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

Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance)

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  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

      REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

      1. Annex I Table 1

      2. C 01.00 - OWN FUNDS (CA1)

        1. ANNEX I Table 2: rows 1 - 101

      3. C 02.00 - OWN FUNDS REQUIREMENTS (CA2)

        1. ANNEX I Table 3: rows 1 - 106

      4. C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

        1. ANNEX I Table 4: rows 1 - 17

      5. C 04.00 - MEMORANDUM ITEMS (CA4)

        1. ANNEX I Table 5: rows 1 - 128

      6. C 05.01 - TRANSITIONAL PROVISIONS (CA5.1)

        1. ANNEX I Table 6: rows 1 - 62

      7. C 05.02 - GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)

        1. ANNEX I Table 7: rows 1 - 17

      8. C 06.01 - GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL (GS TOTAL)

        1. ANNEX I Table 8: rows 1 - 6

      9. C 06.02 - GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

        1. ANNEX I Table 9: rows 1 - 7

      10. C 07.00 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)

        1. ANNEX I Table 10: rows 1 - 41

      11. C 08.01 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)

        1. ANNEX I Table 11: rows 1 - 27

      12. C 08.02 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)

        1. ANNEX I Table 12: rows 1 - 6

      13. C 09.01 - GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)

        1. ANNEX I Table 13: rows 1 - 23

      14. C 09.02 - GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)

        1. ANNEX I Table 14: rows 1 - 19

      15. C 09.04 -BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB)

        1. ANNEX I Table 15: rows 1 - 24

      16. C 10.01 - CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)

        1. ANNEX I Table 16: rows 1 - 13

      17. C 10.02 - CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES (CR EQU IRB 2)

      18. C 11.00 - SETTLEMENT/DELIVERY RISK (CR SETT)

        1. ANNEX I Table 18: rows 1 - 14

      19. C 12.00 - CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)

        1. ANNEX I Table 19: rows 1 - 34

      20. C 13.00 - CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)

        1. ANNEX I Table 20: rows 1 - 59

      21. C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details)

        1. ANNEX I Table 21: rows 1 - 7

      22. C 16.00 - OPERATIONAL RISK (OPR)

        1. ANNEX I Table 22: rows 1 - 18

      23. C 17.01 - OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1)

        1. ANNEX I Table 23: rows 1 - 95

      24. C 17.02 - OPERATIONAL RISK: LARGE LOSS EVENTS (OPR DETAILS 2)

        1. ANNEX I Table 24: rows 1 - 4

      25. C 18.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)

        1. ANNEX I Table 25: rows 1 - 49

      26. C 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)

        1. ANNEX I Table 26: rows 1 - 26

      27. C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

        1. ANNEX I Table 27: rows 1 - 18

      28. C 21.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)

        1. ANNEX I Table 28: rows 1 - 17

      29. C 22.00 - MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

        1. ANNEX I Table 29: rows 1 - 54

      30. C 23.00 - MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

        1. ANNEX I Table 30: rows 1 - 18

      31. C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM)

        1. ANNEX I Table 31: rows 1 - 15

      32. C 25.00 - CREDIT VALUE ADJUSTMENT RISK (CVA)

        1. ANNEX I Table 32: rows 1 - 7

      33. C 32.01 - PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)

        1. ANNEX I Table 33: rows 1 - 24

      34. C 32.02 - PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)

        1. ANNEX I Table 34: rows 1 - 25

      35. C 32.03 - PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)

        1. ANNEX I Table 35: rows 1 - 4

      36. C 32.04 - PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)

      37. C 33.00 - GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV)

        1. ANNEX I Table 37: rows 1 - 31

    2. ANNEX II

      REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

      1. PART I: GENERAL INSTRUCTIONS 1. STRUCTURE AND CONVENTIONS 1.1. STRUCTURE 1. Overall, the framework...

        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...

          4. 1.4. ABBREVIATIONS

            1. 9a. For the purposes of this Annex, Regulation (EU) No 575/2013...

      2. PART II: TEMPLATE RELATED INSTRUCTIONS 1. CAPITAL ADEQUACY OVERVIEW (CA) 1.1. GENERAL REMARKS 10. CA...

        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...

            3. 28. The figures reported take into account all applicable transitional provisions...

          2. 2.2. DETAILED GROUP SOLVENCY INFORMATION

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

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

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

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

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

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

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

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

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

            7. 37. 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. 38. There are different sets of templates for the Standardised approach...

            2. 3.1.1. Reporting of CRM techniques with substitution effect

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

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

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

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

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

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

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

            3. 3.1.2. Reporting of Counterparty Credit Risk

              1. 46. 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. 47. The CR SA templates provide the necessary information on the...

            2. 3.2.2. Scope of the CR SA template

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

              2. 49. The information in CR SA is required for the total...

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

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

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

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

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

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

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

              10. 57. 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. 58. In order to ensure a consistent categorisation of exposures into...

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

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

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

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

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

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

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

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

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

              11. DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE...

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

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

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

              2. 3.2.4.2. Exposure Class ‘Covered Bonds’

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

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

              3. 3.2.4.3. Exposure class ‘Collective Investment Undertakings’

                1. 73. 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. 74. The scope of the CR IRB template covers own funds...

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

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

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

            2. 3.3.2. Breakdown of the CR IRB template

              1. 78. 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. 79. All institutions shall submit information aggregated at a total level....

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

            3. 81. 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. 82. This table aims at receiving more information regarding the elements...

                2. 83. Information in template C 09.04 shall be reported for the...

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

                4. 85. 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. 86. The CR EQU IRB template consists of two templates: CR...

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

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

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

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

              6. 91. 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. 92. In accordance with Article 155 of CRR, institutions may employ...

              3. Annex II Table 26

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

            1. 3.6.1. General remarks

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

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

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

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

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

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

              7. 99. 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. 100. The information in this template shall be submitted with regard...

              2. 100a. For the purposes of this template, all references to the...

              3. 100b. The information to be reported is contingent on the role...

              4. 101. The CR SEC SA template gathers joint information on both...

            2. 3.7.2. Instructions concerning specific positions

              1. Annex II Table 29

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

              3. 103. Positions treated according to the ratings based method and unrated...

              4. Annex II Table 30

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

            1. 3.8.1. General remarks

              1. 104. The information in this template is required for all securitisations...

              2. 104a. For the purposes of this template, all references to the...

              3. 105. The information to be reported is contingent on the role...

              4. 106. The CR SEC IRB template has the same scope as...

            2. 3.8.2. Instructions concerning specific positions

              1. Annex II Table 31

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

              3. 108. Positions treated according to the ratings based method and unrated...

              4. Annex II Table 32

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

            1. 3.9.1. General remarks

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

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

              3. 111. This template shall be reported by consolidated groups and stand-alone...

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

              5. 113. 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. 114. This template provides information on the calculation of own funds...

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

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

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

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

              6. 119. 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. OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR...

            1. 4.2.1. General Remarks

              1. 120. Template C 17.01 (OPR DETAILS 1) summarises the information on...

              2. 121. Operational risk losses that are related to credit risk and...

              3. 122. In case of a combined use of different approaches for...

              4. 123. ‘ Gross loss ’ means a loss stemming from an...

              5. 124. ‘ Recovery ’ means an independent occurrence related to the...

              6. 125. ‘ Rapidly recovered loss events ’ means operational risk events...

              7. 126. ‘ Date of accounting ’ means the date when a...

              8. 127. Losses caused by a common operational risk event or by...

              9. 128. The figures reported in June of the respective year are...

              10. 129. In order to verify the conditions envisaged by Article 5...

            2. 4.2.2. C 17.01: Operational risk losses and recoveries by business lines...

              1. 4.2.2.1. General Remarks

                1. 130. In template C 17.01, the information is presented by distributing...

                2. 131. Columns present the different event types and the totals for...

                3. 132. Rows present the business lines, and within each business line,...

                4. 133. For the total business lines, data on the number of...

              2. 4.2.2.2. Instructions concerning specific positions

                1. Annex II Table 36

                2. Annex II Table 37

            3. 4.2.3. C 17.02: Operational risk: Detailed information on the largest loss...

              1. 4.2.3.1. General Remarks

                1. 134. In template C 17.02, information on individual loss events shall...

                2. 135. The information reported in this template shall refer to ‘new...

                3. 136. Only events entailing a gross loss amount of 100,000 EUR or...

              2. 4.2.3.2. Instructions concerning specific positions

                1. Annex II Table 38

        5. 5. MARKET RISK TEMPLATES

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

          2. 138. 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. 139. This template captures the positions and the related own funds...

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

            2. 5.1.2. Instructions concerning specific positions

              1. Annex II Table 39

              2. Annex II Table 40

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

            1. 5.2.1. General Remarks

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

              2. 141a. For the purposes of this template, all references to the...

              3. 142. The MKR SA SEC template determines the own funds requirement...

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

            2. 5.2.2. Instructions concerning specific positions

              1. Annex II Table 41

              2. Annex II Table 42

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

            1. 5.3.1. General Remarks

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

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

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

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

            2. 5.3.2. Instructions concerning specific positions

              1. Annex II Table 43

              2. Annex II Table 44

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

            1. 5.4.1. General Remarks

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

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

            2. 5.4.2. Instructions concerning specific positions

              1. Annex II Table 45

              2. Annex II Table 46

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

            1. 5.5.1. General Remarks

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

              2. 151. Rows 100 to 480 of this template shall be reported...

            2. 5.5.2. Instructions concerning specific positions

              1. Annex II Table 47

              2. Annex II Table 48

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

            1. 5.6.1. General Remarks

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

            2. 5.6.2. Instructions concerning specific positions

              1. Annex II Table 49

              2. Annex II Table 50

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

            1. 5.7.1. General Remarks

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

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

            2. 5.7.2. Instructions concerning specific positions

              1. Annex II Table 51

              2. Annex II Table 52

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

            1. 5.8.1. Instructions concerning specific positions

              1. Annex II Table 53

              2. Annex II Table 54

        6. 6. PRUDENT VALUATION (PRUVAL)

          1. 6.1. C 32.01 — PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL...

            1. 6.1.1. General remarks

              1. 154a. This template shall be completed by all institutions, whether or...

              2. 154b. With regard to institutions using the simplified approach, this template...

            2. 6.1.2. Instructions concerning specific positions

              1. Annex II Table 55

              2. Annex II Table 56

          2. 6.2. C 32.02 — PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)

            1. 6.2.1. General remarks

              1. 154c. The purpose of this template is to provide information on...

              2. 154d. This template shall be completed by all institutions that:

              3. 154e. For the purposes of this template, ‘ upside uncertainty ’...

            2. 6.2.2. Instructions concerning specific positions

              1. Annex II Table 57

              2. Annex II Table 58

          3. 6.3. C 32.03 — PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)...

            1. 6.3.1. General remarks

              1. 154f. This template is to be completed only by institutions that...

              2. 154g. This template shall be used to report details of the...

              3. 154h. The top 20 individual model risk AVAs, and corresponding product...

              4. 154i. Products corresponding to these top individual model risk AVAs shall...

              5. 154j. Where products are sufficiently homogenous with respect to the valuation...

            2. 6.3.2. Instructions concerning specific positions

              1. Annex II Table 59

          4. 6.4 C 32.04 — PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)...

            1. 6.4.1. General remarks

              1. 154k. This template shall be completed only by institutions that exceed...

              2. 154l. This template shall be used to report details of the...

              3. 154m. The top 20 concentrated positions AVAs, and corresponding product information,...

              4. 154n. Products corresponding to these top individual concentrated positions AVAs shall...

              5. 154o. Positions that are homogenous in terms of AVA calculation methodology...

            2. 6.4.2. Instructions concerning specific positions

              1. Annex II Table 60

        7. 7. C 33.00 — EXPOSURES TO GENERAL GOVERNMENTS (GOV)

          1. 7.1. GENERAL REMARKS

            1. 155. The information for the purpose of template C 33.00 shall...

            2. 156. Exposures to ‘ General governments ’ are included in different...

            3. 157. Table 2 (Standardised approach) and Table 3 (IRB approach), included...

            4. 158. Information shall be reported for the total aggregate exposures (meaning...

            5. 159. The allocation of exposures to exposure classes or jurisdictions shall...

            6. 160. The reporting of information on exposures to ‘ General governments...

          2. 7.2. SCOPE OF THE TEMPLATE ON EXPOSURES TO ‘GENERAL GOVERNMENTS’

            1. 161. The scope of the GOV template covers on, off-balance sheet...

            2. 162. An exposure is a direct exposure when the immediate counterparty...

            3. 163. The template is divided in two sections. The first one...

          3. 7.3. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

            1. Annex II Table 61

            2. Annex II Table 62

    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. 4.2.1 Non-trading financial assets mandatorily at fair value through profit or...

          1. Annex III Table 8

        3. 4.2.2 Financial assets designated at fair value through profit or loss...

          1. Annex III Table 9

        4. 4.3.1 Financial assets at fair value through other comprehensive income

          1. Annex III Table 10

        5. 4.4.1 Financial assets at amortised cost

          1. Annex III Table 11

        6. 4.5 Subordinated financial assets

          1. Annex III Table 12

      6. 5. Breakdown of non-trading Loans and advances by product

        1. 5.1 Loans and advances other than held for trading and trading...

          1. Annex III Table 13

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

        1. 6.1 Breakdown of loans and advances other than held for trading...

          1. Annex III Table 14

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

        1. 7.1 Financial assets subject to impairment that are past due

          1. Annex III Table 15

      9. 8. Breakdown of financial liabilities

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

          1. Annex III Table 16

        2. 8.2 Subordinated financial liabilities

          1. Annex III Table 17

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

        1. 9.1.1 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments...

          1. Annex III Table 18

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

          1. Annex III Table 19

      11. 10. Derivatives - Trading and economic hedges

        1. Annex III Table 20

      12. 11. Hedge accounting

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

          1. Annex III Table 21

        2. 11.3 Non-derivative hedging instruments: Breakdown by accounting portfolio and type of...

          1. Annex III Table 22

        3. F11.4 Hedged items in fair value hedges

          1. Annex III Table 23

      13. 12. Movements in allowances and provisions for credit losses

        1. 12.1 Movements in allowances and provisions for credit losses

          1. Annex III Table 24

        2. 12.2 Transfers between impairment stages (gross basis presentation)

          1. Annex III Table 25

      14. 13. Collateral and guarantees received

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

          1. Annex III Table 26

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

          1. Annex III Table 27

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

          1. Annex III Table 28

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

        1. Annex III Table 29

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

        1. Annex III Table 30

      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 31

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

          1. Annex III Table 32

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

          1. Annex III Table 33

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

          1. Annex III Table 34

        5. 16.4.1 Gains or losses on non-trading financial assets mandatorily at fair...

          1. Annex III Table 35

        6. 16.5 Gains or losses on financial assets and liabilities designated at...

          1. Annex III Table 36

        7. 16.6 Gains or losses from hedge accounting

          1. Annex III Table 37

        8. 16.7 Impairment on non-financial assets

          1. Annex III Table 38

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

        1. 17.1 Assets

          1. Annex III Table 39

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

          1. Annex III Table 40

        3. 17.3 Liabilities and equity

          1. Annex III Table 41

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

        1. Annex III Table 42

      20. 19. Information forborne exposures

        1. Annex III Table 43

      21. 20. Geographical breakdown

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

          1. Annex III Table 44

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

          1. Annex III Table 45

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

          1. Annex III Table 46

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

          1. Annex III Table 47

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

          1. Annex III Table 48

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

          1. Annex III Table 49

        7. 20.7.1 Geographical breakdown by residence of the counterparty of loans and...

          1. Annex III Table 50

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

        1. Annex III Table 51

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

        1. 22.1 Fee and commission income and expenses by activity

          1. Annex III Table 52

        2. 22.2 Assets involved in the services provided

          1. Annex III Table 53

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

        1. 30.1 Interests in unconsolidated structured entities

          1. Annex III Table 54

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

          1. Annex III Table 55

      25. 31. Related parties

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

          1. Annex III Table 56

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

          1. Annex III Table 57

      26. 40. Group structure

        1. 40.1 Group structure: ‘ entity-by-entity ’

          1. Annex III Table 58

        2. 40.2. Group structure: ‘ instrument-by-instrument ’

          1. Annex III Table 59

      27. 41. Fair value

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

          1. Annex III Table 60

        2. 41.2 Use of the Fair Value Option

          1. Annex III Table 61

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

        1. Annex III Table 62

      29. 43. Provisions

        1. Annex III Table 63

      30. 44 Defined benefit plans and employee benefits

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

          1. Annex III Table 64

        2. 44.2 Movements in defined benefit obligations

          1. Annex III Table 65

        3. 44.3 Memo items [related to staff expenses]

          1. Annex III Table 66

      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 67

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

          1. Annex III Table 68

        3. 45.3 Other operating income and expenses

          1. Annex III Table 69

      32. 46. Statement of changes in equity

        1. Annex III Table 70

    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. 4.2.1 Non-trading financial assets mandatorily at fair value through profit or...

          1. Annex IV Table 9

        3. 4.2.2 Financial assets designated at fair value through profit or loss...

          1. Annex IV Table 10

        4. 4.3.1 Financial assets at fair value through other comprehensive income

          1. Annex IV Table 11

        5. 4.4.1. Financial assets at amortised cost

          1. Annex IV Table 12

        6. 4.5 Subordinated financial assets

          1. Annex IV Table 12

        7. 4.6 Trading Financial assets

          1. Annex IV Table 14

        8. 4.7 Non-trading non-derivative financial assets measured at fair value through profit...

          1. Annex IV Table 15

        9. 4.8 Non-trading non-derivative financial assets measured at fair value to equity...

          1. Annex IV Table 16

        10. 4.9 Non-trading non-derivative financial assets measured at a cost-based method

          1. Annex IV Table 17

        11. 4.10 Other non-trading non-derivative financial assets

          1. Annex IV Table 18

      6. 5. Breakdown of non-trading Loans and advances by product

        1. 5.1 Loans and advances other than held for trading and trading...

          1. Annex IV Table 19

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

        1. 6.1 Breakdown of loans and advances other than held for trading...

          1. Annex IV Table 20

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

        1. 7.1 Financial assets subject to impairment that are past due

          1. Annex IV Table 21

        2. 7.2 Financial assets subject to impairment that are past due under...

          1. Annex IV Table 22

      9. 8. Breakdown of financial liabilities

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

          1. Annex IV Table 23

        2. 8.2 Subordinated financial liabilities

          1. Annex IV Table 23

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

        1. 9.1.1 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments...

          1. Annex IV Table 25

        2. 9.1 Off-balance sheet exposures under national GAAP: Loan commitments, financial guarantees...

          1. Annex IV Table 26

        3. 9.2 Loan commitments, financial guarantees and other commitments received

          1. Annex IV Table 27

      11. 10. Derivatives - Trading and economic hedges

        1. Annex IV Table 28

      12. 11. Hedge accounting

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

          1. Annex IV Table 29

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

          1. Annex IV Table 30

        3. 11.3 Non-derivative hedging instruments: Breakdown by accounting portfolio and type of...

          1. Annex IV Table 31

          2. F11.3.1 Non-derivative hedging instruments under national GAAP: breakdown by accounting portfolio...

            1. Annex IV Table 31

        4. F11.4 Hedged items in fair value hedges

          1. Annex IV Table 33

      13. 12. Movements in allowances and provisions for credit losses

        1. 12.0 Movements in allowances for credit losses and impairment of equity...

          1. Annex IV Table 34

        2. 12.1 Movements in allowances and provisions for credit losses

          1. Annex IV Table 35

        3. 12.2 Transfers between impairment stages (gross basis presentation)

          1. Annex IV Table 36

      14. 13. Collateral and guarantees received

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

          1. Annex IV Table 37

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

          1. Annex IV Table 37

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

          1. Annex IV Table 38

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

        1. Annex IV Table 40

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

        1. Annex IV Table 41

      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 42

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

          1. Annex IV Table 42

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

          1. Annex IV Table 44

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

          1. Annex IV Table 45

          2. 16.4.1 Gains or losses on non-trading financial assets mandatorily at fair...

            1. Annex IV Table 45

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

          1. Annex IV Table 47

        6. 16.6 Gains or losses from hedge accounting

          1. Annex IV Table 47

        7. 16.7 Impairment on non-financial assets

          1. Annex IV Table 49

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

        1. 17.1 Assets

          1. Annex IV Table 50

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

          1. Annex IV Table 50

        3. 17.3 Liabilities and equity

          1. Annex IV Table 52

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

        1. Annex IV Table 53

      20. 19. Information forborne exposures

        1. Annex IV Table 54

      21. 20. Geographical breakdown

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

          1. Annex IV Table 55

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

          1. Annex IV Table 56

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

          1. Annex IV Table 57

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

          1. Annex IV Table 58

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

          1. Annex IV Table 58

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

          1. Annex IV Table 60

        7. 20.7.1 Geographical breakdown by residence of the counterparty of loans and...

          1. Annex IV Table 61

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

        1. Annex IV Table 62

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

        1. 22.1 Fee and commission income and expenses by activity

          1. Annex IV Table 63

        2. 22.2 Assets involved in the services provided

          1. Annex IV Table 64

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

        1. 30.1 Interests in unconsolidated structured entities

          1. Annex IV Table 64

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

          1. Annex IV Table 66

      25. 31. Related parties

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

          1. Annex IV Table 67

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

          1. Annex IV Table 68

      26. 40. Group structure

        1. 40.1 Group structure: ‘ entity-by-entity ’

          1. Annex IV Table 69

        2. 40.2. Group structure: ‘ instrument-by-instrument ’

          1. Annex IV Table 69

      27. 41. Fair value

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

          1. Annex IV Table 71

        2. 41.2 Use of the Fair Value Option

          1. Annex IV Table 72

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

        1. Annex IV Table 72

      29. 43. Provisions

        1. Annex IV Table 74

      30. 44. Defined benefit plans and employee benefits

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

          1. Annex IV Table 74

        2. 44.2 Movements in defined benefit obligations

          1. Annex IV Table 76

        3. 44.3 Memo items [related to staff expenses]

          1. Annex IV Table 76

      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 77

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

          1. Annex IV Table 78

        3. 45.3 Other operating income and expenses

          1. Annex IV Table 79

      32. 46. Statement of changes in equity

        1. Annex IV Table 81

    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. Institutions that use national accounting standards compatible with IFRS (...

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

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

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

        2. 2. CONVENTIONS

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

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

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

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

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

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

            1. Annex V Table 1

        3. 3. CONSOLIDATION

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

        4. 4. ACCOUNTING PORTFOLIOS OF FINANCIAL INSTRUMENTS

          1. 13. For the purposes of Annexes III and IV as well...

          2. 14. Under national GAAP, institutions that are permitted or required to...

          3. 4.1. Financial assets

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

            2. 16. The following accounting portfolios based on national GAAP shall be...

            3. 17. ‘ Trading financial assets ’ includes all financial assets classified...

            4. 18. Under national GAAP based on BAD, for financial assets, ‘...

            5. 19. Under national GAAP based on BAD, ‘ Non-trading non-derivative financial...

            6. 20. Under national GAAP based on BAD, ‘ Other non-trading non-derivative...

            7. 21. Regardless of their measurement method, investments in subsidiaries, joint ventures...

            8. 22. ‘ Derivatives — Hedge accounting ’ shall include derivatives with...

          4. 4.2. Financial liabilities

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

            2. 24. The following accounting portfolios based on national GAAP shall be...

            3. 25. ‘ Trading financial liabilities ’ includes all financial liabilities classified...

            4. 26. ‘ Derivatives — Hedge accounting ’ shall include derivatives with...

        5. 5. FINANCIAL INSTRUMENTS

          1. 27. For the purposes of Annexes III and IV as well...

          2. 28. If recognised under the relevant national GAAP based on BAD,...

          3. 29. Where applicable under national GAAP based on BAD, ‘ Haircuts...

          4. 5.1. Financial assets

            1. 30. Financial assets shall be distributed among the following classes of...

            2. 31. ‘ Debt securities ’ are debt instruments held by the...

            3. 32. ‘ Loans and advances ’ are debt instruments held by...

            4. 33. In FINREP, ‘ debt instruments ’ shall include ‘ loans...

          5. 5.2. Gross carrying amount

            1. 34. Gross carrying amount of debt instruments shall have the following...

          6. 5.3. Financial liabilities

            1. 35. Financial liabilities shall be distributed among the following classes of...

            2. 36. For the purposes of Annexes III and IV as well...

            3. 37. ‘ Debt securities issued ’ shall be debt instruments issued...

            4. 38. ‘ Other financial liabilities ’ shall include all financial liabilities...

            5. 39. Under IFRS ‘ Other financial liabilities ’ shall include financial...

            6. 40. Where loan commitments, financial guarantees and other commitments given are...

            7. 41. ‘ Other financial liabilities ’ shall also include dividends to...

        6. 6. COUNTERPARTY BREAKDOWN

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

          2. 43. The counterparty sector allocation shall be based exclusively on the...

          3. 44. The immediate counterparties in the following transactions shall be:

      2. PART 2 TEMPLATE RELATED INSTRUCTIONS

        1. 1. BALANCE SHEET

          1. 1.1. Assets (1.1)

            1. 1. ‘ Cash on hand ’ shall include holdings of national...

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

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

            4. 4. ‘ Investments in subsidiaries, joint ventures and associates ’ shall...

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

            6. 6. Under the relevant national GAAP based on BAD, the carrying...

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

          2. 1.2. Liabilities (1.2)

            1. 8. Under national GAAP based on BAD provisions for contingent losses...

            2. 9. Provisions for ‘ Pensions and other post-employment defined benefit obligations...

            3. 10. Under IFRS provisions for ‘ Other long-term employee benefits ’...

            4. 11. Under IFRS, provisions for ‘ Commitments and guarantees given ’...

            5. 12. ‘ Share capital repayable on demand ’ shall include the...

            6. 13. Liabilities that are not financial liabilities and that due to...

            7. 14. ‘ Liabilities included in disposal groups classified as held for...

            8. 15. Under national GAAP based on BAD ‘ Funds for general...

          3. 1.3. Equity (1.3)

            1. 16. Under IFRS equity instruments that are financial instruments shall include...

            2. 17. Under the relevant national GAAP based on BAD, ‘ Unpaid...

            3. 18. ‘ Equity component of compound financial instruments ’ shall include...

            4. 19. ‘ Other equity instruments issued ’ shall include equity instruments...

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

            6. 21. ‘ Fair value changes of equity instruments measured at fair...

            7. 22. ‘ Hedge ineffectiveness of fair value hedges for equity instruments...

            8. 23. ‘ Fair value changes of financial liabilities at fair value...

            9. 24. ‘ Hedge of net investments in foreign operations [effective portion]...

            10. 25. ‘ Hedging derivatives. Cash flow hedges reserve [effective portion] ’...

            11. 26. ‘ Fair value changes of debt instruments measured at fair...

            12. 27. ‘Hedging instruments [not designated elements]’ shall include the accumulated changes...

            13. 28. Under IFRS ‘ Revaluation reserves ’ shall include the amount...

            14. 29. ‘ Other reserves ’ shall be split between ‘ Reserves...

            15. 30. ‘ Treasury shares ’ shall cover all financial instruments that...

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

          1. 31. Interest income and interest expense from financial instruments measured at...

          2. 32. Institutions shall report the following items, which include income and...

          3. 33. ‘ Interest income. Financial assets held for trading ’ and...

          4. 34. Where the clean price is used, ‘ Interest income. Financial...

          5. 35. ‘ Interest income. Derivatives – Hedge accounting, interest rate risk...

          6. 36. ‘ Interest income — other assets ’ shall include amounts...

          7. 37. Under IFRS and where not provided otherwise in national GAAP,...

          8. 38. ‘ Interest expenses — other liabilities ’ shall include amounts...

          9. 39. Under IFRS and where not provided otherwise in national GAAP,...

          10. 40. Dividend income on equity instruments measured at fair value through...

          11. 41. Dividend income on equity instruments designated at fair value through...

          12. 42. Dividend income from investments in subsidiaries, joint ventures and associates...

          13. 43. ‘ Gains or (-) losses on financial assets and liabilities...

          14. 44. ‘ Gains or losses on financial assets and liabilities designated...

          15. 45. ‘ Gains or (-) losses on derecognition of financial assets...

          16. 46. Where a change in business model leads to the reclassification...

          17. 47. ‘ Gains or (-) losses from hedge accounting, net ’...

          18. 48. ‘ Gains or losses on derecognition of non-financial assets ’...

          19. 49. ‘ Modification gains or (-) losses, net ’ shall include...

          20. 50. ‘ Provisions or (-) reversal of provisions. Commitments and guarantees...

          21. 51. Under IFRS, ‘ Impairment or (-) reversal of impairment on...

          22. 52. Under national GAAP based on BAD ‘ Impairment or (-)...

          23. 53. ‘ Impairment or (-) reversal of impairment on financial assets...

          24. 54. The share of profit or loss from subsidiaries, associates and...

          25. 55. ‘ Profit or loss from non-current assets and disposal groups...

          26. 56. Under IFRS, the gains or losses on de-recognition of investments...

        3. 3. STATEMENT OF COMPREHENSIVE INCOME (3)

          1. 57. ‘ Gains or (-) losses from hedge accounting of equity...

          2. 58. ‘ Hedge of net investments in foreign operations [effective portion]...

          3. 59. For hedges of net investment in foreign operations and cash...

          4. 60. ‘Hedging instruments [not designated elements]’ shall include changes in the...

          5. 61. For options, the amounts reclassified to profit or loss and...

          6. 62. ‘ Debt instruments at fair value through other comprehensive income...

          7. 63. Where a financial asset is reclassified out of the amortised...

          8. 64. Where a financial asset is reclassified out of the fair...

          9. 65. For all components of the other comprehensive income, ‘ Other...

          10. 66. Under IFRS ‘ Income tax relating to items that will...

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

          1. 67. Financial assets shall be broken down by accounting portfolio and...

          2. 68. Derivatives reported as trading financial assets under GAAP based on...

          3. 69. For the purposes of Annexes III and IV as well...

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

          5. 71. Under IFRS, accumulated impairment shall include the allowance for expected...

          6. 72. ‘ Accumulated partial write-offs ’ and ‘ Accumulated total write-offs...

          7. 73. Where a debt instrument is eventually totally written-off as a...

          8. 74. Write-offs shall constitute a de-recognition event and relate to a...

          9. 75. The column ‘ of which: Instruments with low credit risk...

          10. 76. Trade receivables within the meaning of IAS 1.54(h), contract assets...

          11. 77. Purchased or originated financial assets that are credit-impaired at initial...

          12. 78. In template 4.5 institutions shall report the carrying amount of...

          13. 79. In template 4.8, information to be reported depends on whether...

          14. 80. In template 4.9, financial assets measured under moderate LOCOM and...

          15. 81. In template 4.10, assets measured at strict LOCOM as well...

          16. 82. Under national GAAP based on BAD, the amount of general...

        5. 5. BREAKDOWN OF NON-TRADING LOANS AND ADVANCES BY PRODUCT (5)

          1. 83. Loans and advances other than those held for trading or...

          2. 84. Balances receivable on demand classified as ‘ Cash, cash balances...

          3. 85. Loans and advances shall be allocated to the following products:...

          4. 86. Loans and advances shall be classified on the basis of...

          5. 87. Loans and advances shall be classified based on the collateral...

          6. 88. Loans and advances shall be classified on the basis of...

          7. 89. Loans shall be classified on the basis of how they...

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

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

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

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

          4. 93. Under IFRS, financial assets subject to impairment shall include (i)...

        7. 7. FINANCIAL ASSETS SUBJECT TO IMPAIRMENT THAT ARE PAST DUE (7)...

          1. 94. The carrying amount of debt instruments that are included in...

          2. 95. Accounting portfolios subject to impairment shall be defined as in...

          3. 96. Financial assets shall qualify as past due where any amount...

        8. 8. BREAKDOWN OF FINANCIAL LIABILITIES (8)

          1. 97. ‘ Deposits ’ and the product breakdown shall be defined...

          2. 98. ‘Debt securities issued’ shall be disaggregated into the following type...

          3. 99. ‘ Subordinated financial liabilities ’ issued shall be treated in...

          4. 100. Template 8.2 shall include the carrying amount of ‘ Deposits...

          5. 101. ‘ Accumulated changes in fair value due to changes in...

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

          1. 102. Off-balance sheet exposures shall include the off-balance sheet items listed...

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

          3. 104. Loan commitments, financial guarantees and other commitments given listed in...

          4. 105. Under IFRS, loan commitments, financial guarantees and other commitments given...

          5. 106. Liabilities that shall be recognised as credit losses for the...

          6. 107. Institutions under IFRS shall report the nominal amount and provisions...

          7. 108. Only the nominal amount of the commitment shall be reported...

          8. 109. Where a financial guarantee or a commitment to provide a...

          9. 110. Where loan commitments, financial guarantees and other commitments are measured...

          10. 111. The nominal amount and provisions of other commitments or guarantees...

          11. 112. Institutions under national GAAP based on BAD shall report in...

          12. 113. ‘Loan commitments’ shall be firm commitments to provide credit under...

          13. 114. ‘Financial guarantees’ shall be contracts that require the issuer to...

          14. 115. ‘Other commitments’ shall include the following items of Annex I...

          15. 116. Under IFRS, the following items are recognised in the balance...

          16. 117. The item ‘ of which: non-performing ’ shall include the...

          17. 118. For financial guarantees, loan commitments and other commitments given, the...

          18. 119. In template 9.2, for loan commitments received, the nominal amount...

        10. 10. DERIVATIVES AND HEDGE ACCOUNTING (10 AND 11)

          1. 120. For the purpose of templates 10 and 11, derivatives shall...

          2. 121. The carrying amount and the notional amount of the derivatives...

          3. 122. Under the relevant national GAAP based on BAD, all derivatives...

          4. 123. The breakdown of the carrying amount, fair value and notional...

          5. 124. Trading derivatives and hedging derivatives which, in accordance with national...

          6. 125. Template 11 shall include hedging instruments and hedged items irrespective...

          7. 126. Derivatives included in hybrid instruments which have been separated from...

          8. 127. Commitments considered as derivatives [IFRS 9.2.3(b)] and credit derivatives that...

          9. 128. The carrying amount of non-derivative financial assets or non-derivative financial...

          10. 10.1. Classification Of Derivatives By Type Of Risk

            1. 129. All derivatives shall be classified into one of the following...

            2. 130. Where a derivative is influenced by more than one type...

          11. 10.2. Amounts to be reported for derivatives

            1. 131. Under IFRS, the ‘ carrying amount ’ for all derivatives...

            2. 132. In addition to carrying amounts as defined in paragraph 27...

            3. 133. The ‘Notional amount’ shall be the gross nominal of all...

            4. 134. The column ‘ Notional amount ’ of derivatives shall include,...

            5. 135. The ‘ Notional amount ’ shall be reported by ‘...

            6. 136. The allocation of a transaction as ‘ OTC ’ or...

          12. 10.3. Derivatives classified as ‘ economic hedges ’

            1. 137. Derivatives that are held for hedging purposes but which do...

            2. 138. ‘ Economic hedges ’ shall not include derivatives for proprietary...

            3. 139. Derivatives that meet the definition of ‘ economic hedges ’...

            4. 140. Credit derivatives used to manage the credit risk of all,...

          13. 10.4. Breakdown of derivatives by counterparty sector

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

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

          14. 10.5. Hedge accounting under national GAAP (11.2)

            1. 143. Where national GAAP under BAD require the allocation of hedging...

            2. 144. Where applicable in accordance with national GAAP based on BAD,...

          15. 10.6. Amount to be reported for non-derivative hedging instruments (11.3 and...

            1. 145. For non-derivative hedging instruments the amount to be reported shall...

          16. 10.7. Hedged items in fair value hedges (11.4)

            1. 146. The carrying amount of hedged items in a fair value...

            2. 147. ‘ Micro-hedges ’ shall be hedges other than portfolio hedge...

            3. 148. ‘ Hedge adjustments on micro-hedges ’ shall include all hedge...

            4. 149. ‘ Hedge adjustments included in the carrying amount of assets/liabilities...

            5. 150. ‘ Remaining adjustments for discontinued micro-hedges including hedges of net...

            6. 151. Where a group of financial assets or financial liabilities, including...

            7. 152. ‘ Hedged items in portfolio hedge of interest rate risk...

        11. 11. MOVEMENTS IN ALLOWANCES AND PROVISIONS FOR CREDIT LOSSES (12)

          1. 11.1. Movements in allowances for credit losses and impairment of equity...

            1. 153. Template 12.0 contains a reconciliation of the opening and closing...

            2. 154. ‘ Increases due to amounts set aside for estimated loan...

            3. 155. Changes in the allowance amounts due to repayment and disposals...

          2. 11.2. Movements in allowances and provisions for credit losses under IFRS...

            1. 156. Template 12.1 contains a reconciliation of the opening and closing...

            2. 157. The provisions for off-balance sheet exposures that are subject to...

            3. 158. The items ‘ of which: collectively measured allowances ’ and...

            4. 159. ‘ Increases due to origination and acquisition ’ shall include...

            5. 160. ‘ Decreases due to derecognition ’ shall include the amount...

            6. 161. ‘ Changes due to change in credit risk (net) ’...

            7. 162. All changes in expected credit losses related to revolving exposures...

            8. 163. ‘ Changes due to update in the institution’s methodology for...

            9. 164. The reporting of the changes in the expected losses related...

            10. 165. Write-offs shall be reported in accordance with paragraphs 72 to...

            11. 166. ‘ Other adjustments ’ shall include any amount not reported...

          3. 11.3. Transfers between impairment stages (gross basis presentation) (12.2)

            1. 167. For financial assets the gross carrying amount and for off-balance...

            2. 168. Only the gross carrying amount or the nominal amount of...

            3. 169. For the reporting of the transfers that have taken place...

            4. 170. The gross carrying amount or the nominal amount to be...

        12. 12. COLLATERAL AND GUARANTEES RECEIVED (13)

          1. 12.1. Breakdown of collateral and guarantees by loans and advances other...

            1. 171. The collateral and guarantees backing the loans and advances, independently...

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

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

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

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

            1. 175. This template shall include the carrying amount of the collateral...

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

            1. 176. ‘ Foreclosure [tangible assets] ’ shall be the cumulative carrying...

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

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

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

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

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

          1. 180. Template 15 shall include information on transferred financial assets of...

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

          3. 182. The column ‘ Amounts derecognised for capital purposes ’ shall...

          4. 183. ‘Repurchase agreements’ (‘repos’) shall be transactions in which the institution...

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

          6. 185. In a securitisation transaction, where the transferred financial assets are...

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

          1. 186. 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. 187. Interest income shall be broken down in accordance with both...

            2. 188. Interest expenses shall be broken down in accordance with both...

            3. 189. Interest income on financial assets and on financial liabilities with...

            4. 190. Interest expenses on financial liabilities and on financial assets with...

            5. 191. For the purpose of template 16.1, short positions shall be...

            6. 192. ‘ Derivatives — Hedge accounting, interest rate risk ’ shall...

            7. 193. Where the clean price is used, interest on derivatives held...

            8. 194. Under IFRS, ‘ of which: interest-income on impaired financial assets...

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

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

            2. 196. Template 16.2 shall apply under IFRS to financial assets and...

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

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

            2. 198. Gains and losses from foreign currency trading on the spot...

            3. 199. The item ‘ of which: economic hedges with use of...

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

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

          6. 15.5. Gains or losses on non-trading financial assets mandatorily at fair...

            1. 201. Gains and losses on non-trading financial assets mandatorily at fair...

            2. 202. Gains or losses due to the reclassification of financial assets...

          7. 15.6. Gains or losses on financial assets and liabilities designated at...

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

            2. 204. Where a credit derivative measured at fair value is used...

          8. 15.7. Gains or losses from hedge accounting (16.6)

            1. 205. All gains and losses from hedge accounting, except interest income...

            2. 206. ‘ Fair value changes of the hedged item attributable to...

            3. 207. Under national GAAP based on BAD, the breakdown by type...

          9. 15.8. Impairment on non-financial assets (16.7)

            1. 208. ‘ Additions ’ shall be reported where, for the accounting...

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

          1. 209. ‘ Accounting scope of consolidation ’ shall include the carrying...

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

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

          4. 212. ‘ Liabilities under insurance and reinsurance contracts ’ shall include...

        17. 17. NON-PERFORMING EXPOSURES (18)

          1. 213. For the purpose of template 18, non-performing exposures shall be...

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

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

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

          5. 217. For the purpose of template 18, ‘ exposures ’ shall...

          6. 218. Debt instruments shall be included in the following accounting portfolios:...

          7. 219. Under IFRS and relevant national GAAP based on BAD, off-balance...

          8. 220. Debt instruments classified as held for sale in accordance with...

          9. 221. In template 18 for debt instruments, ‘ gross carrying amount...

          10. 222. For the purpose of template 18, an exposure is ‘...

          11. 223. For the purpose of template 18, ‘ debtor ’ means...

          12. 224. A commitment shall be considered as a non-performing exposure for...

          13. 225. Financial guarantees given shall be considered as non-performing exposures for...

          14. 226. Exposures classified as non-performing in accordance with paragraph 213 shall...

          15. 227. Where an institution has on-balance sheet exposures to a debtor...

          16. 228. Exposures shall be considered to have ceased being non-performing where...

          17. 229. An exposure shall remain classified as non-performing while the conditions...

          18. 230. The classification of a non-performing exposure as non-current asset held...

          19. 231. Granting forbearance measures to a non-performing exposure shall not discontinue...

          20. 232. Where the conditions referred to in paragraph 231 of this...

          21. 233. The accounting portfolios under IFRS listed in paragraph 15 of...

          22. 234. Where IFRS or the relevant national GAAP based on BAD...

          23. 235. Past due exposures shall be reported separately within the performing...

          24. 236. Non-performing exposures shall be reported broken down by past due...

          25. 237. The following exposures shall be identified in separate columns:

          26. 238. ‘ Accumulated impairment, accumulated negative changes in fair value due...

          27. 239. Information on collateral held and guarantees received on non-performing exposures...

        18. 18. FORBORNE EXPOSURES (19)

          1. 240. For the purpose of template 19, forborne exposures shall be...

          2. 241. For the purpose of template 19, a concession may entail...

          3. 242. Evidence of a concession shall include at least any of...

          4. 243. The exercise of clauses which, where used at the discretion...

          5. 244. For the purposes of Annexes III and IV as well...

          6. 245. For the purpose of template 19, ‘ debtor ’ shall...

          7. 246. For the purpose of template 19, ‘ debt ’ shall...

          8. 247. ‘ Debt ’ shall also include loans and advances and...

          9. 248. For the purpose of template 19, ‘ exposure ’ shall...

          10. 249. The accounting portfolios under IFRS listed in paragraph 15 of...

          11. 250. For the purpose of template 19, ‘ institution ’ means...

          12. 251. In template 19 for ‘ debt ’ , the ‘...

          13. 252. Exposures shall be regarded as forborne where a concession has...

          14. 253. A modification involving repayments made by taking possession of collateral...

          15. 254. There is a rebuttable presumption that forbearance has taken place...

          16. 255. Financial difficulties shall be assessed at debtor level as referred...

          17. 256. Forborne exposures shall be included within the non-performing exposures category...

          18. 257. Where the conditions referred to in paragraph 256 are not...

          19. 258. Forborne exposures which are classified as non-current assets held for...

          20. 259. A forborne exposure may be considered as performing from the...

          21. 260. Where additional forbearance measures are applied to a performing forborne...

          22. 261. ‘ Performing exposures with forbearance measures ’ (performing forborne exposures)...

          23. 262. ‘Non-performing exposures with forbearance measures’ (non-performing forborne exposures) shall comprise...

          24. 263. Where forbearance measures are extended to exposures which were non-performing...

          25. 264. The following non-performing exposures with forbearance measures shall be identified...

          26. 265. The column ‘ Refinancing ’ shall comprise the gross carrying...

          27. 266. Forborne exposures combining modifications and refinancing shall be allocated to...

          28. 267. Accumulated impairment, accumulated negative changes in fair value due to...

          29. 268. Collateral and guarantees received on exposures with forbearance measures shall...

        19. 19. GEOGRAPHICAL BREAKDOWN (20)

          1. 269. Template 20 shall be reported where the institution exceeds the...

          2. 19.1. Geographical breakdown by location of activities (20.1-20.3)

            1. 270. The geographical breakdown by location of the activities in templates...

          3. 19.2. Geographical breakdown by residence of the counterparty (20.4-20.7)

            1. 271. Templates 20.4 to 20.7 contain information ‘ country-by-country ’ on...

            2. 272. ‘ Derivatives ’ shall include both trading derivatives, including economic...

            3. 273. Assets held for trading under IFRS and trading assets under...

            4. 274. In templates 20.4 and 20.7, ‘ Accumulated impairment ’ and...

            5. 275. In template 20.4 for debt instruments, ‘ gross carrying amount...

            6. 276. In template 20.5, ‘ Provisions for commitments and guarantees given...

            7. 277. In template 20.7, loans and advances not held for trading...

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

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

          2. 279. Under IFRS, assets that have been leased by the institution...

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

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

          2. 21.1. Fee and commission income and expenses by activity (22.1)

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

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

            3. 283. Under IFRS, transaction costs directly attributable to the acquisition or...

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

          3. 21.2. Assets involved in the services provided (22.2)

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

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

          1. 286. For the purposes of Annexes III and IV as well...

          2. 287. ‘ Losses incurred by the reporting institution in the current...

        23. 23. RELATED PARTIES (31)

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

          2. 289. Intra-group transactions and intra-group outstanding balances of the prudential group...

          3. 23.1. Related parties: amounts payable to and amounts receivable from (31.1)...

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

            2. 291. ‘ Accumulated impairment and accumulated negative changes in fair value...

          4. 23.2. Related parties: expenses and income generated by transactions with (31.2)...

            1. 292. ‘Gains or losses on de-recognition of other than financial assets’...

            2. 293. ‘ Impairment or (-) reversal of impairment on non-performing exposures...

        24. 24. GROUP STRUCTURE (40)

          1. 294. Institutions shall provide detailed information as of the reporting date...

          2. 295. Equity instruments that do not meet the criteria to be...

          3. 24.1. Group structure: ‘ entity-by-entity ’ (40.1)

            1. 296. The following information shall be reported on a ‘entity-by-entity’ basis...

          4. 24.2. Group structure: ‘ instrument-by-instrument ’ (40.2)

            1. 297. The following information shall be reported on an ‘instrument-by-instrument’ basis:...

        25. 25. FAIR VALUE (41)

          1. 25.1. Fair value hierarchy: financial instruments at amortised cost (41.1)

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

          2. 25.2. Use of fair value option (41.2)

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

            2. 300. ‘ Hybrid contracts ’ shall include for liabilities the carrying...

            3. 301. ‘ Managed for credit risk ’ shall include the carrying...

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

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

          2. 303. ‘ Other intangible assets ’ shall include all other intangible...

        27. 27. PROVISIONS (43)

          1. 304. This template shall include reconciliation between the carrying amount of...

          2. 305. ‘ Other commitments and guarantees given measured under IAS 37...

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

          1. 306. These templates shall include accumulated information of all defined benefit...

          2. 28.1. Components of net defined benefit plan assets and liabilities (44.1)...

            1. 307. Template on components of net defined benefit plan assets and...

            2. 308. ‘ Net defined benefit assets ’ shall include, in the...

          3. 28.2. Movements in defined benefit obligations (44.2)

            1. 309. Template on movements in defined benefit obligations shall show the...

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

          4. 28.3. Memo items [related to staff expenses] (44.3)

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

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

          1. 29.1. Gains or losses on financial assets and liabilities designated at...

            1. 312. ‘ Financial liabilities designated at fair value through profit or...

          2. 29.2. Gains or losses on de-recognition of non-financial assets (45.2)

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

          3. 29.3. Other operating income and expenses (45.3)

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

            2. 315. ‘ Operating leases other than investment property ’ shall include,...

            3. 316. Gains or losses from derecognition and re-measurements of holdings of...

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

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

          2. 318. ‘ Transfers among components of equity ’ shall include all...

      3. PART 3 MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS

        1. 1. The Tables 2 and 3 map exposure classes used to...

        2. Table 2

          1. ANNEX V Table 2: rows 1 - 18

        3. Table 3

    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 at default should be used...

        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. Structure and conventions 1. The reporting framework on large...

        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. 2. Abbreviations

          1. 7. For the purposes of this Annex, Regulation (EU) No 575/2013...

      2. PART II: TEMPLATE RELATED INSTRUCTIONS In this Annex, instructions relating to the reporting of Large...

        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 exposures to groups of connected clients shall be calculated...

          8. 18. The ‘ netting agreements ’ shall be allowed to be...

          9. 19. The ‘ value of an exposure ’ shall be calculated...

          10. 20. The effect of the full or partial application of exemptions...

          11. 21. 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. Template labelling and other conventions 1.1. Template labelling 1....

        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. Structure and frequency 1. The leverage ratio template is...

        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. C 47.00 – 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...

            1. Annex XI Table 1

        5. 5. C 40.00 – 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...

            1. Annex XI Table 2

        6. 6. C 41.00 – On- and off-balance sheet items – additional...

          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...

            1. Annex XI Table 3

        7. 7. C 42.00 – Alternative definition of capital (LR3)

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

            1. Annex XI Table 4

        8. 8. C 43.00 – Alternative breakdown of leverage ratio exposure measure...

          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...

            1. Annex XI Table 5

        9. 9. C 44.00 – General information (LR5)

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

            1. 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 the Annexes to this...

      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 the Annexes to this...

      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. Annex XVI Table 1

      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 - ADVANCE 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

      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 - 21

      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 - 128

    19. ANNEX XIX

      INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII

      1. 1. Additional Monitoring Tools

        1. 1.1. General

          1. 1. In order to monitor an institution’s liquidity risk that falls...

          2. 2. Total funding shall be all financial liabilities other than derivatives...

          3. 3. Funding with open maturity including on sight deposits shall be...

          4. 4. Original maturity shall represent the time between the date of...

          5. 5. Residual maturity shall represent the time between the end of...

          6. 6. For the purposes of calculating the original or residual weighted...

          7. 7. For the purposes of calculating the original and residual maturity,...

          8. 8. For perpetual liabilities, except where subject to optionality as referred...

          9. 9. For calculating the threshold according to reporting templates C 67.00...

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

          1. 1. In order to collect information about the reporting institutions’ concentration...

          2. 2. Institutions shall report the top ten largest counterparties or a...

          3. 3. Where a counterparty belongs to several groups of connected clients,...

          4. 4. Institutions shall report the total of all other remaining funding...

          5. 5. The totals of section 1 and section 2 shall equal...

          6. 6. For each counterparty, institutions shall report all of the columns...

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

          8. 8. 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’...

            1. Annex XIX Table 2

          2. 2. For the purpose of completing this template institutions shall report...

          3. 3. For each product type, institutions shall report all of the...

          4. 4. The 1 % of total liabilities threshold shall be used to...

          5. 5. The figures reported in rows 1. ‘ Retail ’ ,...

          6. 6. Instructions concerning specific columns:

            1. Annex XIX Table 3

        4. 1.4. Prices for Various Lengths of Funding (C 69.00)

          1. 1. Institutions shall report the information in template C 69.00, about...

          2. 2. For the purpose of determining the maturity of the funding...

          3. 3. The spread reported in the left hand column of each...

          4. 4. Spreads shall be reported in basis points with a negative...

          5. 5. For the purposes of calculating the average spread payable across...

          6. 6. The amount of funding obtained for the funding categories listed...

          7. 7. In the column ‘ volume ’ institutions shall provide the...

          8. 8. As for all items, also for off-balance sheet commitments, institutions...

          9. 9. Deposits placed by retail customers shall consist of the deposits...

          10. 10. For funding that has rolled-over during the reporting period that...

          11. 11. By way of deviation from the rest of Section 1.4,...

          12. 12. Where there is nothing to report, cells relating to spreads...

          13. 13. Instructions concerning specific rows:

            1. Annex XIX Table 4

        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, in calendar days, the funding they have...

          3. 3. For each time bucket described in paragraph 2, the amount...

          4. 4. Total net cash flows shall be reported in column 290...

          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 ‘ Maturing ’ amount shall comprise all liabilities that...

          9. 9. The ‘ Roll-over ’ amount shall comprise the maturing amount...

          10. 10. The ‘ New funds ’ amount shall comprise actual inflows...

          11. 11. The ‘ Net ’ amount shall be considered as a...

          12. 12. Instructions concerning specific columns:

            1. Annex XIX Table 5

    20. ANNEX XX

      REPORTING ON COUNTERBALANCING CAPACITY

      1. Annex XX Table 1

      2. C 71.00 — CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER

        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 XX

      1. Concentration of Counterbalancing Capacity by issuer/counterparty (CCC) (C 71.00)

        1. 1. In order to collect information about the reporting institutions’ concentration...

        2. 2. Where an issuer or counterparty is assigned to more than...

        3. 3. The counterbalancing capacity in C 71.00 shall be the same...

        4. 4. For calculating the concentrations for the purpose of reporting template...

        5. 5. When an issuer or counterparty belongs to several groups of...

        6. 6. Except for row 120, concentrations of counterbalancing capacity with a...

          1. Annex XXI Table 1

    22. ANNEX XXII

      1. REPORTING ON AMM MATURITY LADDER

      2. C 66.01 - MATURITY LADDER

        1. ANNEX XXII Table 2: rows 1 - 129

    23. ANNEX XXIII

      INSTRUCTIONS FOR COMPLETING THE MATURITY LADDER TEMPLATE OF ANNEX XXII

      1. PART I: GENERAL INSTRUCTIONS 1. In order to capture the maturity mismatch of an...

        1. 1. In order to capture the maturity mismatch of an institution’s...

        2. 2. The maturity ladder monitoring tool shall cover contractual flows and...

        3. 3. Institutions shall not double count inflows.

        4. 4. In the column ‘ initial stock ’ , the stock...

        5. 5. Only the blank white cells of the template in Annex...

        6. 6. The section of the maturity ladder template entitled ‘ Outflows...

        7. 7. The section of the maturity ladder template entitled ‘ Counterbalancing...

        8. 8. Cash outflows and inflows in the respective sections ‘ outflows...

        9. 9. For the section of the maturity ladder template entitled ‘...

        10. 10. Contractual flows shall be allocated across the twenty-two time buckets...

        11. 11. All contractual flows shall be reported, including all material cash-flows...

        12. 12. In order for institutions to apply a conservative approach in...

        13. 13. Interest outflows and inflows from all on and off balance...

        14. 14. Foreign Exchange ( ‘ FX ’ ) swaps maturing shall...

        15. 15. Cash flows from unsettled transactions shall be reported, in the...

        16. 16. Items where the institution has no underlying business, such as...

        17. 17. Past due items and items for which the institution has...

        18. 18. Where the collateral received is re-hypothecated in a transaction that...

        19. 19. Intragroup items shall not affect the reporting on a consolidated...

      2. PART II: INSTRUCTIONS CONCERNING SPECIFIC ROWS ANNEX XXIII Table 1: rows 1 - 128

        1. Annex XXIII Table 1

    24. 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

    25. 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

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