Textual Amendments
F1 Substituted by 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).
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.
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 case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)
=
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 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 |
|---|---|
| 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.
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 | |
| Rows | |
|---|---|
| 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 945/2014 a 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 ). | |
| Rows | |
|---|---|
| 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:
|
| 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:
|
| 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.
[F1Regulation (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 ).]
[F1Directive 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 ).]
[F1Directive 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 ).]
[F1Council 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 ).]
[F1Seventh 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 ).]
[F1Directive 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 ).]
[F1Commission 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 ).]
[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.]
[F1Regulation (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 ).]
[F1Commission 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 ).]
[F1Commission 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 ).]
Textual Amendments
F1 Substituted by 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).