- Y Diweddaraf sydd Ar Gael (Diwygiedig)
- Gwreiddiol (Fel y’i mabwysiadwyd gan yr UE)
Commission Implementing Regulation (EU) 2020/429 of 14 February 2020 amending 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 (Text with EEA relevance)
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capital adequacy, an overview of regulatory capital; total risk exposure amount;
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;
credit risk (including counterparty, dilution and settlement risks);
market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk);
operational risk.
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 the application of CRR and CRD transitional provisions per type of capital;
CA2 template summarises the total risk exposures amounts as defined in Article 92(3) CRR;
CA3 template contains the ratios for which CRR states a minimum level, and some other related data;
CA4 template contains memorandums items needed, among others, for calculating items in CA1 as well as information with regard to CRD capital buffers;
CA5 template contains the data needed for calculating the effect of the application of CRR transitional provisions in own funds. CA5 will cease to exist once those transitional provisions expire.
The items in CA1 are generally gross of transitional adjustments. That means that figures in CA1 items are calculated in accordance with the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of those transitional provisions. For each type of capital (i.e. CET1; AT1 and T2), there are three different items in which all the adjustments due to those transitional provisions are included.
Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in point (j) of Article 36(1) and point (e) of Article 56 CRR respectively), and thus the items containing those shortfalls may indirectly reflect the effect of those transitional provisions.
Template CA5 is exclusively used for reporting the effect due to the application of the CRR transitional provisions.
The templates CA1, CA2 or CA5 only contain data on Pillar I issues.
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.
The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. That cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104(2) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.
a Commission Delegated Regulation (EU) No 241/2014 of 7 January 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for Own Funds requirements for institutions (OJ L 74, 14.3.2014, p. 8). | |
Row | Legal references and instructions |
---|---|
010 | 1. Own fundsPoint (118) of Article 4(1) and Article 72 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 capitalArticle 25 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 capitalArticle 50 CRR |
030 | 1.1.1.1. Capital instruments eligible as CET1 capitalPoints (a) and (b) of Articles 26(1), Articles 27 to 30, point (f) of Article 36(1) and Article 42 CRR |
040 | 1.1.1.1.1. Paid up capital instrumentsPoint (a) of Article 26(1) and Articles 27 to 31 CRR Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 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 situationsArticle 31 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 eligiblePoints (b), (l) and (m) of Article 28(1) 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 premiumPoint (124) of Article 4(1), point (b) of Article 26(1) 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 instrumentsPoint (f) of Article 36(1) and Article 42 CRR Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 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 instrumentsPoint (f) of Article 36(1) and Article 42 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 point (a) of Article 42 CRR. |
090 | 1.1.1.1.4.2. (-) Indirect holdings of CET1 instrumentsPoint (114) of Article 4(1), point (f) of Article 36(1) and Article 42 CRR |
091 | 1.1.1.1.4.3. (-) Synthetic holdings of CET1 instrumentsPoint (126) of Article 4(1), point (f) of Article 36(1) and Article 42 CRR |
092 | 1.1.1.1.5. (-) Actual or contingent obligations to purchase own CET1 instrumentsPoint (f) of Article 36(1) and Article 42 CRR According to point (f) of Article 36(1) 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 earningsPoint (c) of Article 26(1) and Article 26(2) 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 earningsPoint (123) of Article 4(1) and point (c) of Article 26(1) CRR Point (123) of Article 4(1) 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 eligiblePoint (121) of Article 4(1), Article 26(2) and point (a) of Article 36(1) CRR Article 26(2) 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 point (a) of Article 36(1) CRR. |
160 | 1.1.1.2.2.1. Profit or loss attributable to owners of the parentArticle 26(2) and point (a) of Article 36(1) 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 eligibleArticle 26(2) CRR This row shall not present any figure if, for the reference period, the institution has reported losses, because the losses shall be completely deducted from CET1. If the institution reports profits, the part, which is not eligible according to Article 26(2) CRR (i.e. profits not audited and foreseeable charges or dividends), shall be reported. Note that, in case of profits, the amount to be deduced shall be, at least, the interim dividends. |
180 | 1.1.1.3. Accumulated other comprehensive incomePoint (100) of Article 4(1) and point (d) of Article 26(1) 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 241/2014a. |
200 | 1.1.1.4. Other reservesPoint (117) of Article 4(1) and point (e) of Article 26(1) 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 riskPoint (112) of Article 4(1) and point (f) of Article 26(1) CRR Funds for general banking risk are defined in Article 38 BAD 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 instrumentsParagraphs 1, 2 and 3 of Article 483 and Articles 484 to 487 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 capitalPoint (120) of Article 4(1) and Article 84 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 interestsArticles 479 and 480 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 filtersArticles 32 to 35 CRR |
260 | 1.1.1.9.1. (-) Increases in equity resulting from securitised assetsArticle 32(1) CRR The amount to be reported is the increase in the equity of the institution resulting from securitised assets, in accordance with the applicable accounting standard. For example, this item includes the future margin income that results in a gain on sale for the institution, or, for originators, the net gains that arise from the capitalisation of future income from the securitised assets that provide credit enhancement to positions in the securitisation. |
270 | 1.1.1.9.2. Cash flow hedge reservePoint (a) of Article 33(1) CRR The amount to be reported can be positive or negative. It shall be positive if cash flow hedges result in a loss (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. The amount shall be net of any tax charge to be expected at the moment of the calculation. |
280 | 1.1.1.9.3. Cumulative gains and losses due to changes in own credit risk on fair valued liabilitiesPoint (b) of Article 33(1) CRR The amount to be reported can be positive or negative. It shall be positive if there is a loss due to changes in own credit risk (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. Unaudited profit shall not be included in this item. |
285 | 1.1.1.9.4. Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilitiesPoint (c) of Article 33(1) and Article 33(2) CRR The amount to be reported can be positive or negative. It shall be positive if there is a loss due to changes in own credit risk and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. Unaudited profit shall not be included in this item. |
290 | 1.1.1.9.5. (-) Value adjustments due to the requirements for prudent valuationArticles 34 and 105 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 CRR |
300 | 1.1.1.10. (-) GoodwillPoint (113) of Article 4(1), point (b) of Article 36(1) and Article 37 CRR |
310 | 1.1.1.10.1. (-) Goodwill accounted for as intangible assetPoint (113) of Article 4(1) and point (b) of Article 36(1) CRR Goodwill has the same meaning as under the applicable accounting standard. The amount to be reported here shall be the same as the amount that is reported in the balance sheet. |
320 | 1.1.1.10.2. (-) Goodwill included in the valuation of significant investmentsPoint (b) of Article 37 and Article 43 CRR |
330 | 1.1.1.10.3. Deferred tax liabilities associated to goodwillPoint (a) of Article 37 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 assetsPoint (115) of Article 4(1), point (b) of Article 36(1) and point (a) of Article 37 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 liabilitiesPoint (115) of Article 4(1) and point (b) of Article 36(1) 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, other than goodwill. |
360 | 1.1.1.11.2. Deferred tax liabilities associated to other intangible assetsPoint (a) of Article 37 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 liabilitiesPoint (c) of Article 36(1) and Article 38 CRR |
380 | 1.1.1.13. (-) IRB shortfall of credit risk adjustments to expected lossesPoint (d) of Article 36(1), Articles 40, 158 and 159 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 CRR). |
390 | 1.1.1.14. (-) Defined benefit pension fund assetsPoint (109) of Article 4(1), point (e) of Article 36(1) and Article 41 CRR |
400 | 1.1.1.14.1. (-) Defined benefit pension fund assetsPoint (109) of Article 4(1) and point (e) of Article 36(1) 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 assetsPoints (108) and (109) of Article 4(1) and point (a) of Article 41(1) 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 usePoint (109) of Article 4(1) and point (b) of Article 41(1) 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 CapitalPoint (122) of Article 4(1), point (g) of Article 36(1) and Article 44 CRR Holdings in CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) 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 CapitalPoint (j) of Article 36(1) CRR The amount to be reported is directly taken from CA1 item “Excess of deduction from AT1 items over AT1 Capital”. The amount has to be deducted from CET1. |
450 | 1.1.1.17. (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weightPoint (36) of Article 4(1), point (k)(i) of Article 36(1) and Articles 89 to 91 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 point (k)(i) of Article 36(1) CRR qualifying holdings can, alternatively, be deducted from CET1 (using this item), or be subject to a risk weight of 1 250 %. |
460 | 1.1.1.18. (-) Securitisation positions which can alternatively be subject to a 1250 % risk weightPoint (b) of Articles 244(1), point (b) of Article 245(1) and Article 253(1) CRR. Securitisation positions, which are subject to a 1 250 % risk weight, but alternatively are allowed to be deducted from CET1 (point (k)(ii) of Article 36(1) CRR), shall be reported in this item. |
470 | 1.1.1.19. (-) Free deliveries which can alternatively be subject to a 1,25 % risk weightPoint (k)(iii) of Article 36(1) and Article 379(3) 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 (point (k)(iii) of Article 36(1) 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 weightPoint (k)(iv) of Articles 36(1) and Article 153(8) CRR According to point (k)(iv) of Article 36(1) CRR, positions in a basket for which an institution cannot determine the risk weight under the IRB Approach can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250 %. |
472 | 1.1.1.21. (-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weightPoint (k)(v) of Article 36(1) and Article 155(4) CRR According to point (k)(v) of Article 36(1) CRR, equity exposures under an internal models approach can, alternatively, be deducted from CET1 (using this item), or be subject to a risk weight of 1 250 %. |
480 | 1.1.1.22. (-) CET1 instruments of financial sector entities where the institution does not have a significant investmentPoint (27) of Article 4(1), point (h) of Article 36(1), Articles 43 to 46, paragraphs 2 and 3 of Article 49 and Article 79 CRR Part of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) 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 (paragraphs 2 and 3 of Article 49). |
490 | 1.1.1.23. (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differencesPoint (c) of Article 36(1); Article 38 and point (a) of Article 48(1) 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), which according to point (b) of Article 38(5) CRR has to be deducted applying the 10 % threshold referred to in point (a) of Article 48(1) CRR. |
500 | 1.1.1.24. (-) CET1 instruments of financial sector entities where the institution has a significant investmentPoint (27) of Article 4(1), point (i) of Article 36(1); Articles 43, 45, 47, point (b) of Article 48(2), paragraphs 1, 2 and 3 of Article 49 and Article 79 CRR Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment that has to be deducted, applying the 10 % threshold referred to in point (b) of Article 48(1) CRR. See alternatives to deduction when consolidation is applied (paragraphs 1, 2 and 3 of Article 49 CRR). |
510 | 1.1.1.25. (-) Amount exceeding the 17,65 % thresholdArticle 48(2) CRR Part of deferred tax assets that rely in future profitability and arise from temporary differences, and direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment that has to be deducted, applying the 17,65 % threshold in Article 48(2) CRR. |
520 | 1.1.1.26. Other transitional adjustments to CET1 CapitalArticles 469 to 472, 478 and 481 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 CRRArticle 3 CRR |
529 | 1.1.1.28. CET1 capital elements or deductions – otherThis row is intended to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a CET1 capital element or a deduction from a CET1 element cannot be assigned to one of the rows 020 to 524. This row shall not be used to assign capital items/deductions which are not covered by 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 CAPITALArticle 61 CRR |
540 | 1.1.2.1. Capital instruments eligible as AT1 CapitalPoint (a) of Article 51, Articles 52, 53 and 54, point (a) of Article 56 and Article 57 CRR |
550 | 1.1.2.1.1. Paid up capital instrumentsPoint (a) of Article 51 and Articles 52, 53 and 54 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 eligiblePoints (c), (e) and (f) of Article 52(1) 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 premiumPoint (b) of Article 51 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 instrumentsPoint (b) of Article 52(1), point (a) of Article 56 and Article 57 CRR Own AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 57 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 instrumentsPoint (144) of Article 4(1), point (b) of Article 52(1), point (a) of Article 56 and Article 57 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 instrumentsPoint (b)(ii) of Article 52(1), point (a) of Article 56 and Article 57 CRR |
621 | 1.1.2.1.4.3. (-) Synthetic holdings of AT1 instrumentsPoint (126) of Article 4(1), point (b) of Article 52(1), point (a) of Article 56 and Article 57 CRR |
622 | 1.1.2.1.5. (-) Actual or contingent obligations to purchase own AT1 instrumentsPoint (a) of Article 56 and Article 57 CRR According to point (a) of Article 56 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 instrumentsParagraphs 4 and 5 of Article 483, Articles 484 to 487, Articles 489 and 491 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 CapitalArticles 83, 85 and 86 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 CRR) shall be included. |
680 | 1.1.2.4. Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiariesArticle 480 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 CapitalPoint (122) of Article 4(1), point (b) of Article 56 and Article 58 CRR Holdings in AT1 instruments of financial sector entities (as defined in point (27) of Article 4(1) 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 investmentPoint (27) of Article 4(1), point (c) of Article 56; Articles 59, 60 and 79 CRR Part of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) 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 investmentPoint (27) of Article 4(1), point (d) of Article 56, Articles 59 and 79 CRR Holdings by the institution of AT1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment are completely deducted |
720 | 1.1.2.8. (-) Excess of deduction from T2 items over T2 CapitalPoint (e) of Article 56 CRR The amount to be reported is directly taken from CA1 item ‘Excess of deduction from T2 items over T2 Capital (deducted in AT1). |
730 | 1.1.2.9. Other transitional adjustments to AT1 CapitalArticles 474, 475, 478 and 481 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)Point (j) of Article 36(1) 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. Where 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 CRRArticle 3 CRR |
748 | 1.1.2.12. AT1 capital elements or deductions – otherThis row is intended to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if an AT1 capital element or a deduction from an AT1 element cannot be assigned to one of the rows 530 to 744. This row shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope CRR). |
750 | 1.2. TIER 2 CAPITALArticle 71 CRR |
760 | 1.2.1. Capital instruments and subordinated loans eligible as T2 CapitalPoint (a) of Article 62, Articles 63 to 65, point (a) of Article 66 and Article 67 CRR |
770 | 1.2.1.1. Paid up capital instruments and subordinated loansPoint (a) of Article 62, Articles 63 and 65 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 eligiblePoints (c), (e) and (f) of Article 63 and Article 64 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 premiumPoint (b) of Article 62 and Article 65 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 instrumentsPoint (b)(i) of Article 63, point (a) of Article 66, and Article 67 CRR Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 67 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 instrumentsPoint (b) of Article 63, point (a) of Article 66 and Article 67 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 instrumentsPoint (114) of Article 4(1), point (b) of Article 63, point (a) of Article 66 and Article 67 CRR |
841 | 1.2.1.4.3. (-) Synthetic holdings of T2 instrumentsPoint (126) of Article 4(1), point (b) of Article 63, point (a) of Article 66 and Article 67 CRR |
842 | 1.2.1.5. (-) Actual or contingent obligations to purchase own T2 instrumentsPoint (a) of Article 66 and Article 67 CRR According to point (a) of Article 66 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 loansParagraphs 6 and 7 of Article 483, Articles 484, 486, 488, 490 and 491 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 CapitalArticles 83, 87 and 88 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 CRR) shall be included. |
900 | 1.2.4. Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiariesArticle 480 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 eligiblePoint (d) of Article 62 CRR For institutions calculating risk-weighted exposure amounts in accordance with IRB Approach, this item shall contain the positive amounts resulting from comparing the provisions and expected losses which are eligible as T2 capital. |
920 | 1.2.6. SA General credit risk adjustmentsPoint (c) of Article 62 CRR For institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item shall contain the general credit risk adjustments eligible as T2 capital. |
930 | 1.2.7. (-) Reciprocal cross holdings in T2 CapitalPoint (122) of Article 4(1), point (b) of Article 66 and Article 68 CRR Holdings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate the own funds of the institution artificially. The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 2 and Tier 3 own-fund insurance items. |
940 | 1.2.8. (-) T2 instruments of financial sector entities where the institution does not have a significant investmentPoint (27) of Article 4(1), point (c) of Article 66, Articles 68 to 70 and Article 79 CRR Part of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) 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 investmentPoint (27) of Article 4(1), point (d) of Article 66, Articles 68, 69 and Article 79 CRR Holdings by the institution of T2 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment shall be completely deducted. |
960 | 1.2.10. Other transitional adjustments to T2 CapitalArticles 476, 477, 478 and 481 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)Point (e) of Article 56 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. Where 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 CRRArticle 3 CRR |
978 | 1.2.13. T2 capital elements or deductions – otherThis row provides flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a T2 capital element or a deduction from a T2 element cannot be assigned to one of the rows 750 to 974. This row shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope CRR). |
a Council Directive 93/6/EEC of 15 March 1993 on the capital adequacy of investments firms and credit institutions (OJ L 141, 11.6.1993, p. 1). | |
b 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 (OJ L 126, 26.5.2000, p. 1). | |
Rows | |
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010 | 1. Total deferred tax assetsThe amount reported in this item shall be equal to the amount reported in the most recent verified/audited accounting balance sheet. |
020 | 1.1. Deferred tax assets that do not rely on future profitabilityArticle 39(2) 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 differencesPoint (c) of Article 36(1) and Article 38 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 differencesPoint (c) of Article 36(1); Article 38 and point (a) of Article 48(1) 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 CRR. |
050 | 2. Total deferred tax liabilitiesThe 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 profitabilityParagraphs 3 and 4 of Article 38 CRR Deferred tax liabilities for which conditions in paragraphs 3 and 4 of Article 38 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 profitabilityArticle 38 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 differencesParagraphs 3, 4 and 5 of Article 38 CRR Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, in accordance with paragraphs 3 and 4 of Article 38 CRR, and are not allocated to deferred tax assets that rely on future profitability and arise from temporary differences, as laid down in Article 38(5) CRR |
090 | 2.2.2. Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differencesParagraphs 3, 4 and 5 of Article 38 CRR Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, in accordance with paragraphs 3 and 4 of Article 38 CRR, and are allocated to deferred tax assets that rely on future profitability and arise from temporary differences, as laid down in Article 38(5) CRR |
093 | 2A Tax overpayments and tax loss carry backsArticle 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 %Point (d) of Article 469(1), Article 470, Article 472(5) and Article 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 point (d) of Article 469(1) and Article 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 exposuresPoint (d) of Article 36(1), point (d) of Article 62, Articles 158 and 159 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 amountArticle 159 CRR This item shall only be reported by IRB institutions. |
120 | 3.1.1. General credit risk adjustmentsArticle 159 CRR This item shall only be reported by IRB institutions. |
130 | 3.1.2. Specific credit risk adjustmentsArticle 159 CRR This item shall only be reported by IRB institutions. |
131 | 3.1.3. Additional value adjustments and other own funds reductionsArticles 34, 110 and 159 CRR This item shall only be reported by IRB institutions. |
140 | 3.2. Total expected losses eligibleParagraphs 5, 6 and 10 of Article 158 and Article 159 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 exposuresPoint (d) of Article 36(1), point (d) of Article 62, Articles 158 and 159 CRR This item shall only be reported by IRB institutions. |
150 | 4.1. Specific credit risk adjustments and positions treated similarilyArticle 159 CRR This item shall only be reported by IRB institutions. |
155 | 4.2. Total expected losses eligibleParagraphs 5, 6 and 10 of Article 158, and Article 159 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 T2Point (d) of Article 62 CRR For IRB institutions, the excess amount of provisions (to expected losses) eligible for inclusion in Tier 2 capital is capped at 0,6 % of risk-weighted exposure amounts calculated with the IRB Approach, in accordance with point (d) of Article 62 CRR. 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 capitalPoint (c) of Article 62 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 T2Point (c) of Article 62 CRR According to point (c) of Article 62 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 investmentPoint (a) of Article 46(1) 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 thresholdPoints (a) and (b) of Article 48(1) 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 thresholdArticle 48(1) 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 to be calculated in such a way that the amount of the two items that is recognised does not exceed 15 % of the final Common Equity Tier 1 capital, i.e. the CET1 capital calculated after all deductions, not including any adjustment due to transitional provisions. |
225 | 11.1. Eligible capital for the purposes of qualifying holdings outside the financial sectorPoint (a) of point (71) of Article 4(1) CRR |
226 | 11.2. Eligible capital for the purposes of large exposuresPoint (b) of point (71) of Article 4(1) CRR |
230 | 12. Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positionsArticles 44, 45, 46 and 49 CRR |
240 | 12.1. Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investmentArticles 44, 45, 46 and 49 CRR |
250 | 12.1.1. Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investmentArticles 44, 46 and 49 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 in accordance with point (g) of Article 36(1) CRR |
260 | 12.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included aboveArticle 45 CRR Article 45 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 investmentPoint (114) of Article 4(1) and Articles 44 and 45 CRR |
280 | 12.2.1. Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investmentPoint (114) of Article 4(1) and Articles 44 and 45 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 in accordance with point (g) of Article 36(1) CRR shall not be included |
290 | 12.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included abovePoint (114) of Article 4(1) and Article 45 CRR Point (a) of Article 45 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 investmentPoint (126) of Article 4(1) and Articles 44 and 45 CRR |
292 | 12.3.2. Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investmentPoint (126) of Article 4(1) and Articles 44 and 45 CRR |
293 | 12.3.3. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included abovePoint (126) of Article 4(1) and Article 45 CRR |
300 | 13. Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positionsArticles 58, 59 and 60 CRR |
310 | 13.1. Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investmentArticles 58, 59 and Article 60(2) CRR |
320 | 13.1.1. Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investmentArticle 58 and Article 60(2) 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 in accordance with point (b) of Article 56 CRR |
330 | 13.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included aboveArticle 59 CRR Point (a) of Article 59 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 investmentPoint (114) of Article 4(1) and Articles 58 and 59 CRR |
350 | 13.2.1. Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investmentPoint (114) of Article 4(1) and Articles 58 and 59 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 point (b) of Article 56 CRR shall not be included. |
360 | 13.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included abovePoint (114) of Article 4(1) and Article 59 CRR Point (a) of Article 59 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 investmentPoint (126) of Article 4(1) and Articles 58 and 59 CRR |
362 | 13.3.1. Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investmentPoint (126) of Article 4(1) and Articles 58 and 59 CRR |
363 | 13.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included abovePoint (126) of Article 4(1) and Article 59 CRR |
370 | 14. Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positionsArticles 68, 69 and 70 CRR |
380 | 14.1. Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investmentArticles 68 and 69 and Article 70(2) CRR |
390 | 14.1.1. Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investmentArticle 68 and Article 70(2) 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 in accordance with point (b) of Article 66 CRR |
400 | 14.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included aboveArticle 69 CRR Point (a) of Article 69 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 investmentPoint (114) of Article 4(1) and Articles 68 and 69 CRR |
420 | 14.2.1. Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investmentPoint (114) of Article 4(1) and Articles 68 and 69 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 in accordance with Article 66 point (b) CRR shall not be included |
430 | 14.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included abovePoint (114) of Article 4(1) and Article 69 CRR Point (a) of Article 69 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 investmentPoint (126) of Article 4(1) and Articles 68 and 69 CRR |
432 | 14.3.1. Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investmentPoint (126) of Article 4(1) and Articles 68 and 69 CRR |
433 | 14.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included abovePoint (126) of Article 4(1) and Article 69 CRR |
440 | 15. Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positionsArticles 44, 45, 47 and 49 CRR |
450 | 15.1. Direct holdings of CET1 capital of financial sector entities where the institution has a significant investmentArticles 44, 45, 47 and 49 CRR |
460 | 15.1.1. Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investmentArticles 44, 45, 47 and 49 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 in accordance with point (g) of Article 36(1) CRR |
470 | 15.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included aboveArticle 45 CRR Point (a) of Article 45 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 investmentPoint (114) of Article 4(1) and Articles 44 and 45 CRR |
490 | 15.2.1. Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investmentPoint (114) of Article 4(1) and Articles 44 and 45 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 in accordance with point (g) of Article 36(1) CRR shall not be included. |
500 | 15.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included abovePoint (114) of Article 4(1) and Article 45 CRR Point (a) of Article 45 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 investmentPoint (126) of Article 4(1) and Articles 44 and 45 CRR |
502 | 15.3.1. Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investmentPoint (126) of Article 4(1) and Articles 44 and 45 CRR |
503 | 15.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included abovePoint (126) of Article 4(1) and Article 45 CRR |
510 | 16. Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positionsArticles 58 and 59 CRR |
520 | 16.1. Direct holdings of AT1 capital of financial sector entities where the institution has a significant investmentArticles 58 and 59 CRR |
530 | 16.1.1. Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investmentArticle 58 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 (point (d) of Article 56 CRR); and b) Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 56 CRR. |
540 | 16.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included aboveArticle 59 CRR Point (a) of Article 59 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 investmentPoint (114) of Article 4(1) and Articles 58 and 59 CRR |
560 | 16.2.1. Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investmentPoint (114) of Article 4(1) and Articles 58 and 59 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 in accordance with point (b) of Article 56 CRR shall not be included. |
570 | 16.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included abovePoint (114) of Article 4(1) and Article 59 CRR Point (a) of Article 59 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 investmentPoint (126) of Article 4(1) and Articles 58 and 59 CRR |
572 | 16.3.1. Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investmentPoint (126) of Article 4(1) and Articles 58 and 59 CRR |
573 | 16.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included abovePoint (126) of Article 4(1) and Article 59 CRR |
580 | 17. Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positionsArticles 68 and 69 CRR |
590 | 17.1. Direct holdings of T2 capital of financial sector entities where the institution has a significant investmentArticles 68 and 69 CRR |
600 | 17.1.1. Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investmentArticle 68 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 (point (d) of Article 66 CRR); and b) Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 66 CRR |
610 | 17.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included aboveArticle 69 CRR Point (a) of Article 69 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 investmentPoint (114) of Article 4(1) and Articles 68 and 69 CRR |
630 | 17.2.1. Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investmentPoint (114) of Article 4(1) and Articles 68 and 69 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 in accordance with point (b) of Article 66 CRR shall not be included |
640 | 17.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included abovePoint (114) of Article 4(1) and Article 69 CRR Point (a) of Article 69 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 investmentPoint (126) of Article 4(1) and Articles 68 and 69 CRR |
642 | 17.3.1. Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investmentPoint (126) of Article 4(1) and Articles 68 and 69 CRR |
643 | 17.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included abovePoint (126) of Article 4(1) and Article 69 CRR |
650 | 18. Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution’s CET1 capitalArticles 46(4), 48(4) and 49(4) CRR |
660 | 19. Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution’s AT1 capitalArticle 60(4) CRR |
670 | 20. Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution’s T2 capitalArticle 70(4) CRR |
680 | 21. Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waivedArticle 79 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, where it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that those instruments shall also be reported on item 12.1. |
690 | 22. Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waivedArticle 79 CRR A competent authority may waive the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that those instruments shall also be reported on item 15.1. |
700 | 23. Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waivedArticle 79 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 waivedArticle 79 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 waivedArticle 79 CRR A competent authority may waive the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that those instruments shall also be reported on item 14.1. |
730 | 26. Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waivedArticle 79 CRR A competent authority may waive the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that those instruments shall also be reported on item 17.1. |
740 | 27. Combined buffer requirementPoint (6) of Article 128 CRD |
750 | Capital conservation bufferPoint (1) of Article 128 and Article 129 CRD In accordance with Article 129(1) CRD, the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this row. |
760 | Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member StatePoint (d)(iv) of Article 458(2) CRR In this row, the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested in accordance with Article 458 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 bufferPoint (2) of Article 128 and Articles 130, 135 to 140 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 bufferPoint (5) of Article 128, Articles 133 and 134 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 bufferPoint (3) of Article 128 and Article 131 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 bufferPoint (4) Article 128 and Article 131 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 adjustmentsArticle 104(2) 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 row. |
830 | 29. Initial capitalArticles 12 and 28 to 31 CRD and Article 93 CRR |
840 | 30. Own funds based on Fixed OverheadsPoint (b) of Article 96(2), Article 97 and point (a) of Article 98(1) CRR |
850 | 31. Non-domestic original exposuresInformation necessary to calculate the threshold for reporting of the CR GB template in accordance with point (4) of Article 5(a) of this Implementing Regulation. The calculation of the threshold shall be done at the basis of the original exposure pre-conversion factor. Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. |
860 | 32. Total original exposuresInformation necessary to calculate the threshold for reporting of the CR GB template in accordance with point (4) of Article 5(a)of this Implementing Regulation. The calculation of the threshold shall be done at the basis of the original exposure pre-conversion factor Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. |
870 | Adjustments to total own fundsArticle 500(4) CRR The difference between the amount reported in row 880 and the total own funds pursuant to CRR has to be reported in this row. If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty. |
880 | Own funds fully adjusted for Basel I floorArticle 500(4) CRR Total own funds pursuant to CRR adjusted as required by Article 500(4) CRR (i.e. fully adjusted to reflect differences in the calculation of own funds under Council Directive 93/6/EECa and Directive 2000/12/EC of the European Parliament and of the Councilb 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 Chapter 3 of Title II of Part Three 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 floorPoint (b) of Article 500(1) CRR The amount of own funds required by point (b) of Article 500(1) CRR to be held (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 and Directive 2000/12/EC has to be reported in this position. |
900 | Own funds requirements for Basel I floor – SA alternativeParagraphs 2 and 3 of Article 500 CRR The amount of own funds required by Article 500(2) CRR to be hold (i.e. 80 % of the own funds that the institution would be required to hold under Article 92 CRR calculating risk-weighted exposure amounts in accordance with Chapter 2 of Title II of Part Three and Chapters 2 and 3 of Title III of Part Three CRR, as applicable, instead of in accordance with Chapter 3 of Title II of Part Three, or Chapter 4 of Title III of Part Three 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 alternativePoint (b) of Article 500(1) and Article 500(2) CRR This row has to be filled with:
|
Template 5.1 summarises the total adjustments which need to be made to the different components of own funds (reported in CA1 in accordance with the final provisions) as a consequence of the application of the transitional provisions. The elements of this template are presented as “adjustments” to the different capital components in CA1, in order to reflect in own funds components the effects of the transitional provisions.
Template 5.2 provides further details on the calculation of those grandfathered instruments which do not constitute state aid.
Entities within the scope of consolidation;
Detailed group solvency information;
Information on the contribution of individual entities to group solvency;
Information on capital buffers;
the distribution of the exposure values according to the different, exposure types, risk weights and exposure classes;
the amount and type of credit risk mitigation techniques used for mitigating the risks.
Exposures assigned to exposure class “items representing securitisation positions” as referred to in point (m) of Article 112 CRR, which shall be reported in the CR SEC templates.
Exposures deducted from own funds.
Credit risk in accordance with Chapter 2 (Standardised Approach) of Title II of Part Three CRR in the banking book, among which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three CRR in the banking book;
Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three CRR in the trading book;
Settlement risk arising from free deliveries in accordance with Article 379 CRR in respect of all the business activities.
Central governments or central banks (point (a) of Article 112 CRR);
Regional governments or local authorities (point (b) of Article 112 CRR)
Public sector entities (point (c) of Article 112 CRR);
Institutions (point (f) of Article 112 CRR);
Corporates (point (g) of Article 112 CRR);
Retail (point (h) of Article 112 CRR).
In a first step, the Original exposure pre-conversion factors shall be classified into the corresponding (original) exposure class referred to in Article 112 CRR, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.
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.
Securitisation positions;
Items associated with particular high risk;
Equity exposures
Exposures in default;
Exposures in the form of units or shares in collective investment undertakings (“CIU”)/Exposures in the form of covered bonds (disjoint exposure classes);
Exposures secured by mortgages on immovable property;
Other items;
Exposures to institutions and corporates with a short-term credit assessment;
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.
Credit risk in the banking book, among which:
Counterparty credit risk in the banking book;
Dilution risk for purchased receivables;
Counterparty credit risk in the trading book;
Free deliveries resulting from all business activities.
Equity exposures, which are reported in the CR EQU IRB template;
Securitisation positions, which are reported in the CR SEC and/or CR SEC Details templates;
“Other non credit-obligation assets”, as referred to in point (g) of Article 147(2) 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, in accordance with Article 156 CRR. The risk weighted exposure amounts for this exposure class shall be reported directly in the CA-Template;
Credit valuation adjustment risk, which is reported on the CVA Risk template;
The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown shall be reported in the template CR GB.
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 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.
Total
(The Total template must be reported for the Foundation IRB and, separately for the Advanced IRB Approach.)
Central banks and central governments
(point (a) of Article 147(2) CRR)
Institutions
(point (b) of Article 147(2) CRR)
Corporate – SME
(point (c) of Article 147(2) CRR
Corporate – Specialised lending
(Article 147(8) CRR)
Corporate – Other
(All exposures to corporates as referred to in point (c) of Article 147(2) CRR, not reported under 4.1 and 4.2).
Retail – Secured by immovable property SME
(Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(3) CRR which are secured by immovable property).
Retail – Secured by immovable property non-SME
(Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by immovable property and not reported under 5.1).
Retail – Qualifying revolving
(Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(4) CRR).
Retail – Other SME
(Retail exposures as referred to in point (d) of Article 147(2) CRR not reported under 5.1 and 5.3).
Retail – Other non – SME
(Retail exposures as referred to in point (d) of Article 147(2) CRR which were not reported under 5.2 and 5.3).
Row | Instructions |
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010-001 – 010-NNN | Values reported in these rows must be ordered from the lower to the higher in accordance with the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned in accordance with the PD of the obligor and not reported in this template. |
non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer;
debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance of which is similar to the exposures specified in point (a).
the Simple Risk Weight approach;
the PD/LGD approach;
the Internal Models approach.
Moreover, institutions applying the IRB Approach shall also report in the CR EQU IRB template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the Standardised Approach for credit risk), e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) CRR, respectively a risk-weight of 370 % in accordance with Article 471(2) CRR.
Equity exposures in the trading book (where institutions are not exempted from calculating own funds requirements for trading book positions (Article 94 CRR)).
Equity exposures subject to the partial use of the Standardised Approach (Article 150 CRR), including:
Equity exposures grandfathered in accordance with Article 495(1) CRR;
Equity exposures to entities the credit obligations of which are assigned a 0 % risk weight under the Standardised Approach, including those publicly sponsored entities where a 0 % risk weight can be applied (point (g) of Article 150(1) CRR),
Equity exposures incurred under legislated programmes to promote specified sectors of the economy that provide significant subsidies for the investment to the institution and involve some form of government oversight and restrictions on the equity investments (point (h) of Article 150(1) CRR),
Equity exposures to ancillary services undertakings the risk weighted exposure amounts of which may be calculated in accordance with the treatment of “other non credit-obligation assets” (Article 155(1) CRR),
Equity claims deducted from own funds in accordance with Articles 46 and 48 CRR.
a Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ L 347, 28.12.2017, p. 35). | |
Columns | |
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0010 | TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATEDOriginator institutions shall report the outstanding amount at the reporting date of all current securitisation exposures originated in the securitisation transaction, irrespective of who holds the positions. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, credit default swaps, etc.) that have been originated in the securitisation shall be reported. In case of traditional securitisations where the originator does not hold any position, the originator shall not consider that securitisation in the reporting of this template. For that purpose, securitisation positions held by the originator shall include early amortisation provisions, as defined in Article 242(16) CRR, in a securitisation of revolving exposures. |
0020-0040 | SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURESArticles 251 and 252 CRR. Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure. |
0020 | (-) FUNDED CREDIT PROTECTION (CVA)The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which shall be reported in this column is laid down in Article 223(2) CRR. |
0030 | (-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)Following the general rule for “inflows” and “outflows”, the amounts reported under this column shall appear as “inflows” in the corresponding credit risk template (CR SA or CR IRB) and exposure class to which the reporting entity allocates the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection). The calculation procedure of the “foreign exchange risk”- adjusted nominal amount of the credit protection (G*) is laid down in Article 233(3) CRR. |
0040 | NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTIONAll tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount. The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection. |
0050 | SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORSThis column shall include the exposure values of securitisation positions held by the reporting institution, calculated in accordance with paragraphs 1 and 2 of Article 248 CRR, without applying credit conversion factors, gross of value adjustments and provisions, and any non-refundable purchase price discounts on the securitised exposures as referred to in point (d) of Article 248(1) CRR, and gross of value adjustments and provisions on the securitisation position. Netting shall only be relevant with respect to multiple derivative contracts provided to the same SSPE, covered by an eligible netting agreement. In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest shall be the result of the aggregation of columns 0010 to 0040. |
0060 | (-) VALUE ADJUSTMENTS AND PROVISIONSArticle 248 CRR. Value adjustments and provisions to be reported in this column shall only refer to securitisation positions. Value adjustments of securitised exposures shall not be considered. |
0070 | EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONSThis column shall include the exposure values of securitisation positions calculated in accordance with paragraphs 1 and 2 of Article 248 CRR, net of value adjustments and provisions, without applying conversion factors and gross of any non-refundable purchase price discounts on the securitised exposures as referred to in point (d) of Article 248(1) CRR, and net of value adjustments and provisions on the securitisation position. |
0080-0110 | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSUREPoint (57) of Article 4(1) CRR, Chapter 4 of Title II of Part Three, CRR and Article 249 CRR Institutions shall report in these columns information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows). Collateral that has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value. Items to be reported here: 1. collateral, incorporated in accordance with Article 222 CRR (Financial Collateral Simple Method); 2. eligible unfunded credit protection. |
0080 | (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA)Unfunded credit protection as defined in Article 4(1)(59), Articles 234 to 236 CRR. |
0090 | (-) FUNDED CREDIT PROTECTIONFunded credit protection as defined in Article 4(1)(58) CRR, as referred to in the first subparagraph of Article 249(2) CRR and as regulated in Articles 195, 197 and 200 CRR. Credit linked notes and on-balance sheet netting as referred to in Articles 218 and 219 CRR shall be treated as cash collateral. |
0100-0110 | SUBSTITUTION OF THE EXPOSURE DUE TO CRM:Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall be reported. |
0100 | (-) TOTAL OUTFLOWSArticle 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR. Outflows shall correspond to the covered part of the “Exposure net of value adjustments and provisions” that is deducted from the obligor’s exposure class and, where relevant, risk weight or obligor grade, and subsequently assigned to the protection provider’s exposure class and, where relevant, risk weight or obligor grade. That amount shall be considered as an Inflow into the protection provider’s exposure class and, where relevant, risk weights or obligor grades. |
0110 | TOTAL INFLOWSSecuritisation positions which are debt securities and are used as eligible financial collateral in accordance with Article 197(1) CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column. |
0120 | NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORSThis column shall include the exposures assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to “Credit risk mitigation (CRM) techniques with substitution effects on the exposure”. |
0130 | (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM)Articles 223 to 228 CRR The reported amount shall also include credit linked notes (Article 218 CRR). |
0140 | FULLY ADJUSTED EXPOSURE VALUE (E*)The exposure value of securitisation positions calculated in accordance with Article 248 CRR, but without applying the conversion factors laid down in point (b) of Article 248(1) CRR |
0150 | OF WHICH: SUBJECT TO A CCF OF 0 %Point (b) of Article 248(1) CRR In this respect, point (56) of Article 4(1) CRR defines a conversion factor. For reporting purposes, fully adjusted exposure values (E*) shall be reported for the 0 % conversion factor. |
0160 | (-)NON REFUNDABLE PURCHASE PRICE DISCOUNTIn accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from the exposure value of a securitisation position which is assigned a 1 250 % risk weight any non-refundable purchase price discounts connected with such underlying exposures to the extent that such discounts have caused the reduction of own funds. |
0170 | (-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURESIn accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from the exposure value of a securitisation position, which is assigned a 1 250 % risk weight or is deducted from Common Equity Tier 1, the amount of the specific credit risk adjustments on the underlying exposures as determined in accordance with Article 110 CRR. |
0180 | EXPOSURE VALUEThe exposure value of securitisation positions calculated in accordance with Article 248 CRR |
0190 | (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDSIn accordance with point (b) of Article 244(1), point (b) of Article 245(1) and Article 253(1) CRR, in case of a securitisation position to which a 1 250 % risk weight applies, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position. |
0200 | EXPOSURE VALUE SUBJECT TO RISK WEIGHTSExposure value minus the exposure value deducted from own funds. |
0210 | SEC-IRBAPoint (a) of Article 254(1) CRR |
0220-0260 | BREAKDOWN BY RW BANDSSEC-IRBA exposures broken down by risk-weight bands. |
0270 | OF WHICH: CALCULATED UNDER ARTICLE 255(4) (PURCHASED RECEIVABLES)Article 255(4) CRR For the purpose of this column, retail exposures shall be treated as purchased retail receivables and non-retail exposures as purchased corporate receivables. |
0280 | SEC-SAPoint (b) of Article 254(1) CRR |
0290-0340 | BREAKDOWN BY RW BANDSSEC-SA exposures broken down by risk-weight bands. For the RW = 1 250 % (W unknown), the fourth paragraph of point (b) of Article 261(2) CRR stipulates that the position in the securitisation shall be risk-weighted at 1 250 % where the institution does not know the delinquency status for more than 5 % of underlying exposures in the pool. |
0350 | SEC-ERBAPoint (c) of Article 254(1) CRR |
0360-0570 | BREAKDOWN BY CREDIT QUALITY STEPS (SHORT/LONG TERM CREDIT QUALITY STEPS)Article 263 CRR SEC-ERBA Securitisation positions with an inferred rating as referred to in Article 254(2) CRR shall be reported as positions with a rating. Exposure values subject to risk weights shall be broken down by short and long-term and credit quality steps (CQS) as laid down in Tables 1 and 2 of Article 263 and Tables 3 and 4 of Article 264 CRR. |
0580-0630 | BREAKDOWN BY REASON FOR APPLICATION OF SEC-ERBAFor each securitisation position, institutions shall consider one of the following options in columns 0580-0620. |
0580 | AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASESPoint (c) of Article 254(2) CRR All auto loans, auto leases and equipment leases shall be reported in this column, even if they qualify for Article 254(2)(a) or (b) of CRR. |
0590 | SEC-ERBA OPTIONArticle 254(3) CRR |
0600 | POSITIONS SUBJECT TO POINT (a) OF ARTICLE 254(2) CRRPoint (a) of Article 254(2) CRR |
0610 | POSITIONS SUBJECT TO POINT (b) OF ARTICLE 254(2) CRRPoint (b) of Article 254(2) CRR |
0620 | POSITIONS SUBJECT TO ARTICLES 254(4) OR 258(2) CRRSecuritisation positions subject to SEC-ERBA, where the application of SEC-IRBA or SEC-SA has been precluded by the competent authorities in accordance with Articles 254(4) or 258(2) CRR |
0630 | FOLLOWING THE HIERARCHY OF APPROACHESSecuritisation positions where SEC-ERBA is applied by following the hierarchy of approaches laid down in Article 254(1) CRR |
0640 | INTERNAL ASSESSMENT APPROACHArticle 254(5) CRR on the “Internal Assessment Approach” (IAA) for positions in ABCP programmes |
0650-0690 | BREAKDOWN BY RW BANDSInternal Assessment Approach exposures broken down by risk-weight bands |
0700 | OTHER (RW = 1 250 %)Where none of the previous approaches is applied, a risk weight of 1 250 % shall be assigned to securitisation positions in accordance with Article 254(7) CRR. |
0710-0860 | RISK-WEIGHTED EXPOSURE AMOUNTTotal risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three 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. |
0840 | IAA: AVERAGE RISK WEIGHT (%)The exposure-weighted average risk weights of the securitisation positions shall be reported in this column. |
0860 | RWEA OF WHICH: SYNTHETIC SECURITISATIONSFor synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch. |
0870 | ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHESMaturity mismatches in synthetic securitisations RW*-RW(SP), as calculated in accordance with Article 252 CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250 % where the amount to be reported shall be zero. RW(SP) shall not only include the risk weighted exposure amounts reported under column 0650, but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates. |
0880 | OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 aIn accordance with Article 270a CRR, whenever certain requirements are not met by the institution, competent authorities shall impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1 250 %) which would apply to the relevant securitisation positions under Section 3 of Chapter 5 of Title II of Part Three CRR. |
0890 | BEFORE CAPTotal risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, before applying the limits specified in Articles 267 and 268 CRR. |
0900 | (-) REDUCTION DUE TO RISK WEIGHT CAPIn accordance with Article 267 CRR, an institution which has knowledge at all times of the composition of the underlying exposures may assign the senior securitisation position a maximum risk weight equal to the exposure-weighted-average risk weight that would be applicable to the underlying exposures as if the underlying exposures had not been securitised. |
0910 | (-) REDUCTION DUE TO OVERALL CAPIn accordance with Article 268 CRR, an originator institution, a sponsor institution or other institution using the SEC-IRBA or an originator institution or sponsor institution using the SEC-SA or the SEC-ERBA may apply a maximum capital requirement for the securitisation position it holds equal to the capital requirements that would be calculated under Chapter 2 or 3 of Title II of Part Three in respect of the underlying exposures had they not been securitised. |
0920 | TOTAL RISK-WEIGHTED EXPOSURE AMOUNTTotal risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, considering the total risk weight as specified in Article 247(6) CRR. |
0930 | MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS TO OTHER EXPOSURE CLASSESRisk 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. |
Securitisations originated/sponsored by the reporting institution, including where it holds no position in the securitisation. In cases where institutions hold at least one position in the securitisation, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 6 of Regulation (EU) 2017/2402 and, where Article 43(6) of that Regulation applies, Article 405 CRR in the version applicable on 31 December 2018.
Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. That underlying could include covered bonds or other liabilities and shall be identified as such in column 160.
Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).
SEC-IRBA;
SEC-SA;
SEC-ERBA;
1 250 %.
“accounted for the first time” within the reporting reference period; or
“accounted for the first time” within a previous reporting reference period, where the loss event was not included in any previous supervisory report, e.g. because it was identified as operational risk loss event only in the current reporting reference period or because the accumulated loss attributable to that loss event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period.
Subject to that threshold:
the largest event for each event type, provided that the institution has identified the event types for losses; and
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.
Loss events shall be ranked based on the gross loss attributed to them.
A loss event shall only be considered once.
a Commission Implementing Regulation (EU) No 945/2014 of 4 September 2014 laying down implementing technical standards with regard to relevant appropriately diversified indices according to Regulation (EU) No 575/2013 of the European Parliament and of the Council | |
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010-130 | EQUITIES IN TRADING BOOKOwn funds requirements for position risk as referred to in point (b)(i) of Article 92(3) CRR and Section 3 of Chapter 2 of Title IV of Part Three CRR. |
020-040 | GENERAL RISKPositions in equities subject to general risk (Article 343 CRR) and their correspondent own funds requirement in accordance with Section 3 of Chapter 2 of Title IV of Part Three 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 request information on the breakdown by instruments. Only the breakdown in rows 030 and 040 shall be used as a basis for the calculation of own funds requirements. |
021 | DerivativesDerivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332 CRR, where applicable |
022 | Other assets and liabilitiesInstruments 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 approachExchange traded stock-index futures broadly diversified and subject to a particular approach in accordance with Commission Implementing Regulation (EU) No 945/2014a Those positions shall be only subject to general risk and, accordingly, must not be reported in row 050. |
040 | Other equities than exchange traded stock-index futures broadly diversifiedOther positions in equities subject to specific risk as well as the correspondent own funds requirements in accordance with Article 343 CRR, including positions in stock index futures treated in accordance with Article 344(3) CRR |
050 | SPECIFIC RISKPositions in equities subject to specific risk and the correspondent own funds requirement in accordance with Article 342 CRR, excluding positions in stock-index futures treated in accordance with the second sentence of Article 344(4) CRR |
090-130 | ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)Paragraphs 2 and 3 of Article 329 CRR The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation. |
a Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards (OJ L 243, 11.9.2002, p. 1). | |
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0010 – 0210 | The definitions of these categories shall match those of the corresponding rows of FINREP templates 1.1 and 1.2. |
0010 | 1. TOTAL FAIR-VALUED ASSETS AND LIABILITIESTotal of fair-valued assets and liabilities reported in rows 20 to 210. |
0020 | 1.1. TOTAL FAIR-VALUED ASSETSTotal of fair-valued assets reported in rows 0030 to 0140. Relevant cells of rows 0030 to 0130 shall be reported in line with FINREP template F 01.01 of Annexes III and IV to this Implementing Regulation, depending on the institution’s applicable standards:
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0030 | 1.1.1. FINANCIAL ASSETS HELD FOR TRADINGIFRS 9.Appendix A. The information reported in this row shall correspond to row 050 of template F 01.01 of Annexes III and IV to this Implementing Regulation. |
0040 | 1.1.2. TRADING FINANCIAL ASSETSArticles 32 and 33 BAD; Part 1.17 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 091 of template F 01.01 of Annexes III and IV to this Implementing Regulation. |
0050 | 1.1.3. NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSSIFRS 7.8(a)(ii); IFRS 9.4.1.4. The information reported in this row shall correspond to row 096 of template F 01.01 of Annexes III and IV to this Implementing Regulation. |
0060 | 1.1.4. FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSSIFRS 7.8(a)(i); IFRS 9.4.1.5; point (a) of Article 8(1) and Article 8(6) AD The information reported in this row shall correspond to row 100 of template F 01.01 of Annexes III and IV to this Implementing Regulation. |
0070 | 1.1.5. FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOMEIFRS 7.8(h); IFRS 9.4.1.2 A. The information reported in this row shall correspond to row 141 of template F 01.01 of Annexes III and IV to this Implementing Regulation. |
0080 | 1.1.6. NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSSArticle 36(2) BAD. The information reported in this row shall correspond to row 171 of template F 01.01 of Annexes III and IV to this Implementing Regulation. |
0090 | 1.1.7. NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITYPoint (a) of Article 8(1) and Article 8(8) AD The information reported in this row shall correspond to row 175 of template F 01.01 of Annexes III and IV to this Implementing Regulation. |
0100 | 1.1.8. OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETSArticle 37 BAD; Article 12(7) AD; Part 1.20 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 234 of template F 01.01 of Annexes III and IV to this Implementing Regulation. |
0110 | 1.1.9. DERIVATIVES – HEDGE ACCOUNTINGIFRS 9.6.2.1; Part 1.22 of Annex V to this Implementing Regulation; point (a) of Article 8(1) and paragraphs 6 and 8 of Article 8 AD; IAS 39.9 The information reported in this row shall correspond to row 240 of template F 01.01 of Annexes III and IV to this Implementing Regulation. |
0120 | 1.1.10. FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISKIAS 39.89 A(a); IFRS 9.6.5.8; Paragraphs 5 and 6 of Article 8 AD. The information reported in this row shall correspond to row 250 of template F 01.01 of Annexes III and IV to this Implementing Regulation. |
0130 | 1.1.11. INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATESIAS 1.54(e); Parts 1.21 and 2.4 of Annex V to this Implementing Regulation; points (7) and (8) of Article 4 BAD; Article 2(2) AD The information reported in this row shall correspond to row 260 of template F 01.01 of Annexes III and IV to this Implementing Regulation. |
0140 | 1.1.12. (-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUEPart 1.29 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 375 of template F 01.01 of Annexes III and IV to this Implementing Regulation. |
0150 | 1.2. TOTAL FAIR-VALUED LIABILITIESTotal of fair-valued liabilities reported in rows 0160 to 0210. Relevant cells of rows 0150 to 0190 shall be reported in line with FINREP template F 01.02 of Annexes III and IV to this Implementing Regulation depending on the institution’s applicable standards:
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0160 | 1.2.1. FINANCIAL LIABILITIES HELD FOR TRADINGIFRS 7.8 (e) (ii); IFRS 9.BA.6. The information reported in this row shall correspond to row 010 of template F 01.02 of Annexes III and IV to this Implementing Regulation. |
0170 | 1.2.2. TRADING FINANCIAL LIABILITIESPoint (a) of Article 8(1) and paragraphs 3 and 6 of Article 8 AD The information reported in this row shall correspond to row 061 of template F 01.02 of Annexes III and IV to this Implementing Regulation. |
0180 | 1.2.3. FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSSIFRS 7.8 (e)(i); IFRS 9.4.2.2; point (a) of Article 8(1) and Article 8(6) AD; IAS 39.9. The information reported in this row shall correspond to row 070 of template F 01.02 of Annexes III and IV to this Implementing Regulation. |
0190 | 1.2.4. DERIVATIVES – HEDGE ACCOUNTINGIFRS 9.6.2.1; Part 1.26 of Annex V to this Implementing Regulation; point (a) of Article 8(1), Article 8(6) and point (a) of Article 8(8) AD The information reported in this row shall correspond to row 150 of template F 01.02 of Annexes III and IV to this Implementing Regulation. |
0200 | 1.2.5. FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISKIAS 39.89 A(b), IFRS 9.6.5.8; Paragraphs 5 and 6 of Article 8 AD; Part 2.8 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 160 of template F 01.02 of Annexes III and IV to this Implementing Regulation. |
0210 | 1.2.6. HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUEPart 1.29 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 295 of template F 01.02 of Annexes III and IV to this Implementing Regulation. |
are required to use the core approach because they exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101, either on an individual basis or on a consolidated basis as set out in Article 4(3) of that Regulation; or
have chosen to apply the core approach despite not exceeding the threshold.
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 (OJ L 176, 27.6.2013, p. 1).
Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176 27.6.2013, p. 338).
Directive 2013/34/EU of the European Parliament and of the Council on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19).
Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (OJ L 372, 31.12.1986, p. 1).
Seventh Council Directive 83/349/EEC of 13 June 1983 based on the Article 54(3)(g) of the Treaty on consolidated accounts (OJ L 193, 18.7.1983, p. 1).
Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).
Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards on the identification of the geographical location of the relevant credit exposures for calculating institution-specific countercyclical capital buffer rates (OJ L 309, 30.10.2014, p. 5).
“Stand alone institutions” are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements.
Regulation (EU) No 549/2013 of the European Parliament and of the Council of 21 May 2013 on the European system of national and regional accounts in the European Union (OJ L 174 26.6.2013, p. 1).
Commission Delegated Regulation (EU) No 525/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for the definition of market (OJ L 148, 20.5.2014, p. 15).
Commission Delegated Regulation (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14) (OJ L 21, 28.1.2016, p. 54).
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