1. Introductory Text

  2. CHAPTER 1 SUBJECT MATTER AND SCOPE

    1. Article 1.Subject matter and scope

  3. CHAPTER 2 REPORTING REFERENCE AND REMITTANCE DATES AND REPORTING THRESHOLDS

    1. Article 2.Reporting reference dates

    2. Article 3.Reporting remittance dates

    3. Article 4.Reporting thresholds — entry and exit criteria

  4. CHAPTER 3 FORMAT AND FREQUENCY OF REPORTING ON OWN FUNDS, OWN FUNDS REQUIREMENTS AND FINANCIAL INFORMATION

    1. SECTION 1 Format and frequency of reporting on own funds and own funds requirements

      1. Article 5.Format and frequency of reporting on own funds and on own funds requirements for institutions on an individual basis, except for investment firms subject to article 95 and 96 of Regulation (EU) No 575/2013

      2. Article 6.Format and frequency of reporting on own funds and own funds requirements on a consolidated basis, except for groups which only consist of investment firms subject to articles 95 and 96 of Regulation (EU) No 575/2013

      3. Article 7.Format and frequency of reporting on own funds and own funds requirements for investment firms subject to Articles 95 and 96 Regulation (EU) No 575/2013 on an individual basis

      4. Article 8.Format and frequency of reporting on own funds and own funds requirements for groups which only consist of investment firms subject to Article 95 and 96 Regulation (EU) No 575/2013 on a consolidated basis

    2. SECTION 2 Format and frequency of reporting on financial information on a consolidated basis

      1. Article 9.Format and frequency of reporting on financial information for institutions subject to Article 4 of Regulation (EC) No 1606/2002 and other credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis

      2. Article 10.Format and frequency of reporting on financial information for credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis, by virtue of Article 99(3) Regulation (EU) No 575/2013

      3. Article 11.Format and frequency of reporting on financial information for institutions applying national accounting frameworks developed under Directive 86/635/EEC on a consolidated basis

  5. CHAPTER 4 FORMAT AND FREQUENCY OF SPECIFIC REPORTING OBLIGATIONS ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY ACCORDING TO ARTICLE 101 OF REGULATION (EU) No 575/2013

    1. Article 12.(1) Institutions shall submit information as specified in Annex VI...

  6. CHAPTER 5 FORMAT AND FREQUENCY OF REPORTING ON LARGE EXPOSURES ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

    1. Article 13.(1) In order to report information on large exposures to...

  7. CHAPTER 6 FORMAT AND FREQUENCY OF REPORTING ON LEVERAGE RATIO ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

    1. Article 14.(1) In order to report information on the leverage ratio...

  8. CHAPTER 7 FORMAT AND FREQUENCY OF REPORTING ON LIQUIDITY AND ON STABLE FUNDING ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

    1. Article 15. Format and frequency of reporting on liquidity coverage requirement

    2. Article 16.Format and frequency of reporting on stable funding

  9. CHAPTER 7a FORMAT AND FREQUENCY OF REPORTING ON ASSET ENCUMBRANCE ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

    1. Article 16a. Format and frequency of reporting on asset encumbrance on an individual and a consolidated basis

  10. CHAPTER 7b FORMAT AND FREQUENCY OF REPORTING ON ADDITIONAL LIQUIDITY MONITORING METRICS ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

    1. Article 16b.(1) In order to report information on additional liquidity monitoring...

  11. CHAPTER 8 IT SOLUTIONS FOR THE SUBMISSION OF DATA FROM INSTITUTIONS TO COMPETENT AUTHORITIES

    1. Article 17.(1) Institutions shall submit the information referred to in this...

  12. CHAPTER 9 TRANSITIONAL AND FINAL PROVISIONS

    1. Article 18.Transitional period

    2. Article 19.Entry into Force

  13. Signature

    1. ANNEX I

      1. REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

        1. ANNEX I Table 1: rows 1 - 41

        2. ANNEX I Table 2: rows 1 - 101

        3. ANNEX I Table 3: rows 1 - 78

        4. ANNEX I Table 4: rows 1 - 14

        5. ANNEX I Table 5: rows 1 - 126

        6. ANNEX I Table 6: rows 1 - 60

        7. ANNEX I Table 7: rows 1 - 17

        8. ANNEX I Table 8: rows 1 - 6

        9. ANNEX I Table 9: rows 1 - 5

        10. ANNEX I Table 10: rows 1 - 7

        11. ANNEX I Table 11: rows 1 - 6

        12. ANNEX I Table 12: rows 1 - 5

        13. ANNEX I Table 13: rows 1 - 41

        14. ANNEX I Table 14: rows 1 - 26

        15. ANNEX I Table 15: rows 1 - 27

        16. ANNEX I Table 16: rows 1 - 26

        17. ANNEX I Table 17: rows 1 - 6

        18. ANNEX I Table 18: rows 1 - 22

        19. ANNEX I Table 19: rows 1 - 17

        20. ANNEX I Table 20: rows 1 - 1

        21. ANNEX I Table 21: rows 1 - 24

        22. ANNEX I Table 22: rows 1 - 13

        23. ANNEX I Table 23: rows 1 - 5

        24. ANNEX I Table 24: rows 1 - 14

        25. ANNEX I Table 25: rows 1 - 34

        26. ANNEX I Table 26: rows 1 - 59

        27. ANNEX I Table 27: rows 1 - 7

        28. ANNEX I Table 28: rows 1 - 18

        29. ANNEX I Table 29: rows 1 - 61

        30. ANNEX I Table 30: rows 1 - 48

        31. ANNEX I Table 31: rows 1 - 26

        32. ANNEX I Table 32: rows 1 - 18

        33. ANNEX I Table 33: rows 1 - 17

        34. ANNEX I Table 34: rows 1 - 52

        35. ANNEX I Table 35: rows 1 - 18

        36. ANNEX I Table 36: rows 1 - 15

        37. ANNEX I Table 37: rows 1 - 7

    2. ANNEX II

      REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

      1. PART I: GENERAL INSTRUCTIONS

        1. 1. STRUCTURE AND CONVENTIONS

          1. 1.1. STRUCTURE

            1. 1. Overall, the framework consists of five blocks of templates:

            2. 2. For each template legal references are provided. Further detailed information...

            3. 3. Institutions report only those templates that are relevant depending on...

          2. 1.2. NUMBERING CONVENTION

            1. 4. The document follows the labelling convention set in the following...

            2. 5. The following general notation is followed in the instructions: {Template;Row;Column}....

            3. 6. In the case of validations inside a template, in which...

            4. 7. In the case of templates with only one column, only...

            5. 8. An asterisk sign is used to express that the validation...

          3. 1.3. SIGN CONVENTION

            1. 9. Any amount that increases the own funds or the capital...

      2. PART II: TEMPLATE RELATED INSTRUCTIONS

        1. 1. CAPITAL ADEQUACY OVERVIEW (CA)

          1. 1.1. GENERAL REMARKS

            1. 10. CA templates contain information about Pillar 1 numerators (own funds,...

            2. 11. The templates shall apply to all reporting entities, irrespective of...

            3. 12. The total own funds consist of different types of capital:...

            4. 13. Transitional provisions are treated as follows in CA templates:

            5. 14. The treatment of Pillar II requirements can be different within...

          2. 1.2. C 01.00 — OWN FUNDS (CA1)

            1. 1.2.1. Instructions concerning specific positions

              1. Annex II Table 1

          3. 1.3. C 02.00 — OWN FUNDS REQUIREMENTS (CA2)

            1. 1.3.1. Instructions concerning specific positions

              1. Annex II Table 2

          4. 1.4. C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

            1. 1.4.1. Instructions concerning specific positions

              1. Annex II Table 3

          5. 1.5. C 04.00 — MEMORANDUM ITEMS (CA4)

            1. 1.5.1. Instructions concerning specific positions

              1. Annex II Table 4

          6. 1.6. TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID...

            1. 1.6.1. General remarks

              1. 15. CA5 summarizes the calculation of own funds elements and deductions...

              2. 16. CA5 is structured as follows:

              3. 17. Institutions shall report in the first four columns the adjustments...

              4. 18. Institutions shall only report elements in CA5 during the period...

              5. 19. Some of the transitional provisions require a deduction from Tier...

            2. 1.6.2. C 05.01 — Transitional provisions (CA5.1)

              1. 20. Institutions shall report in Table 5.1 the transitional provisions to...

              2. 21. Institutions shall report in rows 020 to 060 information in...

              3. 22. Institutions shall report in rows 070 to 092 information in...

              4. 23. In rows 100 onwards institutions shall report information in relation...

              5. 24. There might be cases where the transitional deductions of CET1,...

              6. 1.6.2.1. Instructions concerning specific positions

                1. Annex II Table 5

                2. Annex II Table 6

            3. 1.6.3. C 05.02 — Grandfathered instruments: instruments not constituing state aid...

              1. 25. Institutions shall report information in relation with the transitional provisions...

              2. 1.6.3.1. Instructions concerning specific positions

                1. Annex II Table 7

                2. Annex II Table 8

        2. 2. GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

          1. 2.1. GENERAL REMARKS

            1. 26. Templates C 06.01 and C 06.02 shall be reported if...

            2. 27. Institutions waived according to Article 7 of CRR shall only...

          2. 2.2. DETAILED GROUP SOLVENCY INFORMATION

            1. 28. The second part of this template (detailed group solvency information)...

            2. 29. In the case of proportional consolidation of participations, the figures...

          3. 2.3. INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY...

            1. 30. The objective of the third part of this template (information...

            2. 31. The third part also includes the amounts of minority interests,...

            3. 32. As this third part of the template refers to ‘...

            4. 33. The principle is to delete the cross-exposures within the same...

            5. 34. The institutions shall define the most appropriate breakdown method between...

            6. 35. It is possible for one consolidated group to be included...

            7. 36. An institution shall report data of the contribution of an...

          4. 2.4. C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL...

            1. Annex II Table 9

            2. Annex II Table 10

          5. 2.5. C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

            1. Annex II Table 11

        3. 3. CREDIT RISK TEMPLATES

          1. 3.1. GENERAL REMARKS

            1. 37. There are different sets of templates for the Standardised approach...

            2. 3.1.1. Reporting of CRM techniques with substitution effect

              1. 38. Article 235 of CRR describes the computation procedure of the...

              2. 39. Article 236 of CRR describes the computation procedure of exposure...

              3. 40. Articles 196, 197 and 200 of CRR regulate the funded...

              4. 41. Reporting of exposures to obligors (immediate counterparties) and protection providers...

              5. 42. The exposure type does not change because of unfunded credit...

              6. 43. If an exposure is secured by an unfunded credit protection,...

              7. 44. The substitution effect in the COREP reporting framework shall reflect...

            3. 3.1.2. Reporting of Counterparty Credit Risk

              1. 45. Exposures stemming from Counterparty Credit Risk positions shall be reported...

          2. 3.2. C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE...

            1. 3.2.1. General remarks

              1. 46. The CR SA templates provide the necessary information on the...

            2. 3.2.2. Scope of the CR SA template

              1. 47. According to Article 112 of CRR each SA exposure shall...

              2. 48. The information in CR SA is requested for the total...

              3. 49. However the following positions are not within the scope of...

              4. 50. The scope of the CR SA template covers the following...

              5. 51. The scope of the template are all exposures for which...

              6. 52. In addition CR SA includes memorandum items in rows 290...

              7. 53. These memorandum items shall only be reported for the following...

              8. 54. The reporting of the memorandum items affect neither the calculation...

              9. 55. The memorandum rows provide additional information about the obligor structure...

              10. 56. E.g. if an exposure, the risk exposure amounts of which...

            3. 3.2.3. Assignment of exposures to exposure classes under the Standardised Approach...

              1. 57. In order to ensure a consistent categorisation of exposures into...

              2. 58. The following criteria apply for the classification of the Original...

              3. 59. For the purpose of classifying the original exposure pre conversion...

              4. 60. Article 112 of CRR does not provide criteria for disjoining...

              5. 61. For a homogeneous and comparable reporting it is necessary to...

              6. 62. An exposure class shall be given priority to others in...

              7. 63. With this background the assessment ranking in the decision tree...

              8. 64. In the case of exposures in the form of units...

              9. 65. In the case of ‘ nth ’ to default credit...

              10. 66. In a second step, as a consequence of credit risk...

              11. Annex II Table 12

            4. 3.2.4. Clarifications on the scope of some specific exposure classes referred...

              1. 3.2.4.1. Exposure Class ‘ Institutions ’

                1. 67. Reporting of intra-group exposures according to Article 113(6) to (7)...

                2. 68. Exposures which fulfil the requirements of Article 113(7) of CRR...

                3. 69. According Article 113(6) and (7) of CRR ‘ an institution...

              2. 3.2.4.2. Exposure Class ‘ Covered Bonds ’

                1. 70. The assignment of SA exposures to the exposure class ‘...

                2. 71. Bonds as defined in Article 52(4) of Directive 2009/65/EC shall...

              3. 3.2.4.3. Exposure class ‘ Collective Investment Undertakings ’

                1. 72. Where the possibility according to Article 132(5) of CRR is...

            5. 3.2.5. Instructions concerning specific positions

              1. Annex II Table 13

              2. Annex II Table 14

          3. 3.3. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH...

            1. 3.3.1. Scope of the CR IRB template

              1. 73. The scope of the CR IRB template covers own funds...

              2. 74. The scope of the template refers to the exposures for...

              3. 75. The CR IRB template does not cover the following data:...

              4. 76. In order to clarify whether the institution uses its own...

            2. 3.3.2. Breakdown of the CR IRB template

              1. 77. The CR IRB consists of two templates. CR IRB 1...

            3. 3.3.3. C 08.01 — Credit and counterparty credit risks and free...

              1. 3.3.3.1. Instructions concerning specific positions

                1. Annex II Table 15

                2. Annex II Table 16

            4. 3.3.4. C 08.02 — Credit and counterparty credit risks and free...

              1. Annex II Table 17

              2. Annex II Table 18

          4. 3.4. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH...

            1. 78. Institutions fulfilling the threshold set in Article 5 (a) (4)...

            2. 79. The term ‘ residence of the obligor ’ refers to...

            3. 80. Data regarding ‘ original exposure pre conversion factors ’ shall...

            4. 3.4.1. C 09.01 – Geographical breakdown of exposures by residence of...

              1. 3.4.1.1. Instructions concerning specific positions

                1. Annex II Table 19

                2. Annex II Table 20

            5. 3.4.2. C 09.02 – Geographical breakdown of exposures by residence of...

              1. 3.4.2.1. Instructions concerning specific positions

                1. Annex II Table 21

                2. Annex II Table 22

            6. 3.4.3. C 09.04 – Breakdown of credit exposures relevant for the...

              1. 3.4.3.1. General remarks

                1. 81. This table is implemented in order to receive more information...

                2. 82. Information in template C 09.04 is requested for the ‘...

                3. 83. The threshold set in Article 5 (a) (4) of this...

                4. 84. In order to determine the geographical location, the exposures are...

              2. 3.4.3.2. Instructions concerning specific positions

                1. Annex II Table 23

                2. Annex II Table 24

          5. 3.5. C 10.01 AND C 10.02 – EQUITY EXPOSURES UNDER THE...

            1. 3.5.1. General remarks

              1. 85. The CR EQU IRB template consists of two templates: CR...

              2. 86. The CR EQU IRB template provides information on the calculation...

              3. 87. According to Article 147(6) of CRR, the following exposures shall...

              4. 88. Collective investment undertakings treated according to the simple risk weight...

              5. 89. In accordance with Article 151(1) of CRR, institutions shall provide...

              6. 90. The following equity claims shall not be reported in the...

            2. 3.5.2. Instructions concerning specific positions (applicable to both CR EQU IRB...

              1. Annex II Table 25

              2. 91. In accordance with Article 155 of CRR, institutions may employ...

                1. Annex II Table 26

          6. 3.6. C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)

            1. 3.6.1. General remarks

              1. 92. This template requests information on both trading and non-trading book...

              2. 93. Institutions report in the CR SETT template information on the...

              3. 94. According to Article 378 of CRR, repurchase transactions, securities or...

              4. 95. In the case of unsettled transactions after the due delivery...

              5. 96. Institutions multiply this difference by the appropriate factor of Table...

              6. 97. According to Article 92(4) Point (b), the own funds requirements...

              7. 98. Note that own funds requirements for free deliveries as laid...

            2. 3.6.2. Instructions concerning specific positions

              1. Annex II Table 27

              2. Annex II Table 28

          7. 3.7. C 12.00 – CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO...

            1. 3.7.1. General remarks

              1. 99. The information in this template is requested for all securitisations...

              2. 100. The CR SEC SA template gathers joint information on both...

            2. 3.7.2. Instructions concerning specific positions

              1. Annex II Table 29

              2. 101. The CR SEC SA template is divided into three major...

              3. 102. Total exposures (at reporting date) are also broken down according...

                1. Annex II Table 30

          8. 3.8. C 13.00 — CREDIT RISK – SECURITISATIONS: INTERNAL RATINGS BASED...

            1. 3.8.1. General remarks

              1. 103. The information in this template is requested for all securitisations...

              2. 104. The information to be reported is contingent on the role...

              3. 105. The CR SEC IRB template has the same scope as...

            2. 3.8.2. Instructions concerning specific positions

              1. Annex II Table 31

              2. 106. The CR SEC IRB template is divided into three major...

              3. 107. Total exposures (at reporting date) are also broken down according...

                1. Annex II Table 32

          9. 3.9. C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

            1. 3.9.1. General remarks

              1. 108. This template gathers information on a transaction basis (versus the...

              2. 109. This template is to be reported for:

              3. 110. This template shall be reported by consolidated groups and stand...

              4. 111. On account of Article 406(1) of CRR, which establishes that...

              5. 112. Institutions playing the role of original lenders (not performing also...

            2. 3.9.2. Instructions concerning specific positions

              1. Annex II Table 33

        4. 4. OPERATIONAL RISK TEMPLATES

          1. 4.1. C 16.00 – OPERATIONAL RISK (OPR)

            1. 4.1.1. General Remarks

              1. 113. This template provides information on the calculation of own funds...

              2. 114. Institutions using the BIA, TSA and/or ASA shall calculate their...

              3. 115. If an institution can justify its competent authority that –...

              4. 116. By columns, this template presents information, for the three most...

              5. 117. By rows, information is presented by method of calculation of...

              6. 118. This template shall be submitted by all institutions subject to...

            2. 4.1.2. Instructions concerning specific positions

              1. Annex II Table 34

              2. Annex II Table 35

          2. 4.2. C 17.00 – OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS...

            1. 4.2.1. General Remarks

              1. 119. This template summarises the information on the gross losses and...

              2. 120. ‘ Gross loss ’ means a loss stemming from an...

              3. 121. ‘ Recovery ’ means an independent occurrence related to the...

              4. 122. ‘ Rapidly recovered loss events ’ means operational risk events...

              5. 123. ‘ Date of accounting ’ means the date when a...

              6. 124. The Number of events is the number of operational risk...

              7. 125. The Total loss amount is the algebraic sum of the...

              8. 126. The Number of events shall conventionally include also the events...

              9. 127. The Maximum single loss is the largest single amount among...

              10. 128. The Sum of the five largest losses is the sum...

              11. 129. The Total loss recovery is the sum of all the...

              12. 130. The figures reported in June of the respective year are...

              13. 131. The information is presented by distributing the losses and recoveries...

              14. 132. Columns present the different event types and the totals for...

              15. 133. Rows present the business lines, and within each business line,...

              16. 134. For the total business lines, data on the number of...

              17. 135. Where the algebraic sum of the elements of the total...

              18. 136. This template shall be reported by institutions using AMA or...

              19. 137. In order to verify the conditions envisaged by Article 5...

              20. 138. Institutions subject to Article 5(b)(2)(b) of this Regulation may only...

            2. 4.2.2. Instructions concerning specific positions

              1. Annex II Table 36

              2. Annex II Table 37

        5. 5. MARKET RISK TEMPLATES

          1. 139. These instructions refer to the templates reporting of the calculation...

          2. 140. The position risk on a traded debt instrument or equity...

          3. 5.1. C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS...

            1. 5.1.1. General Remarks

              1. 141. This template captures the positions and the related own funds...

              2. 142. The template has to be filled out separately for the...

            2. 5.1.2. Instructions concerning specific positions

              1. Annex II Table 38

              2. Annex II Table 39

          4. 5.2. C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK...

            1. 5.2.1. General Remarks

              1. 143. This template requests information on positions (all/net and long/short) and...

              2. 144. The MKR SA SEC template determines the own funds requirement...

              3. 145. Positions which receive a risk weight of 1,250 % can...

            2. 5.2.2. Instructions concerning specific positions

              1. Annex II Table 40

              2. Annex II Table 41

          5. 5.3. C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK...

            1. 5.3.1. General Remarks

              1. 146. This template requests information on positions of the CTP (comprising...

              2. 147. The MKR SA CTP template determines the own funds requirement...

              3. 148. This structure of the template separates securitisation positions, n-th to...

              4. 149. Positions which receive a risk weight of 1,250 % can...

            2. 5.3.2. Instructions concerning specific positions

              1. Annex II Table 42

              2. Annex II Table 43

          6. 5.4. C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK...

            1. 5.4.1. General Remarks

              1. 150. This template requests information on the positions and the corresponding...

              2. 151. The template has to be filled out separately for the...

            2. 5.4.2. Instructions concerning specific positions

              1. Annex II Table 44

              2. Annex II Table 45

          7. 5.5. C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE...

            1. 5.5.1. General Remarks

              1. 152. Institutions shall report information on the positions in each currency...

              2. 153. The memorandum items of the template shall be filled out...

            2. 5.5.2. Instructions concerning specific positions

              1. Annex II Table 46

              2. Annex II Table 47

          8. 5.6. C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR...

            1. 5.6.1. General Remarks

              1. 154. This template request information on the positions in commodities and...

            2. 5.6.2. Instructions concerning specific positions

              1. Annex II Table 48

              2. Annex II Table 49

          9. 5.7. C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM)

            1. 5.7.1. General Remarks

              1. 155. This template provides a breakdown of VaR and stressed VaR...

              2. 156. Generally the reporting depends on the structure of the model...

            2. 5.7.2. Instructions concerning specific positions

              1. Annex II Table 50

              2. Annex II Table 51

          10. 5.8. C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA)

            1. 5.8.1. Instructions concerning specific positions

              1. Annex II Table 52

              2. Annex II Table 53

    3. ANNEX III

      REPORTING FINANCIAL INFORMATION ACCORDING TO IFRS

      1. Annex III Table 1

      2. 1. Balance Sheet Statement [Statement of Financial Position]

        1. 1.1 Assets

          1. Annex III Table 2

        2. 1.2. Liabilities

          1. Annex III Table 3

        3. 1.3 Equity

          1. Annex III Table 4

      3. 2. Statement of profit or loss

        1. Annex III Table 5

      4. 3. Statement of comprehensive income

        1. Annex III Table 6

      5. 4. Breakdown of financial assets by instrument and by counterparty sector...

        1. 4.1 Financial assets held for trading

          1. Annex III Table 7

        2. 4.2 Financial assets designated at fair value through profit or loss...

          1. Annex III Table 8

        3. 4.3 Available-for-sale financial assets

          1. Annex III Table 9

        4. 4.4 Loans and receivables and held-to-maturity investments

          1. Annex III Table 10

        5. 4.5 Subordinated financial assets

          1. Annex III Table 11

      6. 5. Breakdown of Loan and advances by product

        1. Annex III Table 12

      7. 6. Breakdown of loans and advances to non-financial corporations by NACE...

        1. Annex III Table 13

      8. 7. Financial assets subject to impairment that are past due or...

        1. Annex III Table 14

      9. 8. Breakdown of financial liabilities

        1. 8.1. Breakdown of financial liabilities by product and by counterparty sector...

          1. Annex III Table 15

        2. 8.2. Subordinated financial liabilities

          1. Annex III Table 16

      10. 9. Loan commitments, financial guarantees and other commitments

        1. 9.1 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments...

          1. Annex III Table 17

        2. 9.2 Loan commitments, financial guarantees and other commitments received

          1. Annex III Table 18

      11. 10. Derivatives — Trading

        1. Annex III Table 19

      12. 11. Derivatives — Hedge accounting

        1. 11.1 Derivatives — Hedge accounting: Breakdown by type of risk and...

          1. Annex III Table 20

      13. 12. Movements in allowances for credit losses and impairment of equity...

        1. Annex III Table 21

      14. 13. Collateral and guarantees received

        1. 13.1 Breakdown of loans and advances by collateral and guarantees

          1. Annex III Table 22

        2. 13.2 Collateral obtained by taking possession during the period [held at...

          1. Annex III Table 23

        3. 13.3 Collateral obtained by taking possession [tangible assets] accumulated

          1. Annex III Table 24

      15. 14. Fair value hierachy: financial instruments at fair value

        1. Annex III Table 25

      16. 15. Derecognition and financial liabilities associated with transferred financial assets

        1. Annex III Table 26

      17. 16. Breakdown of selected statement of profit or loss items

        1. 16.1. Interest income and expenses by instrument and counterparty sector

          1. Annex III Table 27

        2. 16.2. Gains or losses on derecognition of financial assets and liabilities...

          1. Annex III Table 28

        3. 16.3. Gains or losses on financial assets and liabilities held for...

          1. Annex III Table 29

        4. 16.4. Gains or losses on financial assets and liabilities held for...

          1. Annex III Table 30

        5. 16.5. Gains or losses on financial assets and liabilities designated at...

          1. Annex III Table 31

        6. 16.6. Gains or losses from hedge accounting

          1. Annex III Table 32

        7. 16.7. Impairment on financial and non-financial assets

          1. Annex III Table 33

      18. 17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet...

        1. 17.1. Assets

          1. Annex III Table 34

        2. 17.2. Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments...

          1. Annex III Table 35

        3. 17.3. Liabilities and equity

          1. Annex III Table 36

      19. 18. Information on performing and non-performing exposures

        1. Annex III Table 37

      20. 19. Information forborne exposures

        1. Annex III Table 38

      21. 20. Geographical breakdown

        1. 20.1. Geographical breakdown of assets by location of the activities

          1. Annex III Table 39

        2. 20.2. Geographical breakdown of liabilities by location of the activities

          1. Annex III Table 40

        3. 20.3. Geographical breakdown of statement of profit or loss items by...

          1. Annex III Table 41

        4. 20.4. Geographical breakdown of assets by residence of the counterparty

          1. Annex III Table 42

        5. 20.5. Geographical breakdown of off-balance sheet exposures by residence of the...

          1. Annex III Table 43

        6. 20.6. Geographical breakdown of liabilities by residence of the counterparty

          1. Annex III Table 44

        7. 20.7. Geographical breakdown by residence of the counterparty of loans and...

          1. Annex III Table 45

      22. 21. Tangible and intangible assets: assets subject to operating lease

        1. Annex III Table 46

      23. 22. Asset management, custody and other service functions

        1. 22.1 Fee and commission income and expenses by activity

          1. Annex III Table 47

        2. 22.2 Assets involved in the services provided

          1. Annex III Table 48

      24. 30. Off-balance sheet activities: Interests in unconsolidated structured entities

        1. 30.1. Interests in unconsolidated structured entities

          1. Annex III Table 49

        2. 30.2. Breakdown of interests in unconsolidated structured entities by nature of...

          1. Annex III Table 50

      25. 31. Related parties

        1. 31.1. Related parties: amounts payable to and amounts receivable from

          1. Annex III Table 51

        2. 31.2. Related parties: expenses and income generated by transactions with

          1. Annex III Table 52

      26. 40. Group structure

        1. 40.1 Group structure: "entity-by-entity"

          1. Annex III Table 53

        2. 40.2 Group structure: "instrument-by-instrument"

          1. Annex III Table 54

      27. 41. Fair value

        1. 41.1. Fair value hierarchy: financial instruments at amortised cost

          1. Annex III Table 55

        2. 41.2. Use of the Fair Value Option

          1. Annex III Table 56

        3. 41.3. Hybrid financial instruments not designated at fair value through profit...

          1. Annex III Table 57

      28. 42. Tangible and intangible assets: carrying amount by measurement method

        1. Annex III Table 58

      29. 43. Provisions

        1. Annex III Table 59

      30. 44. Defined benefit plans and employee benefits

        1. 44.1 Components of net defined benefit plan assets and liabilities

          1. Annex III Table 60

        2. 44.2 Movements in defined benefit obligations

          1. Annex III Table 61

        3. 44.3 Memo items [related to staff expenses]

          1. Annex III Table 62

      31. 45. Breakdown of selected items of statement of profit or loss...

        1. 45.1. Gains or losses on financial assets and liabilities designated at...

          1. Annex III Table 63

        2. 45.2. Gains or losses on derecognition of non-financial assets other than...

          1. Annex III Table 64

        3. 45.3. Other operating income and expenses

          1. Annex III Table 65

      32. 46. Statement of changes in equity

        1. Annex III Table 66

        2. Annex III Table 67

    4. ANNEX IV

      REPORTING FINANCIAL INFORMATION ACCORDING TO NATIONAL ACCOUNTING FRAMEWORKS

      1. Annex IV Table 2

      2. 1. Balance Sheet Statement [Statement of Financial Position]

        1. 1.1 Assets

          1. Annex IV Table 3

        2. 1.2 Liabilities

          1. Annex IV Table 4

        3. 1.3 Equity

          1. Annex IV Table 5

      3. 2. Statement of profit or loss

        1. Annex IV Table 6

      4. 3. Statement of comprehensive income

        1. Annex IV Table 7

      5. 4. Breakdown of financial assets by instrument and by counterparty sector...

        1. 4.1 Financial assets held for trading

          1. Annex IV Table 8

        2. 4.2 Financial assets designated at fair value through profit or loss...

          1. Annex IV Table 9

        3. 4.3 Available-for-sale financial assets

          1. Annex IV Table 10

        4. 4.4 Loans and receivables and held-to-maturity investments

          1. Annex IV Table 11

        5. 4.5 Subordinated financial assets

          1. Annex IV Table 11

        6. 4.6 Trading Financial assets

          1. Annex IV Table 13

        7. 4.7 Non-trading non-derivative financial assets measured at fair value through profit...

          1. Annex IV Table 14

        8. 4.8 Non-trading non-derivative financial assets measured at fair value to equity...

          1. Annex IV Table 15

        9. 4.9 Non-trading debt instruments measured at a cost-based method

          1. Annex IV Table 16

        10. 4.10 Other non-trading non-derivative financial assets

          1. Annex IV Table 17

      6. 5. Breakdown of Loans and advances by product

        1. Annex IV Table 18

      7. 6. Breakdown of loans and advances to non-financial corporations

        1. Annex IV Table 19

      8. 7. Financial assets subject to impairment that are past due or...

        1. Annex IV Table 20

      9. 8. Breakdown of financial liabilities

        1. 8.1 Breakdown of financial liabilities by product and by counterparty sector...

          1. Annex IV Table 21

        2. 8.2 Subordinated financial liabilities

          1. Annex IV Table 21

      10. 9. Loan commitments, financial guarantees and other commitments

        1. 9.1 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments...

          1. Annex IV Table 23

        2. 9.2 Loan commitments, financial guarantees and other commitments received

          1. Annex IV Table 24

      11. 10. Derivatives - Trading

        1. Annex IV Table 25

      12. 11. Derivatives - Hedge accounting

        1. 11.1 Derivatives - Hedge accounting: Breakdown by type of risk and...

          1. Annex IV Table 26

        2. 11.2 Derivatives - Hedge accounting under National GAAP: Breakdown by type...

          1. Annex IV Table 27

      13. 12. Movements in allowances for credit losses and impairment of equity...

        1. Annex IV Table 28

      14. 13. Collateral and guarantees received

        1. 13.1 Breakdown of loans and advances by collateral and guarantees

          1. Annex IV Table 29

        2. 13.2 Collateral obtained by taking possession during the period [held at...

          1. Annex IV Table 29

        3. 13.3 Collateral obtained by taking possession [tangible assets] accumulated

          1. Annex IV Table 30

      15. 14. Fair value hierachy: financial instruments at fair value

        1. Annex IV Table 32

      16. 15. Derecognition and financial liabilities associated with transferred financial assets

        1. Annex IV Table 33

      17. 16. Breakdown of selected statement of profit or loss items

        1. 16.1 Interest income and expenses by instrument and counterparty sector

          1. Annex IV Table 34

        2. 16.2 Gains or losses on derecognition of financial assets and liabilities...

          1. Annex IV Table 34

        3. 16.3 Gains or losses on financial assets and liabilities held for...

          1. Annex IV Table 36

        4. 16.4 Gains or losses on financial assets and liabilities held for...

          1. Annex IV Table 37

        5. 16.5 Gains or losses on financial assets and liabilities designated at...

          1. Annex IV Table 38

        6. 16.6 Gains or losses from hedge accounting

          1. Annex IV Table 38

        7. 16.7 Impairment on financial and non-financial assets

          1. Annex IV Table 40

      18. 17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet...

        1. 17.1 Assets

          1. Annex IV Table 41

        2. 17.2 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments...

          1. Annex IV Table 41

        3. 17.3 Liabilities and equity

          1. Annex IV Table 43

      19. 18. Information on performing and non-performing exposures

        1. Annex IV Table 44

      20. 19. Information forborne exposures

        1. Annex IV Table 45

      21. 20. Geographical breakdown

        1. 20.1 Geographical breakdown of assets by location of the activities

          1. Annex IV Table 46

        2. 20.2 Geographical breakdown of liabilities by location of the activities

          1. Annex IV Table 47

        3. 20.3 Geographical breakdown of statement of profit or loss items by...

          1. Annex IV Table 48

        4. 20.4 Geographical breakdown of assets by residence of the counterparty

          1. Annex IV Table 49

        5. 20.5 Geographical breakdown of off-balance sheet exposures by residence of the...

          1. Annex IV Table 49

        6. 20.6 Geographical breakdown of liabilities by residence of the counterparty

          1. Annex IV Table 51

        7. 20.7 Geographical breakdown by residence of the counterparty of loans and...

          1. Annex IV Table 52

      22. 21. Tangible and intangible assets: assets subject to operating lease

        1. Annex IV Table 53

      23. 22. Asset management, custody and other service functions

        1. 22.1 Fee and commission income and expenses by activity

          1. Annex IV Table 54

        2. 22.2 Assets involved in the services provided

          1. Annex IV Table 55

      24. 30. Off-balance sheet activities: Interests in unconsolidated structured entities

        1. 30.1 Interests in unconsolidated structured entities

          1. Annex IV Table 55

        2. 30.2 Breakdown of interests in unconsolidated structured entities by nature of...

          1. Annex IV Table 57

      25. 31. Related parties

        1. 31.1 Related parties: amounts payable to and amounts receivable from

          1. Annex IV Table 58

        2. 31.2 Related parties: expenses and income generated by transactions with

          1. Annex IV Table 59

      26. 40. Group structure

        1. 40.1 Group structure: "entity-by-entity"

          1. Annex IV Table 60

        2. 40.2. Group structure: "instrument-by-instrument"

          1. Annex IV Table 60

      27. 41. Fair value

        1. 41.1 Fair value hierarchy: financial instruments at amortised cost

          1. Annex IV Table 62

        2. 41.2 Use of the Fair Value Option

          1. Annex IV Table 63

        3. 41.3 Hybrid financial instruments not designated at fair value through profit...

          1. Annex IV Table 63

      28. 42. Tangible and intangible assets: carrying amount by measurement method

        1. Annex IV Table 64

      29. 43. Provisions

        1. Annex IV Table 66

      30. 44 Defined benefit plans and employee benefits

        1. 44.1 Components of net defined benefit plan assets and liabilities

          1. Annex IV Table 66

        2. 44.2 Movements in defined benefit obligations

          1. Annex IV Table 68

        3. 44.3 Memo items [related to staff expenses]

          1. Annex IV Table 68

      31. 45. Breakdown of selected items of statement of profit or loss...

        1. 45.1 Gains or losses on financial assets and liabilities designated at...

          1. Annex IV Table 69

        2. 45.2 Gains or losses on derecognition of non-financial assets other than...

          1. Annex IV Table 70

        3. 45.3 Other operating income and expenses

          1. Annex IV Table 71

      32. 46. Statement of changes in equity

        1. Annex IV Table 73

    5. ANNEX V

      REPORTING ON FINANCIAL INFORMATION

      1. PART 1 GENERAL INSTRUCTIONS

        1. 1. REFERENCES

          1. 1. This Annex contains additional instructions for the financial information templates...

          2. 2. The data points identified in the templates shall be drawn...

          3. 3. Institutions shall only submit those parts of the templates related...

          4. 4. For the purposes of Annexes III and IV as well...

        2. 2. CONVENTION

          1. 5. For the purposes of Annexes III and IV, a data...

          2. 6. Templates in Annexes III and IV include implicit validation rules...

          3. 7. The use of brackets in the label of an item...

          4. 8. Items that shall be reported in negative are identified in...

          5. 9. In the ‘ Data Point Model ’ ( ‘ DPM...

          6. 10. Schematically, this convention works as in Table 1.

            1. Annex V Table 1

        3. 3. CONSOLIDATION

          1. 11. Unless specified otherwise in this Annex, FINREP templates shall be...

        4. 4. ACCOUNTING PORTFOLIOS

          1. 4.1. Assets

            1. 12. ‘ Accounting portfolios ’ shall mean financial instruments aggregated by...

            2. 13. The following accounting portfolios based on IFRS shall be used...

            3. 14. The following accounting portfolios based on National GAAP shall be...

            4. 15. ‘ Trading financial assets ’ includes all financial assets classified...

            5. 16. For financial assets, ‘ cost-based methods ’ include those valuation...

            6. 17. Under National GAAP based on BAD, ‘ Other non-trading non-derivative...

            7. 18. Under National GAAP based on BAD, institutions that are permitted...

            8. 19. ‘ Derivatives — Hedge accounting ’ shall include derivatives held...

          2. 4.2. Liabilities

            1. 20. The following accounting portfolios based on IFRS shall be used...

            2. 21. The following accounting portfolios based on National GAAP shall be...

            3. 22. Under National GAAP, institutions that are permitted or required to...

            4. 23. ‘ Derivatives — Hedge accounting ’ shall include derivatives held...

        5. 5. FINANCIAL INSTRUMENTS

          1. 5.1. Financial assets

            1. 24. The carrying amount shall mean the amount to be reported...

            2. 25. Financial assets shall be distributed among the following classes of...

            3. 26. ‘ Debt securities ’ are debt instruments held by the...

            4. 27. ‘ Loans and advances ’ are debt instruments held by...

          2. 5.2. Financial liabilities

            1. 28. The carrying amount shall mean the amount to be reported...

            2. 29. Financial liabilities shall be distributed among the following classes of...

            3. 30. ‘ Deposits ’ are defined in the same way as...

            4. 31. ‘ Debt securities issued ’ are debt instruments issued as...

            5. 32. ‘ Other financial liabilities ’ include all financial liabilities other...

            6. 33. Under IFRS or compatible National GAAP, ‘ Other financial liabilities...

            7. 34. ‘ Other financial liabilities ’ may also include dividends to...

        6. 6. COUNTERPARTY BREAKDOWN

          1. 35. Where a breakdown by counterparty is required the following counterparty...

          2. 36. The counterparty sector allocation is based exclusively on the nature...

      2. PART 2 TEMPLATE RELATED INSTRUCTIONS

        1. 1. BALANCE SHEET

          1. 1.1. Assets (1.1)

            1. 1. ‘ Cash on hand ’ includes holdings of national and...

            2. 2. ‘ Cash balances at central banks ’ include balances receivable...

            3. 3. ‘ Other demand deposits ’ include balances receivable on demand...

            4. 4. Under the relevant National GAAP based on BAD, the carrying...

            5. 5. Assets that are not financial assets and that due to...

            6. 6. ‘ Non-current assets and disposal groups classified as held for...

          2. 1.2. Liabilities (1.2)

            1. 7. Under the relevant National GAAP based on BAD, the carrying...

            2. 8. Provisions for ‘ Pensions and other post employment defined benefit...

            3. 9. ‘ Share capital repayable on demand ’ includes the capital...

            4. 10. Liabilities that are not financial liabilities and that due to...

            5. 11. ‘ Liabilities included in disposal groups classified as held for...

            6. 12. ‘ Funds for general banking risks ’ are amounts that...

          3. 1.3. Equity (1.3)

            1. 13. Under IFRS or compatible National GAAP, equity instruments that are...

            2. 14. ‘ Unpaid capital which has been called up ’ includes...

            3. 15. ‘ Equity component of compound financial instruments ’ includes the...

            4. 16. ‘ Other equity instruments issued ’ includes equity instruments that...

            5. 17. ‘ Other equity ’ shall comprise all equity instruments that...

            6. 18. Under IFRS or compatible National GAAP, ‘ Revaluation reserves ’...

            7. 19. ‘ Other reserves ’ are split between ‘ Reserves or...

            8. 20. ‘ Treasury shares ’ cover all financial instruments that have...

        2. 2. STATEMENT OF PROFIT OR LOSS (2)

          1. 21. Interest income and interest expense from financial instruments held for...

          2. 22. Institutions shall report the following items broken down by accounting...

          3. 23. ‘ Interest income. Derivatives – Hedge accounting, interest rate risk...

          4. 24. The amounts related to those derivatives classified in the category...

          5. 25. ‘ Interest income — other assets ’ includes amounts of...

          6. 26. ‘ Interest expenses — other liabilities ’ includes amounts of...

          7. 27. ‘ Profit or loss from non-current assets and disposal groups...

          8. 28. Dividend income from financial assets held for trading and from...

          9. 29. Under IFRS or compatible National GAAP, impairment on ‘ Financial...

          10. 30. For ‘ Gains or (-) losses from hedge accounting, net...

        3. 3. STATEMENT OF COMPREHENSIVE INCOME (3)

          1. 31. Under IFRS or compatible National GAAP, ‘ Income tax relating...

        4. 4. BREAKDOWN OF FINANCIAL ASSETS BY INSTRUMENT AND BY COUNTERPARTY SECTOR...

          1. 32. Financial assets shall be broken down by instrument and –...

          2. 33. Under IFRS or compatible National GAAP, equity instruments shall be...

          3. 34. For available-for-sale financial assets institutions shall report the fair value...

          4. 35. Under IFRS or compatible National GAAP, for financial assets classified...

          5. 36. ‘ Specific allowances for financial assets, individually estimated ’ shall...

          6. 37. ‘ Specific allowances for financial assets, collectively estimated ’ shall...

          7. 38. ‘ Collective allowances for incurred but not reported losses ’...

          8. 39. The sum of unimpaired assets and impaired assets net of...

          9. 40. Template 4.5 includes the carrying amount of ‘ Loans and...

        5. 5. BREAKDOWN OF LOANS AND ADVANCES BY PRODUCT (5)

          1. 41. The ‘ carrying amount ’ of loans and advances shall...

        6. 6. BREAKDOWN OF LOANS AND ADVANCES TO NON-FINANCIAL CORPORATIONS BY NACE...

          1. 42. Gross carrying amount of loans and advances to non-financial corporations...

          2. 43. The classification of the exposures incurred jointly by more than...

          3. 44. Reporting of NACE codes shall be done with the first...

          4. 45. For debt instruments at amortised cost or at fair value...

          5. 46. ‘ Accumulated impairment ’ shall be reported for financial assets...

        7. 7. FINANCIAL ASSETS SUBJECT TO IMPAIRMENT THAT ARE PAST DUE OR...

          1. 47. Debt instruments that are past due but not impaired at...

          2. 48. Assets qualify as past due when counterparties have failed to...

          3. 49. The column ‘ Accumulated write-offs ’ includes the cumulative amount...

          4. 50. ‘ Write-offs ’ could be caused both by reductions of...

        8. 8. BREAKDOWN OF FINANCIAL LIABILITIES (8)

          1. 51. As ‘ Deposits ’ are defined in the same way...

          2. 52. ‘ Debt securities issued ’ shall be disaggregated into the...

          3. 53. ‘ Subordinated financial liabilities ’ issued are treated in the...

          4. 54. Template 8.2 includes the carrying amount of ‘ Deposits ’...

        9. 9. LOAN COMMITMENTS, FINANCIAL GUARANTEES AND OTHER COMMITMENTS (9)

          1. 55. Off-balance sheet exposures include the off-balance sheet items listed in...

          2. 56. Information on loan commitments, financial guarantees, and other commitments given...

          3. 57. ‘ Loan commitments ’ are firm commitments to provide credit...

          4. 58. ‘ Financial guarantees ’ are contracts that require the issuer...

          5. 59. ‘ Other commitments ’ includes the following items of Annex...

          6. 60. Under IFRS or compatible National GAAP, the following item are...

          7. 61. ‘ of which: defaulted ’ shall include the nominal amount...

          8. 62. For off-balance sheet exposures, the ‘ Nominal amount ’ is...

          9. 63. In template 9.2, for loan commitments received, the nominal amount...

        10. 10. DERIVATIVES (10 AND 11)

          1. 64. The carrying amount and the notional amount of the derivatives...

          2. 65. Institutions shall report the derivatives held for hedge accounting broken...

          3. 66. Derivatives included in hybrid instruments which have been separated from...

          4. 10.1. Classification of derivatives by type of risk

            1. 67. All derivatives shall be classified into the following risk categories:...

            2. 68. When a derivative is influenced by more than one type...

          5. 10.2. Amounts to be reported for derivatives

            1. 69. The ‘ carrying amount ’ for all derivatives (hedging or...

            2. 70. The ‘ Notional amount ’ is the gross nominal of...

            3. 71. The column ‘ Notional amount ’ of derivatives includes, for...

            4. 72. The ‘ Notional amount ’ shall be reported by ‘...

          6. 10.3. Derivatives classified as ‘ economic hedges ’

            1. 73. Derivatives that are not effective hedging instruments in accordance with...

            2. 74. Derivatives ‘ held for trading ’ that meet the definition...

          7. 10.4. Breakdown of derivatives by counterparty sector

            1. 75. The carrying amount and the total notional amount of derivatives...

            2. 76. All OTC derivatives, without regarding the type of risk to...

        11. 11. MOVEMENTS IN ALLOWANCES FOR CREDIT LOSSES AND IMPAIRMENT OF EQUITY...

          1. 77. ‘ Increases due to amounts set aside for estimated loan...

          2. 78. As explained in paragraph 50 of this Part, ‘ write-offs...

        12. 12. COLLATERAL AND GUARANTEES RECEIVED (13)

          1. 12.1. Breakdown of loans and advances by collateral and guarantees (13.1)...

            1. 79. The pledges and guarantees backing the loans and advances shall...

            2. 80. In template 13.1, the ‘ maximum amount of the collateral...

            3. 81. For reporting loans and advances according to the type of...

            4. 82. For loans and advances that have simultaneously more than one...

          2. 12.2. Collateral obtained by taking possession during the period [held at...

            1. 83. This template includes the carrying amount of the collateral that...

          3. 12.3. Collateral obtained by taking possession [tangible assets] accumulated (13.3)

            1. 84. ‘ Foreclosure [tangible assets] ’ is the cumulative carrying amount...

        13. 13. FAIR VALUE HIERARCHY: FINANCIAL INSTRUMENTS AT FAIR VALUE (14)

          1. 85. Institutions shall report the value of financial instruments measured at...

          2. 86. ‘ Change in fair value for the period ’ shall...

          3. 87. ‘ Accumulated change in fair value before taxes ’ shall...

        14. 14. DERECOGNITION AND FINANCIAL LIABILITIES ASSOCIATED WITH TRANSFERRED FINANCIAL ASSETS (15)...

          1. 88. Template 15 includes information on transferred financial assets of which...

          2. 89. The associated liabilities shall be reported according to the portfolio...

          3. 90. The column ‘ Amounts derecognised for capital purposes ’ includes...

          4. 91. ‘ Repurchase agreements ’ ( ‘ repos ’ ) are...

          5. 92. ‘ Repurchase agreements ’ ( ‘ repos ’ ) and...

          6. 93. In a securitisation transaction, when the transferred financial assets are...

        15. 15. BREAKDOWN OF SELECTED STATEMENT OF PROFIT OR LOSS ITEMS (16)...

          1. 94. For selected items of the income statement further breakdowns of...

          2. 15.1. Interest income and expenses by instrument and counterparty sector (16.1)...

            1. 95. The interests shall be broken down both by interest income...

            2. 96. Interest on derivatives held for trading includes the amounts related...

          3. 15.2. Gains or losses on de-recognition of financial assets and liabilities...

            1. 97. Gains and losses on de-recognition of financial assets and financial...

          4. 15.3. Gains or losses on financial assets and liabilities held for...

            1. 98. Gains and losses on financial assets and liabilities held for...

          5. 15.4. Gains or losses on financial assets and liabilities held for...

            1. 99. Gains and losses on financial assets and financial liabilities held...

          6. 15.5. Gains or losses on financial assets and liabilities designated at...

            1. 100. Gains and losses on financial assets and liabilities designated at...

          7. 15.6. Gains or losses from hedge accounting (16.6)

            1. 101. Gains and losses from hedge accounting shall be broken down...

          8. 15.7. Impairment on financial and non-financial assets (16.7)

            1. 102. ‘ Additions ’ shall be reported when, for the accounting...

        16. 16. RECONCILIATION BETWEEN ACCOUNTING AND CRR SCOPE OF CONSOLIDATION (17)

          1. 103. ‘ Accounting scope of consolidation ’ includes the carrying amount...

          2. 104. In this template, the item ‘ Investments in subsidiaries, joint...

          3. 105. ‘ Assets under reinsurance and insurance contracts ’ shall include...

          4. 106. Liabilities under insurance and reinsurance contracts’ shall include liabilities under...

        17. 17. GEOGRAPHICAL BREAKDOWN (20)

          1. 107. Template 20 shall be reported when the institution exceeds the...

          2. 108. Templates 20.4 to 20.7 contain information ‘ country-by-country ’ on...

          3. 109. In template 20.4 for debt instruments, ‘ gross carrying amount...

        18. 18. TANGIBLE AND INTANGIBLE ASSETS: ASSETS SUBJECT TO OPERATING LEASE (21)...

          1. 110. For the purposes of the calculation of the threshold in...

          2. 111. Under IFRS or compatible National GAAP, assets that have been...

        19. 19. ASSET MANAGEMENT, CUSTODY AND OTHER SERVICE FUNCTIONS (22)

          1. 112. For the purposes of the calculation of the threshold in...

          2. 19.1. Fee and commission income and expenses by activity (22.1)

            1. 113. The fee and commission income and expenses shall be reported...

            2. 114. Transaction costs directly attributable to the acquisition or issue of...

            3. 115. Transaction costs directly attributable to the acquisition or issue of...

            4. 116. Institutions shall report fee and commission income and expenses according...

          3. 19.2. Assets involved in the services provided (22.2)

            1. 117. Business related to asset management, custody functions, and other services...

        20. 20. INTERESTS IN UNCONSOLIDATED STRUCTURED ENTITIES (30)

          1. 118. ‘ Liquidity support drawn ’ shall mean the sum of...

        21. 21. RELATED PARTIES (31)

          1. 119. Institutions shall report amounts and/or transactions related to the balance...

          2. 120. Intra-group transactions and intra-group outstanding balances shall be eliminated. Under...

          3. 21.1. Related parties: amounts payable to and amounts receivable from (31.1)...

            1. 121. For ‘ Loan commitments, financial guarantees and other commitments received...

          4. 21.2. Related parties: expenses and income generated by transactions with (31.2)...

            1. 122. ‘ Gains or losses on de-recognition of non-financial assets ’...

        22. 22. GROUP STRUCTURE (40)

          1. 123. Institutions shall provide detailed information on subsidiaries, joint ventures and...

          2. 22.1. Group structure: ‘ entity-by-entity ’ (40.1)

            1. 124. The following information shall be reported on a ‘ entity-by-entity...

          3. 22.2. Group structure: ‘ instrument-by-instrument ’ (40.2)

            1. 125. The following information shall be reported on an ‘ instrument-by-instrument...

        23. 23. FAIR VALUE (41)

          1. 23.1. Fair value hierarchy: financial instruments at amortised cost (41.1)

            1. 126. Information on the fair value of financial instruments measured at...

          2. 23.2. Use of fair value option (41.2)

            1. 127. Information on the use of fair value option for financial...

          3. 23.3. Hybrid financial instruments not designated at fair value through profit...

            1. 128. In this template shall be reported information on hybrid financial...

            2. 129. ‘ Held for trading ’ includes the carrying amount of...

            3. 130. The other rows include the carrying amount of the host...

        24. 24. TANGIBLE AND INTANGIBLE ASSETS: CARRYING AMOUNT BY MEASUREMENT METHOD (42)...

          1. 131. ‘ Property, plant and equipment ’ , ‘ Investment property...

          2. 132. ‘ Other intangible assets ’ include all other intangible assets...

        25. 25. PROVISIONS (43)

          1. 133. This template includes reconciliation between the carrying amount of the...

        26. 26. DEFINED BENEFIT PLANS AND EMPLOYEE BENEFITS (44)

          1. 134. These templates include accumulated information of all defined benefit plans...

          2. 26.1. Components of net defined benefit plan assets and liabilities (44.1)...

            1. 135. ‘ Components of net defined benefit plan assets and liabilities...

            2. 136. ‘ Net defined benefit assets ’ includes, in the event...

          3. 26.2. Movements in defined benefit obligations (44.2)

            1. 137. ‘ Movements in defined benefit obligations ’ shows the reconciliation...

            2. 138. The amount of ‘ Closing balance [present value] ’ in...

          4. 26.3. Memo items [related to staff expenses] (44.3)

            1. 139. For reporting of memorandum items related to staff expenses, the...

        27. 27. BREAKDOWN OF SELECTED ITEMS OF STATEMENT OF PROFIT OR LOSS...

          1. 27.1. Gains or losses on de-recognition of non-financial assets other than...

            1. 140. Gains and losses on de-recognition of non-financial assets other than...

          2. 27.2. Other operating income and expenses (45.3)

            1. 141. Other operating income and expenses shall be broken down according...

            2. 142. ‘ Operating leases other than investment property ’ includes, for...

            3. 143. Gains or losses from remeasurements of holdings of precious metals...

        28. 28. STATEMENT OF CHANGES IN EQUITY (46)

          1. 144. The statement of changes in equity discloses the reconciliation between...

        29. 29. NON-PERFORMING EXPOSURES (18)

          1. 145. For the purpose of template 18, non-performing exposures are those...

          2. 146. That categorisation as non-performing exposures shall apply notwithstanding the classification...

          3. 147. Exposures in respect of which a default is considered to...

          4. 148. Exposures shall be categorised for their entire amount and without...

          5. 149. For the purpose of template 18, ‘ exposures ’ includes...

          6. 150. For the purpose of template 18, an exposure is ‘...

          7. 151. For the purpose of template 18, ‘ debtor ’ means...

          8. 152. A commitment shall be considered as a non-performing exposure for...

          9. 153. Financial guarantees given shall be considered as non-performing exposures for...

          10. 154. Exposures classified as non-performing in accordance with paragraph 145 shall...

          11. 155. Where an institution has on-balance sheet exposures to a debtor...

          12. 156. Exposures shall be considered to have ceased being non-performing when...

          13. 157. In case of non-performing exposures with forbearance measures , those...

          14. 158. Past due exposures shall be reported separately within the performing...

          15. 159. Non-performing exposures shall be reported broken down by past due...

          16. 160. The following exposures shall be identified in separate columns:

          17. 161. ‘ Accumulated impairment ’ and ‘ accumulated changes in fair...

          18. 162. Information on collateral held and financial guarantee received on non-performing...

        30. 30. FORBORNE EXPOSURES (19)

          1. 163. For the purpose of template 19, forborne exposures are debt...

          2. 164. For the purpose of template 19, a concession refers to...

          3. 165. Evidence of a concession includes the following:

          4. 166. The exercise of clauses which, when used at the discretion...

          5. 167. ‘ Refinancing ’ means the use of debt contracts to...

          6. 168. For the purpose of template 19, ‘ debtor ’ includes...

          7. 169. For the purpose of template 19, ‘ debt ’ includes...

          8. 170. For the purpose of template 19, ‘ exposure ’ has...

          9. 171. For the purpose of template 19, ‘ institution ’ means...

          10. 172. Exposures shall be regarded as forborne where a concession has...

          11. 173. A modification involving repayments made by taking possession of collateral...

          12. 174. There is a rebuttable presumption that forbearance has taken place...

          13. 175. Financial difficulties shall be assessed at debtor level as referred...

          14. 176. Forborne exposures shall be included within the non-performing exposures category...

          15. 177. Where the conditions referred to in paragraph 176 are not...

          16. 178. A forborne exposure may be considered as performing from the...

          17. 179. Where additional forbearance measures are applied to a performing forborne...

          18. 180. ‘ Performing exposures with forbearance measures ’ (performing forborne exposures)...

          19. 181. The column ‘ Refinancing ’ comprises the gross carrying amount...

          20. 182. Forborne exposures combining modifications and refinancing shall be allocated to...

          21. 183. Accumulated impairment and accumulated changes in fair value due to...

      3. PART 3 MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS

        1. 1. The following tables map exposure classes used to calculate capital...

          1. Annex V Table 2

    6. ANNEX VI

      REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY

      1. Annex VI Table 1

      2. C 15.00 — EXPOSURES AND LOSSES FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY (CR IP LOSSES)

    7. ANNEX VII

      INSTRUCTIONS FOR THE REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY

      1. 1. This Annex contains additional instructions in relation to the tables...

      2. 2. All the general instructions included in Part I of Annex...

      3. 1. Reporting scope

        1. 3. Data specified in Article 101(1) of CRR is subject to...

        2. 4. The template covers all national markets an institution/group of institution...

      4. 2. Definitions

        1. 5. Definition of loss: ‘ Loss ’ means ‘ economic loss...

        2. 6. According to the definition of Article 5(2) CRR, for exposures...

        3. 7. Exposure value: The exposure value follows the rules stipulated in...

        4. 8. Property value: The property value follows the rules stipulated in...

        5. 9. F/X effect: The reporting currency shall be used with the...

      5. 3. Geographical breakdown

        1. 10. Following the reporting scope, the CR IP Losses reporting shall...

      6. 4. Reporting of exposures and losses

        1. 11. Exposures: All exposures that are treated according to Part Three,...

        2. 12. Losses: The institution which has the exposure by the end...

        3. 13. Reference date: The exposure value from the date of default...

        4. 14. Role of the valuation of the property: The latest valuation...

        5. 15. Treatment of loan sales during the reporting period: The institution...

      7. 5. Instructions concerning specific positions

        1. Annex VII Table 1

        2. Annex VII Table 2

    8. ANNEX VIII

      TEMPLATES FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK

      1. LARGE EXPOSURES TEMPLATES

      2. C 26.00 — Large Exposures limits (LE Limits)

      3. C 27.00 — Identification of the counterparty (LE 1)

      4. C 28.00 — Exposures in the non-trading and trading book (LE 2)

        1. ANNEX VIII Table 4: rows 1 - 7

      5. C 29.00 — Detail of the exposures to individual clients within groups of connected clients (LE 3)

        1. ANNEX VIII Table 5: rows 1 - 7

      6. C 30.00 — Maturity buckets of the exposures in the non-trading and trading book (LE 4)

        1. ANNEX VIII Table 6: rows 1 - 4

      7. C 31.00 — Maturity buckets of the exposures to individual clients within groups of connected clients (LE 5)

        1. ANNEX VIII Table 7: rows 1 - 4

    9. ANNEX IX

      INSTRUCTIONS FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK

      1. PART I: GENERAL INSTRUCTIONS

        1. 1. Structure and conventions

          1. 1. The reporting framework on large exposures (‘LE’) shall consist of...

          2. 2. The instructions include legal references as well as detailed information...

          3. 3. The instructions and the validation rules follow the labelling convention...

          4. 4. The following convention is generally used in the instructions and...

          5. 5. In the case of validations within a template, in which...

          6. 6. ABS(Value): the absolute value without sign. Any amount that increases...

      2. PART II: TEMPLATE RELATED INSTRUCTIONS

        1. 1. Scope and level of the LE reporting

          1. 1. In order to report information on large exposures to clients...

          2. 2. In order to report information on large exposures to clients...

          3. 3. Every large exposure defined in accordance with Article 392 of...

          4. 4. In order to report information on the 20 largest exposures...

          5. 5. In order to report information on the ten largest exposures...

          6. 6. The data on the large exposures and the relevant largest...

          7. 7. Institutions shall report in the LE3 template data regarding the...

        2. 2. Structure of the LE template

          1. 8. The columns of the template LE1 shall present the information...

          2. 9. The columns of the templates LE2 and LE3 shall present...

          3. 10. The columns of the templates LE4 and LE5 shall present...

        3. 3. Definitions and general instructions for the purposes of the LE...

          1. 11. ‘ Group of connected clients ’ is defined in Article...

          2. 12. ‘ Unregulated financial sector entities ’ are defined in Article...

          3. 13. ‘ Institutions ’ is defined in Article 4(1)(3) of CRR...

          4. 14. Exposures to ‘ civil-law associations ’ shall be reported. In...

          5. 15. Assets and off balance sheet items shall be used without...

          6. 16. ‘Exposures’ are defined in Article 389 of CRR.

          7. 17. The ‘ netting agreements ’ shall be allowed to be...

          8. 18. The ‘ value of an exposure ’ shall be calculated...

          9. 19. The effect of the full or partial application of exemptions...

          10. 20. Reverse repurchase agreements which fall under the reporting for large...

        4. 4. C 26.00 — LE Limits template

          1. 4.1. Instructions concerning specific rows

            1. Annex IX Table 1

        5. 5. C 27.00 — Identification of the counterparty (LE1)

          1. 5.1. Instructions concerning specific columns

            1. Annex IX Table 2

        6. 6. C 28.00 — Exposures in the non-trading and trading book...

          1. 6.1. Instructions concerning specific columns

            1. Annex IX Table 3

        7. 7. C 29.00 — Details of the exposures to individual clients...

          1. 7.1. Instructions concerning specific columns

            1. Annex IX Table 4

        8. 8. C 30.00 — Maturity buckets of the ten largest exposures...

          1. 8.1. Instructions concerning specific columns

            1. Annex IX Table 5

        9. 9. C 31.00 — Maturity buckets of the ten largest exposures...

          1. 9.1. Instructions concerning specific columns

            1. Annex IX Table 6

    10. ANNEX X

      REPORTING ON LEVERAGE

      1. Annex X Table 1

      2. C 40.00 — ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1)

        1. ANNEX X Table 2: rows 1 - 28

      3. C 41.00 — ON- AND OFF-BALANCE SHEET ITEMS — ADDITIONAL BREAKDOWN OF EXPOSURES (LR2)

        1. ANNEX X Table 3: rows 1 - 14

      4. C 42.00 — ALTERNATIVE DEFINITION OF CAPITAL (LR3)

      5. C 43.00 — ALTERNATIVE BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4)

        1. ANNEX X Table 5: rows 1 - 40

      6. C 44.00 — GENERAL INFORMATION (LR5)

      7. C 47.00 — LEVERAGE RATIO CALCULATION (LRCalc)

        1. ANNEX X Table 7: rows 1 - 39

    11. ANNEX XI

      REPORTING ON LEVERAGE

      1. PART I: GENERAL INSTRUCTIONS

        1. 1. Template labelling and other conventions

          1. 1.1. Template labelling

            1. 1. This Annex contains additional instructions for the templates (hereinafter ‘...

            2. 2. Overall, the framework consists of six templates:

            3. 3. For each template legal references are provided as well as...

          2. 1.2. Numbering convention

            1. 4. The document will follow the labelling convention set in the...

            2. 5. The following general notation is followed in the instructions: {Template;Row;Column}....

            3. 6. In the case of validations within a template, where only...

            4. 7. For the purpose of the reporting on leverage, ‘ of...

          3. 1.3. Abbreviations

            1. 8. For the purposes of this annex and related templates the...

          4. 1.4. Sign convention

            1. 9. All amounts shall be reported as positive figures. An exception...

      2. PART II: TEMPLATE RELATED INSTRUCTIONS

        1. 1. Structure and frequency

          1. 1. The leverage ratio template is divided into two parts. Part...

          2. 2. When compiling the data for this ITS, institutions shall consider...

        2. 2. Formulas for leverage ratio calculation

          1. 3. The leverage ratio is based on a capital measure and...

          2. 4. Leverage Ratio — fully phased-in definition = {LRCalc;310;010}/{LRCalc;290;010}.

          3. 5. Leverage Ratio — transitional definition = {LRCalc;320;010}/{LRCalc;300;010}.

        3. 3. Materiality thresholds for derivatives

          1. 6. In order to reduce the reporting burden for institutions with...

          2. 7. Derivatives share = LRCalc;060;010 + LRCalc;070;010 + LRCalc;080;010 + LRCalc;090;010...

          3. 8. Where total exposure measure is equal to: {LRCalc;290;010}.

          4. 9. Total notional value referenced by derivatives = {LR1; 010;070}. This...

          5. 10. Credit derivatives volume = {LR1;020;070} + {LR1;050;070}. These are cells...

          6. 11. Institutions are required to report the cells referred to in...

          7. 12. Institutions for which the total notional value referenced by derivatives...

          8. 13. Institutions are required to report the cells referred to in...

          9. 14. The cells which are required to be reported by institutions...

          10. 15. The cells which are required to be reported by institutions...

        4. 4. C47.00 — Leverage ratio calculation (LRCalc)

          1. 16. This part of the reporting template collects the data that...

          2. 17. Institutions shall perform the reporting of the leverage ratio quarterly....

          3. 18. Institutions shall report {010;010} to {030;010}, {060;010}, {090;010}, {110;010}, and...

          4. 19. Institutions shall report {010;010} to {240;010} as if the exemptions...

          5. 20. Any amount that increases the own funds or the leverage...

          6. Annex XI Table 1

        5. 5. C40.00 — Alternative treatment of the Exposure Measure (LR1)

          1. 21. This part of the reporting collects data on an alternative...

          2. 22. Institutions shall determine the ‘ accounting balance sheet values ’...

          3. 23. Apart from {250;120} and {260;120}, institutions shall report LR1 as...

          4. Annex XI Table 2

        6. 6. C41.00 — On- and off-balance sheet items — additional breakdown...

          1. 24. Template LR2 provides information on additional breakdown items of all...

          2. 25. For exposures supported by CRM techniques implying the substitution of...

          3. 26. Under both approaches, institutions shall consider exposures deducted from the...

          4. Annex XI Table 3

        7. 7. C42.00 — Alternative definition of capital (LR3)

          1. 27. Template LR3 provides information on the capital measures needed for...

          2. Annex XI Table 4

        8. 8. C43.00 — Alternative breakdown of leverage ratio exposure measure components...

          1. 28. Institutions shall report the leverage ratio exposure values in LR4...

          2. 29. In order to avoid double-counting, institutions shall uphold the equation...

          3. 30. The equation that institutions shall uphold according to paragraph 29...

          4. Annex XI Table 5

        9. 9. C44.00 — General information (LR5)

          1. 31. Additional information is collected here for the purpose of categorising...

          2. Annex XI Table 6

    12. ANNEX XII

      REPORTING ON LIQUIDITY

      1. Annex XII Table 1

      2. C 51.00 — LIQUIDITY COVERAGE — LIQUID ASSETS

        1. ANNEX XII Table 2: rows 1 - 123

      3. C 52.00 — LIQUIDITY COVERAGE — OUTFLOWS

        1. ANNEX XII Table 3: rows 1 - 188

      4. C 53.00 — LIQUIDITY COVERAGE — INFLOWS

        1. ANNEX XII Table 4: rows 1 - 140

      5. C 54.00 — LIQUIDITY COVERAGE — COLLATERAL SWAPS

        1. ANNEX XII Table 5: rows 1 - 12

      6. C 60.00 — STABLE FUNDING — ITEMS REQUIRING STABLE FUNDING

        1. ANNEX XII Table 6: rows 1 - 183

      7. C 61.00 — STABLE FUNDING — ITEMS PROVIDING STABLE FUNDING

        1. ANNEX XII Table 7: rows 1 - 38

    13. ANNEX XIII

      1. REPORTING ON LIQUIDITY (PART 1 of 5: LIQUID ASSETS)

        1. 1. Liquid assets

          1. 1.1. General remarks

            1. 1. This is a summary template which contains information about assets...

            2. 2. Assets shall be reported in one of six sections in...

            3. 3. Assets which meet the requirements of Article 416 and Article...

            4. 4. Assets which meet the requirements of Article 416 (1) (b)...

            5. 5. Items subject to supplementary reporting of liquid assets according to...

            6. 6. Assets which do not meet the requirements of Article 416...

            7. 7. Treatment for jurisdictions with insufficient liquid assets

            8. 8. Reporting of Shar'iah compliant assets as alternative assets under Article...

          2. 1.2. Specific remarks

            1. 9. For items 1.1 to 1.2 institutions shall report the relevant...

            2. 10. For items 1.3 to 1.4 institutions shall report the market...

            3. 11. For item 1.5 institutions shall report the relevant undrawn amount...

            4. 12. For item 1.6.1/1.6.2 institutions shall report the relevant amounts in...

            5. 13. For items 1.7 to 2.2, in accordance with the last...

            6. 14. For items 1.3 to 1.4 and 1.7 to 1.14, institutions...

            7. 15. For items 2.1 to 2.2, institutions shall report assets which...

            8. 16. For items 1.1 to 2.2, with the exception of item...

            9. 17. For items 3.1 to 3.12, institutions shall only report assets...

            10. 18. For items 4.1 to 4.12.3, institutions shall only report assets...

            11. 19. For items 5.1 to 5.2, institutions shall only report items...

            12. 20. For items 6.1 to 6.1.3, only Shar'iah compliant banks shall...

            13. 21. The value of the liquid assets of all items in...

          3. Liquid assets sub template

            1. 1.2.1. Instructions concerning specific rows

              1. Annex XIII Table 1

      2. REPORTING ON LIQUIDITY (PART 2 of 5: OUTFLOWS)

        1. 1. Outflows

          1. 1.1. General remarks

            1. 1. This is a summary template which contains information about liquidity...

            2. 2. In accordance with Article 420 REGULATION (EU) NO 575/2013, this...

            3. 3. In accordance with Article 421(5) of the REGULATION (EU) NO...

          2. 1.2. Outflows sub template

            1. 1.2.1. Instructions concerning specific rows

              1. Annex XIII Table 2

      3. REPORTING ON LIQUIDITY (PART 3 of 5: INFLOWS)

        1. 1. Inflows

          1. 1.1. General remarks

            1. 1. This is a summary template which contains information about liquidity...

            2. 2. In accordance with Article 425(2) REGULATION (EU) NO 575/2013, liquidity...

            3. 3. In accordance with Article 425(7) REGULATION (EU) NO 575/2013, institutions...

            4. 4. In accordance with Article 425(8) REGULATION (EU) NO 575/2013, institutions...

          2. 1.2. Inflows sub template

            1. 1.2.1. Instructions concerning specific rows

              1. Annex XIII Table 3

      4. REPORTING ON LIQUIDITY (PART 4 of 5: COLLATERAL SWAPS)

        1. General remarks

          1. 1. This is a summary template which contains information that will...

      5. REPORTING ON LIQUIDITY (PART 5 of 5: STABLE FUNDING)

        1. 1. Items providing stable funding

          1. 1.1. General remarks

            1. 1. This is a summary template which contains information about items...

            2. 2. All own funds and liabilities reported on an institution's balance...

            3. 3. In accordance with Article 427(2) REGULATION (EU) NO 575/2013, liabilities...

            4. 4. Institutions shall assume that investors redeem a call option at...

            5. 5. For retail deposits reported in section 1.2, the same assumptions...

          2. 1.2. Items providing stable funding

            1. 1.2.1. Instructions concerning specific rows

              1. Annex XIII Table 5

        2. 2. Items requiring stable funding

          1. 2.1. General remarks

            1. 1. This is a summary template which contains information about items...

            2. 2. All assets reported on an institutions balance sheet shall be...

            3. 3. Treatment of maturity:

            4. 4. In accordance with Article 510 of the REGULATION (EU) NO...

            5. 5. Treatment of assets received or lent in secured lending and...

            6. 6. Treatment of derivatives payables and receivables:

          2. 2.2. Items requiring stable funding

            1. 2.2.1. Instructions concerning specific rows

              1. Annex XIII Table 6

    14. ANNEX XIV

      Single Data Point Model

      1. All data items set out in Annexes I, III, IV,...

      2. The single data point model shall meet the following criteria:...

      3. provide a structured representation of all data items set out...

    15. ANNEX XV

      Validation Rules

      1. The data items set out in Annexes I, III, IV,...

      2. The validation rules shall meet the following criteria:

      3. define the logical relationships between relevant data points; include filters...

    16. ANNEX XVI

      REPORTING TEMPLATES ON ASSET ENCUMBRANCE

      1. ASSET ENCUMBRANCE TEMPLATES

      2. F 32.01 — ASSETS OF THE REPORTING INSTITUTION (AE-ASS)

        1. ANNEX XVI Table 2: rows 1 - 15

      3. F 32.02 — COLLATERAL RECEIVED (AE-COL)

        1. ANNEX XVI Table 3: rows 1 - 17

      4. F 32.03 — OWN COVERED BONDS AND ABSs ISSUED AND NOT YET PLEDGED (AE-NPL)

      5. F 32.04 — SOURCES OF ENCUMBRANCE (AE-SOU)

        1. ANNEX XVI Table 5: rows 1 - 23

      6. F 33.00 — MATURITY DATA (AE-MAT)

        1. ANNEX XVI Table 6: rows 1 - 5

      7. F 34.00 — CONTINGENT ENCUMBRANCE (AE-CONT)

        1. ANNEX XVI Table 7: rows 1 - 18

      8. F 35.00 — COVERED BONDS ISSUANCE (AE-CB)

        1. ANNEX XVI Table 8: rows 1 - 9

      9. F 36.01 — ADVANCED DATA. PART I (AE-ADV-1)

        1. ANNEX XVI Table 9: rows 1 - 28

      10. F 36.02 — ADVANCE DATA. PART II (AE-ADV-2)

        1. ANNEX XVI Table 10: rows 1 - 28

    17. ANNEX XVII

      REPORTING ON ASSET ENCUMBRANCE

      1. GENERAL INSTRUCTIONS

        1. 1. STRUCTURE AND CONVENTIONS

          1. 1.1. Structure

            1. 1. The framework consists of five sets of templates which comprise...

            2. 2. For each template legal references are provided as well as...

          2. 1.2. Accounting standard

            1. 3. Institutions shall report carrying amounts under the accounting framework they...

            2. 4. For the purposes of this Annex, ‘ IAS ’ and...

          3. 1.3. Numbering convention

            1. 5. The following general notation is used in these instructions to...

            2. 6. In the case of validations within a template the following...

          4. 1.4. Sign convention

            1. 7. Templates in Annex XVI shall follow the sign convention described...

          5. 1.5. Level of application

            1. 8. The level of application of the reporting on asset encumbrance...

          6. 1.6. Proportionality

            1. 9. For the purpose of Article 16a(2)(b), the asset encumbrance level...

            2. 10. For the purpose of Article 16a(2)(a), the sum of total...

          7. 1.7. Definition of encumbrance

            1. 11. For the purpose of this Annex and Annex XVI, an...

      2. TEMPLATE-RELATED INSTRUCTIONS

        1. 2. PART A: ENCUMBRANCE OVERVIEW

          1. 12. The encumbrance overview templates differentiate assets which are used to...

          2. 13. The overview template shows the amount of encumbered and non-encumbered...

          3. 2.1. Template: AE-ASS. Assets of the reporting institution

            1. 2.1.1. General remarks

              1. 14. This paragraph sets out instructions that apply to the main...

                1. (a) Collateralised deposit

                2. (b) Repo/matching repos

                3. (c) Central bank funding

                4. (d) Securities lending

                5. (e) Derivatives (liabilities)

                6. (f) Covered bonds

                  1. Annex XVII Table 1

                7. (g) Securitisations

            2. 2.1.2. Instructions concerning specific rows

              1. Annex XVII Table 2

            3. 2.1.3. Instructions concerning specific columns

              1. Annex XVII Table 3

          4. 2.2. Template: AE-COL. Collateral received by the reporting institution

            1. 2.2.1. General remarks

              1. 15. For the collateral received by the reporting institution and the...

              2. 16. Assets are ‘ non-available for encumbrance ’ when they have...

              3. 17. For the purpose of the asset encumbrance reporting, securities borrowed...

            2. 2.2.2. Instructions concerning specific rows

              1. Annex XVII Table 4

            3. 2.2.3. Instructions concerning specific columns

              1. Annex XVII Table 5

          5. 2.3. Template: AE-NPL. Own covered bonds and ABSs issued and not...

            1. 2.3.1. General remarks

              1. 18. To avoid double counting, the following rule applies in relation...

            2. 2.3.2. Instructions concerning specific rows

              1. Annex XVII Table 6

            3. 2.3.3. Instructions concerning specific columns

              1. Annex XVII Table 7

          6. 2.4. Template: AE-SOU. Sources of encumbrance

            1. 2.4.1. General remarks

              1. 19. This template provides information on the importance for the reporting...

              2. 20. The total amounts of assets and collateral received in the...

            2. 2.4.2. Instructions concerning specific rows

              1. Annex XVII Table 8

            3. 2.4.3. Instructions concerning specific columns

              1. Annex XVII Table 9

        2. 3. PART B: MATURITY DATA

          1. 3.1. General remarks

            1. 21. The template included in Part B shows a general overview...

          2. 3.2. Template: AE-MAT. Maturity data

            1. 3.2.1. Instructions concerning specific rows

              1. Annex XVII Table 10

            2. 3.2.2. Instructions concerning specific columns

              1. Annex XVII Table 11

        3. 4. PART C: CONTINGENT ENCUMBRANCE

          1. 4.1. General remarks

            1. 22. This template requires institutions to calculate the level of asset...

            2. 23. Contingent encumbrance refers to the additional assets which may need...

            3. 24. This template includes the following two scenarios for reporting contingent...

            4. 25. The scenarios shall be reported independently of each other, and...

            5. 4.1.1. Scenario A: Decrease of 30 % of encumbered assets

              1. 26. It shall be assumed that all encumbered assets decrease 30...

              2. 27. Only contracts and agreements, where there is a legal obligation...

            6. 4.1.2. Scenario B: Depreciation of 10 % in significant currencies

              1. 28. A currency is a significant currency if the reporting institution...

              2. 29. The calculation of a 10 % depreciation shall take into...

              3. 30. All transactions which have a cross-currency element shall be covered...

          2. 4.2. Template: AE-CONT. Contingent encumbrance

            1. 4.2.1. Instructions concerning specific rows

              1. 31. See instructions concerning specific columns of the AE-SOU template in...

            2. 4.2.2. Instructions concerning specific columns

              1. Annex XVII Table 12

        4. 5. PART D: COVERED BONDS

          1. 5.1. General remarks

            1. 32. The information in this template is reported for all UCITS-compliant...

            2. 33. Covered bonds issued by or on behalf of the reporting...

            3. 34. The reporting shall be based on the statutory covered bond...

          2. 5.2. Template: AE-CB. Covered bonds issuance

            1. 5.2.1. Instructions concerning z-axis

              1. Annex XVII Table 13

            2. 5.2.2. Instructions concerning specific rows

              1. Annex XVII Table 14

            3. 5.2.3. Instructions concerning specific columns

              1. Annex XVII Table 15

        5. 6. PART E: ADVANCED DATA

          1. 6.1. General remarks

            1. 35. Part E follows the same structure as in the encumbrance...

          2. 6.2. Template: AE-ADV1. Advanced template for assets of the reporting institution...

            1. 6.2.1. Instructions concerning specific rows

              1. Annex XVII Table 16

            2. 6.2.2. Instructions concerning specific columns

              1. Annex XVII Table 17

          3. 6.3. Template: AE-ADV2. Advanced template for collateral received by the reporting...

            1. 6.3.1. Instructions concerning specific rows

              1. 36. See point 6.2.1 as instructions are similar for both templates....

            2. 6.3.2. Instructions concerning specific columns

              1. Annex XVII Table 18

    18. ANNEX XVIII

      ADDITIONAL LIQUIDITY MONITORING METRICS UNDER ARTICLE 415(3)(b) OF REGULATION (EU) No 575/2013

      1. Annex XVIII Table 1

      2. C 67.00 — CONCENTRATION OF FUNDING BY COUNTERPARTY

        1. ANNEX XVIII Table 2: rows 1 - 15

      3. C 68.00 — CONCENTRATION OF FUNDING BY PRODUCT TYPE

        1. ANNEX XVIII Table 3: rows 1 - 23

      4. C 69.00 — PRICES FOR VARIOUS LENGTHS OF FUNDING

        1. ANNEX XVIII Table 4: rows 1 - 11

      5. C 70.00 - ROLL-OVER OF FUNDING

        1. ANNEX XVIII Table 5: rows 1 - 12

      6. Annex XVIII Table 6

      7. Annex XVIII Table 7

      8. Annex XVIII Table 8

      9. Annex XVIII Table 9

      10. Annex XVIII Table 10

      11. Annex XVIII Table 11

      12. Annex XVIII Table 12

      13. Annex XVIII Table 13

      14. Annex XVIII Table 14

      15. Annex XVIII Table 15

      16. Annex XVIII Table 16

      17. Annex XVIII Table 17

      18. Annex XVIII Table 18

      19. Annex XVIII Table 19

      20. Annex XVIII Table 20

      21. Annex XVIII Table 21

      22. Annex XVIII Table 22

      23. Annex XVIII Table 23

      24. Annex XVIII Table 24

      25. Annex XVIII Table 25

      26. Annex XVIII Table 26

      27. Annex XVIII Table 27

      28. Annex XVIII Table 28

      29. Annex XVIII Table 29

      30. Annex XVIII Table 30

      31. Annex XVIII Table 31

      32. Annex XVIII Table 32

      33. Annex XVIII Table 33

      34. Annex XVIII Table 34

      35. Annex XVIII Table 35

      36. Annex XVIII Table 36

      37. Annex XVIII Table 37

    19. ANNEX XIX

      INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII

      1. 1. Additional Monitoring Tools

        1. 1.1. General remarks

          1. 1. The summary templates contained in Annex XVIII is designed to...

        2. 1.2. Concentration of funding by counterparty (C 67.00)

          1. 1. This template seeks to collect information about the reporting institutions'...

          2. 2. For the purpose of completing this template:

          3. 3. For each counterparty, institutions shall record the following components:

          4. 4. Where funding is obtained in more than one product type,...

          5. 5. Identification of the underlying holder of securities may be undertaken...

          6. 6. Instructions concerning specific columns:

            1. Annex XIX Table 1

        3. 1.3. Concentration of funding by product type (C 68.00)

          1. 1. This template seeks to collect information about the reporting institutions'...

          2. 2. For the purpose of completing this template institutions shall report...

          3. 3. For each product type, institutions shall record the following components:...

          4. 4. For the purpose of determining those product types from which...

          5. 5. Instructions concerning specific columns:

            1. Annex XIX Table 2

        4. 1.4. Prices for Various Lengths of Funding (C 69.00)

          1. 1. This template seeks to collect information about the average transaction...

          2. 2. For the purpose of determining the maturity of funding obtained,...

          3. 3. The spread reported in the left hand column of each...

          4. 4. Spread shall be reported in basis points (bp) and calculated...

          5. 5. For the purposes of calculating the average spread payable, institutions...

          6. 6. The net amount of funding obtained for the funding categories...

          7. 7. Where there is nothing to report, spreads shall be left...

          8. 8. Instructions concerning specific rows:

            1. Annex XIX Table 3

        5. 1.5. Roll-over of funding (C 70.00)

          1. 1. This template seeks to collect information about the volume of...

          2. 2. Institutions shall report the funding they have maturing in the...

          3. 3. For each time bucket as described in point 2 above,...

          4. 4. Total net cashflows shall be reported in column 290 and...

          5. 5. The average term of funding (in days) for maturing term...

          6. 6. The average term of funding (in days) of funds rolled...

          7. 7. The average term of funding (in days) for new term...

          8. 8. The average term of funding (in days) for the total...

          9. 9. Instructions concerning specific rows:

            1. Annex XIX Table 4

    20. ANNEX XX

      ADDITIONAL LIQUIDITY MONITORING METRICS UNDER ARTICLE 415(3)(b) OF REGULATION (EU) No 575/2013

      1. Annex XX Table 1

      2. C 71.00 — CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER/COUNTERPARTY

        1. ANNEX XX Table 2: rows 1 - 15

    21. ANNEX XXI

      INSTRUCTIONS FOR COMPLETING THE CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATE (C 71.00) OF ANNEX XXII

      1. Concentration of Counterbalancing Capacity by issuer/counterparty (CCC) (C 71.00)

        1. Annex XXI Table 1

    22. ANNEX XXIV

      REPORTING ON LIQUIDITY

      1. Annex XXIV Table 1

      2. C 72.00 — LIQUIDITY COVERAGE — LIQUID ASSETS

        1. ANNEX XXIV Table 2: rows 1 - 64

      3. C 73.00 — LIQUIDITY COVERAGE — OUTFLOWS

        1. ANNEX XXIV Table 3: rows 1 - 145

      4. C 74.00 — LIQUIDITY COVERAGE — INFLOWS

        1. ANNEX XXIV Table 4: rows 1 - 12

      5. Annex XXIV Table 5

      6. Annex XXIV Table 6

      7. Annex XXIV Table 7

      8. Annex XXIV Table 8

      9. Annex XXIV Table 9

      10. Annex XXIV Table 10

      11. Annex XXIV Table 11

      12. Annex XXIV Table 12

      13. Annex XXIV Table 13

      14. Annex XXIV Table 14

      15. Annex XXIV Table 15

      16. Annex XXIV Table 16

      17. Annex XXIV Table 17

      18. Annex XXIV Table 18

      19. Annex XXIV Table 19

      20. Annex XXIV Table 20

      21. Annex XXIV Table 21

      22. C 75.00 — LIQUIDITY COVERAGE — COLLATERAL SWAPS

        1. ANNEX XXIV Table 22: rows 1 - 12

      23. Annex XXIV Table 23

      24. Annex XXIV Table 24

      25. Annex XXIV Table 25

      26. Annex XXIV Table 26

      27. Annex XXIV Table 27

      28. Annex XXIV Table 28

      29. Annex XXIV Table 29

      30. Annex XXIV Table 30

      31. Annex XXIV Table 31

      32. Annex XXIV Table 32

      33. Annex XXIV Table 33

      34. Annex XXIV Table 34

      35. Annex XXIV Table 35

      36. C 76.00 — LIQUIDITY COVERAGE — CALCULATIONS

        1. ANNEX XXIV Table 36: rows 1 - 45

    23. ANNEX XXV

      1. REPORTING ON LIQUIDITY (PART 1: LIQUID ASSETS)

        1. 1. Liquid assets

          1. 1.1. General remarks

            1. 1. This is a summary template which contains information about assets...

            2. 2. Assets reported shall comply with the requirements set out in...

            3. 3. By derogation to paragraph 2, credit institutions shall not apply...

            4. 4. Credit institutions shall report the template in the corresponding currencies...

            5. 5. When referring to Article 9 of Commission Delegated Regulation (EU)...

            6. 6. Commission Delegated Regulation (EU) 2015/61 only refers to rates and...

            7. 7. Credit institutions shall not double report items within and across...

            8. 8. Some memorandum items are included in the associated template to...

          2. 1.2. Specific remarks

            1. 1.2.1. Specific requirements regarding CIUs

              1. 9. For items 1.1.1.10., 1.1.1.11., 1.2.1.6., 1.1.2.2., 1.2.2.10., 1.2.2.11., 1.2.2.12., 1.2.2.13.,...

            2. 1.2.2. Specific requirements regarding grandfathering and transitional provisions

              1. 10. Credit institutions shall report items as referred to in Article...

            3. 1.2.3. Specific requirements for reporting by Central Institutions

              1. 11. Central institutions, when reporting liquid assets corresponding to deposits from...

            4. 1.2.4. Specific requirements regarding settlement and forward starting transactions

              1. 12. All assets complying with Articles 7, 8 and 9 of...

          3. Liquid assets sub template

            1. Instructions concerning specific columns

              1. Annex XXV Table 1

            2. Instructions concerning specific rows

              1. Annex XXV Table 2

      2. REPORTING ON LIQUIDITY (PART 2 OUTFLOWS)

        1. 1. Outflows

          1. 1.1. General remarks

            1. 1. This is a summary template which contains information about liquidity...

            2. 2. Credit institutions shall report the template in the corresponding currencies...

            3. 3. Some memorandum items are included in the associated template to...

            4. 4. In accordance with Article 22(1) of Commission Delegated Regulation (EU)...

            5. 5. Commission Delegated Regulation (EU) 2015/61 only refers to rates and...

            6. 6. Outflows within a group or an institutional protection scheme (except...

            7. 7. The liquidity outflows shall be reported only once in the...

            8. 8. When reporting in a significant currency, the following shall always...

            9. 9. The standard weights in column 040 of template C 73.00...

            10. 10. The template contains information about collateralised liquidity flows, referred to...

            11. 11. A separate template is provided for collateral swaps, C 75.00...

          2. 1.2. Specific remarks regarding settlement and forward starting transactions

            1. 12. Credit institutions shall report outflows stemming from forward starting repos,...

            2. 13. Decision tree for sections 1 of C 73.00 of Annex...

            3. Annex XXV Table 3

          3. 1.3. Instructions concerning specific columns

            1. Annex XXV Table 4

          4. 1.4. Instructions concerning specific rows

            1. Annex XXV Table 5

      3. REPORTING ON LIQUIDITY (PART 3: INFLOWS)

        1. 2. Inflows

          1. 2.1. General remarks

            1. 1. This is a summary template which contains information about liquidity...

            2. 2. Credit institutions shall submit the template in the currencies specified...

            3. 3. In accordance with Article 32 of Commission Delegated Regulation (EU)...

            4. 4. Inflows within a group or an institutional protection scheme (except...

            5. 5. In accordance with Article 32(6) of Delegated Regulation (EU) 2015/61,...

            6. 6. Inflows which are to be received in third countries where...

            7. 7. Monies due from securities issued by the credit institution itself...

            8. 8. In accordance with Article 32(7) of Commission Delegated Regulation (EU)...

            9. 9. In the case of a significant currency identified in accordance...

            10. 10. The Column structure of this template is built to accommodate...

            11. 11. In accordance with Article 2(3)(c) of Commission Delegated Regulation (EU)...

            12. 12. Commission Delegated Regulation (EU) 2015/61 only refers to rates and...

            13. 13. Some ‘ memorandum items ’ are included in the associated...

          2. 2.2. Specific remarks regarding secured lending and capital market-driven transactions

            1. 1. The template categories collateralizsed flows by the quality of the...

            2. 2. In the case of a significant currency return, the reported...

            3. 3. Credit institutions shall only report the Level 1, Level 2A...

          3. 2.3. Specific remarks regarding settlement and forward starting transactions

          4. 2.4. Decision tree on LCR inflows in accordance with Article 32,...

            1. 1. The decision tree is without prejudice to the reporting of...

            2. 2. For the sake of simplicity, the decision tree ignores totals...

            3. 2.4.1. Decision tree on rows in template C 74.00 of ANNEX...

              1. Annex XXV Table 6

            4. 2.4.2. Decision tree on columns in template C 74.00 of ANNEX...

              1. Annex XXV Table 7

          5. 2.5. Inflows sub template

            1. 2.5.1. Instructions concerning specific columns

              1. Annex XXV Table 8

            2. 2.5.2. Instructions concerning specific rows

              1. Annex XXV Table 9

      4. REPORTING ON LIQUIDITY (PART 4: COLLATERAL SWAPS)

        1. 3. Collateral swaps

          1. 3.1. General remarks

            1. 1. Any transaction maturing within 30 days in which non-cash assets...

            2. 2. Collateral swaps that mature within 30 days shall lead to...

            3. 3. Collateral swaps that mature within 30 days shall lead to...

            4. 4. For liquid assets the liquidity value is according to Article...

            5. 5. Each collateral swap transaction shall be assessed individually and the...

            6. 6. In the case of a significant currency return, the reported...

            7. 7. Credit institutions shall report the template in the corresponding currencies...

            8. 8. Collateralized derivatives flows within 30 days shall be reported on...

          2. 1.2. Specific remarks

            1. 9. Institutions shall only report the Level 1, 2A and 2B...

            2. 10. Where collateral meets the criteria for Level 1, 2A or...

            3. 11. Collateral Swaps involving Level 2A assets shall be reported in...

          3. Collateral swaps sub template

            1. Instructions concerning specific columns

              1. Annex XXV Table 10

            2. Instructions concerning specific rows

              1. Annex XXV Table 11

      5. REPORTING ON LIQUIDITY (PART 5: CALCULATIONS)

        1. 4. Calculations

          1. 4.1. General remarks

          2. 4.2. Specific remarks

          3. Calculations sub template

            1. Instructions concerning specific rows

              1. Annex XXV Table 12