Commission Implementing Regulation (EU) No 680/2014Show full title

ANNEX II Table 14: rows 1 - 38

[F1 Rows	Instructions
010	Total exposures
015	of which: Defaulted exposures Article 127 CRR This row shall only be reported in exposure classes ‘ Items associated with a particular high risk ’ and ‘ Equity exposures ’ . If an exposure is either listed in Article 128(2) of CRR or meets the criteria set in Articles 128(3) or 133 of CRR, it shall be assigned to the exposure class ‘ Items associated with particular high risk ’ or ‘ Equity exposures ’ . Consequently, there shall be no other allocation, even if the exposure is defaulted according to Article 127 of CRR.
020	of which: SME All exposures to SME shall be reported here.
030	of which: Exposures subject to the SME-supporting factor Only exposures which meet the requirements of Article 501 CRR shall be reported here.
040	of which: Secured by mortgages on immovable property — Residential property Article 125 of CRR. Only reported in exposure class ‘ Secured by mortgages on immovable property ’
050	of which: Exposures under the permanent partial use of the standardised approach Exposures treated under Article 150(1) of CRR
060	of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation Exposures treated under Article 148(1) of CRR
070-130	BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES Reporting institution's ‘ banking book ’ positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk. Reporting institution's ‘ trading book ’ counterparty credit risk positions according to Article 92(3) point (f) and Article 299(2) of CRR are assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) of CRR also break down their ‘ trading book ’ positions following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.
070	On balance sheet exposures subject to credit risk Assets referred to in Article 24 of CRR not included in any other category. Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 090, 110 and 130, and therefore shall not be reported in this row. Free deliveries according to Article 379(1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row. Exposures arising from assets posted to a CCP according to Article 4(90) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if not reported in row 030.
080	Off balance sheet exposures subject to credit risk Off-balance sheet positions comprise those items listed in Annex I of CRR. Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040, 060 and, therefore, not reported in this row. Exposures arising from assets posted to a CCP according to Article 4(90) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if they are considered as off-balance sheet items.
090-130	Exposures/Transactions subject to counterparty credit risk
090	Securities Financing Transactions Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document ‘ The Application of Basel II to Trading Activities and the Treatment of Double Default Effects ’ , includes: (i) Repurchase and reverse repurchase agreements defined in Article 4(82) of CRR as well as securities or commodities lending and borrowing transactions; (ii) margin lending transactions as defined in Article 272(3) of CRR.
100	Of which: centrally cleared through a QCCP Article 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR. Trade exposures to a CCP according to Article 4(91) of CRR
110	Derivatives and Long Settlement Transactions Derivatives comprise those contract listed in Annex II of CRR. Long Settlement Transactions as defined in Article 272(2) of CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 130, shall not be reported in this row.
120	Of which: centrally cleared through a QCCP Article 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR Trade exposures to a CCP according to Article 4(91) of CRR
130	From Contractual Cross Product Netting Exposures that due to the existence of a contractual cross product netting (as defined in Article 272(11) of CRR) cannot be assigned to either Derivatives & Long Settlement Transactions or Securities Financing Transactions, shall be included in this row.
140-280	BREAKDOWN OF EXPOSURES BY RISK WEIGHTS
140	0  %
150	2 % Article 306(1) of CRR
160	4 % Article 305(3) of CRR
170	10  %
180	20  %
190	35  %
200	50  %
210	70  % Article 232(3) point (c) of CRR.
220	75  %
230	100  %
240	150  %
250	250  % Articles 133(2) and 48(4) CRR
260	370  % Article 471 of CRR
270	1 250  % Articles 133(2), 379 of CRR
280	Other risk weights This row is not available for exposure classes Government, Corporates, Institutions and Retail. For reporting those exposures not subject to the risk weights listed in the template. Article 113(1) to (5) of CRR. Unrated nth to default credit derivatives under the Standardized Approach (Article 134(6) of CRR) shall be reported in this row under the exposure class ‘ Other items ’ . See also Article 124(2) and Article 152(2) point (b) of CRR.
290-320	Memorandum Items See also the explanation of the purpose of the memorandum items in the general section of the CR SA.
290	Exposures secured by mortgages on commercial immovable property Article 112 point (i) of CRR This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property according to Article 124 and 126 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by commercial real estate.
300	Exposures in default subject to a risk weight of 100 % Article 112 point (j) of CRR. Exposures included in the exposure class ‘ exposures in default ’ which shall be included in this exposure class if they were not in default.
310	Exposures secured by mortgages on residential property Article 112 point (i) of CRR. This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property according to Article 124 and 125 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by real estate property.
320	Exposures in default subject to a risk weight of 150 % Article 112 point (j) of CRR. Exposures included in the exposure class ‘ exposures in default ’ which shall be included in this exposure class if they were not in default.]

Textual Amendments

F1 Substituted by Commission Implementing Regulation (EU) 2018/1627 of 9 October 2018 amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting (Text with EEA relevance).