.

Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, in addition taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset.

As these adjustments reduce the total own funds, they shall be reported as a negative figure.

8. C 43.00 – Alternative breakdown of leverage ratio exposure measure components (LR4)

28.Institutions shall report the leverage ratio exposure values in LR4 after the application of exemptions, as applicable, referred to in the following LRCalc cells: {050;010}, {080;010}, {100;010}, {120;010}, {220; 010}, {250;010} and {260;010}.
29.In order to avoid double-counting, institutions shall uphold the equation referred to in the following paragraph:
30.The equation that institutions shall uphold according to paragraph 29 is: [{LRCalc;010;010} + {LRCalc;020;010} + {LRCalc;030;010} + {LRCalc;040;010} + {LRCalc;050;010} + {LRCalc;060;010} + {LRCalc;070;010} + {LRCalc;080;010} + {LRCalc;090;010} + {LRCalc;100;010} + {LRCalc;110;010} + {LRCalc;120;010} + {LRCalc;130;010} + {LRCalc;140;010} + {LRCalc;150;010} + {LRCalc;160;010} + {LRCalc;170;010} + {LRCalc;180;010} + {LRCalc;190;010} + {LRCalc;200;010} + {LRCalc;210;010} + {LRCalc;220;010} + {LRCalc;230;010} + {LRCalc;240;010} + {LRCalc;250;010} + {LRCalc;260;010}] = [{LR4;010;010} + {LR4;040;010} + {LR4;050;010} + {LR4;060;010} + {LR4;065;010} + {LR4;070;010} + {LR4;080;010} + {LR4;080;020} + {LR4;090;010} + {LR4;090;020} + {LR4;140;010} + {LR4;140;020} + {LR4;180;010} + {LR4;180;020} + {LR4;190;010} + {LR4;190;020} + {LR4;210;010} + {LR4;210;020} + {LR4;230;010} + {LR4;230;020} + {LR4;280;010} + {LR4;280;020} + {LR4;290;010} + {LR4;290;020}].
Row and columnLegal references and instructions
{010;010}
Off-balance sheet items; of which – Leverage Ratio Exposure Value

The leverage ratio exposure value calculated as the sum of {LRCalc;150;010}, {LRCalc;160;010}, {LRCalc;170;010} and {LRCalc;180;010} excluding the respective intragroup exposures (solo basis) exempted in accordance with Article 429(7) of the CRR.

{010;020}
Off-balance sheet items; of which – RWA

The risk-weighted exposure amount of off-balance sheet items – excluding SFTs and derivatives – as in the Standardised Approach and the IRB Approach. For exposures under the Standardised Approach, institutions shall determine the risk-weighted exposure amount in accordance with Chapter 2, Title II, Part Three of the CRR. For exposures under the IRB Approach, institutions shall determine the risk-weighted exposure amount in accordance with Chapter 3, Title II, Part Three of the CRR.

{020;010}
Trade Finance; of which – Leverage Ratio Exposure Value

The leverage ratio exposure value of off-balance sheet items related to trade finance. For the purpose of the reporting in LR4, off-balance sheet items related to trade finance shall relate to issued and confirmed import and export letters of credit which are short-term and self-liquidating, and similar transactions.

{020;020}
Trade Finance; of which – RWA

The risk-weighted exposure value of off-balance sheet items – excluding SFTs and derivatives – related to trade finance. For the purpose of the reporting in LR4, off-balance sheet items related to trade finance shall relate to issued and confirmed import and export letters of credit which are short-term and self-liquidating, and similar transactions.

{030;010}
Under official export credit insurance scheme – Leverage Ratio Exposure Value

The leverage ratio exposure value of off-balance sheet items related to trade finance under an official export credit insurance scheme.

For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.

{030;020}
Under official export credit insurance scheme – RWA

The risk-weighted exposure value of off-balance sheet items – excluding SFTs and derivatives – related to trade finance under an official export credit insurance scheme.

For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.

{040;010}
Derivatives and SFTs subject to a cross-product netting agreement – Leverage Ratio Exposure Value

The leverage ratio exposure value of derivatives and SFTs if subject to a cross-product netting agreement as defined in Article 272(25) of the CRR.

{040;020}
Derivatives and SFTs subject to a cross-product netting agreement – RWA

The risk-weighted exposure amounts to credit and counterparty credit risk as calculated under Title II of Part Three of the CRR of derivatives and SFTs, including those that are off-balance sheet, if subject to a cross-product netting agreement as defined in Article 272(25) of the CRR.

{050;010}
Derivatives not subject to a cross-product netting agreement – Leverage Ratio Exposure Value

The leverage ratio exposure value of derivatives if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR.

{050;020}
Derivatives not subject to a cross-product netting agreement – RWA

The risk-weighted exposure amounts to credit and counterparty credit risk of derivatives as calculated under Title II of Part Three of the CRR, including those that are off-balance sheet, if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR.

{060;010}
SFTs not subject to a cross-product netting agreement – Leverage Ratio Exposure Value

The leverage ratio exposure value of exposures of SFTs if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR.

{060;020}
SFTs not subject to a cross-product netting agreement – RWA

The risk-weighted exposure amounts to credit and counterparty credit risk of SFTs, as calculated under Title II of Part Three of the CRR, including those that are off-balance sheet, if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR.

{065;010}
Exposure amounts resulting from the additional treatment for credit derivatives – Leverage Ratio Exposure Value

This cell shall equal the difference between {LRCalc;130;010} and {LRCalc;140;010} excluding the respective intragroup exposures (solo basis) exempted in accordance with Article 429(7) of the CRR.

{070;010}
Other assets belonging to the trading book – Leverage Ratio Exposure Value

The leverage ratio exposure value of items reported in {LRCalc;190;010} excluding non-trading book items.

{070;020}
Other assets belonging to the trading book – RWA

Own fund requirements multiplied by 12.5 of items subject to Title IV of Part Three of the CRR.

{080;010}
Covered bonds – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures in the form of covered bonds as defined in Article 129 of the CRR.

Institutions shall report net of defaulted exposures.

{080;020}
Covered bonds – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures in the form of covered bonds as defined in Article 161(1)(d) of the CRR.

Institutions shall report net of defaulted exposures.

{080;030}
Covered bonds – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures in the form of covered bonds as in Article 129 of the CRR.

Institutions shall report net of defaulted exposures.

{080;040}
Covered bonds – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures in the form of covered bonds as in Article 161(1)(d) of the CRR.

Institutions shall report net of defaulted exposures.

{090,010}
Exposures treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

This is the sum of cells from {100,010} to {130,010}.

Institutions shall report net of defaulted exposures.

{090;020}
Exposures treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

This is the sum of cells from {100,020} to {130,020}.

Institutions shall report net of defaulted exposures.

{090;030}
Exposures treated as sovereigns – RWA – SA exposures

This is the sum of cells from {100,030} to {130,030}.

Institutions shall report net of defaulted exposures.

{090;040}
Exposures treated as sovereigns – RWA – IRB exposures

This is the sum of cells from {100,040} to {130,040}.

Institutions shall report net of defaulted exposures.

{100;010}
Central governments and central banks – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to central governments or central banks as defined in Article 114 of the CRR.

Institutions shall report net of defaulted exposures.

{100;020}
Central governments and central banks – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to central governments or central banks as defined in Article 147(2)(a) of the CRR.

Institutions shall report net of defaulted exposures.

{100;030}
Central governments and central banks – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to central governments or central banks as defined in Article 114 of the CRR.

Institutions shall report net of defaulted exposures.

{100;040}
Central governments and central banks – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to central governments or central banks as defined in Article 147(2)(a) of the CRR.

Institutions shall report net of defaulted exposures.

{110;010}
Regional governments and local authorities treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to regional governments and local authorities treated as sovereigns that fall under Article 115(2) and (4) of the CRR.

Institutions shall report net of defaulted exposures.

{110;020}
Regional governments and local authorities treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to regional governments and local authorities that fall under Article 147(3)(a) of the CRR.

Institutions shall report net of defaulted exposures.

{110;030}
Regional governments and local authorities treated as sovereigns – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to regional governments and local authorities treated as sovereigns that fall under Article 115(2) and (4) of the CRR.

Institutions shall report net of defaulted exposures.

{110;040}
Regional governments and local authorities treated as sovereigns – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to regional governments and local authorities that fall under Article 147(3)(a) of the CRR.

Institutions shall report net of defaulted exposures.

{120;010}
MDBs and international organisations treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to multilateral development banks and international organisations that fall under Articles 117(2) and 118 of the CRR.

Institutions shall report net of defaulted exposures.

{120;020}
MDBs and international organisations treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to multilateral development banks and international organisations that fall under Article 147(3)(b) and (c) of the CRR.

Institutions shall report net of defaulted exposures.

{120;030}
MDBs and international organisations treated as sovereigns – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to multilateral development banks and international organisations that fall under Articles 117(2) and 118 of the CRR.

Institutions shall report net of defaulted exposures.

{120;040}
MDBs and international organisations treated as sovereigns – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to multilateral development banks and international organisations that fall under Article 147(3)(b) and (c) of the CRR.

Institutions shall report net of defaulted exposures.

{130;010}
PSEs treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to public sector entities that fall under Article 116(4) of the CRR.

Institutions shall report net of defaulted exposures.

{130;020}
PSEs treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure amount of assets that are exposures to public sector entities that fall under Article 147(3)(a) of the CRR.

Institutions shall report net of defaulted exposures.

{130;030}
PSEs treated as sovereigns – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to public sector entities that fall under Article 116(4) of the CRR.

Institutions shall report net of defaulted exposures.

{130;040}
PSEs treated as sovereigns – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to public sector entities that fall under Article 147(3)(a) of the CRR.

Institutions shall report net of defaulted exposures.

{140;010}
Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

This is the sum of cells from {150,010} to {170,010}.

Institutions shall report net of defaulted exposures.

{140;020}
Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

This is the sum of cells from {150,020} to {170,020}.

Institutions shall report net of defaulted exposures.

{140;030}
Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – RWA – SA exposures

This is the sum of cells from {150,030} to {170,030}.

Institutions shall report net of defaulted exposures.

{140;040}
Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – RWA – IRB exposures

This is the sum of cells from {150,040} to {170,040}.

Institutions shall report net of defaulted exposures.

{150;010}
Regional governments and local authorities not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 115(1), (3) and (5) of the CRR.

Institutions shall report net of defaulted exposures.

{150;020}
Regional governments and local authorities not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 147(4)(a) of the CRR.

Institutions shall report net of defaulted exposures.

{150;030}
Regional governments and local authorities not treated as sovereigns – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 115(1), (3) and (5) of the CRR.

Institutions shall report net of defaulted exposures.

{150;040}
Regional governments and local authorities not treated as sovereigns – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 147(4)(a) of the CRR.

Institutions shall report net of defaulted exposures.

{160;010}
MDBs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to multilateral development banks that fall under Article 117(1) and (3) of the CRR.

Institutions shall report net of defaulted exposures.

{160;020}
MDBs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to multilateral development banks not treated as sovereigns that fall under Article 147(4)(c) of the CRR.

Institutions shall report net of defaulted exposures.

{160;030}
MDBs not treated as sovereigns – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to multilateral development banks that fall under Article 117(1) and (3) of the CRR.

Institutions shall report net of defaulted exposures.

{160;040}
MDBs not treated as sovereigns – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to multilateral development banks not treated as sovereigns that fall under Article 147(4)(c) of the CRR.

Institutions shall report net of defaulted exposures.

{170;010}
PSEs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to public sector entities that fall under Article 116(1), (2), (3) and (5) of the CRR.

Institutions shall report net of defaulted exposures.

{170;020}
PSEs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to public sector entities not treated as sovereigns that fall under Article 147(4)(b) of the CRR.

Institutions shall report net of defaulted exposures.

{170;030}
PSEs not treated as sovereigns – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to public sector entities that fall under Article 116(1), (2), (3) and (5) of the CRR.

Institutions shall report net of defaulted exposures.

{170;040}
PSEs not treated as sovereigns – RWA – IRB exposures

The risk-weighted exposure amount assets that are exposures to public sector entities not treated as sovereigns that fall under Article 147(4)(b) of the CRR.

Institutions shall report net of defaulted exposures.

{180;010}
Institutions – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to institutions that fall under Articles 119 to 121 of the CRR.

Institutions shall report net of defaulted exposures.

{180;020}
Institutions – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to institutions that fall under Article 147(2)(b) of the CRR and are not exposures in the form of covered bonds under Article 161(1)(d) of the CRR and do not fall under Article 147(4)(a) to (c) of the CRR.

Institutions shall report net of defaulted exposures.

{180;030}
Institutions – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to institutions that fall under Articles 119 to 121 of the CRR.

Institutions shall report net of defaulted exposures.

{180;040}
Institutions – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to institutions that fall under Article 147(2)(b) of the CRR and are not exposures in the form of covered bonds under Article 161(1)(d) of the CRR and do not fall under Article 147(4)(a) to (c) of the CRR.

Institutions shall report net of defaulted exposures.

{190;010}
Secured by mortgages on immovable properties; of which – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures secured by mortgages on immovable property that fall under Article 124 of the CRR.

Institutions shall report net of defaulted exposures.

{190;020}
Secured by mortgages on immovable properties; of which – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to corporate under Article 147(2)(c) or retail exposures under Article 147(2)(d) of the CRR if these exposures are secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.

Institutions shall report net of defaulted exposures.

{190;030}
Secured by mortgages on immovable properties; of which – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures secured by mortgages on immovable property that fall under Article 124 of the CRR.

Institutions shall report net of defaulted exposures.

{190;040}
Secured by mortgages on immovable properties; of which – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to corporate under Article 147(2)(c) or retail exposures under Article 147(2)(d) of the CRR if these exposures are secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.

Institutions shall report net of defaulted exposures.

{200;010}
Secured by mortgages of residential properties – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures fully and completely secured by mortgages on residential property that fall under Article 125 of the CRR.

Institutions shall report net of defaulted exposures.

{200;020}
Secured by mortgages of residential properties – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to corporates under Article 147(2)(c) or retail exposures under Article 147(2)(d) of the CRR if these exposures are secured by mortgages on residential property in accordance with Article 199(1)(a) of the CRR.

Institutions shall report net of defaulted exposures.

{200;030}
Secured by mortgages of residential properties – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures fully and completely secured by mortgages on residential property that fall under Article 125 of the CRR.

Institutions shall report net of defaulted exposures.

{200;040}
Secured by mortgages of residential properties – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to corporates under Article 147(2)(c) or retail exposures under Article 147(2)(d) of the CRR if these exposures are secured by mortgages on residential property in accordance with Article 199(1)(a) of the CRR.

Institutions shall report net of defaulted exposures.

{210;010}
Retail exposures; of which – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are retail exposures that fall under Article 123 of the CRR.

Institutions shall report net of defaulted exposures.

{210;020}
Retail exposures; of which – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are retail exposures under Article 147(2)(d) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.

Institutions shall report net of defaulted exposures.

{210;030}
Retail exposures; of which – RWA – SA exposures

The risk-weighted exposure amount of assets that are retail exposures that fall under Article 123 of the CRR.

Institutions shall report net of defaulted exposures.

{210;040}
Retail exposures; of which – RWA – IRB exposures

The risk-weighted exposure amount of assets that are retail exposures under Article 147(2)(d) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.

Institutions shall report net of defaulted exposures.

{220;010}
Retail SME – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are retail exposures to small- and medium-sized enterprises that fall under Article 123 of the CRR.

For the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR.

Institutions shall report net of defaulted exposures.

{220;020}
Retail SME – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are retail exposures under Article 147(2)(d) of the CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.

For the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR.

Institutions shall report net of defaulted exposures.

{220;030}
Retail SME – RWA – SA exposures

The risk-weighted exposure amount of assets that are retail exposures to small- and medium-sized enterprises that fall under Article 123 of the CRR.

For the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR.

Institutions shall report net of defaulted exposures.

{220;040}
Retail SME – RWA – IRB exposures

The risk-weighted exposure amount of assets that are retail exposures under Article 147(2)(d) of the CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.

For the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR.

Institutions shall report net of defaulted exposures.

{230;010}
Corporate; of which – Leverage Ratio Exposure Value – SA exposures

This is the sum of {240,010} and {250,010}.

Institutions shall report net of defaulted exposures.

{230;020}
Corporate; of which – Leverage Ratio Exposure Value – IRB exposures

This is the sum of {240,020} and {250,020}.

Institutions shall report net of defaulted exposures.

{230;030}
Corporate; of which – RWA – SA exposures

This is the sum of {240,030} and {250,030}.

Institutions shall report net of defaulted exposures.

{230;040}
Corporate; of which – RWA – IRB exposures

This is the sum of {240,040} and {250,040}.

Institutions shall report net of defaulted exposures.

{240;010}
Financial – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to financial corporates that fall under Article 122 of the CRR. For the purpose of the reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {180;10}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in Article 4(1)(27) of the CRR other than institutions referred to in {180;10}.

Institutions shall report net of defaulted exposures.

{240;020}
Financial – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {180;10}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in Article 4(1)(27) of the CRR other than institutions referred to in {180;10}.

Institutions shall report net of defaulted exposures.

{240;030}
Financial – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to financial corporates that fall under Article 122 of the CRR. For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {180;10}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in Article 4(1)(27) of the CRR other than institutions referred to in {180;10}.

Institutions shall report net of defaulted exposures.

{240;040}
Financial – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {180;10}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in Article 4(1)(27) of the CRR other than institutions referred to in {180;10}.

Institutions shall report net of defaulted exposures.

{250;010}
Non-financial; of which – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to non-financial corporates that fall under Article 122 of the CRR.

This is the sum of {260,010} and {270,010}.

Institutions shall report net of defaulted exposures.

{250;020}
Non-financial; of which – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to non-financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.

This is the sum of {260,020} and {270,020}.

Institutions shall report net of defaulted exposures.

{250;030}
Non-financial; of which – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to non-financial corporates that fall under Article 122 of the CRR.

This is the sum of {260,030} and {270,030}.

Institutions shall report net of defaulted exposures.

{250;040}
Non-financial; of which – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to non-financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.

This is the sum of {260,040} and {270,040}.

Institutions shall report net of defaulted exposures.

{260;010}
SME exposures – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to corporates in the form of small- and medium-sized enterprises that fall under Article 122 of the CRR.

For the purpose of this cell, a small and medium enterprise is in accordance with Article 501(2)(b) of the CRR.

Institutions shall report net of defaulted exposures.

{260;020}
SME exposures – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to corporates under Article 147(2)(c) of the CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.

For the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR.

Institutions shall report net of defaulted exposures.

{260;030}
SME exposures – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to corporates in the form of small- and medium-sized enterprises that fall under Article 122 of the CRR.

For the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR.

Institutions shall report net of defaulted exposures.

{260;040}
SME exposures – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to corporates under Article 147(2)(c) of the CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.

For the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR.

Institutions shall report net of defaulted exposures.

{270;010}
Exposures other than SME exposures – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to corporates that fall under Article 122 of the CRR and that are not reported in {230;040} and {250;040}.

Institutions shall report net of defaulted exposures.

{270;020}
Exposures other than SME exposures – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR and that are not reported in {230;040} and {250;040}.

Institutions shall report net of defaulted exposures.

{270;030}
Exposures other than SME exposures – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to corporates that fall under Article 122 of the CRR and that are not reported in {230;040} and {250;040}.

Institutions shall report net of defaulted exposures.

{270;040}
Exposures other than SME exposures – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR and that are not reported in {230;040} and {250;040}.

Institutions shall report net of defaulted exposures.

{280;010}
Exposures in default – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures in default and thus fall under Article 127 of the CRR.

{280;020}
Exposures in default – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets categorised in the exposures classes listed in Article 147(2) of the CRR if a default in accordance with Article 178 of the CRR has occurred.

{280;030}
Exposures in default – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures in default and thus fall under Article 127 of the CRR.

{280;040}
Exposures in default – RWA – IRB exposures

The risk-weighted exposure amount of assets categorised in the exposures classes listed in Article 147(2) of the CRR if a default in accordance with Article 178 of the CRR has occurred.

{290;010}
Other exposures; of which – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets categorised in the exposures classes listed in Article 112(k), (m), (n), (o), (p) and (q) of the CRR.

Institutions shall report assets that are deducted from the own funds (e.g. intangibles) but cannot be categorised otherwise here, even if such a categorisation is not required for determining risk-based own funds requirements in columns {*; 030} and {*; 040}.

Institutions shall report net of defaulted exposures.

{290;020}
Other exposures; of which – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure amount of assets categorised in the exposures classes listed in Article 147(2)(e), (f) and (g) of the CRR.

Institutions shall report assets that are deducted from the own funds (e.g. intangibles) but cannot be categorised otherwise here, even if such a categorisation is not required for determining risk-based own funds requirements in columns {*; 030} and {*; 040}.

Institutions shall report net of defaulted exposures.

{290;030}
Other exposures; of which – RWA – SA exposures

The risk-weighted exposure value of assets categorised in the exposures classes listed in Article 112(k), (m), (n), (o), (p) and (q) of the CRR.

Institutions shall report net of defaulted exposures.

{290;040}
Other exposures; of which – RWA – IRB exposures

The risk-weighted exposure value of assets categorised in the exposures classes listed in Article 147(2)(e), (f) and (g) of the CRR.

Institutions shall report net of defaulted exposures.

{300;010}
Securitisation exposures – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to securitisations that fall under Article 112(m) of the CRR.

Institutions shall report net of defaulted exposures.

{300;020}
Securitisation exposures – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to securitisations and fall under Article 147(2)(f) of the CRR.

Institutions shall report net of defaulted exposures.

{300;030}
Securitisation exposures – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to securitisations that fall under Article 112(m) of the CRR.

Institutions shall report net of defaulted exposures.

{300;040}
Securitisation exposures – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to securitisations and fall under Article 147(2)(f) of the CRR.

Institutions shall report net of defaulted exposures.

{310;010}
Trade finance (memo item); of which – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions.

Institutions shall report net of defaulted exposures.

{310;020}
Trade finance (memo item); of which – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure amount of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions.

Institutions shall report net of defaulted exposures.

{310;030}
Trade finance (memo item); of which – RWA – SA exposures

The risk-weighted exposure value of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions.

Institutions shall report net of defaulted exposures.

{310;040}
Trade finance (memo item); of which – RWA – IRB exposures

The risk-weighted exposure amount of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions.

Institutions shall report net of defaulted exposures.

{320;010}
Under official export credit insurance scheme – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of on-balance sheet items related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.

Institutions shall report net of defaulted exposures.

{320;020}
Under official export credit insurance scheme – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure amount of on-balance sheet items related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.

Institutions shall report net of defaulted exposures.

{320;030}
Under official export credit insurance scheme – RWA – SA exposures

The risk-weighted exposure value of on-balance sheet items related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.

Institutions shall report net of defaulted exposures.

{320;040}
Under official export credit insurance scheme – RWA – IRB exposures

The risk-weighted exposure amount of on-balance sheet items related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.

Institutions shall report net of defaulted exposures.

9. C 44.00 – General information (LR5)

31.Additional information is collected here for the purpose of categorising the institution activities and the regulatory options chosen by the institution.
Row and columnInstructions
{010;010}
Institution's company structure

The institution shall classify its company structure in accordance with the categories given below:

  • Joint stock company;

  • Mutual/cooperative;

  • Other non-joint stock company.

{020;010}
Derivatives treatment

The institution shall specify the regulatory derivatives treatment in accordance with the categories given below:

  • Original exposure method;

  • Mark-to-market method.

{040;010}
Institution type

The institution shall classify its institution type in accordance with the categories given below:

  • Universal banking (retail/commercial and investment banking);

  • Retail/commercial banking;

  • Investment banking;

  • Specialised lender.’

ANNEX V

‘ANNEX XIV Single Data Point Model

All data items set out in the Annexes to this Regulation shall be transformed into a single data point model which is the basis for uniform IT systems of institutions and competent authorities.

The single data point model shall meet the following criteria:

(a)

provide a structured representation of all data items set out in Annexes I, III, IV, VI, VIII, X, XII and XVI;

(b)

identify all the business concepts set out in Annexes I to XIII, XVI and XVII;

(c)

provide a data dictionary identifying table labels, ordinate labels, axis labels, domain labels, dimension labels and member labels;

(d)

provide metrics which define the property or amount of data points;

(e)

provide data point definitions that are expressed as a composition of characteristics that univocally identify the financial concept;

(f)

contain all the relevant technical specifications necessary for developing IT reporting solutions producing uniform supervisory data.’

ANNEX VI

‘ANNEX XV Validation Rules

The data items set out in the Annexes to this Regulation shall be subject to validation rules ensuring data quality and consistency.

The validation rules shall meet the following criteria:

(a)

define the logical relationships between relevant data points;

(b)

include filters and preconditions that define a set of data to which a validation rule applies;

(c)

check the consistency of the reported data;

(d)

check the accuracy of the reported data;

(e)

set default values which shall be applied where the relevant information has not been reported.’

ANNEX VII

‘ANNEX XVIII

AMM TEMPLATES
Template number Template code Name of the template/group of templates
ADDITIONAL MONITORING TOOLS TEMPLATES
67C 67.00CONCENTRATION OF FUNDING BY COUNTERPARTY
68C 68.00CONCENTRATION OF FUNDING BY PRODUCT TYPE
69C 69.00PRICES FOR VARIOUS LENGTHS OF FUNDING
70C 70.00ROLL-OVER OF FUNDING

C 67.00 — CONCENTRATION OF FUNDING BY COUNTERPARTY

Total and significant currencies
Concentration of funding by counterparty
Counterparty Name LEI Code Counterparty Sector Residence of Counterparty Product Type Amount Received Weighted average original maturity Weighted average residual maturity
Row ID010020030040050060070080
010
1. TOP TEN COUNTERPARTIES EACH GREATER THAN 1 % OF TOTAL LIABILITIES
0201,01
0301,02
0401,03
0501,04
0601,05
0701,06
0801,07
0901,08
1001,09
1101,10
120
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 according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country Amount not covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country Weighted average original maturity Weighted average residual maturity
010020030040050
PRODUCTS GREATER THAN 1 % OF TOTAL LIABILITIES
0101 RETAIL FUNDING
0201.1of which sight deposits
0311.2of which term deposits not withdrawable within the following 30 days
0411.3of which term deposits withdrawable within the following 30 days
0701.4Savings accounts
0801.4.1with a notice period for withdrawal greater than 30 days
0901.4.2without a notice period for withdrawal greater than 30 days
1002 WHOLESALE FUNDING
1102.1Unsecured wholesale funding
1202.1.1of which loans and deposits from financial customers
1302.1.2of which loans and deposits from non financial customers
1402.1.3of which loans and deposits from intra-group entities
1502.2Secured wholesale funding
1602.2.1of which SFTs
1702.2.2of which covered bond issuance
1802.2.3of which asset backed security issuance
1902.2.4of which loans and deposits 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 Item010020030040050060070080090100110120130140150160170180
0101 Total Funding
0201.1of which: Retail funding
0301.2of which: Unsecured wholesale funding
0401.3of which: Secured funding
0501.4of which: Senior unsecured securities
0601.5of which: Covered bonds
0701.6of which: Asset backed securities including ABCP

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 Item010020030040050060070080090100110120130140150160170180190200210220230240250260270280290300310320
0101.1 1 Total funding
0201.1.1 Retail funding
0301.1.2 Unsecured wholesale funding
0401.1.3 Secured funding
0501.2 2 Total funding
0601.2.1 Retail funding
0701.2.2 Unsecured wholesale funding
0801.2.3 Secured funding
0901.3 3 Total funding
1001.3.1 Retail funding
1101.3.2 Unsecured wholesale funding
1201.3.3 Secured funding
1301.4 4 Total funding
1401.4.1 Retail funding
1501.4.2 Unsecured wholesale funding
1601.4.3 Secured funding
1701.5 5 Total funding
1801.5.1 Retail funding
1901.5.2 Unsecured wholesale funding
2001.5.3 Secured funding
2101.6 6 Total funding
2201.6.1 Retail funding
2301.6.2 Unsecured wholesale funding
2401.6.3 Secured funding
2501.7 7 Total funding
2601.7.1 Retail funding
2701.7.2 Unsecured wholesale funding
2801.7.3 Secured funding
2901.8 8 Total funding
3001.8.1 Retail funding
3101.8.2 Unsecured wholesale funding
3201.8.3 Secured funding
3301.9 9 Total funding
3401.9.1 Retail funding
3501.9.2 Unsecured wholesale funding
3601.9.3 Secured funding
3701.10 10 Total funding
3801.10.1 Retail funding
3901.10.2 Unsecured wholesale funding
4001.10.3 Secured funding
4101.11 11 Total funding
4201.11.1 Retail funding
4301.11.2 Unsecured wholesale funding
4401.11.3 Secured funding
4501.12 12 Total funding
4601.12.1 Retail funding
4701.12.2 Unsecured wholesale funding
4801.12.3 Secured funding
4901.13 13 Total funding
5001.13.1 Retail funding
5101.13.2 Unsecured wholesale funding
5201.13.3 Secured funding
5301.14 14 Total funding
5401.14.1 Retail funding
5501.14.2 Unsecured wholesale funding
5601.14.3 Secured funding
5701.15 15 Total funding
5801.15.1 Retail funding
5901.15.2 Unsecured wholesale funding
6001.15.3 Secured funding
6101.16 16 Total funding
6201.16.1 Retail funding
6301.16.2 Unsecured wholesale funding
6401.16.3 Secured funding
6501.17 17 Total funding
6601.17.1 Retail funding
6701.17.2 Unsecured wholesale funding
6801.17.3 Secured funding
6901.18 18 Total funding
7001.18.1 Retail funding
7101.18.2 Unsecured wholesale funding
7201.18.3 Secured funding
7301.19 19 Total funding
7401.19.1 Retail funding
7501.19.2 Unsecured wholesale funding
7601.19.3 Secured funding
7701.20 20 Total funding
7801.20.1 Retail funding
7901.20.2 Unsecured wholesale funding
8001.20.3 Secured funding
8101.21 21 Total funding
8201.21.1 Retail funding
8301.21.2 Unsecured wholesale funding
8401.21.3 Secured funding
8501.22 22 Total funding
8601.22.1 Retail funding
8701.22.2 Unsecured wholesale funding
8801.22.3 Secured funding
8901.23 23 Total funding
9001.23.1 Retail funding
9101.23.2 Unsecured wholesale funding
9201.23.3 Secured funding
9301.24 24 Total funding
9401.24.1 Retail funding
9501.24.2 Unsecured wholesale funding
9601.24.3 Secured funding
9701.25 25 Total funding
9801.25.1 Retail funding
9901.25.2 Unsecured wholesale funding
10001.25.3 Secured funding
10101.26 26 Total funding
10201.26.1 Retail funding
10301.26.2 Unsecured wholesale funding
10401.26.3 Secured funding
10501.27 27 Total funding
10601.27.1 Retail funding
10701.27.2 Unsecured wholesale funding
10801.27.3 Secured funding
10901.28 28 Total funding
11001.28.1 Retail funding
11101.28.2 Unsecured wholesale funding
11201.28.3 Secured funding
11301.29 29 Total funding
11401.29.1 Retail funding
11501.29.2 Unsecured wholesale funding
11601.29.3 Secured funding
11701.30 30 Total funding
11801.30.1 Retail funding
11901.30.2 Unsecured wholesale funding
12001.30.3 Secured funding
12101,31 31 Total funding
12201.31.1 Retail funding
12301.31.2 Unsecured wholesale funding
12401.31.3 Secured funding’

ANNEX VIII

‘ANNEX XIX INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII

1. Additional Monitoring Tools

1.1. General
1.In order to monitor an institution's liquidity risk that falls outside of the scope of the reports on Liquidity Coverage and Stable Funding, institutions shall complete the template in Annex XVIII in accordance with the instructions in this Annex.
2.Total funding shall be all financial liabilities other than derivatives and short positions;
3.Funding with open maturity including on sight deposits shall be considered as maturing overnight.
4.Original maturity shall represent the time between the date of origination and the date of maturity of funding. The date of the maturity of the funding shall be determined in accordance with paragraph 12 of Annex XXIII. This means that in case of optionality such as in the case of paragraph 12 of Annex XXIII, the original maturity of a funding item can be shorter than the time elapsed since its origination.
5.Residual maturity shall represent the time between the end of the reporting period and the date of maturity of funding. The date of the maturity of the funding shall be determined in accordance with paragraph 12 of Annex XXIII.
6.For the purposes of calculating the original or residual weighted average maturity, deposits maturing overnight shall be considered to have a one day maturity.
7.For the purposes of calculating the original and residual maturity, where there is funding with a notice period or a cancellation or early withdrawal clause for the institution's counterparty, a withdrawal at the first possible date shall be assumed.
8.For perpetual liabilities, except where subject to optionality as referred to in paragraph 12 of Annex XXIII, a fixed 20 years original and residual maturity shall be assumed.
9.For calculating the threshold according to reporting templates C 67.00 and C 68.00 by significant currency, institutions shall use a threshold of 1 % of total liabilities in all currencies.
1.2. Concentration of funding by counterparty (C 67.00)
1.In order to collect information about the reporting institutions' concentration of funding by counterparty in template C 67.00, institutions shall apply the instructions contained in this section.
2.Institutions shall report the top ten largest counterparties or a group of connected clients according to Article 4(39) of Regulation (EU) No 575/2013, where the funding obtained from each counterparty or group of connected clients exceeds a threshold of 1 % of total liabilities in the sublines of section 1 of the template. The counterparty reported in item 1.01 shall be the largest amount of funding received from one counterparty or group of connected clients which is above the 1 % threshold as at the reporting date; item 1.02 shall be the second largest above the 1 % threshold; and similarly with the remaining items.
3.Where a counterparty belongs to several groups of connected clients, it shall be reported only once in the group with the highest amount of funding.
4.Institutions shall report the total of all other remaining funding in section 2.
5.The totals of section 1 and section 2 shall equal an institution's total funding as per its balance sheet reported under the financial reporting framework (FINREP).
6.For each counterparty, institutions shall report all of the columns 010 to 080.
7.Where funding is obtained in more than one product type, the type reported shall be the product in which the largest proportion of funding was obtained. Identification of the underlying holder of securities may be undertaken on a best efforts basis. Where an institution has information concerning the holder of securities by virtue of its role as the custodian bank, it shall consider that amount for reporting the concentration of counterparties. Where there is no information available on the holder of the securities, the corresponding amount does not have to be reported.
8.Instructions concerning specific columns:
ColumnLegal references and instructions
010
Counterparty Name

The name of each counterparty from which funding obtained exceeds 1 % of total liabilities shall be recorded in column 010 in descending order, that is, in the order of the size of funding obtained.

The counterparty name recorded shall be the full name of the legal entity from which the funding is derived including any references to the company type in accordance with the national company law.

020
LEI Code

The legal entity identifier code of the counterparty.

030
Counterparty Sector

One sector shall be allocated to each counterparty on the basis of FINREP economic sector classes:

(i) Central Banks; (ii) General Governments; (iii) Credit institutions; (iv) Other financial corporations; (v) Non-financial corporations; (vi) households.

For groups of connected clients, no sector shall be reported.

040
Residence of Counterparty

ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used, including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat's ‘Balance of Payments Vademecum’.

For groups of connected clients, no country shall be reported.

050
Product Type

Counterparties reported in column 010 shall be assigned a product type, corresponding to the product issued in which the funding was received or in which the largest proportion of funding was received for mixed product types, using the following codes indicated in bold:

  • UWF (unsecured wholesale funding obtained from financial customers including interbank money)

  • UWNF (unsecured wholesale funding obtained from non-financial customers)

  • SFT (funding obtained from repurchase agreements as defined in Article 4(1) (82) of Regulation (EU) No 575/2013)

  • CB (funding obtained from covered bond issuance as defined in Article 129(4) or (5) of Regulation (EU) No 575/2013or Article 52(4) of Directive 2009/65/EC)

  • ABS (funding obtained from asset backed security issuance including asset backed commercial paper)

  • IGCP (funding obtained from intragroup counterparties)

  • OSWF (other secured wholesale funding)

  • OFP (other funding products, e.g. retail funding)

060
Amount Received

The total amount of funding received from counterparties reported in column 010 shall be recorded in column 060 and institutions shall report carrying amounts therein.

070
Weighted average original maturity

For the amount of funding received reported in column 060, from the counterparty reported in column 010, a weighted average original maturity (in days) for that funding shall be recorded in column 070.

The weighted average original maturity shall be calculated as the average original maturity (in days) of the funding received from that counterparty. The average shall be size weighted, based on the size of different amounts of funding received in proportion to the total funding received from that counterparty.

080
Weighted average residual maturity

For the amount of funding received reported in column 060, from the counterparty reported in column 010, a weighted average residual maturity, in days, for that funding shall be recorded in column 080.

The weighted average residual maturity shall be calculated as the average maturity, in remaining days, of the funding received from that counterparty. The average shall be size weighted, based on the size of different amounts of funding received in proportion to the total funding received from that counterparty.

1.3. Concentration of funding by product type (C 68.00)
1.This template seeks to collect information about the reporting institutions' concentration of funding by product type, broken down into the funding types as specified in the following instructions regarding rows:
RowLegal references and instructions
010
1. Retail funding

Retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61

020
1.1. of which sight deposits;

Of the retail funding of row 010 those that are sight deposits.

031
1.2. of which term deposits not withdrawable within the following 30 days;

Of the retail funding of row 010 those that are term deposits not withdrawable within the following 30 days

041
1.3. of which term deposits withdrawable within the following 30 days;

Of the retail funding of row 010 those that are term deposits withdrawable within the following 30 days

070
1.4. of which savings accounts with either of the following characteristics:

Of the retail funding of row 010 those that are savings accounts with either of the following characteristics:

  • with a notice period for withdrawal greater than 30 days

  • without a notice period for withdrawal which is greater than 30 days covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country

This row shall not be reported.

080
1.4.1. with a notice period for withdrawal greater than 30 days;

Of the retail funding of row 010 those that are savings accounts with a notice period for withdrawal greater than 30 days

090
1.4.2. without a notice period for withdrawal which is greater than 30 days

Of the retail funding of row 010 those that are savings accounts without a notice period for withdrawal which is greater than 30 days covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country.

100
2. Wholesale funding shall be considered to consist of any of the following:

All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61.

This row shall not be reported.

110
2.1. unsecured wholesale funding;

All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61 where the funding is unsecured.

120
2.1.1. of which loans and deposits from financial customers;

Of the funding in row 110, those that consist of loans and deposits from financial customers.

Funding from central banks shall be excluded from this row.

130
2.1.2. of which loans and deposits from non-financial customers;

Of the funding in row 110, those that consist of loans and deposits from non-financial customers.

Funding from central banks shall be excluded from this row.

140
2.1.3. of which loans and deposits from intra-group entities;

Of the funding in row 110, those that consist of loans and deposits from intra-group entities.

Wholesale funding from intra-group entities shall only be reported on a solo or subconsolidated basis.

150
2.2. secured wholesale funding;

All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61 where the funding is secured.

160
2.2.1. of which Securities Financing Transactions;

Of the funding in row 150, that which is funding obtained from repurchase agreements as defined in Article 4(1) (82) of Regulation (EU) No 575/2013.

170
2.2.2. of which covered bond issuances;

Of the funding in row 150, that which is funding obtained from covered bond issuance as defined in Article 129(4) or (5) of Regulation (EU) No 575/2013or Article 52(4) of Directive 2009/65/EC

180
2.2.3. of which asset backed security issuances;

Of the funding in row 150, that which is funding obtained from asset backed security issuance including asset backed commercial paper

190
2.2.4. of which loans and deposits from intra-group entities.

Of the funding in row 150, that which is funding obtained from intra-group entities

Wholesale funding from intra-group entities shall only be reported on a solo or subconsolidated basis.

2.For the purpose of completing this template institutions shall report the total amount of funding received from each product category, which exceeds a threshold of 1 % of total liabilities.
3.For each product type, institutions shall report all of the columns 010 to 050.
4.The 1 % of total liabilities threshold shall be used to determine those product types from which funding has been obtained in accordance with the following:
(a)

the 1 % of total liabilities threshold shall be applied for the product types referred to in all of the following rows: 1.1 ‘Sight deposit’; 1.2 ‘Term deposits not withdrawable within the following 30 days’; 1.3 ‘Term deposits within the following 30 days’; 1.4 ‘Saving accounts’; 2.1 ‘Unsecured wholesale funding’; 2.2 ‘Secured wholesale funding’;

(b)

with regard to the calculation of the 1 % of total liabilities threshold for row 1.4 ‘Saving accounts’ the threshold shall apply on the sum of 1.4.1 and 1.4.2;

(c)

for rows 1. ‘Retail Funding’ and 2. ‘Wholesale Funding’ the 1 % of total liabilities threshold applies on aggregated level only.

5.The figures reported in rows 1. ‘Retail’, 2.1 ‘Unsecured wholesale funding’, 2.2 ‘Secured wholesale funding’ can include broader product types than the underlying ‘of which’ items.
6.Instructions concerning specific columns:
ColumnLegal references and instructions
010
Carrying amount received

Carrying amount of funding received for each of the product categories listed in the ‘Product name’ column shall be reported in column 010 of the template

020
Amount covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country

Of the total amount of funding received for each of the product categories listed in the ‘Product name’ column reported in column 010, the amount which is covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country.

Note: the amounts reported in column 020 and column 030, for each of the product categories listed in the ‘Product name’ column, shall be equal to the total amount received reported in column 010.

030
Amount not covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country

Of the total amount of funding received for each of the product categories listed in the ‘Product name’ column reported in column 010, the amount which is not covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country.

Note: the amounts reported in column 020 and column 030, for each of the product categories listed in the ‘Product name’ column, shall be equal to the total amount received reported in column 010.

040
Weighted average original maturity

For the amount of funding received reported in column 010, from the product categories listed in the ‘Product name’ column, a weighted average original maturity (in days) for that funding shall be recorded in column 040.

The weighted average original maturity shall be calculated as the average original maturity (in days) of the funding received for that product type. The average shall be size weighted, based on the size of different amounts of funding received in proportion, to the total funding received from all issuances of that product type.

050
Weighted average residual maturity

For the amount of funding received reported in column 010, from the product categories listed in the ‘Product name’ column, a weighted average residual maturity (in days) for that funding shall be recorded in column 050.

The weighted average residual maturity shall be calculated as the average maturity (in days) left on the funding received for that product type. The average shall be size weighted, based on the size of different amounts of funding received in proportion, to the total funding received from all issuances of that product type.

1.4. Prices for Various Lengths of Funding (C 69.00)
1.Institutions shall report the information in template C 69.00, about the transaction volume and prices paid by institutions for funding obtained during the reporting period and still present at the end of the reporting period, in accordance with the following original maturities:
(a)

overnight in columns 010 and 020;

(b)

greater than overnight and less than or equal to 1 week (columns 030 and 040)

(c)

greater than 1 week and less than or equal to 1 month in columns 050 and 060;

(d)

greater than 1 month and less than or equal to 3 months in columns 070 and 080;

(e)

greater than 3 months and less than or equal to 6 months in columns 090 and 100;

(f)

greater than 6 months and less than or equal to 1 year in columns 110 and 120;

(g)

greater than 1 year and less than or equal to 2 years in columns 130 and 140;

(h)

greater than 2 years and less than or equal to 5 years in columns 150 and 160;

(i)

greater than 5 years and less than or equal to 10 years in columns 170 and 180.

2.For the purpose of determining the maturity of the funding obtained, institutions shall ignore the period between trade date and settlement date, e.g. a three month liability settling in two weeks' time shall be reported in the 3 months maturity (columns 070 and 080).
3.The spread reported in the left hand column of each time bucket shall be one of the following:
(a)

the spread payable by the institution for liabilities less than or equal to one year, if they were to have been swapped to the benchmark overnight index for the appropriate currency no later than close of business on the day of the transaction;

(b)

the spread payable by the firm at issuance for liabilities with an original maturity greater than one year, were they to be swapped to the relevant benchmark index for the appropriate currency which is three month EURIBOR for EUR or LIBOR for GBP and USD, no later than close of business on the day of the transaction.

Solely for the purposes of spread calculation under points a) and b) above, on the basis of historical experience, the institution may determine the original maturity with or without taking into account optionality, as appropriate.

4.Spreads shall be reported in basis points with a negative sign in case the new funding is cheaper than under the relevant benchmark rate. They shall be calculated on a weighted average basis.
5.For the purposes of calculating the average spread payable across multiple issuances/deposits/loans, institutions shall calculate the total cost in the currency of issue ignoring any FX swap, but they shall include any premium or discount and fees payable or receivable, taking as a basis the term of any theoretical or actual interest rate swap matching the term of the liability. The spread shall be the liability rate minus the swap rate.
6.The amount of funding obtained for the funding categories listed in the ‘Item’ column shall be reported in the ‘volume’ column of the applicable time bucket.
7.In the column ‘volume’ institutions shall provide the amounts representing the carrying amount of the new funding obtained in the applicable time bucket according to original maturity.
8.As for all items, also for off-balance sheet commitments, institutions shall only report on-balance sheet items. An off-balance sheet commitment provided to the institution shall only be reported in C69.00 after a drawdown. In the case of a drawdown, the volume and spread to be reported shall be the amount drawn and applicable spread at the end of the reporting period. Where the drawdown cannot be rolled-over at the discretion of the institution, the actual maturity of the drawdown shall be reported. Where the institution has already drawn on the facility at the end of the previous reporting period, and where the institution subsequently increases the usage of the facility, only the additional amount drawn shall be reported.
9.Deposits placed by retail customers shall consist of the deposits as defined by Article 3(8) Delegated Regulation (EC) No 2015/61.
10.For funding that has rolled-over during the reporting period that is still outstanding at the end of the reporting period the average of spreads applying at that time (i.e. end of reporting period) shall be reported. For the purposes of C69.00, funding that rolled-over and is still there at the end of the reporting period shall be considered to represent new funding.
11.By way of deviation from the rest of Section 1.4, the volume and spread of sight deposits shall only be reported where the depositor did not have a sight deposit in the preceding reporting period or where there is an increase in the deposit amount compared to the previous reference date, in which case the increment shall be treated as new funding. The spread shall be that of the end of the period.
12.Where there is nothing to report, cells relating to spreads shall be left empty.
13.Instructions concerning specific rows:
RowLegal references and instructions
010
1 Total Funding

Total volume and weighted average spread of all funding shall be obtained for all of the following lengths of time in accordance as follows:

(a)

overnight in columns 010 and 020;

(b)

greater than overnight and less than or equal to 1 week in columns 030 and 040;

(c)

greater than 1 week and less than or equal to 1 month in columns 050 and 060;

(d)

greater than 1 month and less than or equal to 3 months in columns 070 and 080;

(e)

greater than 3 months and less than or equal to 6 months in columns 090 and 100;

(f)

greater than 6 months and less than or equal to 1 year in columns 110 and 120;

(g)

greater than 1 year and less than or equal to 2 years in columns 130 and 140;

(h)

greater than 2 years and less than or equal to 5 years in columns 150 and 160;

(i)

greater than 5 years and less than or equal to 10 years in columns 170 and 180.

020
1.1 of which: Retail funding

Of the total funding reported in item 1, the total volume and weighted average spread of retail funding obtained.

030
1.2 of which: Unsecured wholesale funding

Of the total funding in item 1, the total volume and weighted average spread of unsecured wholesale funding obtained.

040
1.3 of which: Secured funding

Of the total funding reported in item 1, the total volume and weighted average spread of secured funding obtained.

050
1.4 of which: Senior unsecured securities

Of the total funding reported in item 1, the total volume and weighted average spread of senior unsecured securities obtained.

060
1.5 of which: Covered bonds

Of the total funding reported in item 1, the total volume and weighted average spread of all covered bond issuance encumbering the institutions own assets.

070
1.6 of which: Asset backed securities including ABCP

Of the total funding reported in item 1, the total volume and weighted average spread of asset backed securities issued including asset backed commercial paper.

1.5. Roll-over of funding (C 70.00)
1.This template seeks to collect information about the volume of funds maturing and new funding obtained i.e. ‘roll-over of funding’ on a daily basis over the month preceding the reporting date.
2.Institutions shall report, in calendar days, the funding they have maturing in accordance with the following time buckets according to the original maturity:
(a)

overnight in columns 010 to 040);

(b)

between 1 and 7 days in columns 050 to 080);

(c)

between 7 and 14 days in columns 090 to 120);

(d)

between 14 and 1 month in columns 130 to 160);

(e)

between 1 and 3 months in columns 170 to 200);

(f)

between 3 and 6 months in columns 210 to 240);

(g)

in more than 6 months in columns 250 to 280).

3.For each time bucket described in paragraph 2, the amount maturing shall be reported in the left-hand column, the amount funds rolled over shall be reported in the ‘Roll over’ column, new funds obtained shall be reported in the ‘New Funds’ column and the net difference between new funds on the one hand and roll-over minus maturing funds on the other shall be reported in the right-hand column.
4.Total net cash flows shall be reported in column 290 and shall equal the sum of all ‘Net’ columns numbered 040, 080, 120, 160, 200, 240 and 280.
5.The average term of funding, in days, for maturing term funds shall be reported in column 300.
6.The average term of funding, in days, of funds rolled over shall be reported in column 310
7.The average term of funding, in days, for new term funds shall be reported in column 320.
8.The ‘Maturing’ amount shall comprise all liabilities that were contractually withdrawable by the provider of the funding or due on the relevant day in the reporting period. It shall always be reported with a positive sign.
9.The ‘Roll-over’ amount shall comprise the maturing amount as defined in paragraphs 2 and 3 that remains with the institution on the relevant day of the reporting period. It shall always be reported with a positive sign. Where the maturity of the funding has changed due to the roll-over event, the ‘roll-over’ amount shall be reported in a time bucket according to the new maturity.
10.The ‘New funds’ amount shall comprise actual inflows of funding on the relevant day in the reporting period. It shall always be reported with a positive sign.
11.The ‘Net’ amount shall be considered as a change of funding within a particular original maturity time band on the relevant day of the reporting period, and shall be calculated by adding in the ‘net’ column the new funds plus the roll over funds minus the maturing funds.
12.Instructions concerning specific columns:
ColumnLegal references and instructions
010 to 040
Overnight

The total amount of funding maturing on the relevant day of the reporting period with an overnight original maturity shall be reported in column 010 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.

The total amount of funding rolled-over on the relevant day of the reporting period with an overnight original maturity shall be reported in column 020 of line item 1.1-1.31.

The total amount of new funding obtained on the relevant day of the reporting period with an overnight original maturity shall be reported in column 030 of line item 1.1-1.31.

The net difference between, on the one hand, maturing daily funding and, on the other hand, roll-overs plus new daily funding obtained shall be reported in column 040 of line item 1.1-1.31.

050 to 080
> 1 day ≤ 7 days

The total amount of funding maturing on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 050 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.

The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 060 of line item 1.1-1.31.

The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 70 of line item 1.1-1.31.

The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 080 of line item 1.1-1.31.

090 to 120
> 7days ≤ 14 days

The total amount of funding maturing on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 090 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.

The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 100 of line item 1.1-1.31.

The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 110 of line item 1.1-1.31.

The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 120 of line item 1.1-1.31.

130 to 160
> 14 days ≤ 1 month

The total amount of funding maturing on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 130 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.

The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 140 of line item 1.1-1.31.

The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 150 of line item 1.1-1.31.

The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 160 of line item 1.1-1.31.

170 to 200
> 1 Month ≤ 3 Months

The total amount of funding maturing on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 170 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.

The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 180 of line item 1.1-1.31.

The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 190 of line item 1.1-1.31.

The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 200 of line item 1.1-1.31.

210 to 240
> 3 Months ≤ 6 Months

The total amount of funding maturing on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 210 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.

The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 220 of line item 1.1-1.31.

The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 230 of line item 1.1-1.31.

The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 240 of line item 1.1-1.31.

250 to 280
> 6 Months

The total amount of funding maturing on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 250 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.

The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 260 of line item 1.1-1.31.

The total amount of new funding obtained on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 270 of line item 1.1-1.31.

The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 280 of line item 1.1-1.31.

290
Total net cash flows

The total net cash flows equal to the sum of all ‘Net’ columns numbered 040, 080, 120, 160, 200, 240, 280, shall be reported in column 290.

300 to 320
Average Term (days)

The weighted average term, in days, of all funds maturing shall be reported in column 300. The weighted average term, in days, of all funds rolled over shall be reported in column 310, the weighted average term, in days, of all new funds shall be reported in column 320.’

ANNEX IX

‘ANNEX XX REPORTING ON COUNTERBALANCING CAPACITY

AMM TEMPLATES
Template number Template code Name of the template/group of templates
CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATES
71C 71.00CONCENTRATION 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 ID010020030040050060070080090
010
1. TOP TEN ISSUERS
0201,01
0301,02
0401,03
0501,04
0601,05
0701,06
0801,07
0901,08
1001,09
1101,10
120
2. ALL OTHER ITEMS USED AS COUNTERBALANCING CAPACITY’

ANNEX X

‘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.Wherean 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 C71.00 shall be the same as that in C66.00 with the qualification that the assets reported as counterbalancing capacity for the purposes of C71.00 shall be unencumbered to be available for the institution to convert into cash on the reporting reference date.
4.For calculating the concentrations for the purpose of reporting template C 71.00 by significant currency, institutions shall use the concentrations in all currencies.
5.When an issuer or counterparty belongs to several groups of connected clients, it shall be reported only once in the group with the higher counterbalancing capacity concentration.
6.Except for row 120, concentrations of counterbalancing capacity with a central bank as issuer or counterparty shall not be reported in this template.
ColumnLegal references and instructions
010
Issuer Name

The name of the top ten issuers of unencumbered assets or counterparties of undrawn committed liquidity lines granted to the institution shall be recorded in column 010 in a descending fashion. The largest item will be recorded in 1.01, the second in line item 1.02, and so on. Issuers and counterparties forming a group of connected clients shall be reported as one single concentration

The issuer or counterparty name recorded shall be the full name of the legal entity which issued the assets or granted the liquidity lines, including any references to the company type in accordance with the national company law.

020
LEI code

The legal entity identifier code of the counterparty.

030
Issuer Sector

One sector shall be allocated to each issuer or counterparty on the basis of FINREP economic sector classes:

(i) General Governments; (ii) Credit institutions; (iii) Other financial corporations; (iv) Non-financial corporations; (v) Households.

For groups of connected clients, no sector shall be reported.

040
Residence of Issuer

ISO code 3166-1-alpha-2 of the country of incorporation of the issuer or counterparty shall be used, including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat's ‘Balance of Payments Vademecum’.

For groups of connected clients, no country shall be reported.

050
Product Type

Issuers/Counterparties recorded in column 010 shall be assigned a product type corresponding to the product in which the asset is held or the liquidity stand-by facilityhas been received, using the following codes indicated in bold:

  • SrB (Senior Bond)

  • SubB (Subordinated Bond)

  • CP (Commercial Paper)

  • CB (Covered Bonds)

  • US (UCITS-security, i.e. financial instruments representing a share in or asecurity issued by an Undertaking for Collective Investments of transferable securities)

  • ABS (Asset Backed Security)

  • CrCl (Credit Claim)

  • Eq (Equity)

  • Gold (if physical gold, which can be treated as a single counterparty)

  • LiqL (Undrawn committed liquidity line granted to the institution)

  • OPT (Other product type)

060
Currency

Issuer or counterparties recorded in column 010 shall be assigned a currency ISO code in column 060 corresponding to the denomination of the asset received or undrawn committed liquidity lines granted to the institution.The three-letter currency unit code according to ISO 4217 shall be reported. Where a multicurrency line is part of a concentration in counterbalancing capacity, the line shall be counted in the currency that is the predominant one in the rest of the concentration.

070
Credit quality step

The appropriate credit quality step shall be assigned in accordance with Regulation (EU) No 575/2013, which shall be the same as that of the items reported in the maturity ladder. Where there is no rating, the step of ‘non-rated’ shall be assigned.

080
MtM value/nominal

The market value or fair value of the assets, or, where applicable,the nominal value of the undrawn liquidity line granted to the institution.

090
Collateral value CB-eligible

The collateral value according to the central bank rules for standing facilities for the specific assets.

For assets denominated in a currency included in Regulation (EU) 2015/233 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank.’

ANNEX XI

‘ANNEX XXII REPORTING ON AMM MATURITY LADDER

AMM TEMPLATES
Template number Template code Name of the template/group of templates
MATURITY LADDER TEMPLATE
66C 66.00MATURITY LADDER TEMPLATE

C 66.00 - MATURITY LADDER

Total and significant currencies
Code ID Item Contractual Flow Maturity
010020030040050060070080090100110120130140150160170180190200210220
010-380 1 OUTFLOWS Overnight Greater than overnight up to 2 days Greater than 2 days up to 3 days Greater than 3 days up to 4 days Greater than 4 days up to 5 days Greater than 5 days up to 6 days Greater than 6 days up to 7 days Greater than 7 days up to 2 weeks Greater than 2 weeks up to 3 weeks Greater than 3 weeks up to 30 days Greater than 30 days up to 5 weeks Greater than 5 weeks up to 2 months Greater than 2 months up to 3 months Greater than 3 months up to 4 months Greater than 4 months up to 5 months Greater than 5 months up to 6 months Greater than 6 months up to 9 months Greater than 9 months up to 12 months Greater than 12 months up to 2 years Greater than 2 years up to 5 years Greater than 5 years
010 1.1 Liabilities resulting from securities issued (if not treated as retail deposits)
0201.1.1unsecured bonds due
0301.1.2regulated covered bonds
0401.1.3securitisations due
0501.1.4other
060 1.2 Liabilities resulting from secured lending and capital market driven transactions collateralised by:
0701.2.1Level 1 tradable assets
0801.2.1.1Level 1 excluding covered bonds
0901.2.1.1.1Level 1 central bank
1001.2.1.1.2Level 1 (CQS 1)
1101.2.1.1.3Level 1 (CQS2, CQS3)
1201.2.1.1.4Level 1 (CQS4+)
1301.2.1.2Level 1 covered bonds (CQS1)
1401.2.2Level 2A tradable assets
1501.2.2.1Level 2A corporate bonds (CQS1)
1601.2.2.2Level 2A covered bonds (CQS1, CQS2)
1701.2.2.3Level 2A public sector (CQS1, CQS2)
1801.2.3Level 2B tradable assets
1901.2.3.1Level 2B Asset Backed Securities (ABS) (CQS1)
2001.2.3.2Level 2B covered bonds (CQS1-6)
2101.2.3.3Level 2B: corporate bonds (CQ1-3)
2201.2.3.4Level 2B shares
2301.2.3.5Level 2B public sector (CQS 3-5)
2401.2.4other tradable assets
2501.2.5other assets
260 1.3 Liabilities not reported in 1.2, resulting from deposits received (excluding deposits received as collateral)
2701.3.1stable retail deposits
2801.3.2other retail deposits
2901.3.3operational deposits
3001.3.4non-operational deposits from credit institutions
3101.3.5non-operational deposits from other financial customers
3201.3.6non-operational deposits from central banks
3301.3.7non-operational deposits from non-financial corporates
3401.3.8non-operational deposits from other counterparties
350 1.4 FX-swaps maturing
360 1.5 Derivatives amount payables other than those reported in 1.4
370 1.6 Other outflows
380 1.7 Total outflows000000000000000000000
390-720 2 INFLOWS Overnight Greater than overnight up to 2 days Greater than 2 days up to 3 days Greater than 3 days up to 4 days Greater than 4 days up to 5 days Greater than 5 days up to 6 days Greater than 6 days up to 7 days Greater than 7 days up to 2 weeks Greater than 2 weeks up to 3 weeks Greater than 3 weeks up to 30 days Greater than 30 days up to 5 weeks Greater than 5 weeks up to 2 months Greater than 2 months up to 3 months Greater than 3 months up to 4 months Greater than 4 months up to 5 months Greater than 5 months up to 6 months Greater than 6 months up to 9 months Greater than 9 months up to 12 months Greater than 12 months up to 2 years Greater than 2 years up to 5 years Greater than 5 years
390 2.1 Monies due from secured lending and capital market driven transactions collateralised by:
4002.1.1Level 1 tradable assets
4102.1.1.1Level 1 excluding covered bonds
4202.1.1.1.1Level 1 central bank
4302.1.1.1.2Level 1 (CQS 1)
4402.1.1.1.3Level 1 (CQS2, CQS3)
4502.1.1.1.4Level 1 (CQS4+)
4602.1.1.2Level 1 covered bonds (CQS1)
4702.1.2Level 2A tradable assets
4802.1.2.1Level 2A corporate bonds (CQS1)
4902.1.2.2Level 2A covered bonds (CQS1, CQS2)
5002.1.2.3Level 2A public sector (CQS1, CQS2)
5102.1.3Level 2B tradable assets
5202.1.3.1Level 2B ABS (CQS1)
5302.1.3.2Level 2B covered bonds (CQS1-6)
5402.1.3.3Level 2B: corporate bonds (CQ1-3)
5502.1.3.4Level 2B shares
5602.1.3.5Level 2B public sector (CQS 3-5)
5702.1.4other tradable assets
5802.1.5other assets
590 2.2 Monies due not reported in 2.1 resulting from loans and advances granted to:
6002.2.1retail customers
6102.2.2non-financial corporates
6202.2.3credit institutions
6302.2.4other financial customers
6402.2.5central banks
6502.2.6other counterparties
660 2.3 FX-swaps maturing
670 2.4 Derivatives amount receivables other than those reported in 2.3
680 2.5 Paper in own portfolio maturing
690 2.6 Other inflows
700 2.7 Total inflows000000000000000000000
710 2.8 Net contractual gap000000000000000000000
720 2.9 Cumulated net contractual gap000000000000000000000
730-1080 3 COUNTERBALANCING CAPACITY Initial stock Overnight Greater than overnight up to 2 days Greater than 2 days up to 3 days Greater than 3 days up to 4 days Greater than 4 days up to 5 days Greater than 5 days up to 6 days Greater than 6 days up to 7 days Greater than 7 days up to 2 weeks Greater than 2 weeks up to 3 weeks Greater than 3 weeks up to 30 days Greater than 30 days up to 5 weeks Greater than 5 weeks up to 2 months Greater than 2 months up to 3 months Greater than 3 months up to 4 months Greater than 4 months up to 5 months Greater than 5 months up to 6 months Greater than 6 months up to 9 months Greater than 9 months up to 12 months Greater than 12 months up to 2 years Greater than 2 years up to 5 years Greater than 5 years
730 3.1 coins and bank notes
740 3.2 Withdrawable central bank reserves
750 3.3 Level 1 tradable assets
7603.3.1Level 1 excluding covered bonds
7703.3.1.1Level 1 central bank
7803.3.1.2Level 1 (CQS 1)
7903.3.1.3Level 1 (CQS2, CQS3)
8003.3.1.4Level 1 (CQS4+)
8103.3.2Level 1 covered bonds (CQS1)
820 3.4 Level 2A tradable assets
8303.4.1Level 2A corporate bonds (CQS1)
8403.4.3Level 2A covered bonds (CQS1, CQS2)
8503.4.4Level 2A public sector (CQS1, CQS2)
860 3.5 Level 2B tradable assets
8703.5.1Level 2B ABS (CQS1)
8803.5.2Level 2B covered bonds (CQS1-6)
8903.5.3Level 2B corporate bonds (CQ1-3)
9003.5.4Level 2B shares
9103.5.5Level 2B public sector (CQS 3-5)
920 3.6 other tradable assets
9303.6.1central government (CQS1)
9403.6.2central government (CQS 2 & 3)
9503.6.3shares
9603.6.4covered bonds
9703.6.5ABS
9803.6.6other tradable assets
990 3.7 non tradable assets eligible for central banks
1000 3.8 undrawn committed facilities received
10103.8.1Level 1 facilities
10203.8.2Level 2B restricted use facilities
10303.8.3Level 2B IPS facilities
10403.8.4other facilities
10503.8.4.1from intragroup counterparties
10603.8.4.2from other counterparties
1070 3.9 Net change of Counterbalancing Capacity000000000000000000000
1080 3.10 Cumulated Counterbalancing Capacity0000000000000000000000
1090-1130 4 CONTINGENCIES Overnight Greater than overnight up to 2 days Greater than 2 days up to 3 days Greater than 3 days up to 4 days Greater than 4 days up to 5 days Greater than 5 days up to 6 days Greater than 6 days up to 7 days Greater than 7 days up to 2 weeks Greater than 2 weeks up to 3 weeks Greater than 3 weeks up to 30 days Greater than 30 days up to 5 weeks Greater than 5 weeks up to 2 months Greater than 2 months up to 3 months Greater than 3 months up to 4 months Greater than 4 months up to 5 months Greater than 5 months up to 6 months Greater than 6 months up to 9 months Greater than 9 months up to 12 months Greater than 12 months up to 2 years Greater than 2 years up to 5 years Greater than 5 years
1090 4.1 Outflows from committed facilities
11004.1.1Committed credit facilities
11104.1.1.1considered as Level 2B by the receiver
11204.1.1.2other
11304.1.2Liquidity facilities
1140 4.2 Outflows due to downgrade triggers
1150-1290 MEMORANDUM ITEMS Initial stock Overnight Greater than overnight up to 2 days Greater than 2 days up to 3 days Greater than 3 days up to 4 days Greater than 4 days up to 5 days Greater than 5 days up to 6 days Greater than 6 days up to 7 days Greater than 7 days up to 2 weeks Greater than 2 weeks up to 3 weeks Greater than 3 weeks up to 30 days Greater than 30 days up to 5 weeks Greater than 5 weeks up to 2 months Greater than 2 months up to 3 months Greater than 3 months up to 4 months Greater than 4 months up to 5 months Greater than 5 months up to 6 months Greater than 6 months up to 9 months Greater than 9 months up to 12 months Greater than 12 months up to 2 years Greater than 2 years up to 5 years Greater than 5 years
1200 10 Intragroup or IPS outflows (excluding FX)
1210 11 Intragroup or IPS inflows (excluding FX and maturing securities)
1220 12 Intragroup or IPS inflows from maturing securities
1230 13 HQLA central bank eligible
1240 14 non-HQLA central bank eligible
1270 17 Behavioural outflows from deposits
1280 18 Behavioural inflows from loans and advances
1290 19 Behavioural draw-downs of committed facilities’

ANNEX XII

‘ANNEX XXIII INSTRUCTIONS FOR COMPLETING THE MATURITY LADDER TEMPLATE OF ANNEX XXII

PART I: GENERAL INSTRUCTIONS

1.In order to capture the maturity mismatch of an institution's activities (“maturity ladder”) in the template of Annex XXII, institutions shall apply the instructions contained in this Annex.

2.The maturity ladder monitoring tool shall cover contractual flows and contingent outflows. The contractual flows resulting from legally binding agreements and the residual maturity from the reporting date shall be reported according to the provisions of those legal agreements.

3.Institutions shall not double count inflows.

4.In the column “initial stock”, the stock of items at the reporting date shall be reported.

5.Only the blank white cells of the template in Annex XXII shall be completed.

6.The section of the maturity ladder template entitled “Outflows and inflows” shall cover future contractual cash flows from all on- and off- balance sheet items. Only outflows and inflows pursuant to contracts valid at the reporting date shall be reported.

7.The section of the maturity ladder template entitled “Counterbalancing capacity” shall represent the stock of unencumbered assets or other funding sources which are legally and practically available to the institution at the reporting date to cover potential contractual gaps. Only outflows and inflows pursuant to contracts existing at the reporting date shall be reported.

8.Cash outflows and inflows in the respective sections “outflows” and “inflows” shall be reported on a gross basis with a positive sign. Amounts due to be paid and received shall be reported respectively in the outflow and inflow sections.

9.For the section of the maturity ladder template entitled “counterbalancing capacity” outflows and inflows shall be reported on a net basis with a positive sign if they represent inflows and with a negative sign if they represent outflows. For cash flows, amounts due shall be reported. Securities flows shall be reported at current market value. Flows arising on credit and liquidity lines shall be reported at the contractual available amounts.

10.Contractual flows shall be allocated across the twenty-two time buckets according to their residual maturity, with days referring to calender days.

11.All contractual flows shall be reported, including all material cash-flows from non-financial activities such as taxes, bonuses, dividends and rents.

12.In order for institutions to apply a conservative approach in determining contractual maturities of flows, they shall ensure all of the following:

(a)

where an option to defer payment or receive an advance payment exists, the option shall be presumed to be exercised where it would advance outflows from the institution or defer inflows to the institution;

(b)

where the option to advance outflows from the institution is solely at the discretion of the institution, the option shall be presumed to be exercised only where there is a market expectation that the institution will do so. The option shall be presumed not to be exercised where it would advance inflows to the institution or defer outflows from the institution. Any cash outflow that would be contractually triggered by this inflow – as in pass-through financing – shall be reported at the same date as this inflow;

(c)

all sight and non-maturing deposits shall be reported as overnight in column 020;

(d)

open repos or reverse repos and similar transactions which can be terminated by either party on any day shall be considered to mature overnight unless the notice period is longer than one day in which case they shall be reported in the relevant time bucket according to the notice period;

(e)

retail term deposits with an early withdrawal option shall be considered to mature in the time period during which the early withdrawal of the deposit would not incur a penalty according to Article 25 (4) (b) of Regulation (EU) 2015/61.

(f)

where the institution is not able to establish a minimum contractual payment schedule for a particular item or part thereof following the rules set out in this paragraph, it shall report the item or part thereof as greater than 5 years in column 220.

13.Interest outflows and inflows from all on and off balance sheet instruments shall be included in all relevant items of the “outflows” and “inflows” sections.

14.Foreign Exchange (“FX”) swaps maturing shall reflect the maturing notional value of cross-currency swaps, FX forward transactions and unsettled FX spot agreements in the applicable time buckets of the template.

15.Cash flows from unsettled transactions shall be reported, in the short period before settlement, in the appropriate rows and buckets.

16.Items where the institution has no underlying business, such as where it has no deposits of a certain category, shall be left blank.

17.Past due items and items for which the institution has a reason to expect non- performance shall not be reported.

18.Where the collateral received is re-hypothecated in a transaction that matures beyond the transaction in which the institution received the collateral, a securities outflow in the amount of the fair value of the collateral received shall be reported in the counterbalancing capacity section in the relevant bucket according to the maturity of the transaction that generated the reception of the collateral.

19.Intragroup items shall not affect the reporting on a consolidated basis

PART II: INSTRUCTIONS CONCERNING SPECIFIC ROWS

a

http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A32015R0233’

RowLegal references and instructions
010 to 380
1 OUTFLOWS

The total amount of cash outflows shall be reported in the following sub- categories below:

010
1.1 Liabilities resulting from securities issued

Cash outflows arising from debt securities issued by the reporting institution i.e. own issuances.

020
1.1.1 unsecured bonds due

The amount of cash outflows resulting from securities issued reported in line 1.1, which is unsecured debt issued by the reporting institution to third parties.

030
1.1.2 regulated covered bonds

The amount of cash outflows resulting from securities issued, reported in line 1.1, which is bonds eligible for the treatment set out in Article 129(4) or (5) of Regulation (EU) No 575/2013 or Art. 52(4) of Directive 2009/65/EC.

040
1.1.3 securitisations due

The amount of cash outflows resulting from securities issued, reported in line 1.1, which is securitisation transactions with third parties, in accordance with Article 4 (1) point 61 of Regulation (EU) No 575/2013.

050
1.1.4 other

The amount of cash outflows resulting from securities issued reported in line 1.1, other than those reported in the above subcategories.

060
1.2 Liabilities resulting from secured lending and capital market driven transactions, collateralised by:

Total amount of all cash outflows arising from secured lending and capital market driven transactions as defined in Article 192 of Regulation (EU) No 575/2013.

Note: Only cash flows shall be reported here, securities flows relating to secured lending and capital market driven transactions shall be reported in the “counterbalancing capacity” section.

070
1.2.1 Level 1 tradable assets

The amount of cash outflows reported in item 1.2 which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 10 of Regulation (EU) 2015/61 if they were not securing the particular transaction.

CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets.

080
1.2.1.1 Level 1 excluding covered bonds

The amount of cash outflows reported in item 1.2.1 which is collateralised by assets that are not covered bonds.

090
1.2.1.1.1 Level 1 central bank

The amount of cash outflows reported in item 1.2.1.1 which is collateralised by assets representing claims on or guaranteed by central banks.

100
1.2.1.1.2 Level 1 (CQS 1)

The amount of cash outflows reported in item 1.2.1.1 other than those reported in item 1.2.1.1.1 which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 1 by a nominated ECAI.

110
1.2.1.1.3 Level 1 (CQS 2, CQS3)

The amount of cash outflows reported in item 1.2.1.1 other than those reported in item 1.2.1.1.1 which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 2 or 3 by a nominated ECAI.

120
1.2.1.1.4 Level 1 (CQS 4+)

The amount of cash outflows reported in item 1.2.1.1 other than those reported in item 1.2.1.1.1 which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 4 or worse by a nominated ECAI.

130
1.2.1.2 Level 1 covered bonds (CQS1)

The amount of cash outflows reported in item 1.2.1 which is collateralised by assets that are covered bonds. Note that in accordance with Article 10(1)(f) of Regulation (EU) 2015/61 only CQS 1 covered bonds are eligible as Level 1 assets.

140
1.2.2 Level 2A tradable assets

The amount of cash outflows reported in item 1.2 which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 11 of Regulation (EU) 2015/61 if they were not securing the particular transaction.

CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets.

150
1.2.2.1 Level 2A corporate bond (CQS 1)

The amount of cash outflows reported in item 1.2.2 which is collateralised by corporate bonds that are assigned credit quality step 1 by a nominated ECAI.

160
1.2.2.2 Level 2A covered bonds (CQS1, CQS2)

The amount of cash outflows reported in item 1.2.2 which is collateralised by covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI.

170
1.2.2.3 Level 2A public sector (CQS1, CQS2)

The amount of cash outflows reported in item 1.2.2 which is collateralised by assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities. Note that in accordance with Article 11(1)(a) and (b) of Regulation (EU) 2015/61 all public sector assets eligible as Level 2A must be either credit quality step 1 or credit quality step 2.

180
1.2.3 Level 2B tradable assets

The amount of cash outflows reported in item 1.2 which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 12 or 13 of Regulation (EU) 2015/61 if they were not securing the particular transaction.

CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets.

190
1.2.3.1 Level 2B Asset Backed Securities-ABS (CQS 1)

The amount of cash outflows reported in item 1.2.3 which is collateralised by asset backed securities, including RMBS. Note that in accordance with Article 13(2)(a) of Regulation (EU) 2015/61 all asset backed securities qualifying as Level 2B shall be required to have credit quality step 1.

200
1.2.3.2 Level 2B covered bonds (CQS 1-6)

The amount of cash outflows reported in item 1.2.3 which is collateralised by covered bonds.

210
1.2.3.3 Level 2B corporate bonds (CQS 1-3)

The amount of cash outflows reported in item 1.2.3 which is collateralised by corporate debt securities.

220
1.2.3.4 Level 2B shares

The amount of cash outflows reported in item 1.2.3 which is collateralised by shares.

230
1.2.3.5 Level 2B public sector (CQS 3-5)

The amount of cash outflows reported in item 1.2.3 which is collateralised by Level 2B assets not reported in items 1.2.3.1 to 1.2.3.4.

240
1.2.4 other tradable assets

The amount of cash outflows reported in item 1.2 which is collateralised by tradable assets not reported in items 1.2.1, 1.2.2 or 1.2.3.

250
1.2.5 other assets

The amount of cash outflows reported in item 1.2 which is collateralised by assets not reported in items 1.2.1, 1.2.2. 1.2.3 or 1.2.4.

260
1.3 Liabilities not reported in 1.2, resulting from deposits received excluding deposits received as collateral

Cash outflows arising from all deposits received with the exception of outflows reported in item 1.2 and deposits received as collateral. Cash outflows arising from derivative transactions shall be reported in items 1.4 or 1.5.

Deposits shall be reported according to their earliest possible contractual maturity date. Deposits that can be withdrawn immediately without notice (“sight deposits”) or non-maturity deposits shall be reported in the “overnight” bucket.

270
1.3.1 stable retail deposits

The amount of cash outflows reported in item 1.3, which derives from retail deposits in accordance with Article 3(8) and Article 24 of Regulation (EU) 2015/61.

280
1.3.2 other retail deposits

The amount of cash outflows reported in item 1.3, which derives from retail deposits in accordance with Article 3(8) of Regulation (EU) 2015/61 other than those reported in item 1.3.1.

290
1.3.3 operational deposits

The amount of cash outflows reported in item 1.3, which derives from operational deposits in accordance with Article 27 of Regulation (EU) 2015/61.

300
1.3.4 non-operational deposits from credit institutions

The amount of cash outflows reported in item 1.3, which derives from deposits by credit institutions other than those reported in item 1.3.3.

310
1.3.5 non-operational deposits from other financial customers

The amount of cash outflows reported in item 1.3, which derives from deposits from financial customers in accordance with Article 3 (9) of Regulation (EU) 2015/61 other than those reported in item 1.3.3 and 1.3.4.

320
1.3.6 non-operational deposits from central banks

The amount of cash outflows reported in item 1.3, which derives from non- operational deposits placed by central banks.

330
1.3.7 non-operational deposits from non-financial corporates

The amount of cash outflows reported in item 1.3, which derives from non- operational deposits placed by non-financial corporates.

340
1.3.8 non-operational deposits from other counterparties

The amount of cash outflows reported in item 1.3, which derives from deposits not reported in items 1.3.1 to 1.3.7.

350
1.4 FX-swaps maturing

Total amount of cash outflows resulting from the maturity of FX-swap transactions such as the exchange of principal amounts at the end of the contract.

360
1.5 Derivatives amount payables other than those reported in 1.4

Total amount of cash outflows resulting from derivatives payables positions from the contracts listed in Annex II of Regulation (EU) No 575/2013 with the exception of outflows resulting from maturing FX swaps which shall be reported in item 1.4.

The total amount shall reflect settlement amounts including unsettled margin calls as of the reporting date.

The total amount shall be the sum of (1) and (2) as follows, across the various time buckets:

1.

cash and securities flows related to derivatives for which there is a collateral agreement in place requiring full or adequate collateralisation of counterparty exposures, shall be excluded from the maturity ladder templates; all flows of cash, securities, cash collateral and securities collateral related to those derivatives shall be excluded from the templates. Stocks of cash and securities collateral that have already been received or provided in the context of collateralised derivatives shall not be included in the “stock” column of section 3 of the maturity ladder covering the counterbalancing capacity, with the exception of cash and securities flows in the context of margin calls (“cash or securities collateral flows”) which are payable in due course but have not yet been settled. The latter shall be reflected in lines 1.5 “derivatives cash-outflows” and 2.4 “derivatives cash- inflows” for cash collateral and in section 3 “counterbalancing capacity” for securities collateral;

2.

for cash and securities inflows and outflows related to derivatives for which there is no collateral agreement in place or where only partial collateralisation is required, a distinction shall be made between contracts that involve optionality and other contracts:

(a)

flows related to option-like derivatives shall be included only where the strike price is below the market price for a call, or above the market price for a put option (“in the money”). These flows shall be proxied by applying both of the following:

(i)

including the current market value or net present value of the contract as inflow in line 2.4 of the maturity ladder “derivatives cash- inflows” at the latest exercise date of the option where the bank has the right to exercise the option;

(ii)

including the current market value or net present value of the contract as outflow in line 1.5 of the maturity ladder “derivatives cash-outflows” at the earliest exercise date of the option where the bank's counterparty has the right to exercise the option;

(b)

flows related to other contracts than those referred to in point (a) shall be included by projecting the gross contractual flows of cash in the respective time buckets in lines 1.5 “derivatives cash- outflows” and 2.4 “derivatives cash-inflows” and the contractual flows of liquid securities in the counterbalancing capacity of the maturity ladder, using the current market-implied forward rates applicable on the reporting date where the amounts are not yet fixed.

370
1.6 Other outflows

Total amount of all other cash outflows, not reported in items 1.1, 1.2, 1.3, 1.4 or 1.5. Contingent outflows shall not be reported here.

380
1.7 Total outflows

The sum of outflows reported in items 1.1, 1.2, 1.3, 1.4, 1.5 and 1.6.

390 to 700
390
2.1 Monies due from secured lending and capital market driven transactions collateralised by:

Total amount of cash inflows from secured lending and capital market driven transactions as defined in Article 192 of Regulation (EU) No 575/2013.

Only cash flows shall be reported here, securities flows relating to secured lending and capital market driven transactions shall be reported in the “counterbalancing capacity” section.

400
2.1.1 Level 1 tradable assets

The amount of cash inflows reported in item 2.1 which is collateralised by tradable assets in accordance with Articles 7, 8 and 10 of Regulation (EU) 2015/61.

CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets.

410
2.1.1.1 Level 1 excluding covered bonds

The amount of cash inflows reported in item 2.1.1 which is collateralised by assets that are not covered bonds.

420
2.1.1.1.1 Level 1 central bank

The amount of cash inflows reported in item 2.1.1.1 which is collateralised by assets representing claims on or guaranteed by central banks.

430
2.1.1.1.2 Level 1 (CQS 1)

The amount of cash inflows reported in item 2.1.1.1 other than those reported in item 2.1.1.1.1, which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 1 by a nominated ECAI.

440
2.1.1.1.3 Level 1 (CQS 2, CQS3)

The amount of cash inflows reported in item 2.1.1.1 other than those reported in item 2.1.1.1.1, which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 2 or 3 by a nominated ECAI.

450
2.1.1.1.4 Level 1 (CQS 4+)

The amount of cash inflows reported in item 2.1.1.1 other than those reported in item 2.1.1.1.1, which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 4 or worse by a nominated ECAI.

460
2.1.1.2 Level 1 covered bonds (CQS1)

The amount of cash inflows reported in item 2.1.1 which is collateralised by assets that are covered bonds. Note that in accordance with Article 10(1)(f) of Regulation (EU) 2015/61 only CQS 1 covered bonds are eligible as Level 1 assets.

470
2.1.2 Level 2A tradable assets

The amount of cash inflows reported in item 2.1 which is collateralised by tradable assets in accordance with Articles 7, 8 and 11 of Regulation (EU) 2015/61.

CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets.

480
2.1.2.1 Level 2A corporate bond (CQS 1)

The amount of cash inflows reported in item 2.1.2 which is collateralised by corporate bonds that are assigned credit quality step 1 by a nominated ECAI.

490
2.1.2.2 Level 2A covered bonds (CQS1, CQS2)

The amount of cash inflows reported in item 2.1.2 which is collateralised by covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI.

500
2.1.2.3 Level 2A public sector (CQS1, CQS2)

The amount of cash inflows reported in item 2.1.2 which is collateralised by assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities. Note that in accordance with Article 11(1)(a) and (b) of Regulation (EU) 2015/61 all public sector assets eligible as Level 2A shall be either credit quality step 1 or credit quality step 2.

510
2.1.3 Level 2B tradable assets

The amount of cash inflows reported in item 2.1 which is collateralised by tradable assets in accordance with Articles 7, 8 and 12 or 13 of Regulation (EU) 2015/61.

CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets.

520
2.1.3.1 Level 2B ABS (CQS 1)

The amount of cash inflows reported in item 2.1.3 which is collateralised by asset backed securities, including RMBS.

530
2.1.3.2 Level 2B covered bonds (CQS 1-6)

The amount of cash inflows reported in item 2.1.3 which is collateralised by covered bonds.

540
2.1.3.3 Level 2B corporate bonds (CQS 1-3)

The amount of cash inflows reported in item 2.1.3 which is collateralised by corporate debt securities.

550
2.1.3.4 Level 2B shares

The amount of cash inflows reported in item 2.1.3 which is shares.

560
2.1.3.5 Level 2B public sector (CQS 3-5)

The amount of cash inflows reported in item 2.1.3 which is Level 2B assets not reported in items 2.1.3.1 to 2.1.3.4.

570
2.1.4 other tradable assets

The amount of cash inflows reported in item 2.1 which is collateralised by tradable assets not reported in items 2.1.1, 2.1.2 or 2.1.3.

580
2.1.5 other assets

The amount of cash inflows reported in item 2.1 which is collateralised by assets not reported in items 2.1.1, 2.1.2, 2.1.3 or 2.1.4.

590
2.2 Monies due not reported in item 2.1 resulting from loans and advances granted to:

Cash inflows from loans and advances.

Cash inflows shall be reported at the latest contractual date for repayment. For revolving facilities, the existing loan shall be assumed to be rolled-over and any remaining balances shall be treated as committed facilities.

600
2.2.1 retail customers

The amount of cash inflows reported in item 2.2, which derives from natural persons or SMEs in accordance with Article 3(8) of Regulation (EU) 2015/61.

610
2.2.2 non-financial corporates

The amount of cash inflows reported in item 2.2, which derives from non- financial corporates.

620
2.2.3 credit institutions

The amount of cash inflows reported in item 2.2, which derives from credit institutions.

630
2.2.4 other financial customers

The amount of cash inflows reported in item 2.2, which derives from financial customers in accordance with Article 3(9) of Regulation (EU) 2015/61 other than those reported in item 2.2.3.

640
2.2.5 central banks

The amount of cash inflows reported in item 2.2, which derives from central banks.

650
2.2.6 other counterparties

The amount of cash inflows reported in item 2.2, which derives from other counterparties not referred to in sections 2.2.1-2.2.5.

660
2.3 FX-swaps maturing

Total amount of contractual cash inflows resulting from the maturity of FX Swap transactions such as the exchange of principal amounts at the end of the contract.

This reflects the maturing notional value of cross-currency swaps, FX spot and forward transactions in the applicable time buckets of the template.

670
2.4 Derivatives amount receivables other than those reported in 2.3

Total amount of contractual cash inflows resulting from derivatives receivables positions from the contracts listed in Annex II of Regulation (EU) No 575/2013 with the exception of inflows resulting from maturing FX swaps which shall be reported in item 2.3.

The total amount shall include settlement amounts including unsettled margin calls as of the reporting date.

The total amount shall be the sum of (1) and (2) as follows, across the various time buckets:

1.

cash and securities flows related to derivatives for which there is a collateral agreement in place that requires full or adequate collateralisation of counterparty exposures shall be excluded from both maturity ladder templates, and all flows of cash, securities, cash collateral and securities collateral related to those derivatives shall be excluded from the template. Stocks of cash and securities collateral that have already been received or provided in the context of collateralised derivatives shall not be included in the “stock” column of section 3 of the maturity ladder covering the counterbalancing capacity with the exception of cash and securities flows in the context of margin calls which are payable in due course but have not yet been settled. The latter shall be reflected in lines 1.5 “derivatives cash-outflows” and 2.4 “derivatives cash- inflows” for cash collateral and in section 3 “counterbalancing capacity” for securities collateral in the maturity ladder;

2.

for cash and securities inflows and outflows related to derivatives for which there is no collateral agreement in place or where only partial collateralisation is required, a distinction shall be made between contracts that involve optionality and other contracts:

(a)

flows related to option-like derivatives shall be included only if they are in the money. These flows shall be proxied by applying both of the folloowing:

(i)

including the current market value or net present value of the contract as inflow in line 2.4 of the maturity ladder “derivatives cash-inflows” at the latest exercise date of the option where the bank has the right to exercise the option;

(ii)

including the current market value or net present value of the contract as outflow in line 1.5 of the maturity ladder “derivatives cash-outflows” at the earliest exercise date of the option where the bank's counterparty has the right to exercise the option;

(b)

flows related to other contracts than those referred to in point (a) shall be included by projecting the gross buckets in lines 1.5 “derivatives cash- outflows” and 2.4 “derivatives cash-inflows” and the contractual flows of securities in the counterbalancing capacity of the maturity ladder, using the current market- implied forward rates applicable on the reporting date where the amounts are not yet fixed.

680
2.5 Paper in own portfolio maturing

The amount of inflows which is principal repayment from own investments due taken in bonds, reported according to their residual contractual maturity. This item shall include cash inflows from maturing securities reported in the counterbalancing capacity. Therefore, once a security matures, it shall be reported as securities outflow in the counterbalancing capacity and consequently as a cash inflow here.

690
2.6 Other inflows

Total amount of all other cash inflows, not reported in items 2.1, 2.2, 2.3, 2.4 or 2.5 above. Contingent inflows shall not be reported here.

700
2.7 Total inflows

Sum of inflows reported in items 2.1, 2.2, 2.3, 2.4, 2.5 and 2.6.

710
2.8 Net contractual gap

Total Inflows reported in item 2.7 less total outflows reported in item 1.7.

720
2.9 Cumulated net contractual gap

Cumulated net contractual gap from the reporting date to the upper limit of a relevant time bucket.

730-1080
3 COUNTERBALANCING CAPACITY

The “Counterbalancing Capacity” of the maturity ladder shall contain information on the development of an institution's holdings of assets of varying degrees of liquidity, amongst which tradable assets and central bank eligible assets, as well as facilities contractually committed to the institution.

For reporting at the consolidated level on central bank eligibility, the rules of central bank eligibility which apply to each consolidated institution in its jurisdiction of incorporation shall form the basis.

Where the counterbalancing capacity refers to tradable assets, institutions shall report tradable assets traded in large, deep and active repo or cash markets characterised by a low level of concentration.

Assets reported in the columns of the counterbalancing capacity shall include only unencumbered assets available to the institution to convert into cash at any time to fill contractual gaps between cash inflows and outflows during the time horizon. For those purposes, the definition of encumbered assets in accordance with Commission Delegated Regulation (EU) 2015/61 shall apply. The assets shall not be used to provide credit enhancements in structured transactions or to cover operational costs, such as rents and salaries, and shall be managed with the clear and sole intent for use as a source of contingent funds.

Assets that the institution received as collateral in reverse repo and Secured Financing Transactions (SFT) can be considered as part of the counterbalancing capacity if they are held at the institution, have not been rehypothecated, and are legally and contractually available for the institution's use.

In order to avoid double counting, where the institution reports prepositioned assets in item 3.1 to 3.7, it shall not report the related capacity of those facilities in item 3.8.

Institutions shall report assets, where they meet the description of a row and are available at the reporting date, as an initial stock in column 010.

Columns 020 to 220 shall contain contractual flows in the counterbalancing capacity. Where an institution has entered into a repo transaction, the asset which has been repoed out shall be re-entered as a security inflow in the maturity bucket where the repo transaction matures. Correspondingly, the cash outflow following from the maturing repo shall be reported in the relevant cash outflow bucket in item 1.2. Where an institution has entered into a reverse repo transaction, the asset which has been repoed in shall be re- entered as a security outflow in the maturity bucket where the repo transaction matures. Correspondingly, the cash inflow following from the maturing repo shall be reported in the relevant cash inflow bucket in item 2.1. Collateral swaps shall be reported as contractual inflows and outflows of securities in the counterbalancing capacity section in accordance with the relevant maturity bucket in which these swaps mature.

A change to the contractually available amount of credit and liquidity lines reported in item 3.8 shall be reported as a flow in the relevant time bucket. Where an institution has an overnight deposit at a central bank, the amount of the deposit shall be reported as an initial stock in item 3.2 and as a cash outflow in the maturity bucket “overnight” for this item. Correspondingly, the resultant cash inflow shall be reported in item 2.2.5.

Maturing securities in the counterbalancing capacity shall be reported based on their contractual maturity. When a security matures, it shall be removed from the asset category it was initially reported in, it shall be treated as an outflow of securities, and the resultant cash inflow shall be reported in item 2.5.

All security values shall be reported in the relevant bucket at current market values.

In item 3.8 only contractually available amounts shall be reported.

To avoid double counting, cash-inflows shall not be accounted for in item 3.1 or 3.2 of the counterbalancing capacity.

Items in the counterbalancing capacity shall be reported in the following sub- categories below:

730
3.1 Coins and bank notes

Total amount of cash arising from coins and banknotes.

740
3.2 Withdrawable central bank reserves

Total amount of reserves at central banks according to Article 10(1)(b)(iii) of Regulation (EU) 2015/61 withdrawable overnight at the latest.

Securities representing claims on or guaranteed by central banks shall not be reported here.

750
3.3 Level 1 tradable assets

The market value of tradable assets in accordance with Articles 7, 8 and 10 of Regulation (EU) 2015/61.

CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets.

760
3.3.1 Level 1 excluding covered bonds

The amount reported in item 3.3 which is not covered bonds.

770
3.3.1.1 Level 1 central bank

The amount reported in item 3.3.1 which is assets representing claims on or guaranteed by central banks.

780
3.3.1.2 Level 1 (CQS 1)

The amount reported in item 3.3.1 other than the amount reported in item 3.3.1.1, which is assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 1 by a nominated ECAI.

790
3.3.1.3 Level 1 (CQS 2, CQS3)

The amount reported in item 3.3.1 other than those reported in item 3.3.1.1 which is assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 2 or 3 by a nominated ECAI.

800
3.3.1.4 Level 1 (CQS 4+)

The amount reported in item 3.3.1 other than those reported in item 3.3.1.1 which is assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 4 or worse by a nominated ECAI.

810
3.3.2 Level 1 covered bonds (CQS1)

The amount reported in item 3.3 which is covered bonds. Note that in accordance with Article 10(1)(f) of Regulation (EU) 2015/61 only CQS 1 covered bonds are eligible as Level 1 assets.

820
3.4 Level 2A tradable assets

The market value of tradable assets in accordance with Articles 7, 8 and 11 of Regulation (EU) 2015/61.

CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets.

830
3.4.1 Level 2A corporate bond (CQS 1)

The amount reported in item 3.4 which is corporate bonds that are assigned credit quality step 1 by a nominated ECAI.

840
3.4.2 Level 2A covered bonds (CQS 1, CQS2)

The amount reported in item 3.4 which is covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI.

850
3.4.3 Level 2A public sector (CQS1, CQS2)

The amount reported in item 3.4 which is assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities. Note that in accordance with Article 11(1)(a) and (b) of Regulation (EU) 2015/61 all public sector assets eligible as Level 2A must be either credit quality step 1 or credit quality step 2.

860
3.5 Level 2B tradable assets

The market value of tradable assets in accordance with Articles 7, 8 and 12 or 13 of Regulation (EU) 2015/61.

CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets.

870
3.5.1 Level 2B ABS (CQS 1)

The amount reported in item 3.5 which is asset backed securities (including RMBS). Note that in accordance with Article 13(2)(a) of Regulation (EU) 2015/61 all asset backed securities qualifying as Level 2B have credit quality step 1.

880
3.5.2 Level 2B covered bonds (CQS 1-6)

The amount reported in item 3.5 which is covered bonds.

890
3.5.3 Level 2B corporate bonds (CQS 1-3)

The amount reported in item 3.5 which is corporate debt securities.

900
3.5.4 Level 2B shares

The amount reported in item 3.5 which is shares.

910
3.5.5 Level 2B public sector (CQS 3-5)

The amount reported in 3.5 which is Level 2B assets not reported in items 3.5.1 to 3.5.4.

920
3.6 other tradable assets

The market value of tradable assets other than those reported in items 3.3, 3.4 and 3.5.

Securities and securities flows from other tradable assets in the form of intragroup or own issuances shall not be reported in the counterbalancing capacity. Nevertheless, cash flows from such items shall be reported in the relevant part of section 1 and 2 of the template.

930
3.6.1 central government (CQS1)

The amount reported in item 3.6 which is an asset representing a claim on or guaranteed by a central government that is assigned credit quality step 1 by a nominated ECAI.

940
3.6.2 central government (CQS2-3)

The amount reported in item 3.6 which is an asset representing a claim on or guaranteed by a central government that is assigned credit quality step 2 or 3 by a nominated ECAI.

950
3.6.3 shares

The amount reported in item 3.6 which is shares.

960
3.6.4 covered bonds

The amount reported in item 3.6 which is covered bonds.

970
3.6.5 ABS

The amount reported in item 3.6 which is ABS.

980
3.6.6 other tradable assets

The amount reported in item 3.6 which is other tradable asset not reported in items 3.6.1 to 3.6.5..

990
3.7 non-tradable assets eligible for central bank

The carrying amount of non-tradable assets that are eligible collateral for standard liquidity operations of the central bank to which the institution has direct access at its level of consolidation.

For assets denominated in a currency included in the Annex of Commission Implementing Regulation (EU) 2015/233a as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank. Securities and securities flows from other tradable assets in the form of intragroup or own issuances shall not be reported in the counterbalancing capacity. Nevertheless, cash flows from such items shall be reported in the relevant part of section 1 and 2 of the template.

1000
3.8 Undrawn committed facilities received

Total amount of undrawn committed facilities extended to the reporting institution. These shall include contractually irrevocable facilities. Institutions shall report a reduced amount where the potential collateral needs for drawing on these facilities exceeds the availability of collateral.

In order to avoid double-counting, facilities where the reporting institution has already prepositioned assets as collateral, for an undrawn credit facility, and has already reported the assets in items 3.1 to 3.7, shall not be reported in item 3.8. The same shall apply for cases where the reporting institution may need to preposition assets as collateral in order to draw as reported in this field.

1010
3.8.1 Level 1 facilities

The amount reported in item 3.8 which is central bank facility in accordance with Article 19(1)(b) of Regulation (EU) 2015/61.

1020
3.8.2 Level 2B restricted use facilities

The amount reported in item 3.8 which is liquidity funding in accordance with Article 14 of Regulation (EU) 2015/61.

1030
3.8.3 Level 2B IPS facilities

The amount reported in item 3.8 which is liquidity funding in accordance with Article 16(2) of Regulation (EU) 2015/61.

1040
3.8.4 Other facilities

The amount reported in item 3.8 other than the amount reported in 3.8.1 to 3.8.3.

1050
3.8.4.1 from intragroup counterparties

The amount reported in 3.8.4 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme as referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013).

1060
3.8.4.2 from other counterparties

The amount reported in 3.8.4 other than the amount reported in 3.8.4.1.

1070
3.9 Net change of Counterbalancing Capacity

Net change in exposures to items 3.2, 3.3, 3.4 and 3.5, 3.6, 3.7 and 3.8 representing, respectively, central banks, securities flows and committed credit lines in a given time bucket shall be reported.

1080
3.10 Cumulated Counterbalancing Capacity

Cumulated amount of Counterbalancing Capacity from the reporting date to the upper limit of a relevant time bucket.

1090-1140
4 CONTINGENCIES

The “Contingencies” of the maturity ladder shall contain information on contingent outflows.

1090
4.1 Outflows from committed facilities

Cash outflows arising from committed facilities. Institutions shall report as an outflow the maximum amount that can be drawn in a given time period. For revolving credit facilities, only the amount above the existing loan shall be reported.

1010
4.1.1 Committed credit facilities

The amount reported in item 4.1, which derives from committed credit facilities in accordance with Article 31 of Regulation (EU) 2015/61.

1110
4.1.1.1 considered as Level 2B by the receiver

The amount reported in item 4.1.1, which is considered liquidity funding in accordance with Article 16(2) of Regulation (EU) 2015/61.

1120
4.1.1.2 other

The amount reported in item 4.1.1, other than the amount reported in item 4.1.1.1.

1130
4.1.2 Liquidity facilities

The amount reported in item 4.1, which derives from liquidity facilities in accordance with Article 31 of Regulation (EU) 2015/61.

1140
4.2 Outflows due to downgrade triggers

Institutions shall report here the effect of a material deterioration of the credit quality of the institution corresponding to a downgrade in its external credit assessment by at least three notches.

Positive amounts shall represent contingent outflows and negative amounts shall represent a reduction of the original liability.

Where the effect of the downgrade is an early redemption of outstanding liabilities, the concerned liabilities shall be reported with a negative sign in a time band where they are reported in item 1 and simultaneously with a positive sign in a time band when the liability becomes due, should the effects of the downgrade become applicable at the reporting date.

Where the effect of the downgrade is a margin call, the market value of the collateral required to be posted shall be reported with a positive sign in a time band when the requirement becomes due, should the effects of the downgrade become applicable at the reporting date.

Where the effect of the downgrade is a change in the re-hypothecation rights of the securities received as collateral from the counterparties, the market value of the affected securities shall be reported with a positive sign in a time band when the securities cease to be available to the reporting institution, should the effects of the downgrade become applicable at the reporting date

1150-1290
5 MEMORANDUM ITEMS
1200
10 Intragroup or IPS outflows (excluding FX)

Sum of outflows in 1.1, 1.2, 1.3, 1.5, 1.6 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013).

1210
11 Intragroup or IPS inflows (excluding FX and maturing securities)

Sum of inflows in 2.1, 2.2, 2.4, 2.6 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013).

1220
12 Intragroup or IPS inflows from maturing securities

Sum of inflows in 2.5 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013).

1230
13 HQLA central bank eligible

The amount reported in items 3.3, 3.4 and 3.5 which is eligible collateral for standard liquidity operations of the central bank to which the institution has direct access at its level of consolidation.

For assets denominated in a currency included in the Annex of Regulation (EU) 2015/233 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank.

1240
14 non-HQLA central bank eligible

The sum of:

i)

The sum of the amounts reported in item 3.6 which are eligible collateral for standard liquidity operations of the central bank to which the institution has direct access at its level of consolidation.

ii)

The own issuances which are eligible collateral for standard liquidity operations of a the central bank to which the institution has direct access at its level of consolidation

For assets denominated in a currency included in Regulation (EU) 2015/233 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank.

1270
17 Behavioural outflows from deposits

The amount reported in item 1.3 redistributed into the time buckets according to the behavioural maturity on a “business as usual” basis used for the purpose of the liquidity risk management of the reporting institution. For the purposes of this field, “business as usual” shall mean “a situation without any liquidity stress assumption”.

The distribution shall reflect the “stickiness” of the deposits.

The item does not reflect business plan assumptions and therefore shall not include information relating to new business activities.

Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, not all time buckets need to be filled in.

1280
18 Behavioural inflows from loans and advances

The amount reported in item 2.2 redistributed into the time buckets according to the behavioural maturity on a “business as usual” basis used for the purpose of the liquidity risk management of the reporting institution. For the purposes of this field, “business as usual” shall mean a situation without any liquidity stress assumption.

The item does not reflect business plan assumptions and therefore shall not consider new business activities.

Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, not all time buckets must necessarily be filled in.

1290
19 Behavioural draw-downs of committed facilities

The amount reported in item 4.1 redistributed into the time buckets according to the behavioural level of draw-downs and resulting liquidity needs on a “business as usual” basis used for the purpose of the liquidity risk management of the reporting institution. For the purposes of this field, “business as usual” means “a situation without any liquidity stress assumption”.

The item does not reflect business plan assumptions and therefore shall not consider new business activities.

Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, not all time buckets need to be filled in.

(2)

Commission Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1).

(3)

Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions (OJ L 11, 17.1.2015, p. 1).

(4)

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).

(5)

The data requested to the institutions in this template shall be reported on an accumulated basis for the natural year or report (i.e. since 1st of January of the current year).

(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)

This includes securitisations and equity exposures subject to credit risk