CHAPTER 2 REPORTING REFERENCE AND REMITTANCE DATES AND REPORTING THRESHOLDS
SECTION 1 Format and frequency of reporting on own funds and own funds requirements
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
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
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
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
SECTION 2 Format and frequency of reporting on financial information on a consolidated basis
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
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
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
CHAPTER 8 IT SOLUTIONS FOR THE SUBMISSION OF DATA FROM INSTITUTIONS TO COMPETENT AUTHORITIES
REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
PART II: TEMPLATE RELATED INSTRUCTIONS
1. CAPITAL ADEQUACY OVERVIEW (CA)
10. CA templates contain information about Pillar 1 numerators (own funds,...
11. The templates shall apply to all reporting entities, irrespective of...
12. The total own funds consist of different types of capital:...
13. Transitional provisions are treated as follows in CA templates:
14. The treatment of Pillar II requirements can be different within...
1.6.2. C 05.01 — Transitional provisions (CA5.1)
20. Institutions shall report in Table 5.1 the transitional provisions to...
21. Institutions shall report in rows 020 to 060 information in...
22. Institutions shall report in rows 070 to 092 information in...
23. In rows 100 onwards institutions shall report information in relation...
24. There might be cases where the transitional deductions of CET1,...
1.6.3. C 05.02 — Grandfathered instruments: instruments not constituing state aid...
2. GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
2.3. INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY...
30. The objective of the third part of this template (information...
31. The third part also includes the amounts of minority interests,...
33. The principle is to delete the cross-exposures within the same...
34. The institutions shall define the most appropriate breakdown method between...
35. It is possible for one consolidated group to be included...
36. An institution shall report data of the contribution of an...
2.4. C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL...
2.5. C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
37. There are different sets of templates for the Standardised approach...
3.1.1. Reporting of CRM techniques with substitution effect
38. Article 235 of CRR describes the computation procedure of the...
39. Article 236 of CRR describes the computation procedure of exposure...
41. Reporting of exposures to obligors (immediate counterparties) and protection providers...
42. The exposure type does not change because of unfunded credit...
43. If an exposure is secured by an unfunded credit protection,...
44. The substitution effect in the COREP reporting framework shall reflect...
3.2. C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE...
3.2.2. Scope of the CR SA template
47. According to Article 112 of CRR each SA exposure shall...
49. However the following positions are not within the scope of...
51. The scope of the template are all exposures for which...
52. In addition CR SA includes memorandum items in rows 290...
53. These memorandum items shall only be reported for the following...
54. The reporting of the memorandum items affect neither the calculation...
55. The memorandum rows provide additional information about the obligor structure...
56. E.g. if an exposure, the risk exposure amounts of which...
3.2.3. Assignment of exposures to exposure classes under the Standardised Approach...
57. In order to ensure a consistent categorisation of exposures into...
58. The following criteria apply for the classification of the Original...
59. For the purpose of classifying the original exposure pre conversion...
60. Article 112 of CRR does not provide criteria for disjoining...
61. For a homogeneous and comparable reporting it is necessary to...
62. An exposure class shall be given priority to others in...
63. With this background the assessment ranking in the decision tree...
3.2.4. Clarifications on the scope of some specific exposure classes referred...
3.3. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH...
3.4. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH...
78. Institutions fulfilling the threshold set in Article 5 (a) (4)...
80. Data regarding ‘ original exposure pre conversion factors ’ shall...
3.4.1. C 09.01 – Geographical breakdown of exposures by residence of...
3.4.2. C 09.02 – Geographical breakdown of exposures by residence of...
3.4.3. C 09.04 – Breakdown of credit exposures relevant for the...
3.5. C 10.01 AND C 10.02 – EQUITY EXPOSURES UNDER THE...
85. The CR EQU IRB template consists of two templates: CR...
86. The CR EQU IRB template provides information on the calculation...
87. According to Article 147(6) of CRR, the following exposures shall...
88. Collective investment undertakings treated according to the simple risk weight...
89. In accordance with Article 151(1) of CRR, institutions shall provide...
90. The following equity claims shall not be reported in the...
3.5.2. Instructions concerning specific positions (applicable to both CR EQU IRB...
3.6. C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)
92. This template requests information on both trading and non-trading book...
93. Institutions report in the CR SETT template information on the...
94. According to Article 378 of CRR, repurchase transactions, securities or...
95. In the case of unsettled transactions after the due delivery...
96. Institutions multiply this difference by the appropriate factor of Table...
97. According to Article 92(4) Point (b), the own funds requirements...
98. Note that own funds requirements for free deliveries as laid...
3.7. C 12.00 – CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO...
3.8. C 13.00 — CREDIT RISK – SECURITISATIONS: INTERNAL RATINGS BASED...
3.9. C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)
4.1. C 16.00 – OPERATIONAL RISK (OPR)
113. This template provides information on the calculation of own funds...
114. Institutions using the BIA, TSA and/or ASA shall calculate their...
115. If an institution can justify its competent authority that –...
116. By columns, this template presents information, for the three most...
117. By rows, information is presented by method of calculation of...
118. This template shall be submitted by all institutions subject to...
4.2. C 17.00 – OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS...
119. This template summarises the information on the gross losses and...
121. ‘ Recovery ’ means an independent occurrence related to the...
122. ‘ Rapidly recovered loss events ’ means operational risk events...
124. The Number of events is the number of operational risk...
126. The Number of events shall conventionally include also the events...
127. The Maximum single loss is the largest single amount among...
130. The figures reported in June of the respective year are...
131. The information is presented by distributing the losses and recoveries...
132. Columns present the different event types and the totals for...
133. Rows present the business lines, and within each business line,...
135. Where the algebraic sum of the elements of the total...
136. This template shall be reported by institutions using AMA or...
137. In order to verify the conditions envisaged by Article 5...
138. Institutions subject to Article 5(b)(2)(b) of this Regulation may only...
139. These instructions refer to the templates reporting of the calculation...
140. The position risk on a traded debt instrument or equity...
5.1. C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS...
5.2. C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK...
5.3. C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK...
5.4. C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK...
5.5. C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE...
5.6. C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR...
REPORTING FINANCIAL INFORMATION ACCORDING TO IFRS
1. Balance Sheet Statement [Statement of Financial Position]
4. Breakdown of financial assets by instrument and by counterparty sector...
6. Breakdown of non-trading loans and advances to non-financial corporations by...
9. Loan commitments, financial guarantees and other commitments
12. Movements in allowances and provisions for credit losses
14. Fair value hierachy: financial instruments at fair value
15. Derecognition and financial liabilities associated with transferred financial assets
16. Breakdown of selected statement of profit or loss items
16.1 Interest income and expenses by instrument and counterparty sector
16.2 Gains or losses on derecognition of financial assets and liabilities...
16.3 Gains or losses on financial assets and liabilities held for...
16.4 Gains or losses on financial assets and liabilities held for...
16.4.1 Gains or losses on non-trading financial assets mandatorily at fair...
16.5 Gains or losses on financial assets and liabilities designated at...
17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet...
20.1 Geographical breakdown of assets by location of the activities
20.2 Geographical breakdown of liabilities by location of the activities
20.3 Geographical breakdown of statement of profit or loss items by...
20.4 Geographical breakdown of assets by residence of the counterparty
20.5 Geographical breakdown of off-balance sheet exposures by residence of the...
20.6 Geographical breakdown of liabilities by residence of the counterparty
20.7.1 Geographical breakdown by residence of the counterparty of loans and...
21. Tangible and intangible assets: assets subject to operating lease
30. Off-balance sheet activities: Interests in unconsolidated structured entities
42. Tangible and intangible assets: carrying amount by measurement method
45 Breakdown of selected items of statement of profit or loss...
REPORTING FINANCIAL INFORMATION ACCORDING TO NATIONAL ACCOUNTING FRAMEWORKS
1. Balance Sheet Statement [Statement of Financial Position]
4. Breakdown of financial assets by instrument and by counterparty sector...
4.2.1 Non-trading financial assets mandatorily at fair value through profit or...
4.2.2 Financial assets designated at fair value through profit or loss...
4.3.1 Financial assets at fair value through other comprehensive income
4.7 Non-trading non-derivative financial assets measured at fair value through profit...
4.8 Non-trading non-derivative financial assets measured at fair value to equity...
4.9 Non-trading non-derivative financial assets measured at a cost-based method
6. Breakdown of non-trading loans and advances to non-financial corporations by...
9. Loan commitments, financial guarantees and other commitments
12. Movements in allowances and provisions for credit losses
14. Fair value hierachy: financial instruments at fair value
15. Derecognition and financial liabilities associated with transferred financial assets
16. Breakdown of selected statement of profit or loss items
16.1 Interest income and expenses by instrument and counterparty sector
16.2 Gains or losses on derecognition of financial assets and liabilities...
16.3 Gains or losses on financial assets and liabilities held for...
16.4 Gains or losses on financial assets and liabilities held for...
16.5 Gains or losses on financial assets and liabilities designated at...
17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet...
20.1 Geographical breakdown of assets by location of the activities
20.2 Geographical breakdown of liabilities by location of the activities
20.3 Geographical breakdown of statement of profit or loss items by...
20.4 Geographical breakdown of assets by residence of the counterparty
20.5 Geographical breakdown of off-balance sheet exposures by residence of the...
20.6 Geographical breakdown of liabilities by residence of the counterparty
20.7.1 Geographical breakdown by residence of the counterparty of loans and...
21. Tangible and intangible assets: assets subject to operating lease
30. Off-balance sheet activities: Interests in unconsolidated structured entities
42. Tangible and intangible assets: carrying amount by measurement method
45. Breakdown of selected items of statement of profit or loss...
1. This Annex contains additional instructions for the financial information templates...
2. Institutions that use national accounting standards compatible with IFRS (...
3. The data points identified in the templates shall be drawn...
4. Institutions shall only submit those parts of the templates related...
4. ACCOUNTING PORTFOLIOS OF FINANCIAL INSTRUMENTS
14. Under national GAAP, institutions that are permitted or required to...
15. The following accounting portfolios based on IFRS shall be used...
16. The following accounting portfolios based on national GAAP shall be...
17. ‘ Trading financial assets ’ includes all financial assets classified...
18. Under national GAAP based on BAD, for financial assets, ‘...
19. Under national GAAP based on BAD, ‘ Non-trading non-derivative financial...
20. Under national GAAP based on BAD, ‘ Other non-trading non-derivative...
21. Regardless of their measurement method, investments in subsidiaries, joint ventures...
22. ‘ Derivatives - Hedge accounting ’ shall include derivatives with...
23. The following accounting portfolios based on IFRS shall be used...
24. The following accounting portfolios based on national GAAP shall be...
25. ‘ Trading financial liabilities ’ includes all financial liabilities classified...
26. ‘ Derivatives - Hedge accounting ’ shall include derivatives with...
28. If recognised under the relevant national GAAP based on BAD,...
29. Where applicable under national GAAP based on BAD, ‘ Haircuts...
35. Financial liabilities shall be distributed among the following classes of...
37. ‘ Debt securities issued ’ shall be debt instruments issued...
38. ‘ Other financial liabilities ’ shall include all financial liabilities...
39. Under IFRS ‘ Other financial liabilities ’ shall include financial...
40. Where loan commitments, financial guarantees and other commitments given are...
41. ‘ Other financial liabilities ’ shall also include dividends to...
PART 2 TEMPLATE RELATED INSTRUCTIONS
2. ‘ Cash balances at central banks ’ shall include balances...
3. ‘ Other demand deposits ’ shall include balances receivable on...
4. ‘ Investments in subsidiaries, joint ventures and associates ’ shall...
6. Under the relevant national GAAP based on BAD, the carrying...
7. ‘ Non-current assets and disposal groups classified as held for...
8. Under national GAAP based on BAD provisions for contingent losses...
9. Provisions for ‘ Pensions and other post-employment defined benefit obligations...
10. Under IFRS provisions for ‘ Other long-term employee benefits ’...
11. Under IFRS, provisions for ‘ Commitments and guarantees given ’...
12. ‘ Share capital repayable on demand ’ shall include the...
13. Liabilities that are not financial liabilities and that due to...
14. ‘ Liabilities included in disposal groups classified as held for...
16. Under IFRS equity instruments that are financial instruments shall include...
17. Under the relevant national GAAP based on BAD, ‘ Unpaid...
18. ‘ Equity component of compound financial instruments ’ shall include...
19. ‘ Other equity instruments issued ’ shall include equity instruments...
20. ‘ Other equity ’ shall comprise all equity instruments that...
21. ‘ Fair value changes of equity instruments measured at fair...
22. ‘ Hedge ineffectiveness of fair value hedges for equity instruments...
23. ‘ Fair value changes of financial liabilities at fair value...
24. ‘ Hedge of net investments in foreign operations [effective portion]...
25. ‘ Hedging derivatives. Cash flow hedges reserve [effective portion] ’...
26. ‘ Fair value changes of debt instruments measured at fair...
27. ‘ Hedging instruments [not designated elements] ’ shall include the...
28. Under IFRS ‘ Revaluation reserves ’ shall include the amount...
30. ‘ Treasury shares ’ shall cover all financial instruments that...
2. STATEMENT OF PROFIT OR LOSS (2)
31. Interest income and interest expense from financial instruments measured at...
32. Institutions shall report the following items, which include income and...
33. ‘ Interest income. Financial assets held for trading ’ and...
34. Where the clean price is used, ‘ Interest income. Financial...
35. ‘ Interest income. Derivatives – Hedge accounting, interest rate risk...
36. ‘ Interest income - other assets ’ shall include amounts...
37. Under IFRS and where not provided otherwise in national GAAP,...
38. ‘ Interest expenses - other liabilities ’ shall include amounts...
39. Under IFRS and where not provided otherwise in national GAAP,...
40. Dividend income on equity instruments measured at fair value through...
41. Dividend income on equity instruments designated at fair value through...
42. Dividend income from investments in subsidiaries, joint ventures and associates...
43. ‘ Gains or (–) losses on financial assets and liabilities...
44. ‘ Gains or losses on financial assets and liabilities designated...
45. ‘ Gains or (–) losses on derecognition of financial assets...
46. Where a change in business model leads to the reclassification...
48. ‘ Gains or losses on derecognition of non-financial assets ’...
49. ‘ Modification gains or (–) losses, net ’ shall include...
50. ‘ Provisions or (–) reversal of provisions. Commitments and guarantees...
51. Under IFRS, ‘ Impairment or (–) reversal of impairment on...
53. ‘ Impairment or (–) reversal of impairment on financial assets...
54. The share of profit or loss from subsidiaries, associates and...
55. ‘ Profit or loss from non-current assets and disposal groups...
56. Under IFRS, the gains or losses on de-recognition of investments...
3. STATEMENT OF COMPREHENSIVE INCOME (3)
57. ‘ Gains or (–) losses from hedge accounting of equity...
58. ‘ Hedge of net investments in foreign operations [effective portion]...
59. For hedges of net investment in foreign operations and cash...
60. ‘ Hedging instruments [not designated elements] ’ shall include changes...
61. For options, the amounts reclassified to profit or loss and...
62. ‘ Debt instruments at fair value through other comprehensive income...
63. Where a financial asset is reclassified out of the amortised...
64. Where a financial asset is reclassified out of the fair...
65. For all components of the other comprehensive income, ‘ Other...
4. BREAKDOWN OF FINANCIAL ASSETS BY INSTRUMENT AND BY COUNTERPARTY SECTOR...
67. Financial assets shall be broken down by accounting portfolio and...
68. Derivatives reported as trading financial assets under GAAP based on...
71. Under IFRS, accumulated impairment shall include the allowance for expected...
72. ‘ Accumulated partial write-offs ’ and ‘ Accumulated total write-offs...
73. Where a debt instrument is eventually totally written-off as a...
74. Write-offs shall constitute a de-recognition event and relate to a...
75. The column ‘ of which: Instruments with low credit risk...
76. Trade receivables within the meaning of IAS 1.54(h), contract assets...
77. Purchased or originated financial assets that are credit-impaired at initial...
78. In template 4.5 institutions shall report the carrying amount of...
79. In template 4.8, information to be reported depends on whether...
80. In template 4.9, financial assets measured under moderate LOCOM and...
81. In template 4.10, assets measured at strict LOCOM as well...
82. Under national GAAP based on BAD, the amount of general...
5. BREAKDOWN OF NON-TRADING LOANS AND ADVANCES BY PRODUCT (5)
83. Loans and advances other than those held for trading or...
84. Balances receivable on demand classified as ‘ Cash, cash balances...
85. Loans and advances shall be allocated to the following products:...
86. Loans and advances shall be classified on the basis of...
87. Loans and advances shall be classified based on the collateral...
88. Loans and advances shall be classified on the basis of...
6. BREAKDOWN OF NON-TRADING LOANS AND ADVANCES TO NON-FINANCIAL CORPORATIONS BY...
7. FINANCIAL ASSETS SUBJECT TO IMPAIRMENT THAT ARE PAST DUE (7)...
8. BREAKDOWN OF FINANCIAL LIABILITIES (8)
97. ‘ Deposits ’ and the product breakdown shall be defined...
98. ‘ Debt securities issued ’ shall be disaggregated into the...
99. ‘ Subordinated financial liabilities ’ issued shall be treated in...
100. Template 8.2 shall include the carrying amount of ‘ Deposits...
101. ‘ Accumulated changes in fair value due to changes in...
9. LOAN COMMITMENTS, FINANCIAL GUARANTEES AND OTHER COMMITMENTS (9)
102. Off-balance sheet exposures shall include the off-balance sheet items listed...
103. Information on loan commitments, financial guarantees and other commitments given...
104. Loan commitments, financial guarantees and other commitments given listed in...
105. Under IFRS, loan commitments, financial guarantees and other commitments given...
106. Liabilities that shall be recognised as credit losses for the...
107. Institutions under IFRS shall report the nominal amount and provisions...
108. Only the nominal amount of the commitment shall be reported...
109. Where a financial guarantee or a commitment to provide a...
110. Where loan commitments, financial guarantees and other commitments are measured...
111. The nominal amount and provisions of other commitments or guarantees...
112. Institutions under national GAAP based on BAD shall report in...
113. ‘ Loan commitments ’ shall be firm commitments to provide...
114. ‘ Financial guarantees ’ shall be contracts that require the...
115. ‘ Other commitments ’ shall include the following items of...
116. Under IFRS, the following items are recognised in the balance...
117. The item ‘ of which: non-performing ’ shall include the...
118. For financial guarantees, loan commitments and other commitments given, the...
119. In template 9.2, for loan commitments received, the nominal amount...
10. DERIVATIVES AND HEDGE ACCOUNTING (10 AND 11)
120. For the purpose of templates 10 and 11, derivatives shall...
121. The carrying amount and the notional amount of the derivatives...
122. Under the relevant national GAAP based on BAD, all derivatives...
123. The breakdown of the carrying amount, fair value and notional...
124. Trading derivatives and hedging derivatives which, in accordance with national...
125. Template 11 shall include hedging instruments and hedged items irrespective...
126. Derivatives included in hybrid instruments which have been separated from...
127. Commitments considered as derivatives [IFRS 9.2.3(b)] and credit derivatives that...
128. The carrying amount of non-derivative financial assets or non-derivative financial...
10.6. Amount to be reported for non-derivative hedging instruments (11.3 and...
10.7. Hedged items in fair value hedges (11.4)
147. ‘ Micro-hedges ’ shall be hedges other than portfolio hedge...
148. ‘ Hedge adjustments on micro-hedges ’ shall include all hedge...
149. ‘ Hedge adjustments included in the carrying amount of assets/liabilities...
150. ‘ Remaining adjustments for discontinued micro-hedges including hedges of net...
151. Where a group of financial assets or financial liabilities, including...
152. ‘ Hedged items in portfolio hedge of interest rate risk...
11. MOVEMENTS IN ALLOWANCES AND PROVISIONS FOR CREDIT LOSSES (12)
11.1. Movements in allowances for credit losses and impairment of equity...
11.2. Movements in allowances and provisions for credit losses under IFRS...
156. Template 12.1 contains a reconciliation of the opening and closing...
157. The provisions for off-balance sheet exposures that are subject to...
158. The items ‘ of which: collectively measured allowances ’ and...
159. ‘ Increases due to origination and acquisition ’ shall include...
160. ‘ Decreases due to derecognition ’ shall include the amount...
162. All changes in expected credit losses related to revolving exposures...
163. ‘ Changes due to update in the institution's methodology for...
164. The reporting of the changes in the expected losses related...
165. Write-offs shall be reported in accordance with paragraphs 72 to...
166. ‘ Other adjustments ’ shall include any amount not reported...
11.3. Transfers between impairment stages (gross basis presentation) (12.2)
13. FAIR VALUE HIERARCHY: FINANCIAL INSTRUMENTS AT FAIR VALUE (14)
14. DERECOGNITION AND FINANCIAL LIABILITIES ASSOCIATED WITH TRANSFERRED FINANCIAL ASSETS (15)...
180. Template 15 shall include information on transferred financial assets of...
181. The associated liabilities shall be reported according to the portfolio...
182. The column ‘ Amounts derecognised for capital purposes ’ shall...
185. In a securitisation transaction, where the transferred financial assets are...
15. BREAKDOWN OF SELECTED STATEMENT OF PROFIT OR LOSS ITEMS (16)...
186. For selected items of the income statement further breakdowns of...
15.1. Interest income and expenses by instrument and counterparty sector (16.1)...
187. Interest income shall be broken down in accordance with both...
188. Interest expenses shall be broken down in accordance with both...
189. Interest income on financial assets and on financial liabilities with...
190. Interest expenses on financial liabilities and on financial assets with...
191. For the purpose of template 16.1, short positions shall be...
192. ‘ Derivatives - Hedge accounting, interest rate risk ’ shall...
193. Where the clean price is used, interest on derivatives held...
194. Under IFRS, ‘ of which: interest-income on impaired financial assets...
15.2. Gains or losses on de-recognition of financial assets and liabilities...
15.3. Gains or losses on financial assets and liabilities held for...
15.4. Gains or losses on financial assets and liabilities held for...
15.5. Gains or losses on non-trading financial assets mandatorily at fair...
15.6. Gains or losses on financial assets and liabilities designated at...
16. RECONCILIATION BETWEEN ACCOUNTING AND CRR SCOPE OF CONSOLIDATION (17)
17. NON-PERFORMING EXPOSURES (18)
213. For the purpose of template 18, non-performing exposures shall be...
215. Exposures in respect of which a default is considered to...
216. Exposures shall be categorised for their entire amount and without...
218. Debt instruments shall be included in the following accounting portfolios:...
219. Under IFRS and relevant national GAAP based on BAD, off-balance...
220. Debt instruments classified as held for sale in accordance with...
221. In template 18 for debt instruments, ‘ gross carrying amount...
224. A commitment shall be considered as a non-performing exposure for...
225. Financial guarantees given shall be considered as non-performing exposures for...
226. Exposures classified as non-performing in accordance with paragraph 213 shall...
227. Where an institution has on-balance sheet exposures to a debtor...
228. Exposures shall be considered to have ceased being non-performing where...
229. An exposure shall remain classified as non-performing while the conditions...
230. The classification of a non-performing exposure as non-current asset held...
231. Granting forbearance measures to a non-performing exposure shall not discontinue...
232. Where the conditions referred to in paragraph 231 of this...
233. The accounting portfolios under IFRS listed in paragraph 15 of...
234. Where IFRS or the relevant national GAAP based on BAD...
235. Past due exposures shall be reported separately within the performing...
236. Non-performing exposures shall be reported broken down by past due...
237. The following exposures shall be identified in separate columns:
238. ‘ Accumulated impairment, accumulated negative changes in fair value due...
239. Information on collateral held and guarantees received on non-performing exposures...
240. For the purpose of template 19, forborne exposures shall be...
241. For the purpose of template 19, a concession may entail...
242. Evidence of a concession shall include at least any of...
243. The exercise of clauses which, where used at the discretion...
249. The accounting portfolios under IFRS listed in paragraph 15 of...
250. For the purpose of template 19, ‘ institution ’ means...
252. Exposures shall be regarded as forborne where a concession has...
253. A modification involving repayments made by taking possession of collateral...
254. There is a rebuttable presumption that forbearance has taken place...
255. Financial difficulties shall be assessed at debtor level as referred...
256. Forborne exposures shall be included within the non-performing exposures category...
257. Where the conditions referred to in paragraph 256 are not...
258. Forborne exposures which are classified as non-current assets held for...
259. A forborne exposure may be considered as performing from the...
260. Where additional forbearance measures are applied to a performing forborne...
261. ‘ Performing exposures with forbearance measures ’ (performing forborne exposures)...
262. ‘ Non-performing exposures with forbearance measures ’ (non-performing forborne exposures)...
263. Where forbearance measures are extended to exposures which were non-performing...
264. The following non-performing exposures with forbearance measures shall be identified...
265. The column ‘ Refinancing ’ shall comprise the gross carrying...
266. Forborne exposures combining modifications and refinancing shall be allocated to...
267. Accumulated impairment, accumulated negative changes in fair value due to...
268. Collateral and guarantees received on exposures with forbearance measures shall...
19. GEOGRAPHICAL BREAKDOWN (20)
269. Template 20 shall be reported where the institution exceeds the...
19.1. Geographical breakdown by location of activities (20.1-20.3)
19.2. Geographical breakdown by residence of the counterparty (20.4-20.7)
271. Templates 20.4 to 20.7 contain information ‘ country-by-country ’ on...
272. ‘ Derivatives ’ shall include both trading derivatives, including economic...
273. Assets held for trading under IFRS and trading assets under...
274. In templates 20.4 and 20.7, ‘ Accumulated impairment ’ and...
275. In template 20.4 for debt instruments, ‘ gross carrying amount...
276. In template 20.5, ‘ Provisions for commitments and guarantees given...
277. In template 20.7, loans and advances not held for trading...
20. TANGIBLE AND INTANGIBLE ASSETS: ASSETS SUBJECT TO OPERATING LEASE (21)...
21. ASSET MANAGEMENT, CUSTODY AND OTHER SERVICE FUNCTIONS (22)
280. For the purposes of the calculation of the threshold in...
21.1. Fee and commission income and expenses by activity (22.1)
281. The fee and commission income and expenses shall be reported...
282. Transaction costs directly attributable to the acquisition or issue of...
283. Under IFRS, transaction costs directly attributable to the acquisition or...
284. Institutions shall report fee and commission income and expenses according...
288. Institutions shall report amounts and/or transactions related to the balance...
289. Intra-group transactions and intra-group outstanding balances of the prudential group...
23.1. Related parties: amounts payable to and amounts receivable from (31.1)...
23.2. Related parties: expenses and income generated by transactions with (31.2)...
26. TANGIBLE AND INTANGIBLE ASSETS: CARRYING AMOUNT BY MEASUREMENT METHOD (42)...
29. BREAKDOWN OF SELECTED ITEMS OF STATEMENT OF PROFIT OR LOSS...
REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY
INSTRUCTIONS FOR THE REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY
1. This Annex contains additional instructions in relation to the tables...
2. All the general instructions included in Part I of Annex...
4. Reporting of exposures and losses
11. Exposures: All exposures that are treated according to Part Three,...
12. Losses: The institution which has the exposure by the end...
13. Reference date: The exposure value from the date of default...
14. Role of the valuation of the property: The latest valuation...
15. Treatment of loan sales during the reporting period: The institution...
TEMPLATES FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK
INSTRUCTIONS FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK
1. The reporting framework on large exposures (‘LE’) shall consist of...
2. The instructions include legal references as well as detailed information...
3. The instructions and the validation rules follow the labelling convention...
4. The following convention is generally used in the instructions and...
5. In the case of validations within a template, in which...
6. ABS(Value): the absolute value without sign. Any amount that increases...
PART II: TEMPLATE RELATED INSTRUCTIONS
1. Scope and level of the LE reporting
1. In order to report information on large exposures to clients...
2. In order to report information on large exposures to clients...
3. Every large exposure defined in accordance with Article 392 of...
4. In order to report information on the 20 largest exposures...
5. In order to report information on the ten largest exposures...
6. The data on the large exposures and the relevant largest...
7. Institutions shall report in the LE3 template data regarding the...
3. Definitions and general instructions for the purposes of the LE...
12. ‘ Unregulated financial sector entities ’ are defined in Article...
13. ‘ Institutions ’ is defined in Article 4(1)(3) of CRR...
14. Exposures to ‘ civil-law associations ’ shall be reported. In...
15. Assets and off balance sheet items shall be used without...
19. The effect of the full or partial application of exemptions...
20. Reverse repurchase agreements which fall under the reporting for large...
6. C 28.00 — Exposures in the non-trading and trading book...
7. C 29.00 — Details of the exposures to individual clients...
8. C 30.00 — Maturity buckets of the ten largest exposures...
9. C 31.00 — Maturity buckets of the ten largest exposures...
PART II: TEMPLATE RELATED INSTRUCTIONS
3. Materiality thresholds for derivatives
6. In order to reduce the reporting burden for institutions with...
7. Derivatives share = LRCalc;060;010 + LRCalc;070;010 + LRCalc;080;010 + LRCalc;090;010...
8. Where total exposure measure is equal to: {LRCalc;290;010}.
9. Total notional value referenced by derivatives = {LR1; 010;070}. This...
10. Credit derivatives volume = {LR1;020;070} + {LR1;050;070}. These are cells...
11. Institutions are required to report the cells referred to in...
12. Institutions for which the total notional value referenced by derivatives...
13. Institutions are required to report the cells referred to in...
14. The cells which are required to be reported by institutions...
15. The cells which are required to be reported by institutions...
4. C47.00 — Leverage ratio calculation (LRCalc)
16. This part of the reporting template collects the data that...
17. Institutions shall perform the reporting of the leverage ratio quarterly....
18. Institutions shall report {010;010} to {030;010}, {060;010}, {090;010}, {110;010}, and...
19. Institutions shall report {010;010} to {240;010} as if the exemptions...
20. Any amount that increases the own funds or the leverage...
5. C40.00 — Alternative treatment of the Exposure Measure (LR1)
6. C41.00 — On- and off-balance sheet items — additional breakdown...
8. C43.00 — Alternative breakdown of leverage ratio exposure measure components...
REPORTING ON LIQUIDITY (PART 1 of 5: LIQUID ASSETS)
1. This is a summary template which contains information about assets...
3. Assets which meet the requirements of Article 416 and Article...
4. Assets which meet the requirements of Article 416 (1) (b)...
5. Items subject to supplementary reporting of liquid assets according to...
6. Assets which do not meet the requirements of Article 416...
7. Treatment for jurisdictions with insufficient liquid assets
8. Reporting of Shar'iah compliant assets as alternative assets under Article...
9. For items 1.1 to 1.2 institutions shall report the relevant...
10. For items 1.3 to 1.4 institutions shall report the market...
11. For item 1.5 institutions shall report the relevant undrawn amount...
12. For item 1.6.1/1.6.2 institutions shall report the relevant amounts in...
15. For items 2.1 to 2.2, institutions shall report assets which...
17. For items 3.1 to 3.12, institutions shall only report assets...
18. For items 4.1 to 4.12.3, institutions shall only report assets...
19. For items 5.1 to 5.2, institutions shall only report items...
20. For items 6.1 to 6.1.3, only Shar'iah compliant banks shall...
REPORTING ON LIQUIDITY (PART 2 of 5: OUTFLOWS)
REPORTING ON LIQUIDITY (PART 3 of 5: INFLOWS)
1. This is a summary template which contains information about liquidity...
2. In accordance with Article 425(2) REGULATION (EU) NO 575/2013, liquidity...
3. In accordance with Article 425(7) REGULATION (EU) NO 575/2013, institutions...
4. In accordance with Article 425(8) REGULATION (EU) NO 575/2013, institutions...
REPORTING ON LIQUIDITY (PART 5 of 5: STABLE FUNDING)
1. Items providing stable funding
1. This is a summary template which contains information about items...
2. All own funds and liabilities reported on an institution's balance...
3. In accordance with Article 427(2) REGULATION (EU) NO 575/2013, liabilities...
4. Institutions shall assume that investors redeem a call option at...
5. For retail deposits reported in section 1.2, the same assumptions...
REPORTING ON ASSET ENCUMBRANCE
2. PART A: ENCUMBRANCE OVERVIEW
12. The encumbrance overview templates differentiate assets which are used to...
13. The overview template shows the amount of encumbered and non-encumbered...
2.1. Template: AE-ASS. Assets of the reporting institution
2.2. Template: AE-COL. Collateral received by the reporting institution
2.3. Template: AE-NPL. Own covered bonds and ABSs issued and not...
4. PART C: CONTINGENT ENCUMBRANCE
22. This template requires institutions to calculate the level of asset...
23. Contingent encumbrance refers to the additional assets which may need...
24. This template includes the following two scenarios for reporting contingent...
25. The scenarios shall be reported independently of each other, and...
4.1.2. Scenario B: Depreciation of 10 % in significant currencies
ADDITIONAL LIQUIDITY MONITORING METRICS UNDER ARTICLE 415(3)(b) OF REGULATION (EU) No 575/2013
INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII
1. Additional Monitoring Tools
1.3. Concentration of funding by product type (C 68.00)
1. This template seeks to collect information about the reporting institutions'...
2. For the purpose of completing this template institutions shall report...
3. For each product type, institutions shall record the following components:...
4. For the purpose of determining those product types from which...
1.4. Prices for Various Lengths of Funding (C 69.00)
1. This template seeks to collect information about the average transaction...
2. For the purpose of determining the maturity of funding obtained,...
4. Spread shall be reported in basis points (bp) and calculated...
5. For the purposes of calculating the average spread payable, institutions...
6. The net amount of funding obtained for the funding categories...
7. Where there is nothing to report, spreads shall be left...
ADDITIONAL LIQUIDITY MONITORING METRICS UNDER ARTICLE 415(3)(b) OF REGULATION (EU) No 575/2013
REPORTING ON LIQUIDITY (PART 1: LIQUID ASSETS)
1. This is a summary template which contains information about assets...
2. Assets reported shall comply with the requirements set out in...
3. By derogation to paragraph 2, credit institutions shall not apply...
4. Credit institutions shall report the template in the corresponding currencies...
5. When referring to Article 9 of Commission Delegated Regulation (EU)...
6. Commission Delegated Regulation (EU) 2015/61 only refers to rates and...
7. Credit institutions shall not double report items within and across...
8. Some memorandum items are included in the associated template to...
REPORTING ON LIQUIDITY (PART 2 OUTFLOWS)
1. This is a summary template which contains information about liquidity...
2. Credit institutions shall report the template in the corresponding currencies...
3. Some memorandum items are included in the associated template to...
4. In accordance with Article 22(1) of Commission Delegated Regulation (EU)...
5. Commission Delegated Regulation (EU) 2015/61 only refers to rates and...
6. Outflows within a group or an institutional protection scheme (except...
7. The liquidity outflows shall be reported only once in the...
8. When reporting in a significant currency, the following shall always...
9. The standard weights in column 040 of template C 73.00...
10. The template contains information about collateralised liquidity flows, referred to...
11. A separate template is provided for collateral swaps, C 75.00...
1.2. Specific remarks regarding settlement and forward starting transactions
REPORTING ON LIQUIDITY (PART 3: INFLOWS)
1. This is a summary template which contains information about liquidity...
2. Credit institutions shall submit the template in the currencies specified...
3. In accordance with Article 32 of Commission Delegated Regulation (EU)...
4. Inflows within a group or an institutional protection scheme (except...
5. In accordance with Article 32(6) of Delegated Regulation (EU) 2015/61,...
6. Inflows which are to be received in third countries where...
7. Monies due from securities issued by the credit institution itself...
8. In accordance with Article 32(7) of Commission Delegated Regulation (EU)...
9. In the case of a significant currency identified in accordance...
10. The Column structure of this template is built to accommodate...
11. In accordance with Article 2(3)(c) of Commission Delegated Regulation (EU)...
12. Commission Delegated Regulation (EU) 2015/61 only refers to rates and...
13. Some ‘ memorandum items ’ are included in the associated...
2.2. Specific remarks regarding secured lending and capital market-driven transactions
2.3. Specific remarks regarding settlement and forward starting transactions
2.4. Decision tree on LCR inflows in accordance with Article 32,...
REPORTING ON LIQUIDITY (PART 4: COLLATERAL SWAPS)
1. Any transaction maturing within 30 days in which non-cash assets...
2. Collateral swaps that mature within 30 days shall lead to...
3. Collateral swaps that mature within 30 days shall lead to...
4. For liquid assets the liquidity value is according to Article...
5. Each collateral swap transaction shall be assessed individually and the...
6. In the case of a significant currency return, the reported...
7. Credit institutions shall report the template in the corresponding currencies...
8. Collateralized derivatives flows within 30 days shall be reported on...