Textual Amendments
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 transitional provisions per type of capital
CA2 template summarizes the total risk exposures amounts as defined in Article 92(3) of Regulation (EU) No 575/2013 ( ‘ CRR ’ )
CA3 template contains the ratios for which CRR state a minimum level, and some other related data
CA4 template contains memorandums items needed for calculating items in CA1 as well as information with regard to the CRD capital buffers.
CA5 template contains the data needed for calculating the effect of transitional provisions in own funds. CA5 will cease to exist once the transitional provisions will expire.
The items in CA1 are generally gross of transitional adjustments. This means that figures in CA1 items are calculated according to the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of the transitional provisions. For each type of capital (i.e. CET1; AT1 and T2) there are three different items in which all the adjustments due to transitional provisions are included.
Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in articles 36(1) point (j) and 56 point (e) of CRR respectively), and thus the items containing these shortfalls may indirectly reflect the effect of transitional provisions.
Template CA5 is exclusively used for reporting the 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. This cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104(2) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.
Template 5.1 summarizes the total adjustments which need to be made to the different components of own funds (reported in CA1 according to the final provisions) as a consequence of the application of the transitional provisions. The elements of this table are presented as ‘ adjustments ’ to the different capital components in CA1, in order to reflect in own funds components the effects of the transitional provisions.
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 ’ according to Article 112 (m) of 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 of CRR in the banking book, among which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the banking book;
Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the trading book;
Settlement risk arising from free deliveries in accordance with Article 379 of CRR in respect of all the business activities.
Central governments or central banks (Article 112 point (a) of CRR)
Regional governments or local authorities (Article 112 point (b) of CRR)
Public sector entities (Article 112 point (c) of CRR)
Institutions (Article 112 point (f) of CRR)
Corporates (Article 112 point (g) of CRR)
Retail (Article 112 point (h) of CRR).
In the first step the Original exposure pre conversion factors is classified into the corresponding (original) exposure class as referred to in Article 112 of CRR, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.
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 SA, CR SEC IRB and/or CR SEC Details templates;
‘ Other non-obligation assets ’ , according to Article 147(2) point (g) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, according to Article 156 CRR. The risk weighted exposure amounts for this exposure class are reported directly in the CA-Template;
Credit valuation adjustment risk, which is reported on the CVA Risk template;
The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown is reported in the template CR GB.
‘ NO ’ = in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)
‘ YES ’ = in case own estimates of LGD and credit conversion factors are used (Advanced IRB)
In any case, for the reporting of the retail portfolios ‘ YES ’ has to be reported.
In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as uses supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.
Total
(The Total template must be reported for the Foundation IRB and, separately for the Advanced IRB approach.)
Central banks and central governments
(Article 147(2)(a) CRR)
Institutions
(Article 147(2) point (b) CRR)
Corporate – SME
(Article 147(2) point (c) CRR
Corporate – Specialised lending
(Article 147(8) CRR)
Corporate – Other
(All corporates according to Article 147(2) point (c), not reported under 4.1 and 4.2).
Retail – Secured by immovable property SME
(Exposures reflecting Article 147(2) point (d) in conjunction with Article 154(3) CRR which are secured by immovable property).
Retail – Secured by immovable property non-SME
(Exposures reflecting Article 147(2) point (d) CRR which are secured by immovable property and not reported under 5.1).
Retail – Qualifying revolving
(Article 147(2) point (d) in conjunction with Article 154(4) CRR).
Retail – Other SME
(Article 147(2) point (d) not reported under 5.1 and 5.3).
Retail – Other non – SME
(Article 147(2) point (d) CRR which were not reported under 5.2 and 5.3).
| Row | Instructions |
|---|---|
| 010-001 – 010-NNN | Values reported in these rows must be in ordered from the lower to the higher according to the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned according to the PD of the obligor and not reported in this template. |
non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer; or
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, or
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 according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach (e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) of CRR, respectively a risk-weight of 370 % in accordance with Article 471(2) of CRR))).
Equity exposures in the trading book (in case where institutions are not exempted from calculating own funds requirements for trading book positions according to Article 94 of CRR).
Equity exposures subject to the partial use of the standardised approach (Article 150 of CRR), including:
Grandfathered equity exposures according to Article 495(1) of CRR,
Equity exposures to entities whose credit obligations are assigned a 0 % risk weight under the Standardised Approach, including those publicly sponsored entities where a 0 % risk weight can be applied (Article 150(1) point (g) of 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 (Article 150(1) point (h) of CRR).
Equity exposures to ancillary services undertakings whose risk weighted exposure amounts may be calculated according to the treatment of ‘ other non credit-obligation assets ’ (in accordance with Article 155(1) of CRR).
Equity claims deducted from own funds in accordance with Articles 46 and 48 of the CRR.
Securitisations originated/sponsored by the reporting institution in case it holds at least one position in the securitisation. This means that, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 405 of CRR.
Securitisations originated/sponsored by the reporting institution during the year of report (1) , in case it holds no position.
Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. This underlying could include covered bonds or other liabilities and shall be identified as such in column 160.
Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).
‘ accounted for the first time ’ within the reporting reference period or
‘ accounted for the first time ’ within a previous reporting reference period, if the event had not been included in any previous supervisory report, e.g. because it was identified as operational risk event only in the current reporting reference period or because the accumulated loss attributable to that event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period.
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.
Events are ranked based on the gross loss attributed to them.
An event shall only be considered once.
[F1The data requested to the institutions in this template shall be reported on an accumulated basis for the natural year or report (i.e. since 1st of January of the current year).]
[F1‘ Stand alone institutions ’ are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements.]