| Columns |
|---|
| 010 | ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Exposure value calculated in accordance with Article 111 CRR without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) CRR:
1. For derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to Chapter 6 of Title II of Part Three CRR or subject to point (f) of Article 92(3) CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated in accordance with the methods laid down Chapter 6 of Title II of Part Three CRR.
2. Exposure values for leases shall be subject to Article 134(7) CRR.
3. In the case of on-balance sheet netting as laid down in Article 219 CRR, the exposure values shall be reported taking into account the amount of the received cash collateral.
4. In the case of master netting agreements covering repurchase transactions, securities, commodities lending, borrowing transactions or other capital market driven transactions subject to Chapter 6 of Title II of Part Three CRR, the effect of Funded Credit Protection in the form of master netting agreements referred to in Article 220(4) CRR shall be reflected in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to Chapter 6 of Title II of Part Three CRR, E* as calculated in accordance with Articles 220 and 221 CRR shall be reported in column 010 of the CR SA template.
|
| 030 | (-) Value adjustments and provision associated with the original exposure Article 24 and 111 CRR Value adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject
|
| 040 | Exposure net of value adjustments and provisions Sum of columns 010 and 030
|
| 050 – 100 | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Credit risk mitigation techniques as defined in point (57) of Article 4(1) CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as described below in ‘ Substitution of the exposure due to CRM ’ .
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:
collateral, incorporated in accordance with the Financial Collateral Simple Method;
eligible unfunded credit protection.
Please also see instructions of point 3.1.1.
|
| 050 – 060 | Unfunded credit protection: adjusted values (G A ) Article 235 CRR
Article 239(3) CRR contains the formula for the calculation of the adjusted value G A of an unfunded credit protection.
|
| 050 | Guarantees Article 203 CRR
Unfunded Credit Protection as defined in point (59) of Article 4(1) CRR which does not include Credit Derivatives.
|
| 060 | Credit derivatives Article 204 CRR
|
| 070 – 080 | Funded credit protection These columns refer to funded credit protection as defined in point (58) of Article 4(1) CRR and subject to the rules laid down in Articles 196, 197 and 200 CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre-conversion factors).
Investments in credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral.
|
| 070 | Financial collateral: simple method Paragraphs 1 and 2 of Article 222 CRR.
|
| 080 | Other funded credit protection Article 232 CRR.
|
| 090 – 100 | SUBSTITUTION OF THE EXPOSURE DUE TO CRM Article 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR
Outflows shall correspond to the covered part of the Original Exposure pre-conversion factors that is deducted from the obligor’s exposure class and subsequently assigned to the protection provider’s exposure class. That amount shall be considered as an inflow into the protection provider’s exposure class.
Inflows and outflows within the same exposure classes shall also be reported.
Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.
|
| 110 | NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS Amount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
|
| 120-140 | CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD Articles 223 to 228 CRR. They also include credit linked notes (Article 218 CRR)
Credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral.
The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, shall be calculated in accordance with Articles 223 to 228 CRR.
|
| 120 | Volatility adjustment to the exposure Paragraphs 2 and 3 of Article 223 CRR.
The amount to be reported is the impact of the volatility adjustment to the exposure (EVA-E) = E*He
|
| 130 | (-) Financial collateral adjusted value (Cvam) Article 239(2) CRR.
For trading book operations, financial collateral and commodities eligible for trading book exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included.
The amount to be reported corresponds to Cvam = C*(1-Hc-Hfx)*(t-t*)/(T-t*). For a definition of C, Hc, Hfx, t, T and t* see Sections 4 and 5 of Chapter 4 of Title II of Part Three CRR.
|
| 140 | (-) Of which: Volatility and maturity adjustments Article 223(1) CRR and Article 239(2) CRR.
The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva) = C*(1-Hc-Hfx)*[(t-t*)/(T-t*)-1]
|
| 150 | Fully adjusted exposure value (E*) Article 220(4), Article 223(2) to (5) and Article 228(1) CRR.
|
| 160 – 190 | Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors Article 111(1) and point (56) of Article 4(1) CRR. See also Articles 222(3) and 228(1) CRR.
The figures reported shall be the fully adjusted exposure values before application of the conversion factor.
|
| 200 | Exposure value Article 111 CRR and Section 4 of Chapter 4 of Title II of Part Three CRR.
Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights in accordance with Article 113 and Section 2 of Chapter 2 of Title II of Part Three CRR.
|
| 210 | Of which: Arising from Counterparty Credit Risk For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to Chapter 6 of Title II of Part Three CRR, the exposure value for Counterparty Credit Risk calculated in accordance with the methods laid down in Sections 2 to 5 of Chapter 6 of Title II of Part Three CRR.
|
| 215 | Risk weighted exposure amount pre SME-supporting factor Paragraphs 1 to 5 of Article 113CRR, without taking into account the SME-supporting factor laid down in Article 501 CRR.
|
| 220 | Risk weighted exposure amount after SME-supporting factor Paragraphs 1 to 5 of Article 113CRR, taking into account the SME-supporting factor laid down in Article 501 CRR.
|
| 230 | Of which: with a credit assessment by a nominated ECAI Points (a) to (d), (f), (g), (l), (n), (o) and (q) of Article 112 CRR
|
| 240 | Of which: with a credit assessment derived from central government Points (b) to d), (f), (g), (l) and (o) of Article 112 CRR]
|