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| 010-020 | Relevant credit exposures – Credit risk Relevant credit exposures defined in accordance with Article 140(4)(a) CRD.
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| 010 | Exposure value under the Standardised Approach Exposure value determined in accordance with Article 111 CRR for relevant credit exposures defined in accordance with Article 140(4)(a) CRD.
The exposure value of securitisation positions in the banking book under the Standardised Approach shall be excluded from this row and reported in row 050.
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| 020 | Exposure value under the IRB Approach Exposure value determined in accordance with Article 166 CRR for relevant credit exposures defined in accordance with Article 140(4)(a) CRD.
The exposure value of securitisation positions in the banking book under the IRB Approach shall be excluded from this row and reported in row 060
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| 030-040 | Relevant credit exposures – Market risk Relevant credit exposures defined in accordance with Article 140(4)(b) CRD.
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| 030 | Sum of long and short positions of trading book exposures for standardised approaches Sum of net long and net short positions according to Article 327 CRR of relevant credit exposures defined in accordance with Article 140(4)(b) CRD under Part Three, Title IV, Chapter 2 CRR:
exposures to debt instruments other than securitisation,
exposures to securitisation positions in the trading book,
exposures to correlation trading portfolios,
exposures to equity securities, and
exposures to CIUs if capital requirements are calculated according to Article 348 CRR.
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| 040 | Value of trading book exposures under internal model approaches For relevant credit exposures defined in accordance with Article 140(4)(b) CRD under Part Three, Title IV, Chapter 2 and Chapter 5 CRR, the sum of the following shall be reported:
Fair value of non-derivative positions, that represent relevant credit exposures as defined in Article 140(4)(b) CRD, determined in accordance with Article 104 CRR.
Notional value of derivatives, that represent relevant credit exposures as defined in accordance with Article 140(4)(b) CRD.
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| 050-060 | Relevant credit exposures – Securitisation positions in the banking book Relevant credit exposures defined in accordance with Article 140(4)(c) CRD.
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| 050 | Exposure value of securitisation positions in the banking book under the Standardised Approach Exposure value determined in accordance with Article 246 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD.
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| 060 | Exposure value of securitisation positions in the banking book under the IRB Approach Exposure value determined in accordance with Article 246 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD.
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| 070-110 | Own funds requirements and weights |
| 070 | Total own funds requirements for CCB The sum of rows 080, 090 and 100.
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| 080 | Own funds requirements for relevant credit exposures – Credit risk Own funds requirements determined in accordance with Part Three, Title II, Chapter 1 to 4 and Chapter 6 CRR for relevant credit exposures, defined in accordance with Article 140(4)(a) of CRD, in the country in question.
Own fund requirements for securitisation positions in the banking book shall be excluded from this row and reported in row 100.
The own-funds requirements are 8 % of the risk-weighted exposure amount determined according to the provisions of Part Three, Title II, Chapter 1 to 4 and Chapter 6 of CRR.
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| 090 | Own funds requirements for relevant credit exposures – Market risk Own funds requirements determined in accordance with Part Three, Title IV, Chapter 2 of CRR for specific risk, or in accordance with Part Three, Title IV, Chapter 5 of CRR for incremental default and migration risk for relevant credit exposures, defined in accordance with Article 140(4)(b) of CRD, in the country in question.
The own funds requirements for relevant credit exposures under the market risk framework include, among others, the own fund requirements for securitisation positions under Part Three, Title IV, Chapter 2 CRR and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 CRR.
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| 100 | Own funds requirements for relevant credit exposures – Securitisation positions in the banking book Own funds requirements determined in accordance with Part Three, Title II, Chapter 5 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD in the country in question.
The own-funds requirements are 8 % of the risk-weighted exposure amount determined according to the provisions of Part Three, Title II, Chapter 5 CRR.
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| 110 | Own funds requirements weights The weight applied to the countercyclical buffer rate in each country is calculated as a ratio of own fund requirements, determined as follows:
1. Numerator: The total own funds requirements that relates to the relevant credit exposures in the country in question [r070; c010 country sheet],
2. Denominator: The total own funds requirements that relate to all credit exposures relevant for the calculation of the countercyclical buffer in accordance with Article 140(4) of CRD [r070; c010; ‘ Total ’ ].
Information on the Own fund requirements weights shall not be reported for the ‘ Total ’ of all countries.
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| 120-140 | Countercyclical buffer rates |
| 120 | Countercyclical capital buffer rate set by the Designated Authority Countercyclical capital buffer rate set for the country in question by the Designated Authority of that country in accordance with Article 136, 137, 138 and 139 CRD.
This row shall be left empty when no countercyclical buffer rate was set for the country in question by the Designated Authority of that country.
Countercyclical capital buffer rates that were set by the Designated Authority, but are not yet applicable in the country in question at the reporting reference date shall not be reported.
Information on the Countercyclical capital buffer rate set by the Designated Authority shall not be reported for the ‘ Total ’ of all countries.
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| 130 | Countercyclical capital buffer rate applicable for the country of the institution Countercyclical capital buffer rate applicable for the country in question which was set by the Designated Authority of the country of residence of the institution, in accordance with Article 137, 138, 139 and Article 140(1), (2) and (3) CRD. Countercyclical capital buffer rates that are not yet applicable at the reporting reference date shall not be reported.
Information on the Countercyclical capital buffer rate applicable in the country of the institution shall not be reported for the ‘ Total ’ of all countries.
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| 140 | Institution-specific countercyclical capital buffer rate Institution-specific countercyclical capital buffer rate, determined in accordance with Article 140(1) CRD.
The institution-specific countercyclical capital buffer rate is calculated as the weighted average of the countercyclical buffer rates that apply in the jurisdictions where the relevant credit exposures of the institution are located or are applied for the purposes of Article 140 by virtue of Article 139(2) or (3) CRD. The relevant countercyclical buffer rate is reported in [r120; c020; country sheet], or [r130; c020; country sheet] as applicable.
The weight applied to the countercyclical buffer rate in each country is the share of own funds requirements in total own funds requirements, and is reported in [r110; c020; country sheet].
Information on the institution-specific countercyclical capital buffer rate shall only be reported for the ‘ Total ’ of all countries and not for each country separately.
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| 150 - 160 | Use of the 2 % threshold |
| 150 | Use of 2 % threshold for general credit exposure In accordance with Article 2(5)(b) of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, whose aggregate does not exceed 2 % of the aggregate of the general credit, trading book and securitisation exposures of that institution, may be allocated to the institutions’ home Member State. The aggregate of the general credit, trading book and securitisation exposures is calculated by excluding the general credit exposures located in accordance with Article 2(5) point (a) and Article 2(4) of Commission Delegated Regulation (EU) No 1152/2014.
If the institution makes use of this derogation, it shall indicate ‘ y ’ in the table for the jurisdiction corresponding to its home Member State and for the ‘ Total ’ of all countries.
If an institution does not make use of this derogation, it shall indicate ‘ n ’ in the respective cell.
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| 160 | Use of 2 % threshold for trading book exposure In accordance with Article 3(3) of Commission Delegated Regulation (EU) No 1152/2014, institutions may allocate trading book exposures to their home Member State, if the total trading book exposures do not exceed 2 % of their total general credit, trading book and securitisation exposures.
If the institution makes use of this derogation, it shall indicate ‘ y ’ in the table for the jurisdiction corresponding to its home Member State and for the ‘ Total ’ of all countries.
If an institution does not make use of this derogation, it shall indicate ‘ n ’ in the respective cell.]
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