ANNEX IREPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
ANNEX I Table 1: rows 1 - 40
C 01.00 — OWN FUNDS (CA1)
ANNEX I Table 2: rows 1 - 100
C 02.00 — OWN FUNDS REQUIREMENTS (CA2)
ANNEX I Table 3: rows 1 - 75
C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
ANNEX I Table 4: rows 1 - 14
C 04.00 — MEMORANDUM ITEMS (CA4)
ANNEX I Table 5: rows 1 - 124
C 05.01 — TRANSITIONAL PROVISIONS (CA5.1)
ANNEX I Table 6: rows 1 - 60
C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)
ANNEX I Table 7: rows 1 - 17
C 06.00 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
ANNEX I Table 8: rows 1 - 11
C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)
SA Exposure class
ANNEX I Table 9: rows 1 - 39
C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)
IRB Exposure class:
Own estimates of LGD and/or conversion factors:
ANNEX I Table 10: rows 1 - 26
C 08.02 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)
IRB Exposure class:
Own estimates of LGD and/or conversion factors:
ANNEX I Table 11: rows 1 - 10
C 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)
Country:
ANNEX I Table 12: rows 1 - 22
C 09.02 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)
Country:
ANNEX I Table 13: rows 1 - 17
C 09.03 — BREAKDOWN OF TOTAL OWN FUNDS REQUIREMENTS FOR CREDIT RISK OF RELEVANT CREDIT EXPOSURES BY COUNTRY (CR GB 3)
Country:
| Amount | ||
|---|---|---|
| 010 | ||
| 010 | Own fund requirements for credit risk | |
C 10.01 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)
ANNEX I Table 15: rows 1 - 13
C 10.02 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES (CR EQU IRB 2)
ANNEX I Table 16: rows 1 - 9
C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT)
ANNEX I Table 17: rows 1 - 14
C 12.00 — CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)
ANNEX I Table 18: rows 1 - 34
C 13.00 — CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)
ANNEX I Table 19: rows 1 - 59
C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC Details)
ANNEX I Table 20: rows 1 - 7
C 16.00 — OPERATIONAL RISK (OPR)
ANNEX I Table 21: rows 1 - 18
C 17.00 — OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR Details)
ANNEX I Table 22: rows 1 - 43
C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
Currency:
ANNEX I Table 23: rows 1 - 49
C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
ANNEX I Table 24: rows 1 - 26
C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
ANNEX I Table 25: rows 1 - 18
C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
National market:
ANNEX I Table 26: rows 1 - 18
C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
ANNEX I Table 27: rows 1 - 52
C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
ANNEX I Table 28: rows 1 - 18
C 24.00 — MARKET RISK INTERNAL MODELS (MKR IM)
ANNEX I Table 29: rows 1 - 15
C 25.00 — CREDIT VALUE ADJUSTMENT RISK (CVA)
ANNEX I Table 30: rows 1 - 7
ANNEX IIREPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
PART I: GENERAL INSTRUCTIONS
1.STRUCTURE AND CONVENTIONS
1.1.STRUCTURE
1.Overall, the framework consists of five blocks of templates:
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.
2.For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as examples and validation rules are included in these Guidelines for implementation of the Common Reporting framework.
3.Institutions report only those templates that are relevant depending on the approach used for determining own funds requirements.
1.2.NUMBERING CONVENTION
4.The document follows the labelling convention set in the following table, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules.
5.The following general notation is followed in the instructions: {Template;Row;Column}.
6.In the case of validations inside a template, in which only data points of that template is used, notations do not refer to a template: {Row;Column}.
7.In the case of templates with only one column, only rows are referred to. {Template;Row}
8.An asterisk sign is used to express that the validation is done for the rows or columns specified before.
1.3.SIGN CONVENTION
9.Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the capital requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is expected to be reported for that item.
PART II: TEMPLATE RELATED INSTRUCTIONS
1.CAPITAL ADEQUACY OVERVIEW (CA)
1.1.GENERAL REMARKS
10.CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and transitional provisions and is structures in five templates:
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 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 seize to exist once the transitional provisions will expire.
11.The templates shall apply to all reporting entities, irrespective of the accounting standards followed, although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount.
12.The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common Equity Tier 1 capital (CET1), Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).
13.Transitional provisions are treated as follows in CA templates:
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.
14.The treatment of Pillar II requirements can be different within the EU (Article 104 (2) CRD IV has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting of CRR. A detailed reporting of Pillar II requirements is not within the mandate of Article 99 CRR.
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.
1.2.C 01.00 — OWN FUNDS (CA1)
1.2.1.Instructions concerning specific positions
ANNEX II Table 1: rows 1 - 100
1.3.C 02.00 — OWN FUNDS REQUIREMENTS (CA2)
1.3.1.Instructions concerning specific positions
ANNEX II Table 2: rows 1 - 75
1.4.C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
1.4.1.Instructions concerning specific positions
1.5.C 04.00 — MEMORANDUM ITEMS (CA4)
1.5.1.Instructions concerning specific positions
ANNEX II Table 4: rows 1 - 112
1.6.TRANSITIONAL PROVISIONS and GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5)
1.6.1.General remarks
15.CA5 summarizes the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491 of CRR.
16.CA5 is structured as follows:
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.
17.Institutions shall report in the first four columns the adjustments to Common Equity Tier 1 capital, Additional Tier 1 capital and Tier 2 capital as well as the amount to be treated as risk weighted assets. Institutions are also required to report the applicable percentage in column 050 and the eligible amount without the recognition of transitional provisions in column 060.
18.Institutions shall only report elements in CA5 during the period where transitional provisions in accordance with Part Ten of CRR apply.
19.Some of the transitional provisions require a deduction from Tier 1. If this is the case the residual amount of a deduction or deductions is applied to Tier 1 and there is insufficient AT1 to absorb this amount then the excess shall be deducted from CET1.
1.6.2.C 05.01 — Transitional provisions (CA5.1)
20.Institutions shall report in Table 5.1 the transitional provisions to own funds components as laid down in Articles 465 to 491 of CRR, compared to applying the final provisions laid down in Title II of Part Two of CRR.
21.Institutions shall report in rows 020 to 060 information in relation with the transitional provisions of grandfathered instruments. The figures to be reported in columns 010 to 060 of row 060 of CA 5.1 can be derived from the respective sections of CA 5.2.
22.Institutions shall report in rows 070 to 092 information in relation with the transitional provisions of minority interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 of CRR).
23.In rows 100 onwards institutions shall report information in relation with the transitional provisions of unrealized gains and losses, deductions as well as additional filters and deductions.
24.There might be cases where the transitional deductions of CET1, AT1 or T2 capital exceed the CET1, AT1 or T2 capital of an institution. This effect — if it results from transitional provisions — shall be shown in the CA1 template using the respective cells. As a consequence, the adjustments in the columns of the CA5 template do not include any spill-over effects in the case of insufficient capital available.
1.6.2.1.Instructions concerning specific positions
ANNEX II Table 6: rows 1 - 58
1.6.3.C 05.02 — Grandfathered instruments: instruments not constituing state aid (CA5.2)
26.Institutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting state aid (Article 484 to 491 of CRR).
1.6.3.1.Instructions concerning specific positions
2.C 06.00 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
2.1.GENERAL REMARKS
27.This template consists of four parts in order to gather different information on all individual entities (including the reporting institution) included in the scope of consolidation of the reporting entity.
Entities within the scope of consolidation;
Detailed group solvency information;
Information on the contribution of individual entities to group solvency
Information on capital buffers
28.Institutions waived according to Article 7 of CRR shall only report the columns 010 to 060 and 250 to 400.
2.2.DETAILED GROUP SOLVENCY INFORMATION;
29.The second part of this template (detailed group solvency information) in columns 070 to 210 is designed to gather information on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for each risk category and the own funds for solvency purposes.
30.In the case of proportional consolidation of participations, the figures related to own funds requirements and own funds shall reflect the respective proportional amounts.
2.3.INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY
31.The objective of the third part of this template (information on the contributions of all entities within CRR scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 250 to 400, is to identify which entities within the group generate the risks and raise own funds from the market, based on data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared to each other.
32.The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds.
33.As this third part of the template refers to ‘contributions’, the figures to be reported herein shall defer, when applicable, from the figures reported in the columns referring to detailed group solvency information.
34.The principle is to delete the cross-exposures within the same groups in a homogeneous way both in terms of risks or own funds, in order to cover the amounts reported in the group's consolidated CA template by adding the amounts reported for each entity in ‘Group Solvency’ template. In cases where the 1 % threshold, is not exceeded a direct link to the CA template is not possible.
35.The institutions shall define the most appropriate breakdown method between the entities to take into account the possible diversification effects for market risk and operational risk.
36.Institutions which calculate their own funds requirements on a consolidated basis shall report the GS template. It is possible for one consolidated group to be included within another consolidated group in which case the consolidated entity will have their details included in a higher consolidated group's GS template.
37.An institution shall report data of the contribution of an entity when its contribution to the total risk exposure amount exceeds 1 % of the total risk exposure amount of the group or when its contribution to the total own funds exceeds 1 % of the total own funds of the group. This threshold does not apply in the case of subsidiaries or subgroups that provide own funds (in the form of minority interests or qualifying AT1 or T2 instruments included in own funds) to the group.
2.4.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
ANNEX II Table 9: rows 1 - 59
| Rows | Instructions |
|---|---|
| 010 | The template has a fixed row, which is the total of all the individual entities (not including subgroups). This row does not require information in the first part of the template. |
| 999 | Below the fixed row, there shall be a row for each entity. |
3.CREDIT RISK TEMPLATES
3.1.GENERAL REMARKS
38.There are different sets of templates for the Standardised approach and the IRB approach for credit risk. Additionally, separate templates for the geographical breakdown of positions subject to credit risk shall be reported if the relevant threshold as set out in Article 5(a)(4) is exceeded.
3.1.1.Reporting of CRM techniques with substitution effect
39.Article 235 of CRR describes the computation procedure of the exposure which is fully protected by unfunded protection.
40.Article 236 of CRR describes the computation procedure of exposure which is fully protected by unfunded protection in the case of full protection/partial protection — equal seniority.
41.Articles 196, 197 and 200 of CRR regulate the funded credit protection.
42.Reporting of exposures to obligors (immediate counterparties) and protection providers which are assigned to the same exposure class shall be done as an inflow as well as an outflow to the same exposure class.
43.The exposure type does not change because of unfunded credit protection.
44.If an exposure is secured by an unfunded credit protection, the secured part is assigned as an outflow e.g. in the exposure class of the obligor and as an inflow in the exposure class of the protection provider. However, the type of the exposure does not change due to the change of the exposure class.
45.The substitution effect in the COREP reporting framework shall reflect the risk weighting treatment effectively applicable to the covered part of the exposure. As such, the covered part of the exposure is risk weighted according to the SA approach and shall be reported in the CR SA template.
3.1.2.Reporting of Counterparty Credit Risk
46.Exposures stemming from Counterparty Credit Risk positions shall be reported in templates CR SA or CR IRB independent from whether they are Banking Book items or Trading Book items.
3.2.C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)
3.2.1.General remarks
47.The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk according to the standardised approach. In particular, they provide detailed information on:
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.
3.2.2.Scope of the CR SA template
48.According to Article 112 of CRR each SA exposure shall be assigned to one of the 16 SA exposure classes in order to calculate the own funds requirements.
49.The information in CR SA is requested for the total exposure classes and individually for each of the exposure classes as defined for the standardised approach. The total figures as well as the information of each exposure class are reported in a separate dimension.
50.However the following positions are not within the scope of CR SA:
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.
51.The scope of the CR SA template covers the following own funds requirements:
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.
52.The scope of the template are all exposures for which the own funds requirements are calculated according to part 3 title II chapter 2 of CRR in conjunction with part 3 title II chapter 4 and 6 of CRR. Institutions that apply Article 94 (1) of CRR also need to report their trading book positions in this template when they apply part 3 title II chapter 2 of CRR to calculate the own funds requirements thereof (part 3 title II chapter 2 and 6 and title V of CRR). Therefore the template provides not only detailed information on the type of the exposure (e.g. on balance sheet/ off balance sheet items), but also information on the allocation of risk weights within the respective exposure class.
53.In addition CR SA includes memorandum items in rows 220 to 250 in order to collect further information about exposures secured by mortgages on immovable property and exposures in default.
54.These memorandum items shall only be reported for the following exposure classes:
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).
55.The reporting of the memorandum items affect neither the calculation of the risk weighted exposure amounts of the exposure classes according to Article 112 points a) to c) and f) to h) of CRR nor of the exposure classes according to Article 112 points i) and j) of CRR reported in CR SA,.
56.The memorandum rows provide additional information about the obligor structure of the exposure classes ‘in default’ or ‘secured by immovable property’. Here exposures shall be reported where the obligors would have been reported in the exposure classes ‘Central governments or central banks’, ‘Regional governments or local authorities’, ‘Public sector entities’, ‘Institutions’, ‘Corporates’ and ‘Retail’ of CR SA, if those exposures were not assigned to the exposure classes ‘in default’ or ‘secured by immovable property’.
57.E.g. if an exposure, the risk exposure amounts of which are calculated subject to Article 127 of CRR and the value adjustments are less than 20 %, then this information is reported in CR SA, rows 220 in the total and in the exposure class ‘in default’. If this exposure, before it defaulted, was an exposure to an institution then this information shall also be reported in row 220 of exposure class ‘institutions’.
3.2.3.Assignment of exposures to exposure classes under the Standardised Approach
58.In order to ensure a consistent categorisation of exposures into the different exposure classes as defined in Article 112 of CRR the following sequential approach shall be applied:
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.
59.The following criteria apply for the classification of the Original exposure pre conversion factors into the different exposure classes (first step) without prejudice to the subsequent redistribution caused by the use of CRM techniques with substitution effects on the exposure or to the treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.
60.For the purpose of classifying the original exposure pre conversion factor in the first step, the CRM techniques associated to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class mentioned in Article 112 point (i) of CRR (exposures secured by mortgages on immovable property).
61.Article 112 of CRR does not provide criteria for disjoining the exposure classes. This might imply that one exposure could potentially be classified in different exposure classes if no prioritisation in the assessment criteria for the classification is provided. The most obvious case arises between exposures to institutions and corporate with a short-term credit assessment (Article 112 point (n) of CRR) and exposures to institutions (Article 112 point (f) of CRR)/ exposures to corporates (Article 112 point (g) of CRR). In this case it is clear that there is an implicit prioritisation in the CRR since it shall be assessed first if a certain exposure fit for being assigned to Short-term exposures to institutions and corporate and only afterwards do the same process for exposures to institutions and exposures to corporates. Otherwise it is obvious that the exposure class mentioned in Article 112 point (n) of CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but not the only one. It is worth noting that the criteria used for establishing the exposure classes under the standardised approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is the underlying reason for non disjoint groupings.
62.For a homogeneous and comparable reporting it is necessary to specify prioritisation assessment criteria for the assignment of the Original exposure pre conversion factor by exposure classes, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. The prioritisation criteria presented below using a decision tree scheme are based on the assessment of the conditions explicitly laid down in the CRR for an exposure to fit in a certain exposure class and, if it is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. As such, the outcome of the exposure assignment process for reporting purposes would be in line with CRR provisions. This does not preclude institutions to apply other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora.
63.An exposure class shall be given priority to others in the assessment ranking in the decision tree (i.e. it shall be first assessed if an exposure can be assigned to it, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. This would be the case when in the absence of prioritisation criteria one exposure class would be a subset of others. As such the criteria graphically depicted in the following decision tree would work on a sequential process.
64.With this background the assessment ranking in the decision tree mentioned below would follow the following order:
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.
65.In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach (Article 132 (3) to (5) of CRR) is used, the underlying individual exposures shall be considered and classified into their corresponding risk weight line according to their treatment, but all the individual exposures shall be classified within the exposure class of exposures in the form of units or shares in collective investment undertakings (‘CIU’).
66.In the case of ‘nth’ to default credit derivatives specified in Article 134 (6) of CRR, if they are rated, they shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the ‘Other items’ exposure class. In this latter case the nominal amount of the contract shall be reported as the Original exposure pre conversion factors in the line for ‘Other risk weights’ (the risk weight used shall be that specified by the sum indicated under Article 134 (6) of CRR.
67.In a second step, as a consequence of credit risk mitigation techniques with substitution effects, exposures shall be reallocated to the exposure class of the protection provider.
DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH ACCORDING TO CRR
3.2.4.Clarifications on the scope of some specific exposure classes referred to in Article 112 of CRR
3.2.4.1.Exposure Class ‘Institutions’
68.Reporting of intra-group exposures according to Article 113 (6) to (7) of CRR shall be done as follows:
69.Exposures which fulfil the requirements of Article 113 (7) of CRR shall be reported in the respective exposure classes where they would be reported if they were no intra-group exposures.
70.According Article 113 (6) and (7) of CRR ‘an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of this Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC.’ This means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings within the meaning of Article 12 (1) of Directive 83/349/EEC. Therefore intra-group exposures shall be reported in the corresponding exposure class.
3.2.4.2.Exposure Class ‘Covered Bonds’
71.The assignment of SA exposures to the exposure class ‘covered bonds’ shall be done as follows:
72.Bonds as defined in Article 52 (4) of Directive 2009/65/EC shall fulfil the requirements of Article 129 (1) to (2) of CRR to be classified in the exposure class ‘Covered Bonds’. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds according to Article 52 (4) of Directive 2009/65/EC and issued before 31 December 2007, are also assigned to the exposure class ‘Covered Bonds’ because of Article 129 (6) of CRR.
3.2.4.3.Exposure class ‘Collective Investment Undertakings’
73.Where the possibility according to Article 132 (5) of CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items according to Article 111 (1) sentence 1 of CRR.
3.2.5.Instructions concerning specific positions
ANNEX II Table 11: rows 1 - 26
ANNEX II Table 12: rows 1 - 36
3.3.CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)
3.3.1.Scope of the CR IRB template
74.The scope of the CR IRB template covers own funds requirements for:
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..
75.The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated according to Articles 151 to 157 Part Three Title II Chapter 3 CRR (IRB approach).
76.The CR IRB template does not cover the following data:
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.
77.In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors the following information shall be provided for each reported exposure class:
=
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 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.
3.3.2.Breakdown of the CR IRB template
78.The CR IRB consists of two templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate total risk exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools. The templates CR IRB 1 and CR IRB 2 shall be reported separately for the following exposure and sub-exposure classes:
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 — SME subject to SME-supporting factor
(Article 147 (2) point (c) CRR in conjunction with Article 501 (2))
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 SME subject to SME-supporting factor
(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 SME subject to SME supporting factor
(Article 147 (2) point (d) in conjunction with Article 501 (2) CRR 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).
For the sub-exposure classes 4.1)*, 5.1)* and 5.4)* only row 010 (Total exposures) shall be reported. They represent ‘of which’ positions of the relevant exposure classes with the effect that data relating to these sub-exposure classes shall also be included in the exposure classes 4.1, 5.1 and 5.4.
3.3.3.C 08.01 — Credit and counterparty credit risks and free deliveries: IRB Approach to Capital Requirements (CR IRB 1)
3.3.3.1Instructions concerning specific positions
ANNEX II Table 13: rows 1 - 34
3.3.4.C 08.02 — Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (breakdown by obligor grades or pools (CR IRB 2 template)
| Column | Instructions |
|---|---|
| 010-300 | Instructions for each of these columns are the same as for the corresponding numbered columns in table CR IRB 1. |
| 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.. |
3.4.CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN (CR GB)
79.Institutions fulfilling the threshold set in Article 5 (a) (4) shall submit information regarding the domestic country as well as any non-domestic country. The threshold is only applicable to Table 1 and Table 2.
80.The term ‘residence of the obligor’ refers to the country of incorporation of the obligor. This concept can be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques can change the allocation of an exposure to a country.
81.Data regarding ‘original exposure pre conversion factors’ shall be reported referring to the country of residence of the immediate obligor. Data regarding ‘exposure value’ and ‘Risk weighted exposure amounts’ shall be reported as of the country of residence of the ultimate obligor.
3.4.1.C 09.01 — Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1)
3.4.1.1.Instructions concerning specific positions
3.4.2.C 09.02 — Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2)
3.4.2.1.Instructions concerning specific positions
3.4.3.C 09.03 — Breakdown of total own funds requirements for credit risk of relevant credit exposures by country (CR GB 3)
3.4.3.1.General remarks
82.According to Article 128 point (7) in connection with Articles 130 and 140 (1) CRD the countercyclical buffer rate is the ‘weighted average of the countercyclical buffer rates that apply in the jurisdiction where the relevant credit exposures of the institution are located’. The weighted average is calculated as follows:
Numerator: Total own funds requirements for credit risk determined in accordance with Part Three, Titles II and IV of CRR that relate to the relevant credit exposures in the territory in question
Denominator: Total own funds requirements for credit risk that relate to the relevant credit exposures
83.This table is implemented in order to receive more information regarding the elements of the institution specific countercyclical buffer. The information requested refers to the own funds requirements determined in accordance with Part Three, Title II of the CRR which includes credit risk and securitisation calculated on the basis of the relevant credit exposures broken down by country.
84.The information shall be reported by each country. The threshold set in Article 5 (a) (4) is not relevant for the reporting of this breakdown.
3.4.3.2.Instructions concerning specific positions
3.5.C 10.01 AND C 10.02 — EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2)
3.5.1.General remarks
85.The CR EQU IRB template consists of two templates: CR EQU IRB 1 provides a general overview of IRB exposures of the equity exposure class and the different methods to calculate total risk exposure amounts. CR EQU IRB 2 provides a breakdown of total exposures assigned to obligor grades in the context of the PD/LGD approach. ‘CR EQU IRB’ refers to both ‘CR EQU IRB 1’ and ‘CR EQU IRB 2’ templates, as applicable, in the following instructions.
86.The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (Article 92 (3) point (a) of CRR) according to the IRB method (Part Three, Title II, Chapter 3 of CRR) for equity exposures referred to in Article 147(2) point (e) of CRR.
87.According to Article 147 (6) of CRR, the following exposures shall be assigned to the equity exposure class:
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).
88.Collective investment undertakings treated according to the simple risk weight approach as referred to in Article 152 of CRR shall also be reported in the CR EQU IRB template.
89.In accordance with Article 151(1) of CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 of CRR:
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 riskweighted exposure amounts for those equity exposures which attract a fixed riskweight 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 riskweight of 250 % in accordance with Article 48(4) of CRR, respectively a riskweight of 370 % in accordance with Article 471(2) of CRR))).
90.The following equity claims shall not be reported in the CR EQU IRB template:
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.
3.5.2.Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2)
91.In accordance with Article 155 of CRR, institutions may employ different approaches (Simple Risk Weight approach, PD/LGD approach or Internal Models approach) to different portfolios when they use these different approaches internally. Institutions shall also report in the CR EQU IRB 1 template riskweighted exposure amounts for those equity exposures which attract a fixed riskweight 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).
3.6.C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT)
3.6.1.General remarks
92.This template requests information on both trading and non-trading book transactions which are unsettled after their due delivery dates, and their corresponding own funds requirements for settlement risk according to Articles 92(3) Point c) ii) and 378 of CRR.
93.Institutions report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book.
94.According to Article 378 of CRR, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates are nevertheless subject to own funds requirements for settlement/delivery risk as determined in Article 378 of CRR.
95.In the case of unsettled transactions after the due delivery date, institutions calculate the price difference to which they are exposed. This is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the institution.
96.Institutions multiply this difference by the appropriate factor of Table 1 of Article 378 of CRR to determine the corresponding own funds requirements.
97.According to Article 92(4) Point (b), the own funds requirements for settlement/delivery risk shall be multiplied by 12.5 to calculate the risk exposure amount.
98.Note that own funds requirements for free deliveries as laid down in Article 379 of CRR are not within the scope of the CR SETT template; the latter shall be reported in the credit risk templates (CR SA, CR IRB).
3.6.2.Instructions concerning specific positions
3.7.C 12.00 — CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)
3.7.1.General remarks
99.The information in this template is requested for all securitisations in which the reporting institution is involved in a securitisation treated under the Standardised Approach. The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.
100.The CR SEC SA template gathers joint information on both traditional and synthetic securitisations held in the banking book, as defined in Article 242 (10) and (11) of CRR, respectively.
3.7.2.Instructions concerning specific positions
ANNEX II Table 26: rows 1 - 36
101.The CR SEC SA template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives as well as by securitisations and re-securitisations.
102.Total exposures (at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.
3.8.C 13.00 — CREDIT RISK — SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)
3.8.1.General remarks
103.The information in this template is requested for all securitisations in which the reporting institution is involved in a securitisation treated under the Internal Ratings Based Approach.
104.The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.
105.The CR SEC IRB template has the same scope as the CR SEC SA, it gathers joint information on both traditional and synthetic securitisations held in the banking book.
3.8.2.Instructions concerning specific positions
ANNEX II Table 28: rows 1 - 34
106.The CR SEC IRB template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as by risk weight groupings of securitisations and re-securitisations.
107.Total exposures (at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.
3.9.C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)
3.9.1.General remarks
108.This template gathers information on a transaction basis (versus the aggregate information reported in CR SEC SA, CR SEC IRB, MKR SA SEC and MKR SA CTP templates) on all securitisations the reporting institution is involved. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements are requested.
109.This template is to be reported for:
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 of financial liabilities (e.g. covered bonds) issued by the reporting institution.
Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).
110.This template has to be rendered on a consolidated basis, i.e. only by consolidated groups and stand alone institutions(2) located in the same country where they are subject to own funds requirements. In case of securitisations involving more than one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided.
111.On account of Article 406 (1) of CRR, which establishes that institutions investing in securitisation positions shall acquire a great deal of information on them in order to comply with due diligence requirements the reporting scope of the template is applied to a limited extent to investors. In particular, they shall report columns 010-040; 070-110; 160; 190; 290-400; 420-470.
112.Institutions playing the role of original lenders (not performing also the role of originators or sponsors in the same securitisation) shall generally report the template to the same extent as investors.
3.9.2.Instructions concerning specific positions
ANNEX II Table 30: rows 1 - 50
4.OPERATIONAL RISK TEMPLATES
4.1.C 16.00 — OPERATIONAL RISK (OPR)
4.1.1.General Remarks
113.This template provides information on the calculation of own funds requirements according to Articles 312 to 324 of CRR for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA). An institution can not apply TSA and ASA for the business lines retail banking and commercial banking at the same time at solo level
114.Institutions using the BIA, TSA and/or ASA shall calculate their own funds requirement, based on the information at financial year end. When audited figures are not available, institutions may use business estimates. If audited figures are used, institutions shall report the audited figures which should remain unchanged. Deviations from this ‘unchanged’ principle are possible, for instance if during that period the exceptional circumstances, such as recent acquisitions or disposals of entities or activities, are met.
115.If an institution can justify its competent authority that — due to exceptional circumstances such as a merger or a disposal of entities or activities — using a three year average to calculating the relevant indicator would lead to a biased estimation for the own funds requirement for operational risk,, the competent authority may permit the institution to modify the calculation in a way that would take into account such events. Also the competent authority may on its own initiative, require an institution to modify the calculation. Where an institution has been in operation for less than three years it may use forward looking business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as they are available.
116.By columns, this template presents information, for the three most recent years, on the amount of the relevant indicator of the banking activities subject to operational risk and on the amount of loans and advances (the latter only applicable in the case of ASA). Next, information on the amount of own funds requirement for operational risk is reported. If applicable, it must be detailed which part of this amount is due to an allocation mechanism. Regarding AMA, memorandum items are added to present a detail of the effect of the expected loss, diversification and mitigation techniques on own funds requirement for operational risk.
117.By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA.
118.This template shall be submitted by all institutions subject to operational risk own funds requirement.
4.1.2.Instructions concerning specific positions
4.2.C 17.00 — OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS)
4.2.1.General Remarks
119.This template summarises the information on the gross losses registered by an institution in the last year according to event types and business lines, based on the first accounting date of the loss.
120.The information is presented by distributing the gross losses above internal thresholds amongst business lines (as defined in Article 317 of CRR, Table 2 of CRR including the additional business line ‘Corporate items’ as referred to in Article 322 (3) point b) of CRR) and event types (as defined in Article 324 of CRR), being possible that the losses corresponding to one event are distributed amongst several business lines.
121.Columns present the different event types and the totals for each business line, together with a memorandum item that shows the lowest internal threshold applied in the data collection of losses, revealing within each business line the lowest and the highest threshold if there is more than one threshold.
122.Rows present the business lines, and within each business line, information on the number of events, the amount of the total loss, the maximum single loss and the sum of the five largest losses (regardless the number of losses).
123.This template shall be reported by institutions using AMA or TSA/ASA for the calculation of their own funds requirements.
124.Institutions subject to Article 5 point (b) (2) ii may only report the following information for the sum of all event types (column 080) of the OPR Details template:
Number of events (row 910),
Total loss amount (row 920),
Maximum single loss (row 930) and
Sum of the five largest losses (row 940).
4.2.2.Instructions concerning specific positions
5.MARKET RISK TEMPLATES
125.These instructions refer to the templates reporting of the calculation of own funds requirements according to the standardised approach for foreign exchange risk (MKR SA FX), commodities risk (MKR SA COM) interest rate risk (MKR SA TDI, MKR SA SEC, MKR SA CTP) and equity risk (MKR SA EQU). Additionally, instructions for the template reporting of the calculation of own funds requirements according to the internal models approach (MKR IM) are included in this part.
126.The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components in order to calculate the capital required against it. The first shall be its specific-risk component — this is the risk of a price change in the instrument concerned due to factors related to its issuer or, in the case of a derivative, the issuer of the underlying instrument. The second component shall cover its general risk — this is the risk of a price change in the instrument due (in the case of a traded debt instrument or debt derivative) to a change in the level of interest rates or (in the case of an equity or equity derivative) to a broad equity- market movement unrelated to any specific attributes of individual securities. The general treatment of specific instruments and netting procedures can be found in Articles 326 to 333 of CRR.
5.1.C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
5.1.1.General Remarks
127.This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the standardised approach (Articles 102 and 105 (1) of CRR). The different risks and methods available under the CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP only has to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {325;060} (securitisations) and {330;060} (CTP) respectively.
128.The template has to be filled out separately for the ‘Total’, plus a pre-defined list of following currencies: EUR, ALL, BGN, CZK, DKK, EGP, GBP, HUF, ISK, JPY, LVL, LTL, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.
5.1.2.Instructions concerning specific positions
5.2.C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
5.2.1.General Remarks
129.This template requests information on positions (all/net and long/short) and the related own funds requirements for the specific risk component of position risk in securitisations/ re-securitisations held in the trading book (not eligible for correlation trading portfolio) under the standardised approach.
130.The MKR SA SEC template determines the own funds requirement only for the specific risk of securitisation positions according to Articles 335 in connection with 337 CRR. If securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.
131.Positions which receive a risk weight of 1.250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.
5.2.2.Instructions concerning specific positions
5.3.C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
5.3.1.General Remarks
132.This template requests information on positions of the CTP (comprising securitisations, nth-to-default credit derivatives and other CTP positions included according to Article 338 (3)) and the corresponding own funds requirements under the standardised approach.
133.The MKR SA CTP template determines the own funds requirement only for the specific risk of positions assigned to the Correlation Trading Portfolio according to Articles 335 in connection with 338 (2) and (3) of CRR. If CTP- positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all CTP-positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.
134.This structure of the template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. As a result, securitisation positions shall always be reported in rows 030, 060 or 090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in line 110. The ‘other CTP-positions’ are neither securitisation positions nor n-th to default credit derivatives (see definition in Article 338 (3) CRR), but they are explicitly ‘linked’ (because of the hedging intent) to one of these two positions. That is why they are assigned either under the sub-heading ‘securitisation’ or ‘n-th to default credit derivative’.
135.Positions which receive a risk weight of 1.250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.
5.3.2.Instructions concerning specific positions
5.4.C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
5.4.1.General Remarks
136.This template requests information on the positions and the corresponding own funds requirements for position risk in equities held in the trading book and treated under the standardised approach.
137.The template has to be filled out separately for the ‘Total’, plus a static, pre-defined list of following markets: Austria, Belgium, Bulgaria, Cyprus, Czech Republic, Denmark, Estonia, Egypt, Finland, France, Germany, Greece, Hungary, Iceland, Ireland, Italy, Latvia, Lithuania, Liechtenstein, Luxembourg, Malta, Netherlands, Norway, Poland, Portugal, Romania, Slovakia, Slovenia, Spain, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA plus one residual template for all other markets. For the purpose of this reporting requirement the term ‘market’ shall be read as ‘country’.
5.4.2.Instructions concerning specific positions
5.5.C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
5.5.1.General Remarks
138.This template request information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange and treated under the standardised approach. The position is calculated for each currency (including euro), gold, and positions to CIUs.
139.The memorandum items of the template shall be filled out separately for All currencies of the member states of the European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.
5.5.2.Instructions concerning specific positions
5.6.C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
5.6.1.General Remarks
140.This template request information on the positions in commodities and the corresponding own funds requirements treated under the standardised approach.
5.6.2.Instructions concerning specific positions
5.7.C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM)
5.7.1.General Remarks
141.This template provides a breakdown of VaR and stressed VaR (sVaR) figures according to the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements.
142.Generally the reporting depends on the structure of the model of the institutions whether they report the figures for general and specific risk separately or together. The same holds true for the decomposition of the VAR /Stress-Var into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution can resign to report the decompositions mentioned above if it proves that a reporting of these figures would be unduly burdensome.
5.7.2.Instructions concerning specific positions
5.8.C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA)
5.8.1.Instructions concerning specific positions
ANNEX IIIREPORTING FINANCIAL INFORMATION ACCORDING TO IFRS
ANNEX III Table 1: rows 1 - 87
1. Balance Sheet Statement [Statement of Financial Position]
1.1 Assets
ANNEX III Table 2: rows 1 - 40
1.2 Liabilities
ANNEX III Table 3: rows 1 - 32
1.3 Equity
ANNEX III Table 4: rows 1 - 37
2. Statement of profit or loss
ANNEX III Table 5: rows 1 - 71
3. Statement of comprehensive income
ANNEX III Table 6: rows 1 - 38
4. Breakdown of financial assets by instrument and by counterparty sector
4.1 Financial assets held for trading
ANNEX III Table 7: rows 1 - 21
4.2 Financial assets designated at fair value through profit or loss
ANNEX III Table 8: rows 1 - 22
4.3 Available-for-sale financial assets
ANNEX III Table 9: rows 1 - 22
4.4 Loans and receivables and held-to-maturity investments
ANNEX III Table 10: rows 1 - 31
4.5 Subordinated financial assets
| References | Carrying amount | ||
|---|---|---|---|
| 010 | |||
| 010 | Loans and advances | Annex V.Part 1.24, 27 | |
| 020 | Debt securities | Annex V.Part 1.24, 26 | |
| 030 | SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS | Annex V.Part 2.40, 54 | |
5. Breakdown of Loan and advances by product
ANNEX III Table 12: rows 1 - 16
6. Breakdown of loans and advances to non-financial corporations by NACE codes
ANNEX III Table 13: rows 1 - 23
7. Financial assets subject to impairment that are past due or impaired
ANNEX III Table 14: rows 1 - 36
8. Breakdown of financial liabilities
8.1 Breakdown of financial liabilities by product and by counterparty sector
ANNEX III Table 15: rows 1 - 49
8.2. Subordinated financial liabilities
| Carriyng amount | ||||
|---|---|---|---|---|
| References | Designated at fair value through profit or loss | At amortized cost | ||
| IFRS 7.8(e)(i); IAS 39.9 | IFRS 7.8(f); IAS 39.47 | |||
| 010 | 020 | |||
| 010 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ||
| 020 | Debt securities issued | Annex V.Part 1.31 | ||
| 030 | SUBORDINATED FINANCIAL LIABILITIES | Annex V.Part 2.53-54 | ||
9. Loan commitments, financial guarantees and other commitments
9.1 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
ANNEX III Table 17: rows 1 - 27
9.2 Loan commitments, financial guarantees and other commitments received
ANNEX III Table 18: rows 1 - 24
10. Derivatives - Trading
ANNEX III Table 19: rows 1 - 36
11. Derivatives - Hedge accounting
11.1 Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge
ANNEX III Table 20: rows 1 - 57
12. Movements in allowances for credit losses and impairment of equity instruments
ANNEX III Table 21: rows 1 - 36
13. Collateral and guarantees received
13.1 Breakdown of loans and advances by collateral and guarantees
ANNEX III Table 22: rows 1 - 9
13.2 Collateral obtained by taking possession during the period [held at the reporting date]
| References | Carrying amount | ||
|---|---|---|---|
| 010 | |||
| 010 | Non-current assets held-for-sale | IFRS 7.38(a) | |
| 020 | Property, plant and equipment | IFRS 7.38(a) | |
| 030 | Investment property | IFRS 7.38(a) | |
| 040 | Equity and debt instruments | IFRS 7.38(a) | |
| 050 | Other | IFRS 7.38(a) | |
| 060 | Total | ||
13.3 Collateral obtained by taking possession [tangible assets] accumulated
| References | Carrying amount | ||
|---|---|---|---|
| 010 | |||
| 010 | Foreclosure [tangible assets] | IFRS 7.38(a); Annex V.Part 2.84 | |
14. Fair value hierachy: financial instruments at fair value
ANNEX III Table 25: rows 1 - 31
15. Derecognition and financial liabilities associated with transferred financial assets
ANNEX III Table 26: rows 1 - 24
16. Breakdown of selected statement of profit or loss items
16.1 Interest income and expenses by instrument and counterparty sector
ANNEX III Table 27: rows 1 - 31
16.2 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument
| References | Current period | ||
|---|---|---|---|
| 010 | |||
| 010 | Equity instruments | IAS 32.11 | |
| 020 | Debt securities | Annex V.Part 1.26 | |
| 030 | Loans and advances | Annex V.Part 1.27 | |
| 040 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | |
| 050 | Debt securities issued | Annex V.Part 1.31 | |
| 060 | Other financial liabilities | Annex V.Part 1.32-34 | |
| 070 | GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET | IFRS 7.20(a)(v-vii); IAS 39.55(a) | |
16.3 Gains or losses on financial assets and liabilities held for trading by instrument
| References | Current period | ||
|---|---|---|---|
| 010 | |||
| 010 | Derivatives | IAS 39.9 | |
| 020 | Equity instruments | IAS 32.11 | |
| 030 | Debt securities | Annex V.Part 1.26 | |
| 040 | Loans and advances | Annex V.Part 1.27 | |
| 050 | Short positions | IAS 39 AG 15(b) | |
| 060 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | |
| 070 | Debt securities issued | Annex V.Part 1.31 | |
| 080 | Other financial liabilities | Annex V.Part 1.32-34 | |
| 090 | GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET | IFRS 7.20(a)(i) | |
16.4. Gains or losses on financial assets and liabilities held for trading by risk
| References | Current period | ||
|---|---|---|---|
| 010 | |||
| 010 | Interest rate instruments and related derivatives | Annex V.Part 2.99(a) | |
| 020 | Equity instruments and related derivatives | Annex V.Part 2.99(b) | |
| 030 | Foreign exchange trading and derivatives related with foreign exchange and gold | Annex V.Part 2.99(c) | |
| 040 | Credit risk instruments and related derivatives | Annex V.Part 2.99(d) | |
| 050 | Derivatives related with commodities | Annex V.Part 2.99(e) | |
| 060 | Other | Annex V.Part 2.99(f) | |
| 070 | GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET | IFRS 7.20(a)(i) | |
16.5 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument
| References | Current period | Accumulated changes in fair value due to credit risk | ||
|---|---|---|---|---|
| Annex V.Part 2.100 | ||||
| 010 | 020 | |||
| 010 | Equity instruments | IAS 32.11 | ||
| 020 | Debt securities | Annex V.Part 1.26 | ||
| 030 | Loans and advances | Annex V.Part 1.27 | ||
| 040 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | ||
| 050 | Debt securities issued | Annex V.Part 1.31 | ||
| 060 | Other financial liabilities | Annex V.Part 1.32-34 | ||
| 070 | GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET | IFRS 7.20(a)(i) | ||
16.6 Gains or losses from hedge accounting
| References | Current period | ||
|---|---|---|---|
| 010 | |||
| 010 | Fair value changes of the hedging instrument [including discontinuation] | IFRS 7.24(a)(i) | |
| 020 | Fair value changes of the hedged item attributable to the hedged risk | IFRS 7.24(a)(ii) | |
| 030 | Ineffectiveness in profit or loss from cash flow hedges | IFRS 7.24(b) | |
| 040 | Ineffectiveness in profit or loss from hedges of net investments in foreign operations | IFRS 7.24(c) | |
| 050 | GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET | IFRS 7.24 | |
16.7 Impairment on financial and non-financial assets
ANNEX III Table 33: rows 1 - 19
17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet
17.1 Assets
ANNEX III Table 34: rows 1 - 39
17.2 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
| References | Accounting scope of consolidation [Nominal amount] | ||
|---|---|---|---|
| 010 | |||
| 010 | Loan commitments given | IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57 | |
| 020 | Financial guarantees given | IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58 | |
| 030 | Other Commitments given | CRR Annex I; Annex V.Part 2.56, 59 | |
| 040 | OFF-BALANCE SHEET EXPOSURES | ||
17.3 Liabilities and equity
ANNEX III Table 36: rows 1 - 41
18. Performing and non-performing exposures
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
19. Forborne exposures
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
20. Geographical breakdown
20.1 Geographical breakdown of assets by location of the activities
ANNEX III Table 37: rows 1 - 36
20.2 Geographical breakdown of liabilities by location of the activities
ANNEX III Table 38: rows 1 - 26
20.3 Geographical breakdown of statement of profit or loss items by location of the activities
ANNEX III Table 39: rows 1 - 34
20.4 Geographical breakdown of assets by residence of the counterparty
ANNEX III Table 40: rows 1 - 28
20.5 Geographical breakdown of off-balance sheet exposures by residence of the counterparty
| z-axis | Country of residence of the counterparty | ||||
|---|---|---|---|---|---|
| References | Nominal amount | of which: defaulted | Provisions for commitments and guarantees given | ||
| Annex V.Part 2.62 | Annex V.Part 2.61 | ||||
| 010 | 020 | 030 | |||
| 010 | Loan commitments given | IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57 | |||
| 020 | Financial guarantees given | IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58 | |||
| 030 | Other Commitments given | CRR Annex I; Annex V.Part 2.56, 59 | |||
20.6 Geographical breakdown of liabilities by residence of the counterparty
ANNEX III Table 42: rows 1 - 17
20.7 Breakdown of loans and advances to non-financial corporations by NACE codes and by residence of the counterparty
ANNEX III Table 43: rows 1 - 24
21. Tangible and intangible assets: assets subject to operating lease
| References | Carrying amount | ||
|---|---|---|---|
| Annex V.Part 2.110-111 | |||
| 010 | |||
| 010 | Property plant and equipment | IAS 16.6; IAS 1.54(a) | |
| 020 | Revaluation model | IAS 17.49; IAS 16.31, 73(a)(d) | |
| 030 | Cost model | IAS 17.49; IAS 16.30, 73(a)(d) | |
| 040 | Investment property | IAS 40.IN5; IAS 1.54(b) | |
| 050 | Fair value model | IAS 17.49; IAS 40.33-55, 76 | |
| 060 | Cost model | IAS 17.49; IAS 40.56,79(c) | |
| 070 | Other intangible assets | IAS 38.8, 118 | |
| 080 | Revaluation model | IAS 17.49; IAS 38.75-87, 124(a)(ii) | |
| 090 | Cost model | IAS 17.49; IAS 38.74 | |
22. Asset management, custody and other service functions
22.1 Fee and commission income and expenses by activity
ANNEX III Table 45: rows 1 - 31
22.2 Assets involved in the services provided
ANNEX III Table 46: rows 1 - 19
30. Off-balance sheet activities: Interests in unconsolidated structured entities
30.1 Interests in unconsolidated structured entities
| References | Carrying amount of financialassets recognisedin the balance sheet | Of which: liquidity support drawn | Fair value of liquidity support drawn | Carrying amount of financialliabilities recognisedin the balance sheet | Nominal amount of off-balance sheetitems given by thereporting–institution | Of which: Nominal amount ofloan commitments given | Losses incurred by the reportinginstitution in the current period | ||
|---|---|---|---|---|---|---|---|---|---|
| IFRS 12.29(a) | IFRS 12.29(a); Annex V.Part 2.118 | IFRS 12.29(a) | IFRS 12.B26(e) | IFRS 12 B26(b) | |||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | |||
| 010 | Total | ||||||||
30.2 Breakdown of interests in unconsolidated structured entities by nature of the activities
ANNEX III Table 48: rows 1 - 18
31. Related parties
31.1 Related parties: amounts payable to and amounts receivable from
ANNEX III Table 49: rows 1 - 17
31.2 Related parties: expenses and income generated by transactions with
ANNEX III Table 50: rows 1 - 12
40. Group structure
40.1 Group structure: ”entity-by-entity”
ANNEX III Table 51: rows 1 - 4
40.2 Group structure: ”instrument-by-instrument”
| Security code | Entity code | Holding company LEI code | Holding company code | Holding company name | Accumulated equity interest (%) | Carrying amount | Acquisition cost |
|---|---|---|---|---|---|---|---|
| Annex V.Part 2.125(a) | Annex V.Part 2.124(b), 125(c) | Annex V.Part 2.125(b) | Annex V.Part 2.124(j), 125(c) | Annex V.Part 2.124(o), 125(c) | Annex V.Part 2.124(p), 125(c) | ||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 |
41. Fair value
41.1 Fair value hierarchy: financial instruments at amortised cost
ANNEX III Table 53: rows 1 - 14
41.2 Use of the Fair Value Option
ANNEX III Table 54: rows 1 - 13
41.3 Hybrid financial instruments not designated at fair value through profit or loss
| Rest of separable hybrid contracts [not designated at fair value through profit or loss] | References | Carrying amount | |
|---|---|---|---|
| FINANCIAL ASSETS | 010 | ||
| 010 | Financial assets held for trading | IAS 39.9; Annex V.Part 2.129 | |
| 020 | Available-for-sale [Host contracts] | IAS 39.11; Annex V.Part 2.130 | |
| 030 | Loans and receivables [Host contracts] | IAS 39.11; Annex V.Part 2.130 | |
| 040 | Held-to-maturity investments [Host contracts] | IAS 39.11; Annex V.Part 2.130 | |
| FINANCIAL LIABILITES | |||
| 050 | Financial liabilities held for trading | IAS 39.9; Annex V.Part 2.129 | |
| 060 | Financial liabilities measured at amortized cost [Host contracts] | IAS 39.11; Annex V.Part 2.130 | |
42. Tangible and intangible assets: carrying amount by measurement method
| References | Carrying amount | ||
|---|---|---|---|
| 010 | |||
| 010 | Property plant and equipment | IAS 16.6; IAS 16.29; IAS 1.54(a) | |
| 020 | Revaluation model | IAS 16.31, 73(a),(d) | |
| 030 | Cost model | IAS 16.30, 73(a),(d) | |
| 040 | Investment property | IAS 40.5, 30; IAS 1.54(b) | |
| 050 | Fair value model | IAS 40,33-55, 76 | |
| 060 | Cost model | IAS 40.56, 79(c) | |
| 070 | Other intangible assets | IAS 38.8, 118, 122 ; Annex V.Part 2.132 | |
| 080 | Revaluation model | IAS 38.75-87, 124(a)(ii) | |
| 090 | Cost model | IAS 38.74 | |
43. Provisions
ANNEX III Table 57: rows 1 - 11
44. Defined benefit plans and employee benefits
44.1 Components of net defined benefit plan assets and liabilities
| References | Amount | ||
|---|---|---|---|
| 010 | |||
| 010 | Fair value of defined benefit plan assets | IAS 19.140(a)(i), 142 | |
| 020 | Of which: Financial instruments issued by the institution | IAS 19.143 | |
| 030 | Equity instruments | IAS 19.142(b) | |
| 040 | Debt instruments | IAS 19.142(c) | |
| 050 | Real estate | IAS 19.142(d) | |
| 060 | Other defined benefit plan assets | ||
| 070 | Present value of defined benefit obligations | IAS 19.140(a)(ii) | |
| 080 | Effect of the asset ceiling | IAS 19.140(a)(iii) | |
| 090 | Net defined benefit assets [Carrying amount] | IAS 19.63; Annex V.Part 2.136 | |
| 100 | Provisions for pensions and other post-employment defined benefit obligations [Carrying amount] | IAS 19.63, IAS 1.78(d); Annex V.Part 2.7 | |
| 110 | Memo item: Fair value of any right to reimbursement recognised as an asset | IAS 19.140(b) | |
44.2 Movements in defined benefit obligations
ANNEX III Table 59: rows 1 - 14
44.3 Memo items [related to staff expenses]
| References | Current period | ||
|---|---|---|---|
| 010 | |||
| 010 | Pension and similar expenses | Annex V.Part 2.139(a) | |
| 020 | Share based payments | IFRS 2.44; Annex V.Part 2.139(b) | |
45. Breakdown of selected items of statement of profit or loss
45.1 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio
| References | Current period | Changes in fair value due to credit risk | ||
|---|---|---|---|---|
| 010 | 020 | |||
| 010 | Financial assets designated at fair value through profit or loss | IFRS 7.20(a)(i); IAS 39.55(a) | ||
| 020 | Financial liabilities designated at fair value through profit or loss | IFRS 7.20(a)(i); IAS 39.55(a) | ||
| 030 | GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS | IFRS 7.20(a)(i) | ||
45.2 Gains or losses on derecognition of non-financial assets other than held for sale
| References | Current period | ||
|---|---|---|---|
| 010 | |||
| 020 | Investment property | IAS 40.69; IAS 1.34(a), 98(d) | |
| 030 | Intangible assets | IAS 38.113-115A; IAS 1.34(a) | |
| 040 | Other assets | IAS 1.34 (a) | |
| 050 | GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS | IAS 1.34 | |
45.3 Other operating income and expenses
| References | Income | Expenses | ||
|---|---|---|---|---|
| 010 | 020 | |||
| 010 | Changes in fair value in tangible assets measured using the fair value model | IAS 40.76(d); Annex V.Part 2.141 | ||
| 020 | Investment property | IAS 40.75(f); Annex V.Part 2.141 | ||
| 030 | Operating leases other than investment property | IAS 17.50, 51, 56(b); Annex V.Part 2.142 | ||
| 040 | Other | Annex V.Part 2.143 | ||
| 050 | OTHER OPERATING INCOME OR EXPENSES | Annex V.Part 2.141-142 | ||
46. Statement of changes in equity
ANNEX III Table 64: rows 1 - 25
ANNEX IVREPORTING FINANCIAL INFORMATION ACCORDING TO NATIONAL ACCOUNTING FRAMEWORKS
ANNEX IV Table 1: rows 1 - 96
1. Balance Sheet Statement [Statement of Financial Position]
1.1 Assets
ANNEX IV Table 2: rows 1 - 60
1.2 Liabilities
ANNEX IV Table 3: rows 1 - 43
1.3 Equity
ANNEX IV Table 4: rows 1 - 48
2. Statement of profit or loss
ANNEX IV Table 5: rows 1 - 79
3. Statement of comprehensive income
ANNEX IV Table 6: rows 1 - 38
4. Breakdown of financial assets by instrument and by counterparty sector
4.1 Financial assets held for trading
ANNEX IV Table 7: rows 1 - 21
4.2 Financial assets designated at fair value through profit or loss
ANNEX IV Table 8: rows 1 - 22
4.3 Available-for-sale financial assets
ANNEX IV Table 9: rows 1 - 22
4.4 Loans and receivables and held-to-maturity investments
ANNEX IV Table 10: rows 1 - 32
4.5 Subordinated financial assets
| References National GAAP based on BAD | References National GAAP compatible IFRS | Carrying amount | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | |
| 020 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | |
| 030 | SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS | Annex V.Part 2.40, 54 | Annex V.Part 2.40, 54 | |
4.6 Trading Financial assets
ANNEX IV Table 12: rows 1 - 21
4.7 Non-trading non-derivative financial assets measured at fair value through profit or loss
ANNEX IV Table 13: rows 1 - 22
4.8 Non-trading non-derivative financial assets measured at fair value to equity
ANNEX IV Table 14: rows 1 - 22
4.9 Non-trading debt instruments measured at a cost-based method
ANNEX IV Table 15: rows 1 - 17
4.10 Other non-trading non-derivative financial assets
ANNEX IV Table 16: rows 1 - 21
5. Breakdown of Loan and advances by product
ANNEX IV Table 17: rows 1 - 17
6. Breakdown of loans and advances to non-financial corporations
ANNEX IV Table 18: rows 1 - 24
7. Financial assets subject to impairment that are past due or impaired
ANNEX IV Table 19: rows 1 - 37
8. Breakdown of financial liabilities
8.1 Breakdown of financial liabilities by product and by counterparty sector
ANNEX IV Table 20: rows 1 - 50
8.2 Subordinated financial liabilities
| References National GAAP | References National GAAP compatible IFRS | Carriyng amount | ||||
|---|---|---|---|---|---|---|
| Designated at fair value through profit or loss | At amortized cost | At a cost-based method | ||||
| IFRS 7.8(e)(i); IAS 39.9 | IFRS 7.8(f); IAS 39.47 | |||||
| 4th Directive art 42a(1), (5a); IAS 39.9 | 4th Directive art 42a(3), (5a); IAS 39.47 | 4th Directive art 42a(3) | ||||
| 010 | 020 | 030 | ||||
| 010 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | |||
| 020 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | |||
| 030 | SUBORDINATED FINANCIAL LIABILITIES | Annex V.Part 2.53-54 | Annex V.Part 2.53-54 | |||
9. Loan commitments, financial guarantees and other commitments
9.1 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
ANNEX IV Table 22: rows 1 - 28
9.2 Loan commitments, financial guarantees and other commitments received
ANNEX IV Table 23: rows 1 - 25
10. Derivatives - Trading
ANNEX IV Table 24: rows 1 - 37
11. Derivatives - Hedge accounting
11.1 Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge
ANNEX IV Table 25: rows 1 - 57
11.2 Derivatives - Hedge accounting under National GAAP: Breakdown by type of risk
ANNEX IV Table 26: rows 1 - 30
12. Movements in allowances for credit losses and impairment of equity instruments
ANNEX IV Table 27: rows 1 - 57
13. Collateral and guarantees received
13.1 Breakdown of loans and advances by collateral and guarantees
ANNEX IV Table 28: rows 1 - 9
13.2 Collateral obtained by taking possession during the period [held at the reporting date]
| References National GAAP based on BAD | References National GAAP compatible IFRS | Carrying amount | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Non-current assets held-for-sale | IFRS 7.38(a) | ||
| 020 | Property, plant and equipment | IFRS 7.38(a) | ||
| 030 | Investment property | IFRS 7.38(a) | ||
| 040 | Equity and debt instruments | IFRS 7.38(a) | ||
| 050 | Other | IFRS 7.38(a) | ||
| 060 | Total | |||
13.3 Collateral obtained by taking possession [tangible assets] accumulated
| References National GAAP based on BAD | References National GAAP compatible IFRS | Carrying amount | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Foreclosure [tangible assets] | Annex V.Part 2.84 | IFRS 7.38(a); Annex V.Part 2.84 | |
14. Fair value hierachy: financial instruments at fair value
ANNEX IV Table 31: rows 1 - 31
15. Derecognition and financial liabilities associated with transferred financial assets
ANNEX IV Table 32: rows 1 - 44
16. Breakdown of selected statement of profit or loss items
16.1 Interest income and expenses by instrument and counterparty sector
ANNEX IV Table 33: rows 1 - 31
16.2 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | |
| 020 | Debt securities | Annex V.Part 1.26 | Annex V.Part 1.26 | |
| 030 | Loans and advances | Annex V.Part 1.27 | Annex V.Part 1.27 | |
| 040 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | ECB/2008/32 Annex 2.Part 2.9 | |
| 050 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | |
| 060 | Other financial liabilities | Annex V.Part 1.32-34 | Annex V.Part 1.32-34 | |
| 070 | GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET | BAD art 27.Vertical layout(6) | IFRS 7.20(a)(v-vii); IAS 39.55(a) | |
16.3 Gains or losses on financial assets and liabilities held for trading by instrument
ANNEX IV Table 35: rows 1 - 20
16.4 Gains or losses on financial assets and liabilities held for trading by risk
ANNEX IV Table 36: rows 1 - 16
16.5 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument
ANNEX IV Table 37: rows 1 - 17
16.6 Gains or losses from hedge accounting
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Fair value changes of the hedging instrument [including discontinuation] | 4th Directive art 42a(1), (5a); art 42c(1)(a) | IFRS 7.24(a)(i) | |
| 020 | Fair value changes of the hedged item attributable to the hedged risk | 4th Directive art 42a(1), (5a); art 42c(1)(a) | IFRS 7.24(a)(ii) | |
| 030 | Ineffectiveness in profit or loss from cash flow hedges | 4th Directive art 42a(1), (5a); art 42c(1)(a) | IFRS 7.24(b) | |
| 040 | Ineffectiveness in profit or loss from hedges of net investments in foreign operations | 4th Directive art 42a(1), (5a); art 42c(1)(a) | IFRS 7.24(c) | |
| 050 | GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET | 4th Directive art 42a(1), (5a), art 42c(1)(a) | IFRS 7.24 | |
16.7 Impairment on financial and non-financial assets
ANNEX IV Table 39: rows 1 - 19
17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet
17.1 Assets
ANNEX IV Table 40: rows 1 - 59
17.2 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
| References National GAAP based on BAD | References National GAAP compatible IFRS | Accounting scope of consolidation [Nominal amount] | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Loan commitments given | CRR Annex I; Annex V.Part 2.56, 57 | IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57 | |
| 020 | Financial guarantees given | CRR Annex I; Annex V.Part 2.56, 58 | IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58 | |
| 030 | Other Commitments given | CRR Annex I; Annex V.Part 2.56, 59 | CRR Annex I; Annex V.Part 2.56, 59 | |
| 040 | OFF-BALANCE SHEET EXPOSURES | |||
17.3 Liabilities and equity
ANNEX IV Table 42: rows 1 - 53
18. Performing and non-performing exposures
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
19. Forborne exposures
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
20. Geographical breakdown
20.1 Geographical breakdown of assets by location of the activities
ANNEX IV Table 43: rows 1 - 56
20.2 Geographical breakdown of liabilities by location of the activities
ANNEX IV Table 44: rows 1 - 36
20.3 Geographical breakdown of statement of profit or loss items by location of the activities
ANNEX IV Table 45: rows 1 - 38
20.4 Geographical breakdown of assets by residence of the counterparty
20.5 Geographical breakdown of off-balance sheet exposures by residence of the counterparty
z-axis
Country of residence of the counterparty
| References National GAAP based on BAD | References National GAAP compatible IFRS | Nominal amount | of which: defaulted | Provisions for commitments and guarantees given | ||
|---|---|---|---|---|---|---|
| Annex V.Part 2.62 | Annex V.Part 2.61 | |||||
| 010 | 020 | 030 | ||||
| 010 | Loan commitments given | CRR Annex I; Annex V.Part 2.56, 57 | IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57 | |||
| 020 | Financial guarantees given | CRR Annex I; Annex V.Part 2.56, 58 | IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58 | |||
| 030 | Other Commitments given | CRR Annex I; Annex V.Part 2.56, 59 | CRR Annex I; Annex V.Part 2.56, 59 | |||
20.6 Geographical breakdown of liabilities by residence of the counterparty
20.7 Breakdown of loans and advances to non-financial corporations by NACE codes and by residence of the counterparty
21. Tangible and intangible assets: assets subject to operating lease
ANNEX IV Table 50: rows 1 - 12
22. Asset management, custody and other service functions
22.1 Fee and commission income and expenses by activity
ANNEX IV Table 51: rows 1 - 31
22.2 Assets involved in the services provided
ANNEX IV Table 52: rows 1 - 19
30. Off-balance sheet activities: Interests in unconsolidated structured entities
30.1 Interests in unconsolidated structured entities
| References National GAAP compatible IFRS | Carrying amount of financial assets recognised in the balance sheet | Of which: liquidity support drawn | Fair value of liquidity support drawn | Carrying amount of financial liabilities recognised in the balance sheet | Nominal amount of off-balance sheet items given by the reporting-institution | Of which: Nominal amount of loan commitments given | Losses incurred by the reporting institution in the current period | |||
|---|---|---|---|---|---|---|---|---|---|---|
| IFRS 12.29(a) | IFRS 12.29(a); Annex V.Part 2.118 | IFRS 12.29(a) | IFRS 12.B26(e) | IFRS 12 B26(b) | ||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | ||||
| 010 | Total | |||||||||
30.2 Breakdown of interests in unconsolidated structured entities by nature of the activities
ANNEX IV Table 54: rows 1 - 18
31. Related parties
31.1 Related parties: amounts payable to and amounts receivable from
ANNEX IV Table 55: rows 1 - 18
31.2 Related parties: expenses and income generated by transactions with
ANNEX IV Table 56: rows 1 - 13
40. Group structure
40.1 Group structure: ‘entity-by-entity’
ANNEX IV Table 57: rows 1 - 5
40.2. Group structure: ‘instrument-by-instrument’
| Security code | Entity code | Holding company LEI code | Holding company code | Holding company name | Accumulated equity interest (%) | Carrying amount | Acquisition cost |
|---|---|---|---|---|---|---|---|
| Annex V.Part 2.125(a) | Annex V.Part 2.124(b), 125(c) | Annex V.Part 2.125(b) | Annex V.Part 2.124(j), 125(c) | Annex V.Part 2.124(o), 125(c) | Annex V.Part 2.124(p), 125(c) | ||
| Annex V.Part 2.125(a) | Annex V.Part 2.124(b), 125(c) | Annex V.Part 2.125(b) | Annex V.Part 2.124(j), 125(c) | Annex V.Part 2.124(o), 125(c) | Annex V.Part 2.124(p), 125(c) | ||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 |
41. Fair value
41.1 Fair value hierarchy: financial instruments at amortised cost
ANNEX IV Table 59: rows 1 - 14
41.2 Use of the Fair Value Option
ANNEX IV Table 60: rows 1 - 13
41.3 Hybrid financial instruments not designated at fair value through profit or loss
| Rest of separable hybrid contracts [not designated at fair value through profit or loss] | References National GAAP based on BAD | References National GAAP compatible IFRS | Carrying amount | |
|---|---|---|---|---|
| FINANCIAL ASSETS | 010 | |||
| 010 | Financial assets held for trading | 4th Directive art 42a(4)(b),(5a); IAS 39.9; Annex V.Part 2.129 | IAS 39.9; Annex V.Part 2.129 | |
| 020 | Available-for-sale [Host contracts] | 4th Directive art 42a(4)(b),(5a); IAS 39.11; Annex V.Part 2.130 | IAS 39.11; Annex V.Part 2.130 | |
| 030 | Loans and receivables [Host contracts] | 4th Directive art 42a(4)(b),(5a); IAS 39.11; Annex V.Part 2.130 | IAS 39.11; Annex V.Part 2.130 | |
| 040 | Held-to-maturity investments [Host contracts] | 4th Directive art 42a(4)(b),(5a); IAS 39.11; Annex V.Part 2.130 | IAS 39.11; Annex V.Part 2.130 | |
| FINANCIAL LIABILITES | ||||
| 050 | Financial liabilities held for trading | 4th Directive art 42a(4)(b), (5a); IAS 39.9; Annex V.Part 2.129 | IAS 39.9; Annex V.Part 2.129 | |
| 060 | Financial liabilities measured at amortized cost [Host contracts] | 4th Directive art 42a(4)(b), (5a); IAS 39.9; Annex V.Part 2.130 | IAS 39.11; Annex V.Part 2.130 | |
42. Tangible and intangible assets: carrying amount by measurement method
| References National GAAP compatible IFRS | Carrying amount | ||
|---|---|---|---|
| 010 | |||
| 010 | Property plant and equipment | IAS 16.6; IAS 16.29; IAS 1.54(a) | |
| 020 | Revaluation model | IAS 16.31, 73(a),(d) | |
| 030 | Cost model | IAS 16.30, 73(a),(d) | |
| 040 | Investment property | IAS 40.5, 30; IAS 1.54(b) | |
| 050 | Fair value model | IAS 40,33-55, 76 | |
| 060 | Cost model | IAS 40.56, 79(c) | |
| 070 | Other intangible assets | IAS 38.8, 118, 122 ; Annex V.Part 2.132 | |
| 080 | Revaluation model | IAS 38.75-87, 124(a)(ii) | |
| 090 | Cost model | IAS 38.74 | |
43. Provisions
ANNEX IV Table 63: rows 1 - 12
44 Defined benefit plans and employee benefits
44.1 Components of net defined benefit plan assets and liabilities
| References National GAAP compatible IFRS | Amount | ||
|---|---|---|---|
| 010 | |||
| 010 | Fair value of defined benefit plan assets | IAS 19.140(a)(i), 142 | |
| 020 | Of which: Financial instruments issued by the institution | IAS 19.143 | |
| 030 | Equity instruments | IAS 19.142(b) | |
| 040 | Debt instruments | IAS 19.142(c) | |
| 050 | Real estate | IAS 19.142(d) | |
| 060 | Other defined benefit plan assets | ||
| 070 | Present value of defined benefit obligations | IAS 19.140(a)(ii) | |
| 080 | Effect of the asset ceiling | IAS 19.140(a)(iii) | |
| 090 | Net defined benefit assets [Carrying amount] | IAS 19.63; Annex V.Part 2.136 | |
| 100 | Provisions for pensions and other post-employment defined benefit obligations [Carrying amount] | IAS 19.63, IAS 1.78(d); Annex V.Part 2.7 | |
| 110 | Memo item: Fair value of any right to reimbursement recognised as an asset | IAS 19.140(b) | |
44.2 Movements in defined benefit obligations
ANNEX IV Table 65: rows 1 - 14
44.3 Memo items [related to staff expenses]
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Pension and similar expenses | Annex V.Part 2.139(a) | Annex V.Part 2.139(a) | |
| 020 | Share based payments | Annex V.Part 2.139b) | IFRS 2.44; Annex V.Part 2.139(b) | |
45 Breakdown of selected items of statement of profit or loss
45.1 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | Changes in fair value due to credit risk | ||
|---|---|---|---|---|---|
| 010 | 020 | ||||
| 010 | Financial assets designated at fair value through profit or loss | 4th Directive art 42a(1),(5a); IAS 39.9 | IFRS 7.20(a)(i); IAS 39.55(a) | ||
| 020 | Financial liabilities designated at fair value through profit or loss | 4th Directive art 42a(1),(5a); IAS 39.9 | IFRS 7.20(a)(i); IAS 39.55(a) | ||
| 030 | GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS | BAD art 27.Vertical layout(6) | IFRS 7.20(a)(i) | ||
45.2 Gains or losses on derecognition of non-financial assets other than held for sale
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | ||
|---|---|---|---|---|
| 010 | ||||
| 020 | Investment property | IAS 40.69; IAS 1.34(a), 98(d) | ||
| 030 | Intangible assets | IAS 38.113-115A; IAS 1.34(a) | ||
| 040 | Other assets | IAS 1.34 (a) | ||
| 050 | GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS | IAS 1.34 | ||
45.3 Other operating income and expenses
| References National GAAP based on BAD | References National GAAP compatible IFRS | Income | Expenses | ||
|---|---|---|---|---|---|
| 010 | 020 | ||||
| 010 | Changes in fair value in tangible assets measured using the fair value model | Annex V.Part 2.141 | IAS 40.76(d); Annex V.Part 2.141 | ||
| 020 | Investment property | Annex V.Part 2.141 | IAS 40.75(f); Annex V.Part 2.141 | ||
| 030 | Operating leases other than investment property | Annex V.Part 2.142 | IAS 17.50, 51, 56(b); Annex V.Part 2.142 | ||
| 040 | Other | Annex V.Part 2.143 | Annex V.Part 2.143 | ||
| 050 | OTHER OPERATING INCOME OR EXPENSES | Annex V.Part 2.141-142 | Annex V.Part 2.141-142 | ||
46. Statement of changes in equity
ANNEX IV Table 70: rows 1 - 26
ANNEX VREPORTING ON FINANCIAL INFORMATION
PART 1 GENERAL INSTRUCTIONS
1.REFERENCES
1.This Annex contains additional instructions for the financial information templates (hereinafter ‘FINREP’) included in Annex III and Annex IV of this Regulation. This Annex complements the instructions included in form of references in the templates in Annex III and Annex IV.
2.The data points identified in the templates shall be drawn up in accordance with the recognition, offsetting and valuation rules of the relevant accounting framework, as defined in Article 4(1)(77) of the CRR.
3.Institutions shall only submit those parts of the templates related to:
Assets, liabilities, equity, income and expenses that are recognised by the institution.
Off-balance sheet exposures and activities in which the institution is involved.
Transactions performed by the institution.
Valuation rules, including methods for the estimation of allowances for credit risk, applied by the institution.
4.For the purposes of Annex III and Annex IV as well as this Annex, the following notation shall apply:
‘IAS regulation’ refers to Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards.
‘IAS’ or ‘IFRS’ refers to the ‘International Accounting Standards’, as defined in Article 2 of the ‘IAS regulation’ that has been adopted by the Commission in accordance with the aforementioned ‘IAS regulation’.
‘ECB BSI Regulation’ or ‘ECB/2008/32’ refers to Regulation of the European Central Bank of 19 December 2008 concerning the balance sheet of monetary financial institutions sector (recast).
‘NACE Regulation’ refers to REGULATION (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains.
‘BAD’ refers to COUNCIL DIRECTIVE of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (86/635/EEC).
‘4th Directive’ refers to FOURTH COUNCIL DIRECTIVE of 25 July 1978 based in Article 54(3)(g) of the Treaty on the annual accounts of certain types of companies (78/660/EEC).
‘National GAAP’ means national accounting frameworks developed under BAD.
‘SME’ refers to COMMISSION RECOMMENDATION of 6 May 2003 concerning definition of micro, small and medium-sized enterprises (2003/361/EC).
‘ISIN code’ means the International Securities Identification Number assigned to securities, composed of 12 alphanumeric characters, which uniquely identifies a securities issue.
‘LEI code’ means the global Legal Entity Identifier assigned to entities, which uniquely identifies a party to a financial transaction.
‘Annex V’ refers to the cited Part of Annex V of this Regulation.
2.CONVENTION
5.For the purposes of Annex III and Annex IV a data point shadowed in grey shall mean that this data point is not requested or that it is not possible to report it. In Annex IV a row or a column with references shadowed in black means that the related data points should not be submitted by those institutions that follow those references in that row or column.
6.Templates in Annex III and Annex IV include implicit validation rules which are defined in the templates themselves through the use of conventions.
7.The use of brackets in the label of an item in a template means that this item is to be subtracted to obtain a total, but it does not mean that it shall be reported as negative.
8.Items that shall be reported in negative are identified in the compiling templates by including ‘(–)’ at the beginning of their label such as in ‘(–) Treasury shares’.
9.In the ‘Data Point Model’ (hereinafter DPM) for financial information reporting templates described in Annex III and IV, every data point (cell) has a ‘base item’ to which the ‘credit/debit’ attribute is allocated. This allocation ensures that all entities who report data points follow the ‘sign convention’ and allows to know the ‘credit/debit’ attribute that corresponds to each data point.
10.Schematically, this convention works as in Table 1.
ANNEX V Table 1: rows 1 - 21
3.CONSOLIDATION
11.Unless specified otherwise in this Annex, FINREP templates shall be prepared using the prudential scope of consolidation in accordance with Part 1, Title II, Chapter 2, Section 2 of the CRR. Institutions shall account for their subsidiaries and joint ventures using the same methods than for prudential consolidation:
Institutions may be permitted or required to apply the equity method to investments in insurance and non-financial subsidiaries in accordance with article 18.5 of the CRR.
Institutions may be permitted to use the proportional consolidation method for financial subsidiaries in accordance with article 18.2 of the CRR.
Institutions may be required to use the proportional consolidation method for investment in joint ventures in accordance with article 18.4 of the CRR.
4.ACCOUNTING PORTFOLIOS
4.1. Assets
12.‘Accounting portfolios’ shall mean financial instruments aggregated by valuation rules. These aggregations do not include investments in subsidiaries, joint ventures and associates, balances receivable on demand classified as ‘Cash and cash balances at central banks’ as well as those financial instruments classified as ‘Held for sale’ presented in the items ‘Non-current assets and disposal groups classified as held for sale’ and ‘Liabilities included in disposal groups classified as held for sale’.
13.The following accounting portfolios based on IFRS shall be used for financial assets:
‘Financial assets held for trading’,
‘Financial assets designated at fair value through profit or loss’,
‘Available-for-sale financial assets’,
‘Loans and Receivables’,
‘Held-to-maturity investments’.
14.The following accounting portfolios based on National GAAP shall be used for financial assets:
‘Trading financial assets’,
‘Non-trading non-derivative financial assets measured at fair value through profit or loss’,
‘Non-trading non-derivative financial assets measured at fair value to equity’,
‘Non-trading debt instruments measured at a cost-based method’, and
‘Other non-trading non-derivative financial assets’.
15.‘Trading financial assets’ has the same meaning as under the relevant National GAAP based on BAD. Under National GAAP based on BAD, derivatives that are not held for hedge accounting shall be reported in this item without regarding the method applied to measure these contracts. Institutions shall include derivatives contracts in the balance sheet only when these contracts are recognised in accordance with the relevant accounting framework.
16.For financial assets, ‘cost-based methods’ include those valuation rules by which the financial asset is measured at cost plus interest accrued less impairment losses.
17.Under National GAAP based on BAD, ‘Other non-trading non-derivative financial assets’ shall include financial assets that do not qualify for inclusion in other accounting portfolios. This accounting portfolio includes, among others, financial assets that are measured at the lower of their amount at initial recognition or their fair value (so-called ‘Lower Of Cost Or Market’ or ‘LOCOM’).
18.Under National GAAP based on BAD, institutions that are permitted or required to apply certain valuation rules for financial instruments in IFRS shall submit, to the extent that they are applied, the relevant accounting portfolios.
19.‘Derivatives — Hedge accounting’ shall include derivatives held for hedge accounting under the relevant accounting framework.
4.2. Liabilities
20.The following accounting portfolios based on IFRS shall be used for financial liabilities:
‘Financial liabilities held for trading’,
‘Financial liabilities designated at fair value through profit or loss’,
‘Financial liabilities measured at amortised cost’.
21.The following accounting portfolios based on National GAAP shall be used for financial liabilities:
‘Trading financial liabilities’, and
‘Non-trading non-derivative financial liabilities measured at a cost-based method’.
22.Under National GAAP, institutions that are permitted or required to apply certain valuation rules for financial instruments in IFRS shall submit, to the extent that they are applied, the relevant accounting portfolios.
23.Both under IFRS and National GAAP, ‘Derivatives — Hedge accounting’ shall include derivatives held for hedge accounting under the relevant accounting framework.
5.FINANCIAL INSTRUMENTS
5.1. Financial assets
24.The carrying amount shall mean the amount to be reported in the asset side of the balance sheet. The carrying amount of financial assets shall include accrued interest.
25.Financial assets shall be distributed among the following classes of instruments: ‘Cash on hand’, ‘Derivatives’, ‘Equity instruments’, ‘Debt securities’, and ‘Loan and advances’.
26.‘Debt securities’ are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation.
27.‘Loans and advances’ are debt instruments held by the institutions that are not securities; this item includes ‘loans’ in accordance with the ECB BSI Regulation as well as advances that cannot be classified as ‘loans’ according to the ECB BSI Regulation. ‘Advances that are not loans’ are further characterized in paragraph 41(g) of this Part. Consequently, ‘debt instruments’ shall include ‘loans and advances’ and ‘debt securities’.
5.2. Financial liabilities
28.The carrying amount shall mean the amount to be reported in the liability side of the balance sheet. The carrying amount of financial liabilities shall include accrued interest.
29.Financial liabilities shall be distributed among the following classes of instruments: ‘Derivatives’, ‘Short positions’, ‘Deposits’, ‘Debt securities issued’ and ‘Other financial liabilities’.
30.‘Deposits’ are defined in the same way as in the ECB BSI Regulation.
31.‘Debt securities issued’ are debt instruments issued as securities by the institution that are not deposits in accordance with the ECB BSI Regulation.
32.‘Other financial liabilities’ include all financial liabilities other than derivatives, short positions, deposits and debt securities issued.
33.Under IFRS or compatible National GAAP, ‘Other financial liabilities’ may include financial guarantees when they are measured either at fair value through profit or loss [IAS 39.47(a)] or at the amount initially recognised less cumulative amortization [IAS 39.47(c)(ii)]. Loan commitments shall be reported as ‘Other financial liabilities’ when they are designated as financial liabilities at fair value through profit or loss [IAS 39.4(a)] or they are commitments to provide a loan at a below-market interest rate [IAS 39.4(b), 47(d)]. Provisions arising from these contracts [IAS 39.47(c)(i), (d)(i)] are reported as provisions for ‘Commitments and guarantees given’.
34.‘Other financial liabilities’ may also include dividends to be paid, amounts payable in respect of suspense and transit items, and amounts payable in respect of future settlements of transactions in securities or foreign exchange transactions (payables for transactions recognised before the payment date).
6.COUNTERPARTY BREAKDOWN
35.Where a breakdown by counterparty is required the following counterparty sectors shall be used:
Central banks.
General governments: central governments, state or regional governments, and local governments, including administrative bodies and non-commercial undertakings, but excluding public companies and private companies held by these administrations that have a commercial activity (which shall be reported under ‘non-financial corporations’); social security funds; and international organisations, such as the European Community, the International Monetary Fund and the Bank for International Settlements.
Credit institutions: banks and multilateral banks.
Other financial corporations: all financial corporations and quasi-corporations other than credit institutions such as investment firms, investment funds, insurance companies, pension funds, collective investment undertakings, and clearing houses as well as remaining financial intermediaries and financial auxiliaries.
Non-financial corporations: corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services according to the ECB BSI Regulation.
Households: individuals or groups of individuals as consumers, and producers of goods and non financial services exclusively for their own final consumption, and as producers of market goods and non financial and financial services provided that their activities are not those of quasi-corporations. Non-profit institutions which serve households and which are principally engaged in the production of non-market goods and services intended for particular groups of households are included.
36.The counterparty sector allocation is based exclusively on the nature of the immediate counterparty. The classification of the exposures incurred jointly by more than one obligor shall be done on the basis of the characteristics of the obligor that was the more relevant, or determinant, for the institution to grant the exposure. Among other classifications, the distribution of jointly incurred exposures by counterparty sector, country of residence and NACE codes should be driven by the characteristics of the more relevant or determinant obligor.
PART 2 TEMPLATE RELATED INSTRUCTIONS
1.BALANCE SHEET
1.1. Assets (1.1)
1.‘Cash on hand’ includes holdings of national and foreign banknotes and coins in circulation that are commonly used to make payments.
2.‘Cash balances at central banks’ include balances receivable on demand at central banks.
3.‘Other demand deposits’ include balances receivable on demand with credit institutions.
4.‘Investments in subsidiaries, joint ventures and associates’ include the investments in associates, joint ventures and subsidiaries which are not fully or proportionally consolidated. The carrying amount of investments accounted for using the equity method includes related goodwill.
5.Assets that are not financial assets and that due to their nature could not be classified in specific balance sheet items shall be reported in ‘Other assets’. Other assets may include gold, silver and other commodities; even when they are held with trading intent.
6.‘Non-current assets and disposal groups classified as held for sale’ has the same meaning as under IFRS 5.
1.2. Liabilities (1.2)
7.Provisions for ‘Pensions and other post employment defined benefit obligations’ include the amount of net defined benefit liabilities.
8.Under IFRS or compatible National GAAP, provisions for ‘Other long-term employee benefits’ include the amount of the deficits in the long-term employment benefit plans listed in IAS 19.153. The accrued expense from short term employee benefits [IAS 19.11(a)], defined contribution plans [IAS 19.51(a)] and termination benefits [IAS 19.169(a)] shall be included in ‘Other liabilities’.
9.‘Share capital repayable on demand’ includes the capital instruments issued by the institution that do not meet the criteria to be classified in equity. Institutions shall include in this item the cooperative shares that do not meet the criteria to be classified in equity.
10.Liabilities that are not financial liabilities and that due to their nature could not be classified in specific balance sheet items shall be reported in ‘Other liabilities’.
11.‘Liabilities included in disposal groups classified as held for sale’ has the same meaning as under IFRS 5.
12.‘Funds for general banking risks’ are amounts that have been assigned in accordance with article 38 of the BAD. When recognised, they shall appear separately either as liabilities under ‘provisions’ or within equity under ‘other reserves’.
1.3. Equity (1.3)
13.Under IFRS or compatible National GAAP, equity instruments that are financial instruments include those contracts under the scope of IAS 32.
14.‘Unpaid capital which has been called up’ includes the carrying amount of capital issued by the institution that has been called-up to the subscribers but not paid at the reference date.
15.‘Equity component of compound financial instruments’ includes the equity component of compound financial instruments (that is, financial instruments that contain both a liability and a equity component ) issued by the institution, when segregated in accordance with the relevant accounting framework (including compound financial instruments with multiple embedded derivatives whose values are interdependent);
16.‘Other equity instruments issued’ includes equity instruments that are financial instruments other than ‘Capital’ and ‘Equity component of compound financial instruments’.
17.‘Other equity’ shall comprise all equity instruments that are not financial instruments including, among others, equity-settled share-based payment transactions [IFRS 2.10].
18.Under IFRS or compatible National GAAP, ‘Revaluation reserves’ includes the amount of reserves resulting from first-time adoption to IAS, or compatible National GAAP, that have not been released to other type of reserves.
19.‘Other reserves’ are split between ‘Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates’ and ‘Other’. ‘Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates’ include the accumulated amount of income and expenses generated by the aforementioned investments through profit or loss in past years. ‘Other’ includes reserves different from those separately disclosed in other items and may include legal reserve and statutory reserve.
20.‘Treasury shares’ cover all financial instruments that have the characteristics of own equity instruments which have been reacquired by the institution.
2.STATEMENT OF PROFIT OR LOSS (2)
21.Interest income and interest expense from financial instruments held for trading, and from financial instruments designated at fair value through profit or loss, shall be reported either separately from other gains and losses under items ‘interest income’ and ‘interest expense’ (so-called ‘clean price’) or as part of gains or losses from these categories of instruments (‘dirty price’).
22.Institutions shall report the following items broken-down by accounting portfolios:
‘Interest income’;
‘Interest expense’;
‘Dividend income’;
‘Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net’;
‘Impairment or (–) reversal of impairment on financial assets not measured at fair value through profit or loss’.
23.‘Interest income. Derivatives — Hedge accounting, interest rate risk’ and ‘Interest expenses. Derivatives — Hedge accounting, interest rate risk’ include the amounts related to those derivatives classified in the category ‘hedge accounting’ which cover interest rate risk. They shall be reported as interest income and expenses on a gross basis, to present correct interest income and expenses from the hedged items to which they are linked.
24.The amounts related to those derivatives classified in the category ‘held for trading’ which are hedging instruments from an economic but not accounting point of view may be reported as interest income and expenses, to present correct interest income and expenses from the financial instruments that are hedged. These amounts shall be included as a part of the items ‘Interest income. Financial assets held for trading’ and ‘Interest expenses. Financial liabilities held for trading’.
25.‘Interest income — other assets’ includes amounts of interest income not included in the other items. This item may include interest income related to cash and cash balances at central banks and non-current assets and disposal groups classified as held for sale as well as net interest income from net defined benefit asset.
26.‘Interest expenses — other liabilities’ includes amounts of interest expenses not included in the other items. This item may include interest expenses related to liabilities included in disposal groups classified as held for sale, expenses derived from increases in the carrying amount of a provision reflecting the passage of time or net interest expenses from net defined benefit liabilities.
27.‘Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations’ includes profit or loss generated by non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations.
28.Dividend income from financial assets held for trading and from financial assets designated at fair value through profit or loss shall be reported either as ‘dividend income’ separately from other gains and losses from these categories or as part of gains or losses from these categories of instruments. Dividend income from subsidiaries, associates and joint ventures which are outside the scope of consolidation shall be reported within ‘Share of the profit or (–) loss of investments in subsidiaries, joint ventures and associates’.
29.Under IFRS or compatible National GAAP, Impairment on ‘Financial assets at cost’ includes impairment losses arising from the application of the impairment rules in IAS 39.66.
30.For ‘Gains or (–) losses from hedge accounting, net’ institutions shall report fair value changes on hedging instruments and hedged items, including the result of ineffectiveness from cash flow hedges and from hedges of net investment in foreign operations.
3.STATEMENT OF COMPREHENSIVE INCOME (3)
31.Under IFRS or compatible National GAAP, ‘Income tax relating to items that will not be reclassified’ and ‘Income tax relating to items that may be reclassified to profit or (–) loss’ [IAS 1.91 (b), IG6] shall be reported as separate line items.
4.BREAKDOWN OF FINANCIAL ASSETS BY INSTRUMENT AND BY COUNTERPARTY SECTOR (4)
32.Financial assets shall be broken down by instrument and — when required — by counterparty.
33.Under IFRS or compatible National GAAP, equity instruments shall be reported with a specific breakdown (‘of which’) to identify instruments measured at cost and specific counterparty sectors only. Under National GAAP based on BAD, equity instruments shall be reported with a specific breakdown (‘of which’) to identify unquoted and specific counterparty sectors only.
34.For available-for-sale financial assets institutions shall report the fair value of impaired assets and unimpaired assets respectively, and the cumulative amount of impairment losses recognised in profit or loss as at the reporting date. The sum of fair value of unimpaired assets and fair value of impaired assets shall be the carrying amount of these assets.
35.Under IFRS or compatible National GAAP, for financial assets classified as ‘Loans and receivables’ or as ‘Held-to-maturity’, the gross carrying amount of unimpaired assets and of impaired assets shall be reported. The allowances shall be broken down to ‘Specific allowances for individually assessed financial assets’, ‘Specific allowances for collectively assessed financial assets’ and ‘Collective allowances for incurred but not reported losses’. Under National GAAP based on BAD, for financial assets classified as ‘non-trading non-derivative financial asset measured at a cost-based method’, the gross carrying amount of unimpaired assets and of impaired assets shall be reported.
36.‘Specific allowances for individually assessed financial assets’ shall include cumulative amount of impairment related to financial assets which have been assessed individually.
37.‘Specific allowances for collectively assessed financial assets’ shall include the cumulative amount of collective impairment calculated on insignificant loans which are impaired on individual basis and for which the institution decides to use a statistical approach (portfolio basis). This approach does not preclude performing individual impairment evaluation of loans that are individually insignificant and thus to report them as specific allowances for individually assessed financial assets.
38.‘Collective allowances for incurred but not reported losses’ shall include the cumulative amount of collective impairment determined on financial assets which are not impaired on individual basis. For ‘allowances for incurred but not reported losses’, IAS 39.59(f), AG87 and AG90 may be followed.
39.The sum of unimpaired assets and impaired assets net of all the allowances shall be equal to the carrying amount.
40.Template 4.5 includes the carrying amount of ‘Loans and advances’ and ‘Debt securities’ that meet the definition of ‘subordinated debt’ in paragraph 54 of this Part.
5.BREAKDOWN OF LOANS AND ADVANCES BY PRODUCT (5)
41.The ‘carrying amount’ of loans and advances shall be reported by type of product net of allowances due to impairment. Balances receivable on demand classified as ‘Cash and cash balances at central banks’ shall also be reported in this template independently of the ‘accounting portfolio’ in which they are included shall be allocated to the following products:
‘On demand (call) and short notice (current account)’ include balances receivable on demand (call), at short notice, current accounts and similar balances which may include loans that are overnight deposits for the borrower, regardless of their legal form. It also includes ‘overdrafts’ that are debit balances on current account balances.
‘Credit card debt’ includes credit granted either via delayed debit cards or via credit cards [ECB BSI Regulation].
‘Trade receivables’ include loans to other debtors granted on the basis of bills or other documents that give the right to receive the proceeds of transactions for the sale of goods or provision of services. This item includes all factoring transactions (both with and without recourse).
‘Finance leases’ include the carrying amount of finance lease receivables. Under IFRS or compatible National GAAP, ‘finance lease receivables’ are as defined in IAS 17.
‘Reverse repurchase loans’ include finance granted in exchange for securities bought under repurchase agreements or borrowed under securities lending agreements.
‘Other term loans’ include debit balances with contractually fixed maturities or terms that are not included in other items.
‘Advances that are not loans’ include advances that cannot be classified as ‘loans’ according to the ECB BSI Regulation. This item includes, among others, gross amounts receivable in respect of suspense items (such as funds that are awaiting investment, transfer, or settlement) and transit items (such as cheques and other forms of payment that have been sent for collection).
‘Mortgage loans [Loans collateralized by immovable property]’ include loans formally secured by immovable property collateral independently of their loan/collateral ratio (commonly referred as ‘loan-to-value’).
‘Other collateralized loans’ include loans formally backed by collateral, independently of their loan/collateral ratio (so-called ‘loan-to-value’), other than ‘Loans collateralised by immovable property’, ‘Finance leases’ and ‘Reverse repurchase loans’. This collateral includes pledges of securities, cash, and other collateral.
‘Credit for consumption’ includes loans granted mainly for the personal consumption of goods and services [ECB BSI Regulation].
‘Lending for house purchase’ includes credit extended to households for the purpose of investing in houses for own use and rental, including building and refurbishments [ECB BSI Regulation].
‘Project finance loans’ include loans that are recovered solely from the income of the projects financed by them.
6.BREAKDOWN OF LOANS AND ADVANCES TO NON-FINANCIAL CORPORATIONS BY NACE CODES AND BY RESIDENCE OF THE COUNTERPARTY (6)
42.Gross carrying amount of loans and advances to non-financial corporations shall be classified by sector of economic activities using codes in NACE Regulation (‘NACE Codes’) on the basis of the principal activity of the counterparty.
43.The classification of the exposures incurred jointly by more than one obligor shall be done in accordance with paragraph 36 in Part 1.
44.Reporting of NACE codes shall be done with the first level of disaggregation, (by ‘section’).
45.For debt instruments at amortised cost or at fair value through other comprehensive income, ‘Gross carrying amount’ shall mean the carrying amount excluding ‘Accumulated impairment’. For debt instruments at fair value through profit and loss, ‘Gross carrying amount’ shall mean the carrying amount excluding ‘Accumulated changes in fair value due to credit risk’.
46.‘Accumulated impairment’ shall be reported for financial assets at amortised cost or at fair value through other comprehensive income. ‘Accumulated changes in fair value due to credit risk’ figures shall be reported for financial assets at fair value through profit or loss. ‘Accumulated impairment’ shall include specific allowances for individually and collectively assessed financial assets as defined in paragraphs 36 and 37as well as ‘Collective allowances for incurred but not reported losses’ as defined in paragraph 38 but do not include ‘Accumulated write-offs’ amounts as defined in paragraph 49 of this Part.
7.FINANCIAL ASSETS SUBJECT TO IMPAIRMENT THAT ARE PAST DUE OR IMPAIRED (7)
47.Debt instruments that are past due but not impaired at the reporting reference date shall be reported in the accounting portfolios subject to impairment. According to IFRS or compatible National GAAP, these accounting portfolios comprise the categories ‘Available for sale’, ‘Loans and receivables’, and ‘Held-to-maturity’. According to National GAAP based on BAD, these accounting portfolios comprise also ‘Non-trading debt instruments measured at a cost-based method’ and ‘Other non-trading non-derivative financial assets’.
48.Assets qualify as past due when counterparties have failed to make a payment when contractually due. The amounts of such assets shall be reported and broken down according to the number of days past due. The past due analysis shall not include any impaired assets. The carrying amount of impaired financial assets shall be reported separately from the past due assets.
49.The column ‘Accumulated write-offs’ includes the cumulative amount of principal and past due interest of any debt instrument that the institution is no longer recognising because they are considered uncollectible, independently of the portfolio in which they were included. These amounts shall be reported until the total extinguishment of all the institution's rights (by expiry of the statute-of–limitations period, forgiveness or other causes) or until recovery.
50.‘Write-offs’ could be caused both by reductions of the carrying amount of financial assets recognised directly in profit or loss as well as by reductions in the amounts of the allowance accounts for credit losses taken against the carrying amount of financial assets.
8.BREAKDOWN OF FINANCIAL LIABILITIES (8)
51.As ‘Deposits’ are defined in the same way as in the ECB BSI Regulation, regulated savings deposits shall be classified in accordance with the ECB BSI Regulation and distributed according to the counterparty. In particular, non-transferable sight savings deposits, which although legally redeemable at demand are subject to significant penalties and restrictions and have features that are very close to overnight deposits, are classified as deposits redeemable at notice.
52.‘Debt securities issued’ shall be disaggregated into the following type of products:
‘Certificates of deposits’ are securities that enable the holders to withdraw funds from an account,
‘Asset backed securities’ according to article 4(1)(61) of the CRR,
‘Covered Bonds’ according to article 129(1) of the CRR,
‘Hybrid contracts’ comprise contracts with embedded derivatives,
‘Other debt securities issued’ includes debt securities not recorded in the previous lines and distinguishes convertible and non convertible instruments.
53.‘Subordinated financial liabilities’ issued are treated in the same way as other financial liabilities incurred. Subordinated liabilities issued in the form of securities are classified as ‘Debt securities issued’, whereas subordinated liabilities in the form of deposits are classified as ‘Deposits’.
54.Template 8.2 includes the carrying amount of ‘Deposits’ and ‘Debt securities issued’ that meet the definition of subordinated debt classified by accounting portfolios. ‘Subordinated debt’ instruments provide a subsidiary claim on the issuing institution that can only be exercised after all claims with a higher status have been satisfied [ECB BSI Regulation].
9.LOAN COMMITMENTS, FINANCIAL GUARANTEES AND OTHER COMMITMENTS (9)
55.Off-balance sheet exposures include the off-balance sheet items listed in Annex I of the CRR. Off-balance sheet exposures shall be broken-down in loan commitments given, financial guarantees given, and other commitments given.
56.Information on loan commitments, financial guarantees, and other commitments given and received include both revocable and irrevocable commitments.
57.‘Loan commitments’ are firm commitments to provide credit under pre-specified terms and conditions, except those that are derivatives because they can be settled net in cash or by delivering or issuing another financial instrument. The following items of Annex I of the CRR shall be classified as ‘Loan commitments’:
‘Forward deposits’.
‘Undrawn credit facilities’ which comprise agreements to ‘lend’ or provide ‘acceptance facilities’ under pre-specified terms and conditions.
58.‘Financial guarantees’ are contracts that require the issuer to make specified payments to reimburse the holder of a loss it incurs, because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument. Under IFRS or compatible National GAAP, these contracts meet the IAS 39.9 and IFRS 4.A definition of financial guarantee contracts. The following items of Annex I of the CRR shall be classified as ‘financial guarantees’:
‘Guarantees having the character of credit substitute’.
‘Credit derivatives’ that meet the definition of financial guarantee.
‘Irrevocable standby letters of credit having the character of credit substitutes’.
59.‘Other commitments’ includes the following items of Annex I of the CRR:
‘Unpaid portion of partly-paid shares and securities’.
‘Documentary credits issued or confirmed’.
Trade finance Off-balance sheet items.
‘Documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions’.
‘Warranties and indemnities’ (including tender and performance bonds) and ‘guarantees not having the character of credit substitutes’.
‘Shipping guarantees, customs and tax bonds’.
Note issuance facilities (NIFs) and revolving underwritings facilities (RUFs).
‘Undrawn credit facilities’ which comprise agreements to ‘lend’ or provide ‘acceptance facilities’ when the terms and conditions are not pre-specified.
‘Undrawn credit facilities’ which comprise agreements to ‘purchase securities’ or ‘provide guarantees’.
‘Undrawn credit facilities for tender and performance guarantees’.
‘Other off-balance sheet items’ in Annex I of the CRR.
60.Under IFRS or compatible National GAAP, the following item are recognised in the balance sheet and, consequently, should not be reported as off-balance sheet exposures:
‘Credit derivatives’ that do not meet the definition of financial guarantees are ‘derivatives’ under IAS 39.
‘Acceptances’ are obligations by an institution to pay on maturity the face value of a bill of exchange, normally covering the sale of goods. Consequently, they are classified as ‘trade receivables’ on the balance sheet
‘Endorsements on bills’ that do not meet the criteria for derecogniton under IAS 39.
‘Transactions with recourse’ that do not meet the criteria for derecogniton under IAS 39.
‘Assets purchased under outright forward purchase agreements’ are ‘derivatives’ under IAS 39.
‘Asset sale and repurchase agreements as defined in Article 12 (3) and (5) of Directive 86/635/EEC’. In these contracts, the transferee has the option, but not the obligation, to return the assets at a price agreed in advance on a date specified (or to be specified). Therefore, these contracts meet the definition of derivatives under IAS 39.9.
61.‘of which: defaulted’ shall include the nominal amount of those loan commitments, financial guarantees and other commitments given whose counterparty has incurred in default according to Article 178 of the CRR.
62.For off-balance sheet exposures, the ‘Nominal amount’ is the amount that best represents the institution's maximum exposure to credit risk without taking account of any collateral held or other credit enhancements. In particular, for financial guarantees given, the nominal amount is the maximum amount the entity could have to pay if the guarantee is called on. For loan commitments, the nominal amount is the undrawn amount that the institution has committed to lend. Nominal amounts are exposure values before applying conversion factors and credit risk mitigation techniques.
63.In template 9.2, for loan commitments received, the nominal amount is the total undrawn amount that the counterparty has committed to lend to the institution. For other commitments received the nominal amount is the total amount committed by the other party in the transaction. For financial guarantees received, the ‘maximum amount of the guarantee that can be considered’ is the maximum amount the counterparty could have to pay if the guarantee is called on. When a financial guarantee received has been issued by more than one guarantor, the guaranteed amount shall be reported only once in this template; the guaranteed amount shall be allocated to guarantor that is more relevant for the mitigation of credit risk.
10.DERIVATIVES (10 AND 11)
64.The carrying amount and the notional amount of the derivatives held for trading and the derivatives held for hedge accounting shall be reported broken down by type of underlying risk, type of market (over-the-counter versus organised markets) and type of product.
65.Institutions shall report the derivatives held for hedge accounting broken down by type of hedge.
66.Derivatives included in hybrid instruments which have been separated from the host contract shall be reported in templates 10 and 11 according to the nature of the derivative. The amount of the host contract is not included in these templates. However, if the hybrid instrument is measured at fair value through profit or loss, the contract as a whole shall be included in the category of held for trading or financial instruments designated at fair value through profit or loss (and, thus, the embedded derivatives are not reported in 10 and 11).
10.1. Classification of derivatives by type of risk
67.All derivatives shall be classified into the following risk categories:
Interest rate: Interest rate derivatives are contracts related to an interest-bearing financial instrument whose cash flows are determined by referencing interest rates or another interest rate contract such as an option on a futures contract to purchase a Treasury bill. This category is restricted to those deals where all the legs are exposed to only one currency's interest rate. Thus it excludes contracts involving the exchange of one or more foreign currencies such as cross-currency swaps and currency options, and other contracts whose predominant risk characteristic is foreign exchange risk, which are to be reported as foreign exchange contracts. Interest rate contracts include forward rate agreements, single-currency interest rate swaps, interest rate futures, interest rate options (including caps, floors, collars and corridors), interest rate swaptions and interest rate warrants.
Equity: Equity derivatives are contracts that have a return, or a portion of their return, linked to the price of a particular equity or to an index of equity prices.
Foreign exchange and gold: These derivatives include contracts involving the exchange of currencies in the forward market and the exposure to gold. They therefore cover outright forwards, foreign exchange swaps, currency swaps (including cross-currency interest rate swaps), currency futures, currency options, currency swaptions and currency warrant. Foreign exchange derivatives include all deals involving exposure to more than one currency, whether in interest rates or exchange rates. Gold contracts include all deals involving exposure to that commodity.
Credit: Credit derivatives are contracts that do not meet the definition of financial guarantees and in which the payout is linked primarily to some measure of the creditworthiness of a particular reference credit. The contracts specify an exchange of payments in which at least one of the two legs is determined by the performance of the reference credit. Payouts can be triggered by a number of events, including a default, a rating downgrade or a stipulated change in the credit spread of the reference asset.
Commodity: These derivatives are contracts that have a return, or a portion of their return, linked to the price of, or to a price index of, a commodity such as a precious metal (other than gold), petroleum, lumber or agricultural products.
Other: These derivatives are any other derivative contracts, which do not involve an exposure to foreign exchange, interest rate, equity, commodity or credit risk such as climatic derivatives or insurance derivatives.
68.When a derivative is influenced by more than one type of underlying risk, the instrument shall be allocated to the most sensitive type of risk. For multi-exposure derivatives, in cases of uncertainty, the deals shall be allocated according to the following order of precedence:
Commodities: All derivatives transactions involving a commodity or commodity index exposure, whether or not they involve a joint exposure in commodities and any other risk category which may include foreign exchange, interest rate or equity, shall be reported in this category.
Equities: With the exception of contracts with a joint exposure to commodities and equities, which are to be reported as commodities, all derivatives transactions with a link to the performance of equities or equity indices shall be reported in the equity category. Equity deals with exposure to foreign exchange or interest rates should be included in this category.
Foreign exchange and gold: This category includes all derivatives transactions (with the exception of those already reported in the commodity or equity categories) with exposure to more than one currency, be it pertaining either to interest-bearing financial instruments or exchange rates.
10.2. Amounts to be reported for derivatives
69.The ‘carrying amount’ for all derivatives (hedging or trading) is the fair value. Derivatives with a positive fair value (above zero) are ‘financial assets’ and derivatives with a negative fair value (below zero) are ‘financial liabilities’. The ‘carrying amount’ shall be reported separately for derivatives with a positive fair value (‘financial assets’) and for those with a negative fair value (‘financial liabilities’). At the date of initial recognition, a derivative is classified as ‘financial asset’ or ‘financial liability’ according to its initial fair value. After initial recognition, as the fair value of a derivative increases or decreases, the terms of the exchange may become either favourable to the institution (and the derivative is classified as ‘financial asset’) or unfavourable (and the derivative is classified as ‘financial liability’).
70.The ‘Notional amount’ is the gross nominal of all deals concluded and not yet settled at the reference date. In particular, the following shall be taken account to determine the notional amount:
For contracts with variable nominal or notional principal amounts, the basis for reporting is the nominal or notional principal amounts at the reference date.
The notional amount value to be reported for a derivative contract with a multiplier component is the contract effective notional amount or par value.
Swaps: The notional amount of a swap is the underlying principal amount upon which the exchange of interest, foreign exchange or other income or expense is based.
Equity and commodity-linked contracts: The notional amount to be reported for an equity or commodity contract is the quantity of the commodity or equity product contracted for purchase or sale multiplied by the contract price of a unit. The notional amount to be reported for commodity contracts with multiple exchanges of principal is the contractual amount multiplied by the number of remaining exchanges of principal in the contract.
Credit derivatives: The contract amount to be reported for credit derivatives is the nominal value of the relevant reference credit.
Digital options have a predefined payoff which can be either a monetary amount or a number of contracts of an underlying. The notional amount for digital options is defined as either the predefined monetary amount or the fair value of the underlying at the reference date.
71.The column ‘Notional amount’ of derivatives includes, for each line item, the sum of the notional amounts of all contracts in which the institution is counterparty, independently of whether the derivatives are considered assets or liabilities on the face of the balance sheet. All notional amounts shall be reported regardless whether the fair value of derivatives is positive, negative or equal to zero. Netting among the notional amounts is not allowed.
72.The ‘Notional amount’ shall be reported by ‘total’ and by ‘of which: sold’ for the line items: ‘OTC options’, ‘Organised market options’, ‘Commodity’ and ‘Other’. The item ‘of which sold’ includes the notional amounts (strike price) of the contracts in which the counterparties (option holders) of the institution (option writer) have the right to exercise the option and for the items related to credit risk derivatives, the notional amounts of the contracts in which the institution (protection seller) has sold (gives) protection to their counterparties (protection buyers).
10.3. Derivatives classified as ‘economic hedges’
73.Derivatives that are not effective hedging instruments in accordance with IAS 39 should be included in the ‘held for trading’ portfolio. This applies also to derivatives held for hedging purposes not meeting the requirements in IAS 39 to be effective hedging instruments as well as to derivatives linked to unquoted equity instruments whose fair value cannot be measured reliably.
74.Derivatives ‘held for trading’ that meet the definition of ‘economic hedges’ shall be reported separately for each type of risk. The item ‘economic hedges’ includes those derivatives that are classified as ‘held for trading’ but they are not part of the trading book as defined in Article 4(1)(86) of the CRR. This item does not include derivatives for proprietary trading.
10.4. Breakdown of derivatives by counterparty sector
75.The carrying amount and the total notional amount of derivatives held for trading, and also of derivatives held for hedge accounting, which are traded in the OTC market, shall be reported by counterparty using the following categories:
‘credit institutions’,
‘other financial corporations’, and
‘rest’ comprising all other counterparties.
76.All OTC derivatives, without regarding the type of risk to which they are related, shall be broken down by these counterparties. Counterparty breakdown for credit risk derivatives refers to the sector where the counterparty of the institution in the contract (buyer or seller of protection) is allocated.
11.MOVEMENTS IN ALLOWANCES FOR CREDIT LOSSES AND IMPAIRMENT OF EQUITY INSTRUMENTS (12)
77.‘Increases due to amounts set aside for estimated loan losses during the period’ shall be reported when, for the main category of assets or the counterparty, the estimation of the impairment for the period result in the recognition of net expenses; that is, for the given category or counterparty, the increases in the impairment for the period exceed the decreases. ‘Decreases due to amounts reversed for estimated loan losses during the period’ shall be reported when, for the main category of assets or counterparty, the estimation of the impairment for the period result in the recognition of net income; that is, for the given category or counterparty, the decreases in the impairment for the period exceed the increases.
78.As explained in paragraph 50 of this Part, ‘write-offs’ may be done either by recognising directly in the statement of profit or loss the reduction in the amount of the financial asset (without using an allowance account) or by reducing the amount of the allowance accounts related to a financial asset. ‘Decreases due to amounts taken against allowances’ means decreases in the accumulated amount of allowances due to ‘write-offs’ made during the period because the related debt instruments are considered uncollectible. ‘Value adjustments recorded directly to the statement of profit or loss’ are ‘write-offs’ made during the period directly against the amount of the related financial asset.
12.COLLATERAL AND GUARANTEES RECEIVED (13)
12.1. Breakdown of loans and advances by collateral and guarantees (13.1)
79.The pledges and guarantees backing the loans and advances shall be reported by type of pledges: mortgage loans and other collateralised loans, and by financial guarantees. The loans and advances shall be broken down by counterparties.
80.In Template 13.1, the ‘maximum amount of the collateral or guarantee that can be considered’ shall be reported. The sum of the amounts of a financial guarantee and/or collateral shown in the related columns of template 13.1 shall not exceed the carrying amount of the related loan.
81.For reporting loans and advances according to the type of pledge the following definitions shall be used:
within ‘Mortgage loans [Loans collateralised by immovable property]’, ‘Residential’ includes loans secured by residential immovable property and ‘Commercial’ loans secured by pledges of commercial immovable property; in both cases as defined in the CRR.
within ‘Other collateralised loans’, ‘Cash [Debt instruments issued]’ includes pledges of deposits in or debt securities issued by the institution, and ‘Rest’ includes pledges of other securities or assets.
‘Financial guarantees received’ include contracts that require the issuer to make specified payments to reimburse the institution of a loss it incurs, because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument.
82.For loans and advances that have simultaneously more than one type of collateral or guarantee, the amount of the ‘Maximum collateral/guarantee that can be considered’ shall be allocated according to its quality starting from the one with the best quality.
12.2. Collateral obtained by taking possession during the period [held at the reporting date] (13.2)
83.This template includes the carrying amount of the collateral that has been obtained between the beginning and the end of the reference period and that remain recognised in the balance sheet at the reference date.
12.3. Collateral obtained by taking possession [tangible assets] accumulated (13.3)
84.‘Foreclosure [tangible assets]’ is the cumulative carrying amount of tangible assets obtained by taking possession of collateral that remains recognised in the balance sheet at the reference date excluding those classified as ‘Property, plant and equipment’.
13.FAIR VALUE HIERARCHY: FINANCIAL INSTRUMENTS AT FAIR VALUE (14)
85.Institutions shall report the value of financial instruments measured at fair value according to the hierarchy provided by in IFRS 13.72.
86.‘Change in fair value for the period’ shall include gains or losses from remeasurements of the instruments in the period. These gains and losses are reported as for inclusion in the statement of profit or loss; thus, the amounts reported are before taxes.
87.‘Accumulated change in fair value before taxes’ shall include the amount of gains or losses from remeasurements of the instruments accumulated from the initial recognition to the reference date.
14.DERECOGNITION AND FINANCIAL LIABILITIES ASSOCIATED WITH TRANSFERRED FINANCIAL ASSETS (15)
88.Template 15 includes information on transferred financial assets of which part or all do not qualify for derecognition, and financial assets entirely derecognised for which the institution retains servicing rights.
89.The associated liabilities shall be reported according to the portfolio in which the related transferred financial assets were included in the assets side and not according to the portfolio in which they were included in the liability side.
90.The column ‘Amounts derecognised for capital purposes’ includes the carrying amount of the financial assets recognised for accounting purposes but derecognised for prudential purposes because the institution is treating them as securitisation positions for capital purposes in accordance with Article 109 of the CRR.
91.‘Repurchase agreements’ (‘repos’) are transactions in which the institution receives cash in exchange for financial assets sold at a given price under a commitment to repurchase the same (or identical) assets at a fixed price on a specified future date. Amounts received by the institution in exchange for financial assets transferred to a third party (‘temporary acquirer’) shall be classified under ‘repurchase agreements’ where there is a commitment to reverse the operation and not merely an option to do so. Repurchase agreements also include repo-type operations which may include:
Amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral.
Amounts received in exchange for securities temporarily transferred to a third party in the form of sale/buy-back agreement.
92.‘Repurchase agreements’ (‘repos’) and ‘reverse repurchase loans’ (‘reverse repos’) involve cash received or loaned out by the institution.
93.In a securitisation transaction, when the transferred financial assets are derecognized, institutions shall declare the gains (losses) generated by the item within the income statement corresponding to the ‘accounting portfolios’ in which the financial assets were included prior to their derecognition.
15.BREAKDOWN OF SELECTED STATEMENT OF PROFIT OR LOSS ITEMS (16)
94.For selected items of the income statement further breakdowns of gains (or income) and losses (or expenses) shall be reported.
15.1. Interest income and expenses by instrument and counterparty sector (16.1)
95.The interests shall be broken down both by interest income on financial and other assets and interest expenses on financial and other liabilities. Interest income on financial assets includes interest income on derivatives held for trading, debt securities, and loans and advances. Interest expenses on financial liabilities includes interest expenses on derivatives held for trading, deposits, debt securities issued and other financial liabilities. All instruments in the various portfolios are taken into account except those included in the items ‘Derivatives — Hedge accounting’ not used to hedge interest rate risk.
96.Interest on derivatives held for trading includes the amounts related to those derivatives held for trading which qualify as ‘economic hedges’ that are included as interest income or expenses to correct the income and expense of the hedged financial instruments from an economic but not accounting point of view.
15.2. Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument (16.2)
97.Gains and losses on derecognition of financial assets and financial liabilities not measured at fair value through profit or loss shall be broken down by type of financial instrument and by accounting portfolio. For each item, the net realised gain or loss stemming from the derecognised transaction shall be reported. The net amount represents the difference between realised gains and realised losses.
15.3. Gains or losses on financial assets and liabilities held for trading by instrument (16.3)
98.Gains and losses on financial assets and liabilities held for trading shall be broken down by type of instrument; each item of the breakdown is the net realised and unrealised amount (gains minus losses) of the financial instrument.
15.4. Gains or losses on financial assets and liabilities held for trading by risk (16.4)
99.Gains and losses on financial assets and financial liabilities held for trading shall also be broken down by type of risk; each item of the breakdown is the net realised and unrealised amount (gains minus losses) of the underlying risk (interest rate, equity, foreign exchange, credit, commodity and other) associated to the exposure, including related derivatives. Gains and losses from exchange differences shall be included in the item in which the rest of gains and losses arising from the converted instrument are included. Gains and losses on assets and liabilities other than derivatives shall be included as follows:
Interest rate instruments: including trading of loans and advances, deposits and debt securities (held or issued);
Equity instruments: including trading of shares, quotas of UCITS and other equity instruments;
Foreign exchange trading: including exclusively trading on foreign exchanges;
Credit risk instruments: including trading of credit link notes;
Commodities: this item includes only derivatives because commodities held with trading intent shall be reported under ‘Other assets’ not under ‘Financial assets held for trading’.
Other: including trading of financial instruments which cannot be classified in other breakdowns.
15.5. Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5)
100.Gains and losses on financial assets and liabilities designated at fair value through profit or loss shall be broken down by type of instrument. Institutions shall report the net realised and unrealised and the amount of change in fair value in the period due to changes in the credit risk (own credit risk of the borrower or issuer).
15.6. Gains or losses from hedge accounting (16.6)
101.Gains and losses from hedge accounting shall be broken down by type of hedge accounting: fair value hedge, cash flow hedge and hedge of net investments in foreign operations. Gains and losses related to fair value hedge shall be broken down between the hedging instrument and the hedged item.
15.7. Impairment on financial and non-financial assets (16.7)
102.‘Additions’ shall be reported when, for the accounting portfolio or main category of assets, the estimation of the impairment for the period results in recognition of net expenses. ‘Reversals’ shall be reported when, for the accounting portfolio or main category of assets, the estimation of the impairment for the period result in the recognition of net income.
16.RECONCILIATION BETWEEN ACCOUNTING AND CRR SCOPE OF CONSOLIDATION (17)
103.‘Accounting scope of consolidation’ includes the carrying amount of assets, liabilities and equity as well as the nominal amounts of the off-balance sheet exposures prepared using the accounting scope of consolidation; that is, including in the consolidation insurance undertakings and non-financial corporations.
104.In this template, the item ‘Investments in subsidiaries, joint ventures and associates’ shall not include subsidiaries as with the accounting scope of consolidation all subsidiaries are fully consolidated
105.‘Assets under reinsurance and insurance contracts’ shall include assets under reinsurance ceded as well as, if any, assets related to insurance and reinsurance contracts issued.
106.‘Liabilities under insurance and reinsurance contracts’ shall include liabilities under insurance and reinsurance contracts issued.
17.GEOGRAPHICAL BREAKDOWN (20)
107.Template 20 shall be reported when the institution exceeds the threshold described in Article 5.1(a)(iv). The geographical breakdown by location of the activities in templates 20.1 to 20.3 distinguishes between ‘domestic activities’ and ‘non-domestic activities’. ‘Location’ means the jurisdiction of incorporation of the legal entity which has recognized the corresponding asset or liability; for branches, it means the jurisdiction of its residence. For these purposes, ‘Domestic’ shall include the activities recognised in Member State where the institution is located.
108.Templates 20.4 to 20.7 contain information ‘country-by-country’ on the basis of the residence of the immediate counterparty. The breakdown provided shall include exposures or liabilities with residents in each foreign country in which the institution has exposures.
109.In template 20.4 for debt instruments, ‘gross carrying amount’ shall be reported as defined in paragraph 45 of Part 2. For derivatives and equity instruments, the amount to be reported is the carrying amount. ‘Of which: defaulted’ shall include the carrying amount of those debt instruments whose counterparty has incurred in default according to Article 178 of the CRR. Template 20.7 shall be reported with the classification by NACE Codes on a ‘country-by-country’ basis. NACE Codes shall be reported with the first level of disaggregation (by ‘section’).
18.TANGIBLE AND INTANGIBLE ASSETS: ASSETS SUBJECT TO OPERATING LEASE (21)
110.For the purposes of the calculation of the threshold in Article 9(e) tangible assets that have been leased by the institution (lessor) to third parties in agreements that qualify as operating leases under the relevant accounting framework shall be divided by total of tangible assets.
111.Under IFRS or compatible National GAAP, assets that have been leased by the institution (as lessor) to third parties in operating leases shall be reported broken-down by measurement method.
19.ASSET MANAGEMENT, CUSTODY AND OTHER SERVICE FUNCTIONS (22)
112.For the purposes of the calculation of the threshold in Article 9(f), the amount of ‘net fee and commission income’ is the absolute value of the difference between ‘fee and commission income’ and ‘fee and commission expense’. For the same purposes, the amount of ‘net interest’ is the absolute value of the difference between ‘interest income’ and ‘interest expenses’.
19.1. Fee and commission income and expenses by activity (22.1)
113.The fee and commission income and expenses shall be reported by type of activity. Under IFRS or compatible National GAAP, this template includes fee and commission income and expenses other than:
amounts considered for the calculation of the effective interest of financial instruments [IFRS 7.20.(c)] and
amounts arising from financial instruments that are measured at fair value through profit or loss [IFRS 7.20.(c).(i)].
114.Transaction costs directly attributable to the acquisition or issue of financial instruments not measured at fair value through profit or loss shall not be included; they form part of the initial acquisition/issue value of these instruments and are amortised to profit or loss over their residual life using the effective interest rate [see IAS 39.43].
115.Transaction costs directly attributable to the acquisition or issue of financial instruments measured at fair value through profit or loss shall be included as a part of ‘Gains or losses on financial assets and liabilities held for trading, net’ or ‘Gains or losses on financial assets and liabilities designated at fair value through profit or loss, net’. They shall not be part of the initial acquisition or issuance value of these instruments and are immediately recognized in profit or loss.
116.Institutions shall report fee and commission income and expenses according to the following criteria:
‘Securities. Issuances’ includes fees and commissions received for the involvement in the origination or issuance of securities not originated or issued by the institution.
‘Securities. Transfer orders’ includes fees and commissions generated by the reception, transmission and execution on behalf of customers of orders to buy or sell securities.
‘Securities. Other’ includes fees and commissions generated by the institution providing other services related with securities not originated or issued by the institution.
‘Clearing and settlement’ includes fee and commission income (expenses) generated by (charged to) the institution when participating in counterparty, clearing and settlement facilities.
‘Asset management’, ‘Custody’, ‘Central administrative services for collective investment undertakings’, ‘Fiduciary transactions’, ‘Payment services’ include fee and commission income (expenses) generated by (charged to) the institution when providing these services.
‘Structured finance’ includes fees and commissions received for the involvement in the origination or issuance of financial instruments other than securities originated or issued by the institution.
‘Servicing fees from securitisation activities’ includes, on the income side, the fee and commission income generated by the institution providing loan servicing services and on the expense side, the fee and commission expense charged to the institution by loan service providers.
‘Loan commitments given’ and ‘Financial guarantees given’ include the amount, recognized as income during the period, of the amortization of the fees and commission for these activities initially recognised as ‘other financial liabilities’.
‘Loan commitments received’ and ‘Financial guarantees received’ include the fee and commission expense recognised by the institution as a consequence of the charge made by the counterparty that has given the loan commitment or the financial guarantee.
‘Other’ includes the rest of fee and commission income (expenses) generated by (charged to) the institution such as those derived from ‘other commitments’, from foreign exchange services (such as exchange of foreign banknotes or coins) or from providing (receiving) other fee-based advice and services.
19.2. Assets involved in the services provided (22.2)
117.Business related to asset management, custody functions, and other services provided by the institution shall be reported using the following definitions:
‘Asset management’ refers to assets belonging directly to the customers, for which the institution is providing management. ‘Asset management’ shall be reported by type of customer: collective investment undertakings, pension funds, customer portfolios managed on a discretionary basis, and other investment vehicles.
‘Custody assets’ refers to the services of safekeeping and administration of financial instruments for the account of clients provided by the institution and services related to custodianship such as cash and collateral management. ‘Custody assets’ shall be reported by type of customers for which the institution is holding the assets distinguishing between collective investment undertakings and others. The item ‘of which: entrusted to other entities’ refers to the amount of assets included in custody assets for which the institution has given the effective custody to other entities.
‘Central administrative services for collective investment’ refers to the administrative services provided by the institution to collective investment undertakings. It includes, among others, the services of transfer agent; of compiling accounting documents; of preparing the prospectus, financial reports and all other documents intended for investors; of carrying out the correspondence by distributing financial reports and all other documents intended for investors; of carrying out issues and redemptions and keeping the register of investors; as well as of calculating the net asset value.
‘Fiduciary transactions’ refers to the activities where the institution acts in its own name but for the account and at the risk of its customers. Frequently, in fiduciary transactions, the institution provides services, such as custody asset management services to a structured entity or managing portfolios on a discretionary basis. All fiduciary transactions shall be reported exclusively in this item without regarding whether the institution provides additionally other services.
‘Payment services’ refers to the collection on behalf of customers of payments generated by debt instruments that are neither recognised on the balance sheet of the institution nor originated by it.
‘Customer resources distributed but not managed’ refers to products issued by entities outside the group that the institution has distributed to its current customers. This item shall be reported by type of product.
‘Amount of the assets involved in the services provided’ includes the amount of assets in relation to which the institution is acting, using the fair value. Other measurement bases including nominal value may be used if the fair value is not available. In those cases where the institution provides services to entities such as collective investment undertakings, pension funds, the assets concerned may be shown at the value at which these entities report the assets in their own balance sheet. Reported amounts shall include accrued interest, if appropriate.
20.INTERESTS IN UNCONSOLIDATED STRUCTURED ENTITIES (30)
118.‘Liquidity support drawn’ shall mean the sum of the carrying amount of the loan and advances granted to unconsolidated structured entities and the carrying amount of debt securities held that have been issued by unconsolidated structured entities.
21.RELATED PARTIES (31)
119.Institutions shall report amounts and/or transactions related to the balance sheet and the off-balance sheet exposures where the counterparty is a related party.
120.Intra-group transactions and intra-group outstanding balances shall be eliminated. Under ‘Subsidiaries and other entities of the same group’, institutions shall include balances and transactions with subsidiaries that have not been eliminated either because the subsidiaries are not fully consolidated with the prudential scope of consolidation or because, in accordance with Article 19 of the CRR, the subsidiaries are excluded from the scope of prudential consolidation for being immaterial or because, for institutions that are part of a bigger group, the subsidiaries are of the ultimate parent not of the institution. Under ‘Associates and joint ventures’, institutions shall include the portions of balances and transactions with joint ventures and associates of the group to which the entity belongs that have not been eliminated when either proportional consolidation or the equity method is applied.
21.1. Related parties: amounts payable to and amounts receivable from (31.1)
121.For ‘Loan commitments, financial guarantees and other commitments received’, the amount that shall be reported is the sum of the ‘nominal’ of loan commitments received, the ‘maximum collateral/guarantee that can be considered’ of financial guarantees received and the ‘nominal’ of the other commitments received.
21.2. Related parties: expenses and income generated by transactions with (31.2)
122.‘Gains or losses on derecognition of non-financial assets’ shall include all the gains and losses on derecognition of non-financial assets generated by transactions with related parties. This item shall include the gains and losses on derecognition of non-financial assets, which have been generated by transactions with related parties and that are part of the following line items of the ‘Statement of profit or loss’:
‘Gains or losses on derecognition of investments in subsidiaries, joint ventures and associates’
‘Gains or losses on derecognition of non-financial assets other than held for sale’,
‘Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations’, and
‘Profit or loss after tax from discontinued operations’.
22.GROUP STRUCTURE (40)
123.Institutions shall provide detailed information on subsidiaries, joint ventures and associates as of the reporting date. All subsidiaries regardless the activity they perform shall be reported.
22.1. Group structure: ‘entity-by-entity’ (40.1)
124.The following information shall be reported on a ‘entity-by-entity’ basis:
‘LEI code’ includes the LEI code of the investee.
‘Entity code’ includes the identification code of the investee.
‘Entity name’ includes the name of the investee.
‘Entry date’ means the date in which the investee entered within the ‘scope of the group’.
‘Share capital’ means the total amount of capital issued by the investee as at the reference date.
‘Equity of Investee’, ‘Total assets of the Investee’ and ‘Profit or (loss) of the Investee’ include the amounts of these items in the last financial statements of the investee.
‘Residence of investee’ means the country of residence of the investee.
‘Sector of investee’ means the sector of counterparty as defined in paragraph 35 of Part 1.
‘NACE code’ shall be provided on the basis of the principal activity of the investee. For non-financial corporations, NACE codes shall be reported with the first level of disaggregation (by ‘section’); for financial corporations, NACE codes shall be reported with a two level detail (by ‘division’).
‘Accumulated equity interest (%)’ is the percentage of ownership instruments held by the institution as of the reference date.
‘Voting rights (%)’ means the percentages of voting rights associated to the ownership instruments held by the institution as of the reference date.
‘Group structure [relationship]’ shall indicate the relationship between the parent and the investee (subsidiary, joint venture or associate).
‘Accounting treatment [Accounting Group]’ shall indicate the accounting treatment with the accounting scope of consolidation (full consolidation, proportional consolidation or equity method).
‘Accounting treatment [CRR Group]’ shall indicate the accounting treatment with the CRR scope of consolidation (full integration, proportional integration or equity method).
‘Carrying amount’ means amounts reported on the balance sheet of the institution for investees that are neither fully nor proportionally consolidated.
‘Acquisition cost’ means the amount paid by the investors.
‘Goodwill link to the investee’ means the amount of goodwill reported on the consolidated balance sheet of the institution for the investee in the items ‘goodwill’ or ‘investments in subsidiaries, joint ventures and associated’.
‘Fair value of the investments for which there are published price quotations’ means the price at the reference date; it shall be provided only if the instruments are quoted.
22.2. Group structure: ‘instrument-by-instrument’ (40.2)
125.The following information shall be reported on an ‘instrument-by-instrument’ basis:
‘Security code’ includes the ISIN code of the security. For securities without ISIN code assigned, it includes another code that uniquely identifies the security.
‘Holding company code’ is the identification code of the entity within the group that holds the investment.
‘Entity code’, ‘Accumulated equity interest (%)’, ‘Carrying amount’ and ‘Acquisition cost’ are defined above. The amounts shall correspond to the security held by the related holding company.
23.FAIR VALUE (41)
23.1. Fair value hierarchy: financial instruments at amortised cost (41.1)
126.Information on the fair value of financial instruments measured at amortised cost, using the hierarchy in IFRS 7.27A shall be reported in this template.
23.2. Use of fair value option (41.2)
127.Information on the use of fair value option for financial assets and liabilities designated at fair value through profit or loss shall be reported in this template. ‘Hybrid contracts’ includes the carrying amount of hybrid financial instruments classified, as a whole, in these accounting portfolios; that is, it includes non-separated hybrid instruments in their entirely.
23.3. Hybrid financial instruments not designated at fair value through profit or loss (41.3)
128.In this template shall be reported information on hybrid financial instruments with the exception of those hybrid contracts measured at fair value through profit or loss under the ‘fair value option’ that are reported in template 41.2.
129.‘Held for trading’ includes the carrying amount of hybrid financial instruments classified, as a whole, as ‘financial assets held for trading’ or ‘financial liabilities held for trading’; that is it includes non-separated hybrid instruments in their entirely.
130.The other rows include the carrying amount of the host contracts that have been separated from the embedded derivatives according to the relevant accounting framework. The carrying amounts of the embedded derivatives separated from these host contracts, in accordance with the relevant accounting framework, shall be reported in templates 10 and 11.
24.TANGIBLE AND INTANGIBLE ASSETS: CARRYING AMOUNT BY MEASUREMENT METHOD (42)
131.‘Property, plant and equipment’, ‘Investment property’ and ‘Other intangible assets’ shall be reported by the criteria used in their measurement.
132.‘Other intangible assets’ include all other intangible assets than goodwill.
25.PROVISIONS (43)
133.This template includes reconciliation between the carrying amount of the item ‘Provisions’ at the beginning and end of the period by the nature of the movements.
26.DEFINED BENEFIT PLANS AND EMPLOYEE BENEFITS (44)
134.These templates include accumulated information of all defined benefit plans of the institution. When there is more than one defined benefit plan, aggregated amount of all plans shall be reported.
26.1. Components of net defined benefit plan assets and liabilities (44.1)
135.‘Components of net defined benefit plan assets and liabilities’ shows the reconciliation of the accumulated present value of all net defined benefit liabilities (assets) as well as reimbursement rights [IAS 19.140 (a), (b)].
136.‘Net defined benefit assets’ includes, in the event of a surplus, the surplus amounts that shall be recognized in the balance sheet as they are not affected by the limits set up in IAS 19.63. The amount of this item and the amount recognized in the memo item ‘Fair value of any right to reimbursement recognized as asset’ are included in the item ‘Other assets’ of the balance sheet.
26.2. Movements in defined benefit obligations (44.2)
137.‘Movements in defined benefit obligations’ shows the reconciliation of opening and closing balances of the accumulated present value of all defined benefit obligations of the institution. The effects of the different elements listed in IAS 19.141 during the period are presented separately.
138.The amount of ‘Closing balance [present value]’ in the template for movements in defined benefit obligations shall be equal to ‘Present value defined benefit obligations’.
26.3. Memo items [related to staff expenses] (44.3)
139.For reporting of memorandum items related to staff expenses, the following definitions shall be used:
‘Pension and similar expenses’ includes the amount recognized in the period as staff expenses for any post — employment benefit obligations (both defined contributions plans and defined benefits plans) and contributions to social security funds.
‘Share based payments’ include the amount recognized in the period as staff expenses for share based payments.
27.BREAKDOWN OF SELECTED ITEMS OF STATEMENT OF PROFIT OR LOSS (45)
27.1. Gains or losses on derecognition of non-financial assets other than held-for-sale (45.2)
140.Gains and losses on derecognition of non financial assets other than held for sale shall be broken down by type of asset; each line item shall include the gain or the loss on the asset (such as property, software, hardware, gold, investment) that has been derecognised.
27.2. Other operating income and expenses (45.3)
141.Other operating income and expenses shall be broken down according to the following items: fair value adjustments on tangible assets measured using the fair value model; rental income and direct operating expenses from investment property; income and expenses on operating leases other than investment property and the rest of operating income and expenses.
142.‘Operating leases other than investment property’ includes, for the column ‘income’, the returns obtained, and for the column ‘expenses’ the costs incurred by the institution as lessor in their operating leasing activities other than those with assets classified as investment property. The costs for the institution as lessee shall be included in the item ‘Other administrative expenses’.
143.Gains or losses from remeasurements of holdings of precious metals and other commodities measured at fair value less cost to sell shall be reported among the items included in ‘Other operating income. Other’ or ‘Other operating expenses. Other’
28.STATEMENT OF CHANGES IN EQUITY (46)
144.The statement of changes in equity discloses the reconciliation between the carrying amount at the beginning of the period (opening balance) and the end of the period (closing balance) for each component of equity.
PART 3 MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS
1.The following tables map exposure classes used to calculate capital requirements according to the CRR to counterparty sectors used in FINREP tables.
ANNEX V Table 2: rows 1 - 18
ANNEX VIREPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY
| IP LOSSES TEMPLATES | |||
|---|---|---|---|
| Template number | Template code | Name of the template /group of templates | Short name |
| IP LOSSES | LE | ||
| 15 | C 15.00 | Exposures and losses from lending collateralised by immovable property | CR IP LOSSES |
C 15.00 — EXPOSURES AND LOSSES FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY (CR IP LOSSES)
Country:
| Losses | Exposures | |||||
|---|---|---|---|---|---|---|
| Sum of losses stemming from lending up to the reference percentages | Sum of overall losses | Sum of the exposures | ||||
| of which: immovable property valued with mortgage lending value | of which: immovable property valued with mortgage lending value | |||||
| Row | column | 010 | 020 | 030 | 040 | 050 |
| collateralised by: | ||||||
| 010 | Residential property | |||||
| 020 | Commercial immovable property | |||||
ANNEX VIIINSTRUCTIONS FOR THE REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY
1.This Annex contains additional instructions in relation to the tables included in Annex VI of this Regulation. This Annex complements the instructions in format of references included in the tables in Annex VI.
2.All the general instructions included in Part I of Annex II of this regulation shall also apply.
1.Reporting scope
3.Data specified in Article 101 (1) of CRR is subject to reporting by all institutions using immovable property for the purposes of Part Three, Title II of CRR.
4.The template covers all national markets an institution/group of institution is exposed to (see Article 101 (1) CRR). According to Article 101 (2) sentence 3 the data should be reported for each property market within the Union separately.
2.Definitions
5.Definition of loss: ‘Loss’ means ‘economic loss’ as defined in Article 5 (2) CRR, including losses stemming from leased property. The recovery flows stemming from other sources (e.g. bank guarantees, life insurance, etc) shall not be recognised when calculating losses stemming from immovable property. Losses of one position shall not be netted with the profit of a successful recovery of another position.
6.According to the definition of Article 5(2) CRR, for exposures secured by residential and commercial property the calculation of economic loss should start from outstanding exposure value at reporting date and should include at least: (i) proceeds from collateral realisation; (ii) direct costs (including interest rates payments and workouts costs linked to the liquidation of the collateral); and (iii) indirect costs (including operating costs of the workout unit). All components need to be discounted to the reporting reference date.
7.Exposure value: The exposure value follows the rules stipulated in Part Three, Title II of CRR (see Chapter 2 for institutions using the standardised approach, and Chapter 3 for institutions using the IRB approach).
8.Property value: The property value follows the rules stipulated in Part Three, Title II of CRR
9.F/X effect: The reporting currency shall be used with the exchange rate at the reporting date. The reporting currency shall be the exchange rate at the reporting date. Moreover, the estimates of the economic losses should consider the F/X effect if the exposure or collateral is denominated in different currency.
3.Geographical breakdown
10.Following the reporting scope, the CR IP Losses reporting shall consist of the following templates:
one total template
one template for each national market in the Union where the institution is exposed to, and
one template aggregating the data for all national markets outside the Union where the institution is exposed to.
4.Reporting of exposures and losses
11.Exposures: All exposures that are treated according to Part Three, Title II of CRR and where the collateral is used to reduce own funds requirements, are reported in CR IP Losses. This also means that in case the risk mitigation effect of immovable property is only used for internal purposes (i.e. under Pillar 2) or for large exposures (see Part Four CRR), the exposures and losses concerned must not reported.
12.Losses: The institution which has the exposure by the end of the reporting period shall report the losses. Losses shall be reported as soon as provisions are to be booked according to accounting rules. Also estimated losses should be reported. Loss data shall be collected on a loan-by-loan basis, i.e. aggregation of individual loss data stemming from exposures collateralised by immovable property.
13.Reference date: The exposure value from the date of default should be used for reporting of losses.
Losses should be reported for all defaults on loans secured by real estate property that occur during the respective reporting period (i.e. irrespective of whether the work out is completed during the period or not). Since there may be a long time lag between default and loss realisation, loss estimates (which includes incomplete workout process) shall be reported in cases where the workout has not been completed within the reporting period.
For all defaults observed within the reporting period, there are three scenarios: (i.) defaulted loan can be restructured so that it is no longer treated as in default (no loss observed); (ii.) realization of all collateral is completed (completed workout, actual loss known); or (iii.) incomplete workout (loss estimates to be used). Loss reporting shall include only losses stemming from scenario (ii.) realisation of collateral (observed losses) and scenario (iii.) incomplete workout (estimates of losses).
As losses shall be reported only for exposures having defaulted during the reporting period, changes to losses of exposures having defaulted during previous reporting periods will not be reflected in the reported data. I.e. proceeds from the realisation of the collateral at a later reporting period or lower realised costs than previously estimated shall not be reported.
14.Role of the valuation of the property: The latest valuation of the property before the default date of the exposure is needed as reference date for reporting the part of exposure secured by mortgages on immovable property. After default, the property might be re-valued. This new value should however not be relevant for identifying the part of the exposure which was originally fully (and completely) secured by the mortgages on immovable property. However the new value of the property shall be considered in economic loss reporting (a reduced property value is part of economic costs). In other words, the latest valuation of the property before the default date shall be used to determine which part of the loss shall be reported in cell 010 (identification of exposure values which is fully and completely secured) and the re-valued property value for the amount to be reported (estimation a possible workout from collateral) in cells 010 and 030.
15.Treatment of loan sales during the reporting period: The institution which has the exposure by the end of the reporting period shall report losses, but only if a default for that exposure was identified.
5.Instructions concerning specific positions
| Rows | |
|---|---|
| 010 | Residential property |
| 020 | Commercial immovable property |
ANNEX VIIITEMPLATES FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK
LARGE EXPOSURES TEMPLATES
| Template number | Template code | Name of the template/group of templates | Short name |
|---|---|---|---|
| LARGE EXPOSURES | LE | ||
| 26 | C 26.00 | Large Exposures limits | LE LIMITS |
| 27 | C 27.00 | Identification of the counterparty | LE 1 |
| 28 | C 28.00 | Exposures in the non-trading and trading book | LE 2 |
| 29 | C 29.00 | Detail of the exposures to individual clients within groups of connected clients | LE 3 |
| 30 | C 30.00 | Maturity buckets of the exposures in the non-trading and trading book | LE 4 |
| 31 | C 31.00 | Maturity buckets of exposures to individual clients within groups of connected clients | LE 5 |
C 26.00 — Large Exposures limits (LE Limits)
| Applicable limit | ||
|---|---|---|
| column | ||
| 010 | ||
| row | ||
| 010 | Non institutions | |
| 020 | Institutions | |
| 030 | Institutions in % | |
C 27.00 — Identification of the counterparty (LE 1)
| COUNTERPARTY IDENTIFICATION | ||||||
|---|---|---|---|---|---|---|
| Code | Name | LEI code | Residence of the counterparty | Sector of the counterparty | NACE code | Type of counterparty |
| 010 | 020 | 030 | 040 | 050 | 060 | 070 |
C 28.00 — Exposures in the non-trading and trading book (LE 2)
ANNEX VIII Table 4: rows 1 - 7
C 29.00 — Detail of the exposures to individual clients within groups of connected clients (LE 3)
ANNEX VIII Table 5: rows 1 - 7
C 30.00 — Maturity buckets of the exposures in the non-trading and trading book (LE 4)
ANNEX VIII Table 6: rows 1 - 4
C 31.00 — Maturity buckets of the exposures to individual clients within groups of connected clients (LE 5)
ANNEX VIII Table 7: rows 1 - 4
ANNEX IXINSTRUCTIONS FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK
PART I: GENERAL INSTRUCTIONS
1. Structure and conventions
1.The reporting framework on large exposures (‘LE’) shall consist of six templates which include the following information:
Large exposures limits
Identification of the counterparty (LE1 template)
Exposures in the non-trading and trading book (LE2 template)
Detail of the exposures to individual clients within groups of connected clients (LE3 template)
Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities (LE4 template)
Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities: detail of the exposures to individual clients within groups of connected clients (LE5 template)
2.The instructions include legal references as well as detailed information regarding the data that shall be reported in each template.
3.The instructions and the validation rules follow the labelling convention set in the following paragraphs, when referring to the columns, rows and cells of the templates.
4.The following convention is generally used in the instructions and validation rules: {Template;Row;Column}. An asterisk sign shall be used to express that the validation is done for all the rows reported.
5.In the case of validations within a template, in which only data points of that template are used, notations do not refer to a template: {Row;Column}.
6.ABS(Value) means the absolute value without sign.
7.Any amount that increases the exposures shall be reported as a positive figure. On the contrary, any amount that reduces the exposures shall be reported as a negative figure. Where there is a negative sign (–) preceding the label of an item, no positive figure shall be reported for that item.
PART II: TEMPLATE RELATED INSTRUCTIONS
In this Annex, instructions relating to the reporting of Large Exposures shall also apply to the reporting of significant exposures required by Articles 9 and 11, in accordance with the scope defined in those Articles.
1. Scope and level of the LE reporting
1.In order to report information on large exposures to clients or groups of connected clients according to Article 394(1) of Regulation (EU) No 575/2013 on a solo basis, institutions shall use the templates LE1, LE2 and LE3.
2.In order to report information on large exposures to clients or groups of connected clients according to Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, the parent institutions in a Member State shall use templates LE1, LE2 and LE3.
3.Every large exposure defined in accordance with Article 392 of Regulation (EU) No 575/2013 shall be reported, including the large exposures that shall not be considered for the compliance with the large exposure limit laid down in Article 395 of Regulation (EU) No 575/2013.
4.In order to report information on the 20 largest exposures to clients or groups of connected clients according to the last sentence of Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, the parent institutions in a Member State which are subject to Part three, Title II, Chapter 3 of Regulation (EU) No 575/2013 shall use templates LE1, LE2 and LE3. The exposure value resulting from subtracting the amount in column 320 (‘Amounts exempted’) of template LE2 from the amount in column 210 (‘Total’) of that same template is the amount that shall be used for determining these 20 largest exposures.
5.In order to report information on the 10 largest exposures to institutions as well as on the 10 largest exposures to unregulated financial entities according to Article 394(2), points (a) to (d) of Regulation (EU) No 575/2013 on a consolidated basis, the parent institutions in a Member State shall use templates LE1, LE2 and LE3. For the reporting of the maturity structure of these exposures according to point (e) of Article 394(2) of Regulation (EU) No 575/2013, the parent institutions in a Member State shall use templates LE4 and LE5. The exposure value calculated in column 210 (‘Total’) of template LE2 is the amount that shall be used for determining these 20 largest exposures.
6.The data on the large exposures and the relevant largest exposures to groups of connected clients and individual clients not belonging to a group of connected clients shall be reported in the template LE2 (in which a group of connected clients shall be reported as one single exposure.
7.Institutions shall report in the LE3 template data regarding the exposures to individual clients belonging to the groups of connected clients, which are reported in the LE2 template. The reporting of an exposure to an individual client in the LE2 template shall not be duplicated in the LE3 template.
2. Structure of the LE template
8.The columns of the template LE1 shall present the information related to the identification of individual clients or groups of connected clients to which an institution has an exposure.
9.The columns of the templates LE2 and LE3 shall present the following blocks of information:
the exposure value before application of exemptions and before taking into account the effect of the credit risk mitigation, including the direct, indirect exposure and additional exposures arising from transactions where there is an exposure to underlying assets;
the effect of the exemptions and of the credit risk mitigation techniques;
the exposure value after application of exemptions and after taking into account the effect of the credit risk mitigation calculated for the purpose of Article 395(1) of Regulation (EU) No 575/2013.
10.The columns of the templates LE4 and LE5 shall present the information regarding the maturity buckets to which the expected maturing amounts of the 10 largest exposures to institutions as well as the 10 largest exposures to unregulated financial entities shall be allocated.
3. Definitions for the purposes of the LE reporting
11.‘Group of connected clients’ is defined in Article 4(39) of Regulation (EU) No 575/2013.
12.‘Unregulated financial entities’ are defined in Article 142(5) of Regulation (EU) No 575/2013.
13.‘Institutions’ shall include credit institutions and investment funds according to Article 4 of Regulation (EU) No 575/2013 and, for the purposes of this reporting, shall mean any private or public undertaking, including its branches, which has been authorised in a third country that applies prudential supervisory and regulatory requirements at least equivalent to those applied in the European Union.
14.Exposures to ‘Civil-law associations’ shall be reported. In addition, institutions shall add the credit amounts of the civil-law association to the indebtedness of each partner. Exposures towards civil law associations featuring quotas shall be divided or allocated to the partners according to their respective quotas. Certain constructions (e.g. joint accounts, communities of heirs, straw-man loans) working in fact civil law associations have to be reported just like them.
15.Assets and off balance sheet items shall be used without risk weights or degrees of risk in accordance to Article 389 of Regulation (EU) No 575/2013. Specifically, credit conversion factors shall not be applied to off balance sheet items.
16.‘Exposures’ are defined in Article 389 of Regulation (EU) No 575/2013 and shall mean:
Any asset or off-balance sheet items in the non-trading and trading book including items set out in Article 400 of Regulation (EU) No 575/2013, but excluding items which fall under effect of Article 390(6) points (a) to (d) of Regulation (EU) No 575/2013.
‘Indirect exposures’ are those exposures allocated to the guarantor or to the issuer of the collateral rather than to the immediate borrower in accordance with Article 403 of Regulation (EU) No 575/2013.
The exposures to groups of connected clients shall be calculated in accordance with Article 390(5).
17.The ‘Netting agreements’ shall be allowed to be taken into account to the effects of large exposures exposure value as laid down in paragraphs (1) to (3) of the Article 390 of Regulation (EU) No 575/2013. The exposure value of a derivative instrument listed in Annex II of Regulation (EU) No 575/2013 shall be determined in accordance with Part Three, Title II, Chapter 6 with the effects of contracts of novation and other netting agreements taken into account for the purposes of those methods in accordance with Part Three, Title II, Chapter 6. The exposure value of repurchase transaction, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions may be determined either in accordance with Part Three, Title II, Chapter 6 or Part Three, Title II, Chapter 4. In accordance to Article 296 of Regulation (EU) No 575/2013, the exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a counterparty of the reporting institution shall be reported as ‘other commitments’ in the LE templates.
18.The ‘Value of an exposure’ shall be calculated according to Article 390 of Regulation (EU) No 575/2013.
19.The effect of the full or partial application of exemptions and eligible CRM techniques for the purposes of calculating of exposures for the purpose of Article 395(1) is described in Articles 399 to 403 of Regulation (EU) No 575/2013.
20.Reverse repurchase agreements which fall under the reporting for large exposures shall be reported accordingly with Article 402(3) of the Regulation (EU) No 575/2013. Provided that the criteria in Article 402(3) of the Regulation (EU) No 575/2013 are met the institution shall report the large exposures to each third party for the amount of the claim that the counterparty to the transaction has on this third party and not for the amount of the exposure to the counterparty.
4. LE Limits template
4.1.Instructions concerning specific rows
5. LE1 template: Identification of the counterparty
5.1.Instructions concerning specific columns
6. LE2 template: Exposures in the non-trading and trading book
6.1.Instructions concerning specific columns
ANNEX IX Table 3: rows 1 - 46
7. LE3 template: Details of the exposures to individual clients within groups of connected clients
7.1.Instructions concerning specific columns
8. LE 4 template: Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities
8.1.Instructions concerning specific columns
9. LE5 template: Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities: detail of the exposures to individual clients within groups of connected clients
9.1.Instructions concerning specific columns
ANNEX XREPORTING ON LEVERAGE
| LEVERAGE RATIO REPORTING TEMPLATES | |||
|---|---|---|---|
| Template code | Template code | Name of the template | Short name |
| 45 | C 45.00 | Leverage ratio calculation | LRCalc |
| 40 | C 40.00 | Alternative treatment of the exposure measure | LR1 |
| 41 | C 41.00 | On- and Off-Balance Sheet items - Additional breakdown of exposures | LR2 |
| 42 | C 42.00 | Alternative definition of capital | LR3 |
| 43 | C 43.00 | Breakdown of leverage ratio exposure measure components | LR4 |
| 44 | C 44.00 | General information | LR5 |
| 46 | C 46.00 | Entities that are consolidated for accounting purposes but are not within the scope of prudential consolidation | LR6 |
C 40.00 - ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1)
ANNEX X Table 2: rows 1 - 27
C 41.00 - ON- AND OFF-BALANCE SHEET ITEMS - ADDITIONAL BREAKDOWN OF EXPOSURES (LR2)
ANNEX X Table 3: rows 1 - 14
C 42.00 - ALTERNATIVE DEFINITION OF CAPITAL (LR3)
| Row | Column | |
|---|---|---|
| 010 | ||
| 010 | Common Equity Tier 1 capital - fully phased-in definition | |
| 020 | Common Equity Tier 1 capital - transitional definition | |
| 030 | Total own funds - fully phased-in definition | |
| 040 | Total own funds - transitional definition | |
| 050 | Regulatory adjustments - CET1 - fully phased-in definition | |
| 060 | Regulatory adjustments - CET1 - transitional definition | |
| 070 | Regulatory adjustments - Total own funds - fully phased-in definition | |
| 080 | Regulatory adjustments - Total own funds - transitional definition |
C 43.00 - BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4)
ANNEX X Table 5: rows 1 - 40
C 44.00 - GENERAL INFORMATION (LR5)
| Row | Column | |
|---|---|---|
| 010 | ||
| 010 | Institutions company structure | |
| 020 | Derivatives treatment | |
| 030 | Accounting framework | |
| 040 | Institution type | |
| 050 | Reporting calculation method | |
| 060 | Reporting level |
C 45.00 - LEVERAGE RATIO CALCULATION (LRCalc)
ANNEX X Table 7: rows 1 - 25
C 46.00 - ENTITIES THAT ARE CONSOLIDATED FOR ACCOUNTING PURPOSES BUT ARE NOT WITHIN THE SCOPE OF PRUDENTIAL CONSOLIDATION (LR6)
ANNEX X Table 8: rows 1 - 20
ANNEX XIREPORTING ON LEVERAGE
PART I: GENERAL INSTRUCTIONS
1. Template labelling and other conventions
1.1. Template labelling
1.This Annex contains additional instructions for the Leverage Ratio (hereinafter ‘LR’) templates included in Annex X of this Standard.
2.Overall, the framework consists of seven templates:
Leverage Ratio Calculation (LRCalc): Leverage ratio calculation
Leverage Ratio Template 1 (LR1): Alternative treatment of the exposure measure
Leverage Ratio Template 2 (LR2): On and off-balance sheet items — additional breakdown of exposures
Leverage Ratio Template 3 (LR3): Alternative definition of capital
Leverage Ratio Template 4 (LR4): Breakdown of leverage ratio exposure measure components
Leverage Ratio Template 5 (LR5): General information
Leverage Ratio Template 6 (LR6): Entities that are consolidated for accounting purposes but are not within the scope of prudential consolidation.
3.For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting.
1.2. Numbering convention
4.The document will follow the labelling convention set in the following paragraphs, when referring to the columns, rows and fields of the templates. These numerical codes are extensively used in the validation rules.
5.The following general notation is followed in the instructions: {Template;Row;Column}. An asterisk sign will be used to express that the validation is done for the whole row or column.
6.In the case of validations within a template, where only data points from that template are used, notations will not refer to a template: {Row;Column}.
7.For the purpose of the reporting on leverage, ‘of which’ refers to an item that is a subset of a higher level exposure category whereas ‘memo item’ refers to a separate item that is not a subset of an exposure class. Reporting of both types of fields is mandatory unless otherwise specified.
1.3. Sign convention
8.All amounts shall be reported as positive figures. An exception are the amounts reported in {LRCalc;110;1}, {LRCalc;110;2}, {LRCalc;110;3}, {LRCalc;120;1}, {LRCalc;120;2}, {LRCalc;120;3}, {LRCalc;150;1}, {LRCalc;150;2}, {LRCalc;150;3}, {LRCalc;160;1}, {LRCalc;160;2}, {LRCalc;160;3}, {LRCalc;170;1}, {LRCalc;170;2}, {LRCalc;170;3}, {LRCalc;180;1}, {LRCalc;180;2}, {LRCalc;180;3}, {LRCalc;190;1}, {LRCalc;190;2}, {LRCalc;190;3}, {LR3;010;1}, LR3;020;1}, {LR3;030;1}, {LR3;040;1}, {LR3;050;1}, {LR3;060;1}, {LR3;070;1} and LR3;080;1} which can either take positive or negative values. Thereby note that, apart from extreme cases, {LRCalc;150;1}, {LRCalc;150;2}, {LRCalc;150;3}, {LRCalc;170;1}, {LRCalc;170;2}, {LRCalc;170;3}, {LR3;050;1}, {LR3;060;1}, {LR3;070;1} and {LR3;080;1} only take negative values. Also note that, apart from extreme cases, {LRCalc;110;1}, {LRCalc;110;2}, {LRCalc;110;3}, {LRCalc;120;1}, {LRCalc;120;2}, {LRCalc;120;3}, {LRCalc;180;1}, {LRCalc;180;2}, {LRCalc;180;3}, {LRCalc;190;1}, {LRCalc;190;2}, {LRCalc;190;3}, {LR3;010;1}, {LR3;020;1}, {LR3;030;1}, LR3;040;1} only take positive values.
PART II: TEMPLATE RELATED INSTRUCTIONS
1. Structure and frequency
1.The leverage ratio template is divided into two parts. Part A comprises all the data items that enter into the calculation of the leverage ratio that institutions shall submit to competent authorities according to Article 430(1), 1st subparagraph, of the CRR, while Part B comprises all the data items that institutions shall submit according to Article 430(1), 2nd subparagraph of the CRR (ie for the purposes of the report referred to in Article 511 of the CRR).
2.In Part A, institutions shall report end-of-month values unless the derogation specified in Article 499(3) of the CRR applies. In Part B, institutions shall report end-of-quarter values.
3.When compiling the data for this ITS, institutions shall consider the treatment of fiduciary assets in accordance with Article 429(11) of the CRR.
2. Formulas for leverage ratio calculation
4.The leverage ratio is based on a capital measure and a total exposure measure, which can be calculated with fields from Part A.
5.
6.LR month 1 (PI) = {LRCalc;110;1}/[({LRCalc;010;1} + {LRCalc;020;1} + {LRCalc;030;1} + {LRCalc;040;1} + {LRCalc;050;1} + {LRCalc;060;1} + {LRCalc;070;1} + {LRCalc;080;1} + {LRCalc;090;1} + {LRCalc;100;1} + {LRCalc;130;1} + {LRCalc;150;1} — {LRCalc;160;1})]
7.LR month 2 (PI) = {LRCalc;110;2}/[({LRCalc;010; 2} + {LRCalc;020; 2} + {LRCalc;030; 2} + {LRCalc;040; 2} + {LRCalc;050; 2} + {LRCalc;060; 2} + {LRCalc;070;2} + {LRCalc;080;2} + {LRCalc;090;2} + {LRCalc;100;2} + {LRCalc;130; 2} + {LRCalc;150; 2} — {LRCalc;160; 2})]
8.LR month 3 (PI) = {LRCalc;110;3}/[{LRCalc;010;3} + {LRCalc;020;3} + {LRCalc;030;3} + {LRCalc;040;3} + {LRCalc;050;3} + {LRCalc;060;3} + {LRCalc;070;3} + {LRCalc;080;3} + {LRCalc;090;3} + {LRCalc;100;3} + {LRCalc;130;3} + {LRCalc;150;3} — {LRCalc;160;3}]
9.
10.LR month 1 (T) = {LRCalc;120;1}/[({LRCalc;010;1} + {LRCalc;020;1} + {LRCalc;030;1} + {LRCalc;040;1} + {LRCalc;050;1} + {LRCalc;060;1} + {LRCalc;070;1} + {LRCalc;080;1} + {LRCalc;090;1} + {LRCalc;100;1} + {LRCalc;140;1} + {LRCalc;170;1} — {LRCalc;160;1})]
11.LR month 2 (T) = {LRCalc;120;2}/[({LRCalc;010; 2} + {LRCalc;020; 2} + {LRCalc;030; 2} + {LRCalc;040; 2} + {LRCalc;050; 2} + {LRCalc;060; 2} + {LRCalc;070;2} + {LRCalc;080;2} + {LRCalc;090;2} + {LRCalc;100;2} + {LRCalc;140; 2} + {LRCalc;170; 2} — {LRCalc;160; 2})]
12.LR month 3 (T) = {LRCalc;120;3}/[{LRCalc;010;3} + {LRCalc;020;3} + {LRCalc;030;3} + {LRCalc;040;3} + {LRCalc;050;3} + {LRCalc;060;3} + {LRCalc;070;3} + {LRCalc;080;3} + {LRCalc;090;3} + {LRCalc;100;3} + {LRCalc;140;3} + {LRCalc;170;3} — {LRCalc;160;3}]
13.When the derogation specified in Article 499 (3) of the CRR applies, the leverage ratio — fully phased-in definition is equal to LR month 3 (PI) and the leverage ratio — transitional definition is equal to LR month 3 (T).
3. Materiality thresholds for derivatives
14.In order to reduce the reporting burden for institutions with limited exposures in derivatives, the following measures are used to gauge the relative importance of derivatives exposures to the total exposure of the leverage ratio. Institutions shall calculate these measures as follows:
15.
16.Where total exposure measure is equal to: [{LRCalc;010;3} + {LRCalc;020;3} + {LRCalc;030;3} + {LRCalc;040;3} + {LRCalc;050;3} + {LRCalc;060;3} + {LRCalc;070;3} + {LRCalc;080;3} + {LRCalc;090;3} + {LRCalc;100;3} + {LRCalc;130;3} + {LRCalc;150;3} — {LRCalc;160;3}]
17.Total notional value of derivatives = {LR1; 010; 7}
18.Credit derivatives volume = {LR1;020;7} + {LR1;050;7}
19.Institutions are required to report the fields referred to in paragraph 22 in the next reporting period, if one of the following conditions is met:
The derivatives share referred to in paragraph 15 is more than 1.5 % on two consecutive reporting reference dates; or
The derivatives share referred to in paragraph 15 exceeds 2.0 %.
20.Institutions for which the total notional value of derivatives as defined in paragraph 17 exceeds 10 billion € must report the fields referred to in paragraph 22, even though their derivatives share does not fulfil the conditions described in paragraph 19.
21.Institutions are required to report the fields referred to in paragraph 23 if one of the following conditions is met:
The credit derivatives volume referred to in paragraph 18 is more than 300 million € on two consecutive reporting reference dates; or
The credit derivatives volume referred to in paragraph 18 exceeds 500 million €.
22.{LR1;010;1},{LR1;010;2},{LR1;010;3},{LR1;010;5};{LR1;010;6},{LR1;010;7},{LR1;020;1},{LR1;020;2},{LR1;020;5},{{LR1;020;7},{LR1;030;5},{LR1;030;7},{LR1;040;5},{LR1;040;7},{LR1;050;1},{LR1;050;2},{LR1;050;5}, },{LR1;050;7}, {LR1;060;1},{LR1;060;2},{LR1;060;5},{LR1;060;7}.
23.{LR1;050;8}, {LR1;050;9},{LR1;050;10},{LR1;050;11}.
4. LRCalc: Leverage ratio calculation
24.This part of the reporting template collects the data that are needed to calculate the leverage ratio as defined in Article 429 of the CRR.
25.Since the leverage ratio shall be calculated ‘as the simple arithmetic mean of the monthly leverage ratios over a quarter’, institutions shall report the components at an end-of-month basis unless the derogation specified in Article 499(3) of the CRR applies. If the latter is the case, institutions shall only report values in column 3 of LRCalc.
26.Institutions shall perform the reporting of the leverage ratio quarterly. In each quarter, the ‘Month-1-value’ shall be the value at the last calendar day of the first month of the respective quarter, the ‘Month-2-value’ shall be the value at the last calendar day of the second month of the respective quarter and the ‘Month-3-value’ shall be the value at the last calendar day of the third month of the respective quarter.
ANNEX XI Table 1: rows 1 - 29
5. LR1 on alternative treatment of the Exposure Measure
27.This part of the reporting collects data on alternative treatment of derivatives, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions, and off-balance sheet items.
28.Institutions shall determine the ‘accounting balance sheet values’ in LR1 based on the applicable accounting framework in accordance with Article 4(1)(77) of the CRR. ‘Accounting value assuming not netting or other CRM’ refers to the accounting balance sheet value not taking into account any effects of netting or risk mitigation.
ANNEX XI Table 2: rows 1 - 50
6. LR2 On- and off-balance sheet items — additional breakdown of exposures
29.Panel LR2 provides information on additional breakdown items of all on and off balance sheet exposures(3) belonging to the non-trading book and of all exposures of the trading book subject to counterparty credit risk. The breakdown is according to the risk weights applied under the credit risk section of the CRR. The information is derived differently for exposures under respectively the standardised and the IRB approach.
30.For exposures supported by credit risk mitigation techniques implying the substitution of the risk weighting of the counterparty with the risk weighting of the guarantee, institutions shall refer to the risk weight after the substitution effect. Under the internal ratings-based approach for credit risk, institutions shall proceed with the following calculation: for exposures (other than those for which specific regulatory risk weights are provided for) belonging to each obligor grade, the risk weight shall be derived by dividing the risk weighted exposure obtained from the risk weight formula or the supervisory formula (for credit risk and securitisations exposures, respectively) by the exposure value after taking into account inflows and outflows due to CRM techniques with substitution effect on the exposure. Under the internal ratings-based approach, exposures classified as in default shall be excluded from rows 020 to 090 and included in row 100.
31.Under both approaches, institutions shall consider exposures deducted from the regulatory capital as being applied a 1 250 % risk weight.
7. LR3 Alternative definition of capital
32.Template LR3 provides with the capital measures needed for the review provided for in Article 511 of the CRR.
8. LR4 Alternative breakdown of leverage ratio exposure measure components
33.In order to avoid double-counting, institutions shall uphold the following:
34.[{LRCalc;010;3}+{LRCalc;020;3}+{LRCalc;030;3}+{LRCalc;040;3}+{LRCalc;050;3}+{LRCalc;060;3}+{LRCalc;070;3}+{LRCalc;080;3}+{LRCalc;090;3}+{LRCalc;100;3}]= [{LR4;010;1}+{LR4;040;1}+{LR4;050;1}+{LR4;060;1}+{LR4;070;1}+{LR4;080;1}+{LR4;080;2}+{LR4;090;1}+{LR4;090;2}{LR4;140;1}+{LR4;140;2}+{LR4;180;1}+{LR4;180;2}+{LR4;190;1}+{LR4;190;2}+{LR4;210;1}+{LR4;210;2}+{LR4;230;1}+{LR4;230;2}+{LR4;280;1}+{LR4;280;2}+{LR4;290;1}+{LR4;290;2}]
ANNEX XI Table 5: rows 1 - 115
9. LR5 General information
35.Additional information is collected here for the purpose of categorising the institution activities and the regulatory options chosen by the institution.
10. LR6 Entities that are consolidated for accounting purposes but not within the scope of prudential consolidation
36.LR6 collects information on financial sector entities as defined in Article 4(1)(27) CRR that are consolidated according to the applicable accounting framework but are not included in the institution's prudential consolidation according to Chapter 2 of Title II of Part One of the CRR, securitisation entities that are consolidated according to the applicable accounting framework but are not included in the institution's prudential consolidation according to Chapter 2 of Title II of Part One of the CRR, and to commercial entities that are consolidated according to the applicable accounting framework but are not included in the institution's prudential consolidation according to Chapter 2 of Title II of Part One of the CRR.
37.Institutions shall determine the total amount of the equity of the financial sector entities referred to in paragraph 36 reduced by the deductions that relate to the financial sector entities referred to in paragraph 36 pursuant to Article 36 paragraph 1, points (g), (h) and (i) of the CRR. To obtain the inclusion factor for financial sector entities, institutions shall divide the amount specified in the previous sentence by the total amount of the equity of the financial sector entities referred to in paragraph 36.
38.Institutions shall determine the total amount of the equity of commercial entities referred to in paragraph 36 reduced by the deductions that relate to the commercial entities referred to in paragraph 36 pursuant to Article 36 paragraph 1, point (k)(i) of the CRR. To obtain the inclusion factor for commercial entities, institutions shall divide the amount specified in the previous sentence by the total amount of the equity of the commercial entities referred to in paragraph 36.
39.For commercial entities referred to in paragraph 36, institutions shall gauge the potential relative importance of these entities to the total exposure of the leverage ratio on an entity by entity basis. When reporting the fields referred to in paragraph 40, institutions are not required to take into account those commercial entities for which the value that enters into {LR6;140; 3} is less than 0.1 % of the amount determined according to paragraph 16.
40.{LR6;010; 3}, {LR6;020; 3}, {LR6;030; 3}, {LR6;040; 3}, {LR6;050; 3}, {LR6;060; 3}, {LR6;070; 3}, {LR6;080; 3}, {LR6;090; 3}, {LR6;100; 3}, {LR6;110; 3} to {LR6;120; 3}.
41.For the purpose of LR6 institutions shall treat an entity as a securitisation entity if it is 4(1)(61)4(1)(63)a securitisation special purpose entity as defined in Article 4(1)(66).
42.For the purpose of LR6 institutions shall treat an entity as a commercial entity if it is an entity that is not a financial sector entity as defined in Article 4(1)(27) CRR and is not a entity within the scope of the previous paragraph.
ANNEX XI Table 7: rows 1 - 49
ANNEX XIIREPORTING ON LIQUIDITY
| LIQUIDITY TEMPLATES | ||
|---|---|---|
| Template number | Template code | Name of the template/group of templates |
| LIQUIDITY COVERAGE TEMPLATES | ||
| PART I — LIQUID ASSETS | ||
| 51 | C 51.00 | LIQUIDITY COVERAGE — LIQUID ASSETS |
| PART II — OUTFLOWS | ||
| 52 | C 52.00 | LIQUIDITY COVERAGE — OUTFLOWS |
| PART III — INFLOWS | ||
| 53 | C 53.00 | LIQUIDITY COVERAGE — INFLOWS |
| PART IV — COLLATERAL SWAPS | ||
| 54 | C 54.00 | LIQUIDITY COVERAGE — COLLATERAL SWAPS |
| STABLE FUNDING TEMPLATES | ||
| PART V — STABLE FUNDING | ||
| 60 | C 60.00 | STABLE FUNDING — ITEMS REQUIRING STABLE FUNDING |
| 61 | C 61.00 | STABLE FUNDING — ITEMS PROVIDING STABLE FUNDING |
C 51.00 — LIQUIDITY COVERAGE — LIQUID ASSETS
ANNEX XII Table 2: rows 1 - 123
C 52.00 — LIQUIDITY COVERAGE — OUTFLOWS
ANNEX XII Table 3: rows 1 - 188
C 53.00 — LIQUIDITY COVERAGE — INFLOWS
ANNEX XII Table 4: rows 1 - 140
C 54.00 — LIQUIDITY COVERAGE — COLLATERAL SWAPS
ANNEX XII Table 5: rows 1 - 12
C 60.00 — STABLE FUNDING — ITEMS REQUIRING STABLE FUNDING
ANNEX XII Table 6: rows 1 - 183
C 61.00 — STABLE FUNDING — ITEMS PROVIDING STABLE FUNDING
ANNEX XII Table 7: rows 1 - 38
ANNEX XIII
REPORTING ON LIQUIDITY (PART 1 of 5: LIQUID ASSETS)
1.Liquid assets
1.1.General remarks
1.This is a summary template which contains information about assets for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are colored grey.
2.Assets shall be reported in one of six sections in this template:
3.Assets which meet the requirements of Article 416 and Article 417: assets identified as liquid for reporting purposes in the REGULATION (EU) NO 575/2013, which meet the operational requirements for holdings of liquid assets.
4.Assets which meet the requirements of Article 416 (1) (b) and (d) but do not meet the requirements of Article 417 (b) and (c) REGULATION (EU) NO 575/2013.
5.Items subject to supplementary reporting of liquid assets according to Annex III REGULATION (EU) NO 575/2013
6.Assets which do not meet the requirements of Article 416 REGULATION (EU) NO 575/2013 but meet the requirements of Article 417(b) and (c) REGULATION (EU) NO 575/2013.
7.Treatment for jurisdictions with insufficient liquid assets
8.Reporting of Shar'iah compliant assets as alternative assets under Article 509(2)(i).
1.2.Specific remarks
9.For items 1.1 to 1.2 institutions shall report the relevant amounts in column 030.
10.For items 1.3 to 1.4 institutions shall report the market value of assets in column 010 and the value according to Article 418 in column 020 for each category of assets.
11.For item 1.5 institutions shall report the relevant undrawn amount in column 040.
12.For item 1.6.1/1.6.2 institutions shall report the relevant amounts in column 030/040.
13.For items 1.7 to 2.2, in accordance with the last paragraph of Article 416(1) REGULATION (EU) NO 575/2013 and pending a uniform definition in accordance with Article 460 of high and extremely high liquidity and credit quality, institutions shall identify themselves in a given currency transferable assets that are of extremely high and high liquidity and credit quality and report their market value in columns 010 and 030 and the value according to Article 418 in columns 020 and 040.
14.For items 1.3 to 1.4 and 1.7 to 1.14, institutions shall only report assets that fulfill all the operational requirements referred to in Article 417 REGULATION (EU) NO 575/2013.
15.For items 2.1 to 2.2, institutions shall report assets which would otherwise qualify to be reported in section 1.1 to 1.14 but do not meet the operational requirements referred to in Article 417 (b) and (c) REGULATION (EU) NO 575/2013.
16.For items 1.1 to 2.2, with the exception of item 1.5, institutions shall only report assets which fulfill all the conditions referred to in Article 416(3) REGULATION (EU) NO 575/2013.
17.For items 3.1 to 3.12, institutions shall only report assets subject to supplementary reporting of liquid assets in accordance with Annex III REGULATION (EU) NO 575/2013. All items, with the exception of those referred to in sections 3.1, 3.2 and 3.9, must satisfy the conditions as set out in the last paragraph of that Annex.
18.For items 4.1 to 4.12.3, institutions shall only report assets which do not meet the requirements of Article 416 REGULATION (EU) NO 575/2013 but still meet the requirements of Article 417(b) and (c) REGULATION (EU) NO 575/2013
19.For items 5.1 to 5.2, institutions shall only report items related to the derogations as referred to in Article 419(2) REGULATION (EU) NO 575/2013 for currencies with constraints on the availability of liquid assets
20.For items 6.1 to 6.1.3, only Shar'iah compliant banks shall report items that are Shar'iah compliant financial products as an alternative to assets that would qualify as liquid assets for the purposes of Article 416 REGULATION (EU) NO 575/2013
21.The value of the liquid assets of all items in the template, with the exception of 1.1 to 1.2.1, 1.5 to 1.6.2, 3.1 to 3.2, 3.9 to 3.10 and 5.2 shall be the market value and the value after the application of the relevant haircuts. For items 1.1 to 1.2.1, 1.6 to 1.6.2, 3.1 to 3.2, 3.10 and 5.2 the amount of the item shall be reported. For item 1.5 and 3.9 the undrawn amount of the line shall be reported.
Liquid assets sub template
1.2.1.Instructions concerning specific rows
ANNEX XIII Table 1: rows 1 - 119
REPORTING ON LIQUIDITY (PART 2 of 5: OUTFLOWS)
1.Outflows
1.1.General remarks
1.This is a summary template which contains information about liquidity outflows measured over the next 30 days, for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 of the REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are coloured grey.
2.In accordance with Article 420 REGULATION (EU) NO 575/2013, this section covers reporting requirements on retail deposits (Article 421), other deposits and liabilities (Article 422), additional outflows (Article 423) and outflows from credit and liquidity facilities (Article 424).
3.In accordance with Article 421(5) of the REGULATION (EU) NO 575/2013, institutions may exclude from the calculation of outflows certain clearly circumscribed categories of retail deposits. For completeness, the reporting of these deposits is requested in item 1.1.6 of the template.
1.2.Outflows sub template
1.2.1.Instructions concerning specific rows
ANNEX XIII Table 2: rows 1 - 179
REPORTING ON LIQUIDITY (PART 3 of 5: INFLOWS)
1.Inflows
1.1.General remarks
1.This is a summary template which contains information about liquidity inflows measured over the next 30 days, for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 of the REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are coloured grey.
2.In accordance with Article 425(2) REGULATION (EU) NO 575/2013, liquidity inflows shall:
comprise only contractual inflows from exposures that are not passed due and for which the bank has no reason to expect non-performance within the 30-day time horizon.
be reported in full,.
3.In accordance with Article 425(7) REGULATION (EU) NO 575/2013, institutions shall not report inflows from any of the liquid assets reported in accordance with Article 416 other than payments due on the assets that are not reflected in the market value of the asset.
4.In accordance with Article 425(8) REGULATION (EU) NO 575/2013, institutions shall not report inflows from any new obligations entered into.
1.2.Inflows sub template
1.2.1.Instructions concerning specific rows
ANNEX XIII Table 3: rows 1 - 136
REPORTING ON LIQUIDITY (PART 4 of 5: COLLATERAL SWAPS)
General remarks
1.This is a summary template which contains information that will allow EBA to assess whether secured lending and collateral swap transactions have been properly unwound, where liquid assets referred to in points (a), (b) and (c) of Article 416(1) have been obtained against collateral that does not qualify under points (a), (b) and (c) of Article 416(1).
Collateral swaps sub template
Instructions concerning specific rows
REPORTING ON LIQUIDITY (PART 5 of 5: STABLE FUNDING)
1.Items providing stable funding
1.1.General remarks
1.This is a summary template which contains information about items providing stable funding. Items which do not need to be completed by institutions are coloured grey.
2.All own funds and liabilities reported on an institution's balance sheet shall be reported here. The total amount of these two categories shall therefore reflect the size of the institutions' total assets.
3.In accordance with Article 427(2) REGULATION (EU) NO 575/2013, liabilities shall be reported in five buckets as follows:
liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is within three months of the reporting date, shall be reported in column F of the relevant category. All sight deposits shall be reported here.
liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between three and six months from the reporting date, shall be reported in column G of the relevant category.
liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between 6 and 9 months from the reporting date, shall be reported in column H of the relevant category.
liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between 9 and 12 months from the reporting date, shall be reported in column I of the relevant category.
liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is beyond one year of the reporting date and own funds shall be reported in column J of the relevant category.
4.Institutions shall assume that investors redeem a call option at the earliest possible date. For funding with options exercisable at the institution's discretion, reputational factors that may limit the institution's ability to exercise the option shall be taken into account. In particular, where the market expects certain liabilities to be redeemed before their legal final maturity date, institutions shall assume such behaviour.
5.For retail deposits reported in section 1.2, the same assumptions with regard to maturity for the Liquidity Coverage template shall be used in the Available Stable Funding template.
1.2.Items providing stable funding
1.2.1.Instructions concerning specific rows
ANNEX XIII Table 5: rows 1 - 36
2.Items requiring stable funding
2.1.General remarks
1.This is a summary template which contains information about items requiring stable funding. Items which do not need to be completed by institutions are coloured grey.
2.All assets reported on an institutions balance sheet shall be reported here. The total amount reported shall therefore reflect the size of total own funds and liabilities together.
3.Treatment of maturity:
In accordance with Article 428(2) of the REGULATION (EU) NO 575/2013, items shall be presented in five buckets as follows:
assets for which the closer of their maturity date and the earliest date at which they can contractually be called is within three months of the reporting date, shall be reported in column 010, 060 or 110 depending on the relevant category.
assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between three and six months from the reporting date, shall be reported in column 020, 070, or 120 depending on the relevant category.
assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between 6 and 9 months from the reporting date, shall be reported in column 030, 080, or 130 depending on the relevant category.
assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between 9 and 12 months from the reporting date, shall be reported in column 040, 090, or 140 depending on the relevant category.
assets for which the closer of their maturity date and the earliest date at which they can contractually be called is beyond one year of the reporting date and own funds shall be reported in column 050, 100, or 150 depending on the relevant category.
For options exercisable at the institution's discretion, institutions shall take into account reputational factors that may limit the ability not to exercise the option. In particular, if third parties expect that an option will not be exercised, the institution shall assume such behaviour for the purpose of reporting assets in this template.
Assets shall be reported according to their residual contract maturity and not behavioural assumptions.
4.In accordance with Article 510 of the REGULATION (EU) NO 575/2013, for the purpose of monitoring Stable Funding, for each category of assets reported in the required stable funding template, institutions shall provide a separate break down of the assets encumbrance as follows:
The amount of assets reported which are unencumbered shall be reported in the first sub-category.
The amount of assets which are encumbered shall be reported in the relevant sub-line depending on the period of encumbrance, as follows:
for a period within three months
for a period between three and 6 months
for a period between 6 and 9 months
for a period between 9 and 12 months
for a period greater than 12 months
5.Treatment of assets received or lent in secured lending and capital market driven transactions in accordance with Article 192 of REGULATION (EU) NO 575/2013:
Institutions shall exclude assets which they have borrowed in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 (such as reverse repurchase transactions and collateral swaps) of which they do not have beneficial ownership.
Institutions shall report those assets they have lent in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 (such as repurchase transactions or collateral swaps) of which they retain beneficial ownership.
Where an institution has encumbered securities in repurchase transactions lent in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 but retained beneficial ownership and they remain on their balance sheet, they shall allocate such securities to the appropriate RSF category.
6.Treatment of derivatives payables and receivables:
An institution will usually have both net derivatives liabilities (i.e. payables) and net derivative assets (i.e. receivables) on its balance sheet. Institutions shall calculate these according to regulatory netting rules, not accounting rules, and report the amounts in both template 1.1. ‘Required funding’ and template 1.2 ‘Stable funding’ accordingly.
2.2.Items requiring stable funding
2.2.1.Instructions concerning specific rows
ANNEX XIII Table 6: rows 1 - 180
ANNEX XIVDATA POINT MODEL — DICTIONARY
Tables
ANNEX XIV Table 1: rows 1 - 162
Table Axes
ANNEX XIV Table 2: rows 1 - 200
ANNEX XIV Table 2: rows 201 - 400
ANNEX XIV Table 2: rows 401 - 600
ANNEX XIV Table 2: rows 601 - 800
ANNEX XIV Table 2: rows 801 - 1000
ANNEX XIV Table 2: rows 1001 - 1200
ANNEX XIV Table 2: rows 1201 - 1400
ANNEX XIV Table 2: rows 1401 - 1600
ANNEX XIV Table 2: rows 1601 - 1800
ANNEX XIV Table 2: rows 1801 - 2000
ANNEX XIV Table 2: rows 2001 - 2200
ANNEX XIV Table 2: rows 2201 - 2400
ANNEX XIV Table 2: rows 2401 - 2600
ANNEX XIV Table 2: rows 2601 - 2800
ANNEX XIV Table 2: rows 2801 - 3000
ANNEX XIV Table 2: rows 3001 - 3200
ANNEX XIV Table 2: rows 3201 - 3400
ANNEX XIV Table 2: rows 3401 - 3600
ANNEX XIV Table 2: rows 3601 - 3800
ANNEX XIV Table 2: rows 3801 - 4000
ANNEX XIV Table 2: rows 4001 - 4200
ANNEX XIV Table 2: rows 4201 - 4400
ANNEX XIV Table 2: rows 4401 - 4600
ANNEX XIV Table 2: rows 4601 - 4800
ANNEX XIV Table 2: rows 4801 - 5000
ANNEX XIV Table 2: rows 5001 - 5200
ANNEX XIV Table 2: rows 5201 - 5400
ANNEX XIV Table 2: rows 5401 - 5600
ANNEX XIV Table 2: rows 5601 - 5800
ANNEX XIV Table 2: rows 5801 - 5925
Named Table Axes
ANNEX XIV Table 3: rows 1 - 25
Domains
ANNEX XIV Table 4: rows 1 - 43
Dimensions
ANNEX XIV Table 5: rows 1 - 108
Members
ANNEX XIV Table 6: rows 1 - 200
ANNEX XIV Table 6: rows 201 - 400
ANNEX XIV Table 6: rows 401 - 600
ANNEX XIV Table 6: rows 601 - 800
ANNEX XIV Table 6: rows 801 - 1000
ANNEX XIV Table 6: rows 1001 - 1200
ANNEX XIV Table 6: rows 1201 - 1400
ANNEX XIV Table 6: rows 1401 - 1600
ANNEX XIV Table 6: rows 1601 - 1800
ANNEX XIV Table 6: rows 1801 - 2000
ANNEX XIV Table 6: rows 2001 - 2174
ANNEX XIV Table 7: rows 1 - 200
ANNEX XIV Table 7: rows 201 - 400
ANNEX XIV Table 7: rows 401 - 600
ANNEX XIV Table 7: rows 601 - 800
ANNEX XIV Table 7: rows 801 - 1000
ANNEX XIV Table 7: rows 1001 - 1200
ANNEX XIV Table 7: rows 1201 - 1400
ANNEX XIV Table 7: rows 1401 - 1600
ANNEX XIV Table 7: rows 1601 - 1800
ANNEX XIV Table 7: rows 1801 - 2000
ANNEX XIV Table 7: rows 2001 - 2200
ANNEX XIV Table 7: rows 2201 - 2400
ANNEX XIV Table 7: rows 2401 - 2600
ANNEX XIV Table 7: rows 2601 - 2800
ANNEX XIV Table 7: rows 2801 - 3000
ANNEX XIV Table 7: rows 3001 - 3200
ANNEX XIV Table 7: rows 3201 - 3400
ANNEX XIV Table 7: rows 3401 - 3600
ANNEX XIV Table 7: rows 3601 - 3800
ANNEX XIV Table 7: rows 3801 - 4000
ANNEX XIV Table 7: rows 4001 - 4200
ANNEX XIV Table 7: rows 4201 - 4400
ANNEX XIV Table 7: rows 4401 - 4600
ANNEX XIV Table 7: rows 4601 - 4800
ANNEX XIV Table 7: rows 4801 - 5000
ANNEX XIV Table 7: rows 5001 - 5200
ANNEX XIV Table 7: rows 5201 - 5400
ANNEX XIV Table 7: rows 5401 - 5600
ANNEX XIV Table 7: rows 5601 - 5800
ANNEX XIV Table 7: rows 5801 - 6000
ANNEX XIV Table 7: rows 6001 - 6200
ANNEX XIV Table 7: rows 6201 - 6400
ANNEX XIV Table 7: rows 6401 - 6600
ANNEX XIV Table 7: rows 6601 - 6800
ANNEX XIV Table 7: rows 6801 - 7000
ANNEX XIV Table 7: rows 7001 - 7200
ANNEX XIV Table 7: rows 7201 - 7400
ANNEX XIV Table 7: rows 7401 - 7600
ANNEX XIV Table 7: rows 7601 - 7800
ANNEX XIV Table 7: rows 7801 - 8000
ANNEX XIV Table 7: rows 8001 - 8200
ANNEX XIV Table 7: rows 8201 - 8400
ANNEX XIV Table 7: rows 8401 - 8600
ANNEX XIV Table 7: rows 8601 - 8800
ANNEX XIV Table 7: rows 8801 - 9000
ANNEX XIV Table 7: rows 9001 - 9200
ANNEX XIV Table 7: rows 9201 - 9400
ANNEX XIV Table 7: rows 9401 - 9600
ANNEX XIV Table 7: rows 9601 - 9800
ANNEX XIV Table 7: rows 9801 - 10000
ANNEX XIV Table 7: rows 10001 - 10200
ANNEX XIV Table 7: rows 10201 - 10400
ANNEX XIV Table 7: rows 10401 - 10600
ANNEX XIV Table 7: rows 10601 - 10800
ANNEX XIV Table 7: rows 10801 - 11000
ANNEX XIV Table 7: rows 11001 - 11200
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ANNEX XIV Table 7: rows 11401 - 11600
ANNEX XIV Table 7: rows 11601 - 11800
ANNEX XIV Table 7: rows 11801 - 12000
ANNEX XIV Table 7: rows 12001 - 12200
ANNEX XIV Table 7: rows 12201 - 12400
ANNEX XIV Table 7: rows 12401 - 12600
ANNEX XIV Table 7: rows 12601 - 12800
ANNEX XIV Table 7: rows 12801 - 13000
ANNEX XIV Table 7: rows 13001 - 13200
ANNEX XIV Table 7: rows 13201 - 13400
ANNEX XIV Table 7: rows 13401 - 13600
ANNEX XIV Table 7: rows 13601 - 13800
ANNEX XIV Table 7: rows 13801 - 14000
ANNEX XIV Table 7: rows 14001 - 14200
ANNEX XIV Table 7: rows 14201 - 14400
ANNEX XIV Table 7: rows 14401 - 14600
ANNEX XIV Table 7: rows 14601 - 14800
ANNEX XIV Table 7: rows 14801 - 15000
ANNEX XIV Table 7: rows 15001 - 15200
ANNEX XIV Table 7: rows 15201 - 15400
ANNEX XIV Table 7: rows 15401 - 15600
ANNEX XIV Table 7: rows 15601 - 15800
ANNEX XIV Table 7: rows 15801 - 16000
ANNEX XIV Table 7: rows 16001 - 16200
ANNEX XIV Table 7: rows 16201 - 16400
ANNEX XIV Table 7: rows 16401 - 16600
ANNEX XIV Table 7: rows 16601 - 16800
ANNEX XIV Table 7: rows 16801 - 17000
ANNEX XIV Table 7: rows 17001 - 17200
ANNEX XIV Table 7: rows 17201 - 17400
ANNEX XIV Table 7: rows 17401 - 17600
ANNEX XIV Table 7: rows 17601 - 17800
ANNEX XIV Table 7: rows 17801 - 18000
ANNEX XIV Table 7: rows 18001 - 18200
ANNEX XIV Table 7: rows 18201 - 18400
ANNEX XIV Table 7: rows 18401 - 18600
ANNEX XIV Table 7: rows 18601 - 18800
ANNEX XIV Table 7: rows 18801 - 19000
ANNEX XIV Table 7: rows 19001 - 19200
ANNEX XIV Table 7: rows 19201 - 19400
ANNEX XIV Table 7: rows 19401 - 19600
ANNEX XIV Table 7: rows 19601 - 19800
ANNEX XIV Table 7: rows 19801 - 20000
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ANNEX XIV Table 7: rows 20201 - 20400
ANNEX XIV Table 7: rows 20401 - 20600
ANNEX XIV Table 7: rows 20601 - 20800
ANNEX XIV Table 7: rows 20801 - 21000
ANNEX XIV Table 7: rows 21001 - 21200
ANNEX XIV Table 7: rows 21201 - 21400
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ANNEX XIV Table 7: rows 21801 - 22000
ANNEX XIV Table 7: rows 22001 - 22200
ANNEX XIV Table 7: rows 22201 - 22400
ANNEX XIV Table 7: rows 22401 - 22600
ANNEX XIV Table 7: rows 22601 - 22800
ANNEX XIV Table 7: rows 22801 - 23000
ANNEX XIV Table 7: rows 23001 - 23200
ANNEX XIV Table 7: rows 23201 - 23400
ANNEX XIV Table 7: rows 23401 - 23600
ANNEX XIV Table 7: rows 23601 - 23800
ANNEX XIV Table 7: rows 23801 - 24000
ANNEX XIV Table 7: rows 24001 - 24200
ANNEX XIV Table 7: rows 24201 - 24400
ANNEX XIV Table 7: rows 24401 - 24600
ANNEX XIV Table 7: rows 24601 - 24800
ANNEX XIV Table 7: rows 24801 - 25000
ANNEX XIV Table 7: rows 25001 - 25200
ANNEX XIV Table 7: rows 25201 - 25400
ANNEX XIV Table 7: rows 25401 - 25600
ANNEX XIV Table 7: rows 25601 - 25800
ANNEX XIV Table 7: rows 25801 - 26000
ANNEX XIV Table 7: rows 26001 - 26200
ANNEX XIV Table 7: rows 26201 - 26400
ANNEX XIV Table 7: rows 26401 - 26600
ANNEX XIV Table 7: rows 26601 - 26800
ANNEX XIV Table 7: rows 26801 - 27000
ANNEX XIV Table 7: rows 27001 - 27200
ANNEX XIV Table 7: rows 27201 - 27400
ANNEX XIV Table 7: rows 27401 - 27600
ANNEX XIV Table 7: rows 27601 - 27800
ANNEX XIV Table 7: rows 27801 - 28000
ANNEX XIV Table 7: rows 28001 - 28200
ANNEX XIV Table 7: rows 28201 - 28400
ANNEX XIV Table 7: rows 28401 - 28600
ANNEX XIV Table 7: rows 28601 - 28800
ANNEX XIV Table 7: rows 28801 - 29000
ANNEX XIV Table 7: rows 29001 - 29200
ANNEX XIV Table 7: rows 29201 - 29400
ANNEX XIV Table 7: rows 29401 - 29600
ANNEX XIV Table 7: rows 29601 - 29800
ANNEX XIV Table 7: rows 29801 - 30000
ANNEX XIV Table 7: rows 30001 - 30200
ANNEX XIV Table 7: rows 30201 - 30400
ANNEX XIV Table 7: rows 30401 - 30600
ANNEX XIV Table 7: rows 30601 - 30800
ANNEX XIV Table 7: rows 30801 - 31000
ANNEX XIV Table 7: rows 31001 - 31200
ANNEX XIV Table 7: rows 31201 - 31400
ANNEX XIV Table 7: rows 31401 - 31600
ANNEX XIV Table 7: rows 31601 - 31800
ANNEX XIV Table 7: rows 31801 - 32000
ANNEX XIV Table 7: rows 32001 - 32200
ANNEX XIV Table 7: rows 32201 - 32400
ANNEX XIV Table 7: rows 32401 - 32600
ANNEX XIV Table 7: rows 32601 - 32800
ANNEX XIV Table 7: rows 32801 - 33000
ANNEX XIV Table 7: rows 33001 - 33200
ANNEX XIV Table 7: rows 33201 - 33400
ANNEX XIV Table 7: rows 33401 - 33600
ANNEX XIV Table 7: rows 33601 - 33800
ANNEX XIV Table 7: rows 33801 - 34000
ANNEX XIV Table 7: rows 34001 - 34200
ANNEX XIV Table 7: rows 34201 - 34400
ANNEX XIV Table 7: rows 34401 - 34600
ANNEX XIV Table 7: rows 34601 - 34800
ANNEX XIV Table 7: rows 34801 - 35000
ANNEX XIV Table 7: rows 35001 - 35200
ANNEX XIV Table 7: rows 35201 - 35400
ANNEX XIV Table 7: rows 35401 - 35487
ANNEX XVVALIDATION FORMULAE
ANNEX XV Table 1: rows 1 - 200
ANNEX XV Table 1: rows 201 - 400
ANNEX XV Table 1: rows 401 - 600
ANNEX XV Table 1: rows 601 - 800
ANNEX XV Table 1: rows 801 - 1000
ANNEX XV Table 1: rows 1001 - 1200
ANNEX XV Table 1: rows 1201 - 1400
ANNEX XV Table 1: rows 1401 - 1600
ANNEX XV Table 1: rows 1601 - 1800
ANNEX XV Table 1: rows 1801 - 1990
The 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).
‘Stand alone institutions’ are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements.
This includes securitisations and equity exposures subject to credit risk