Commission Implementing Regulation (EU) 2020/429Show full title

“ANNEX II REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

PART I: GENERAL INSTRUCTIONS

1. STRUCTURE AND CONVENTIONS

1.1. STRUCTURE

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

(a)

capital adequacy, an overview of regulatory capital; total risk exposure amount;

(b)

group solvency, an overview of the fulfilment of the solvency requirements by all individual entities included in the scope of consolidation of the reporting entity;

(c)

credit risk (including counterparty, dilution and settlement risks);

(d)

market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk);

(e)

operational risk.

2. For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as validation rules are included in this part of this Implementing Regulation.

3. Institutions shall report only those templates that are relevant depending on the approach used for determining own funds requirements.

1.2. NUMBERING CONVENTION

4. The document follows the labelling convention set in points 5 to 8, when referring to the columns, rows and cells of the templates. Those numerical codes are extensively used in the validation rules.

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

6. In the case of validations inside a template, in which only data points of that template are used, notations do not refer to a template: {Row; Column}.

7. In the case of templates with only one column, only rows are referred to. {Template; Row}

8. An asterisk sign is used to express that the validation is done for the rows or columns specified before.

1.3. SIGN CONVENTION

9. Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the capital requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure is expected to be reported for that item.

1.4. ABBREVIATIONS

9a. For the purposes of this Annex, Regulation (EU) No 575/2013 of the European Parliament and of the Council(1) is referred to as “CRR”, Directive 2013/36/EU of the European Parliament and of the Council(2) is referred to as “CRD”, Directive 2013/34/EU of the European Parliament and of the Council(3) is referred to as “AD” and Council Directive 86/635/EEC(4) is referred to as “BAD”.

PART II: TEMPLATE RELATED INSTRUCTIONS

1. CAPITAL ADEQUACY OVERVIEW (“CA”)

1.1. GENERAL REMARKS

10. CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and the application of CRR and CRD transitional provisions and is structured in five templates:

(a)

CA1 template contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount. The amount of own funds obtained includes the aggregate effect of the application of CRR and CRD transitional provisions per type of capital;

(b)

CA2 template summarises the total risk exposures amounts as defined in Article 92(3) CRR;

(c)

CA3 template contains the ratios for which CRR states a minimum level, and some other related data;

(d)

CA4 template contains memorandums items needed, among others, for calculating items in CA1 as well as information with regard to CRD capital buffers;

(e)

CA5 template contains the data needed for calculating the effect of the application of CRR transitional provisions in own funds. CA5 will cease to exist once those transitional provisions expire.

11. The templates shall be used by all reporting entities, irrespective of the accounting standards followed, although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount.

12. The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common Equity Tier 1 capital (CET1) and Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).

13. The application of CRR and CRD transitional provisions is treated as follows in CA templates:

(a)

The items in CA1 are generally gross of transitional adjustments. That means that figures in CA1 items are calculated in accordance with the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of those transitional provisions. For each type of capital (i.e. CET1; AT1 and T2), there are three different items in which all the adjustments due to those transitional provisions are included.

(b)

Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in point (j) of Article 36(1) and point (e) of Article 56 CRR respectively), and thus the items containing those shortfalls may indirectly reflect the effect of those transitional provisions.

(c)

Template CA5 is exclusively used for reporting the effect due to the application of the CRR transitional provisions.

14. The treatment of Pillar II requirements can be different within the Union (Article 104(2) CRD has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting required under CRR. A detailed reporting of Pillar II requirements is not within the mandate of Article 99 CRR.

a)

The templates CA1, CA2 or CA5 only contain data on Pillar I issues.

b)

The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. One block focuses on the impact of amounts on the ratios, whereas the other block focuses on the ratio itself. Both blocks of ratios do not have any further link to the templates CA1, CA2 or CA5.

c)

The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. That cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104(2) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.

1.2. C 01.00 – OWN FUNDS (CA1)

1.2.1. Instructions concerning specific positions

a Commission Delegated Regulation (EU) No 241/2014 of 7 January 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for Own Funds requirements for institutions (OJ L 74, 14.3.2014, p. 8).
Row	Legal references and instructions
010	1. Own funds Point (118) of Article 4(1) and Article 72 CRR The own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital.
015	1.1. Tier 1 capital Article 25 CRR The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital
020	1.1.1. Common Equity Tier 1 capital Article 50 CRR
030	1.1.1.1. Capital instruments eligible as CET1 capital Points (a) and (b) of Articles 26(1), Articles 27 to 30, point (f) of Article 36(1) and Article 42 CRR
040	1.1.1.1.1. Paid up capital instruments Point (a) of Article 26(1) and Articles 27 to 31 CRR Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 CRR) shall be included. The share premium related to the instruments shall not be included. Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 CRR are fulfilled.
045	1.1.1.1.1* Of which: Capital instruments subscribed by public authorities in emergency situations Article 31 CRR Capital instruments subscribed by public authorities in emergency situations shall be included in CET1 capital if all conditions of Article 31 CRR are fulfilled.
050	1.1.1.1.2* Memorandum item: Capital instruments not eligible Points (b), (l) and (m) of Article 28(1) CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments
060	1.1.1.1.3. Share premium Point (124) of Article 4(1), point (b) of Article 26(1) CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the “Paid up capital instruments”.
070	1.1.1.1.4. (-) Own CET1 instruments Point (f) of Article 36(1) and Article 42 CRR Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 CRR. Holdings on shares included as “Capital instruments not eligible” shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.1.1.1.4 to 1.1.1.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own CET1 instruments are reported separately in item 1.1.1.1.5.
080	1.1.1.1.4.1. (-) Direct holdings of CET1 instruments Point (f) of Article 36(1) and Article 42 CRR Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group. The amount to be reported shall include holdings in the trading book calculated on the basis of the net long position, as stated in point (a) of Article 42 CRR.
090	1.1.1.1.4.2. (-) Indirect holdings of CET1 instruments Point (114) of Article 4(1), point (f) of Article 36(1) and Article 42 CRR
091	1.1.1.1.4.3. (-) Synthetic holdings of CET1 instruments Point (126) of Article 4(1), point (f) of Article 36(1) and Article 42 CRR
092	1.1.1.1.5. (-) Actual or contingent obligations to purchase own CET1 instruments Point (f) of Article 36(1) and Article 42 CRR According to point (f) of Article 36(1) CRR, “own Common Equity Tier 1 instruments that an institution is under an actual or contingent obligation to purchase by virtue of an existing contractual obligation” shall be deducted.
130	1.1.1.2. Retained earnings Point (c) of Article 26(1) and Article 26(2) CRR Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits
140	1.1.1.2.1. Previous years retained earnings Point (123) of Article 4(1) and point (c) of Article 26(1) CRR Point (123) of Article 4(1) CRR defines retained earnings as “Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting framework”.
150	1.1.1.2.2. Profit or loss eligible Point (121) of Article 4(1), Article 26(2) and point (a) of Article 36(1) CRR Article 26(2) CRR allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met. On the other hand, losses shall be deducted from CET1, as stated in point (a) of Article 36(1) CRR.
160	1.1.1.2.2.1. Profit or loss attributable to owners of the parent Article 26(2) and point (a) of Article 36(1) CRR The amount to be reported shall be the profit or loss reported in the accounting income statement.
170	1.1.1.2.2.2. (-) Part of interim or year-end profit not eligible Article 26(2) CRR This row shall not present any figure if, for the reference period, the institution has reported losses, because the losses shall be completely deducted from CET1. If the institution reports profits, the part, which is not eligible according to Article 26(2) CRR (i.e. profits not audited and foreseeable charges or dividends), shall be reported. Note that, in case of profits, the amount to be deduced shall be, at least, the interim dividends.
180	1.1.1.3. Accumulated other comprehensive income Point (100) of Article 4(1) and point (d) of Article 26(1) CRR The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation, and prior to the application of prudential filters. The amount to be reported shall be determined in accordance with Article 13(4) of Commission Delegated Regulation (EU) No 241/2014a.
200	1.1.1.4. Other reserves Point (117) of Article 4(1) and point (e) of Article 26(1) CRR Other reserves are defined in CRR as “Reserves within the meaning of the applicable accounting framework that are required to be disclosed under that applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings”. The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.
210	1.1.1.5. Funds for general banking risk Point (112) of Article 4(1) and point (f) of Article 26(1) CRR Funds for general banking risk are defined in Article 38 BAD as “Amounts which a credit institution decides to put aside to cover such risks where that is required by the particular risks associated with banking”. The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.
220	1.1.1.6. Transitional adjustments due to grandfathered CET1 Capital instruments Paragraphs 1, 2 and 3 of Article 483 and Articles 484 to 487 CRR Amount of capital instruments transitionally grandfathered as CET1. The amount to be reported is directly obtained from CA5.
230	1.1.1.7. Minority interest given recognition in CET1 capital Point (120) of Article 4(1) and Article 84 CRR Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1.
240	1.1.1.8. Transitional adjustments due to additional minority interests Articles 479 and 480 CRR Adjustments to the minority interests due to transitional provisions. This item is obtained directly from CA5.
250	1.1.1.9. Adjustments to CET1 due to prudential filters Articles 32 to 35 CRR
260	1.1.1.9.1. (-) Increases in equity resulting from securitised assets Article 32(1) CRR The amount to be reported is the increase in the equity of the institution resulting from securitised assets, in accordance with the applicable accounting standard. For example, this item includes the future margin income that results in a gain on sale for the institution, or, for originators, the net gains that arise from the capitalisation of future income from the securitised assets that provide credit enhancement to positions in the securitisation.
270	1.1.1.9.2. Cash flow hedge reserve Point (a) of Article 33(1) CRR The amount to be reported can be positive or negative. It shall be positive if cash flow hedges result in a loss (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. The amount shall be net of any tax charge to be expected at the moment of the calculation.
280	1.1.1.9.3. Cumulative gains and losses due to changes in own credit risk on fair valued liabilities Point (b) of Article 33(1) CRR The amount to be reported can be positive or negative. It shall be positive if there is a loss due to changes in own credit risk (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. Unaudited profit shall not be included in this item.
285	1.1.1.9.4. Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities Point (c) of Article 33(1) and Article 33(2) CRR The amount to be reported can be positive or negative. It shall be positive if there is a loss due to changes in own credit risk and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. Unaudited profit shall not be included in this item.
290	1.1.1.9.5. (-) Value adjustments due to the requirements for prudent valuation Articles 34 and 105 CRR Adjustments to the fair value of exposures included in the trading book or non-trading book due to stricter standards for prudent valuation set in Article 105 CRR
300	1.1.1.10. (-) Goodwill Point (113) of Article 4(1), point (b) of Article 36(1) and Article 37 CRR
310	1.1.1.10.1. (-) Goodwill accounted for as intangible asset Point (113) of Article 4(1) and point (b) of Article 36(1) CRR Goodwill has the same meaning as under the applicable accounting standard. The amount to be reported here shall be the same as the amount that is reported in the balance sheet.
320	1.1.1.10.2. (-) Goodwill included in the valuation of significant investments Point (b) of Article 37 and Article 43 CRR
330	1.1.1.10.3. Deferred tax liabilities associated to goodwill Point (a) of Article 37 CRR Amount of deferred tax liabilities that would be extinguished if the goodwill became impaired or was derecognised under the relevant accounting standard.
340	1.1.1.11. (-) Other intangible assets Point (115) of Article 4(1), point (b) of Article 36(1) and point (a) of Article 37 CRR Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.
350	1.1.1.11.1. (-) Other intangible assets before deduction of deferred tax liabilities Point (115) of Article 4(1) and point (b) of Article 36(1) CRR Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard. The amount to be reported here shall correspond to the amount reported in the balance sheet of intangible assets, other than goodwill.
360	1.1.1.11.2. Deferred tax liabilities associated to other intangible assets Point (a) of Article 37 CRR Amount of deferred tax liabilities that would be extinguished if the intangibles assets, other than goodwill, became impaired or was derecognised under the relevant accounting standard.
370	1.1.1.12. (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities Point (c) of Article 36(1) and Article 38 CRR
380	1.1.1.13. (-) IRB shortfall of credit risk adjustments to expected losses Point (d) of Article 36(1), Articles 40, 158 and 159 CRR The amount to be reported shall not be reduced by a rise in the level of deferred tax assets that rely on future profitability, or other additional tax effect, that could occur if provisions were to rise to the level of expected losses" (Article 40 CRR).
390	1.1.1.14. (-) Defined benefit pension fund assets Point (109) of Article 4(1), point (e) of Article 36(1) and Article 41 CRR
400	1.1.1.14.1. (-) Defined benefit pension fund assets Point (109) of Article 4(1) and point (e) of Article 36(1) CRR Defined benefit pension fund assets are defined as “the assets of a defined pension fund or plan, as applicable, calculated after they have been reduced by the amount of obligations under the same fund or plan”. The amount to be reported here shall correspond to the amount reported in the balance sheet (if reported separately).
410	1.1.1.14.2. Deferred tax liabilities associated to defined benefit pension fund assets Points (108) and (109) of Article 4(1) and point (a) of Article 41(1) CRR Amount of deferred tax liabilities that would be extinguished if the defined benefit pension fund assets became impaired or were derecognised under the relevant accounting standard.
420	1.1.1.14.3. Defined benefit pension fund assets which the institution has an unrestricted ability to use Point (109) of Article 4(1) and point (b) of Article 41(1) CRR This item shall only present any amount if there is a prior consent of the competent authority to reduce the amount of defined benefit pension fund assets to be deducted. The assets included in this row shall receive a risk weight for credit risk requirements.
430	1.1.1.15. (-) Reciprocal cross holdings in CET1 Capital Point (122) of Article 4(1), point (g) of Article 36(1) and Article 44 CRR Holdings in CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution. The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 1 own-fund insurance items.
440	1.1.1.16. (-) Excess of deduction from AT1 items over AT1 Capital Point (j) of Article 36(1) CRR The amount to be reported is directly taken from CA1 item “Excess of deduction from AT1 items over AT1 Capital”. The amount has to be deducted from CET1.
450	1.1.1.17. (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight Point (36) of Article 4(1), point (k)(i) of Article 36(1) and Articles 89 to 91 CRR Qualifying holdings are defined as “direct or indirect holding in an undertaking which represents 10 % or more of the capital or of the voting rights or which makes it possible to exercise a significant influence over the management of that undertaking”. According to point (k)(i) of Article 36(1) CRR qualifying holdings can, alternatively, be deducted from CET1 (using this item), or be subject to a risk weight of 1 250 %.
460	1.1.1.18. (-) Securitisation positions which can alternatively be subject to a 1250 % risk weight Point (b) of Articles 244(1), point (b) of Article 245(1) and Article 253(1) CRR. Securitisation positions, which are subject to a 1 250 % risk weight, but alternatively are allowed to be deducted from CET1 (point (k)(ii) of Article 36(1) CRR), shall be reported in this item.
470	1.1.1.19. (-) Free deliveries which can alternatively be subject to a 1,25 % risk weight Point (k)(iii) of Article 36(1) and Article 379(3) CRR Free deliveries are subject to a 1 250 % risk weight after 5 days post second contractual payment or delivery leg until the extinction of the transaction, according to the own funds requirements for settlement risk. Alternatively, they are allowed to be deducted from CET1 (point (k)(iii) of Article 36(1) CRR). In the latter case, they shall be reported in this item.
471	1.1.1.20. (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB Approach, and can alternatively be subject to a 1 250 % risk weight Point (k)(iv) of Articles 36(1) and Article 153(8) CRR According to point (k)(iv) of Article 36(1) CRR, positions in a basket for which an institution cannot determine the risk weight under the IRB Approach can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250 %.
472	1.1.1.21. (-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight Point (k)(v) of Article 36(1) and Article 155(4) CRR According to point (k)(v) of Article 36(1) CRR, equity exposures under an internal models approach can, alternatively, be deducted from CET1 (using this item), or be subject to a risk weight of 1 250 %.
480	1.1.1.22. (-) CET1 instruments of financial sector entities where the institution does not have a significant investment Point (27) of Article 4(1), point (h) of Article 36(1), Articles 43 to 46, paragraphs 2 and 3 of Article 49 and Article 79 CRR Part of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution does not have a significant investment that has to be deducted from CET1. See alternatives to deduction when consolidation is applied (paragraphs 2 and 3 of Article 49).
490	1.1.1.23. (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences Point (c) of Article 36(1); Article 38 and point (a) of Article 48(1) CRR Part of deferred tax assets that rely in future profitability and arise from temporary differences (net of the part of associated deferred tax liabilities allocated to deferred tax assets that arise from temporary differences), which according to point (b) of Article 38(5) CRR has to be deducted applying the 10 % threshold referred to in point (a) of Article 48(1) CRR.
500	1.1.1.24. (-) CET1 instruments of financial sector entities where the institution has a significant investment Point (27) of Article 4(1), point (i) of Article 36(1); Articles 43, 45, 47, point (b) of Article 48(2), paragraphs 1, 2 and 3 of Article 49 and Article 79 CRR Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment that has to be deducted, applying the 10 % threshold referred to in point (b) of Article 48(1) CRR. See alternatives to deduction when consolidation is applied (paragraphs 1, 2 and 3 of Article 49 CRR).
510	1.1.1.25. (-) Amount exceeding the 17,65 % threshold Article 48(2) CRR Part of deferred tax assets that rely in future profitability and arise from temporary differences, and direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment that has to be deducted, applying the 17,65 % threshold in Article 48(2) CRR.
520	1.1.1.26. Other transitional adjustments to CET1 Capital Articles 469 to 472, 478 and 481 CRR Adjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5.
524	1.1.1.27. (-) Additional deductions of CET1 Capital due to Article 3 CRR Article 3 CRR
529	1.1.1.28. CET1 capital elements or deductions – other This row is intended to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a CET1 capital element or a deduction from a CET1 element cannot be assigned to one of the rows 020 to 524. This row shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR).
530	1.1.2. ADDITIONAL TIER 1 CAPITAL Article 61 CRR
540	1.1.2.1. Capital instruments eligible as AT1 Capital Point (a) of Article 51, Articles 52, 53 and 54, point (a) of Article 56 and Article 57 CRR
550	1.1.2.1.1. Paid up capital instruments Point (a) of Article 51 and Articles 52, 53 and 54 CRR The amount to be reported shall not include the share premium related to the instruments
560	1.1.2.1.2* Memorandum item: Capital instruments not eligible Points (c), (e) and (f) of Article 52(1) CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments
570	1.1.2.1.3. Share premium Point (b) of Article 51 CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the “Paid up capital instruments”.
580	1.1.2.1.4. (-) Own AT1 instruments Point (b) of Article 52(1), point (a) of Article 56 and Article 57 CRR Own AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 57 CRR. Holdings on shares included as “Capital instruments not eligible” shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.1.2.1.4 to 1.1.2.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own AT1 instruments are reported separately in item 1.1.2.1.5.
590	1.1.2.1.4.1. (-) Direct holdings of AT1 instruments Point (144) of Article 4(1), point (b) of Article 52(1), point (a) of Article 56 and Article 57 CRR Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group.
620	1.1.2.1.4.2. (-) Indirect holdings of AT1 instruments Point (b)(ii) of Article 52(1), point (a) of Article 56 and Article 57 CRR
621	1.1.2.1.4.3. (-) Synthetic holdings of AT1 instruments Point (126) of Article 4(1), point (b) of Article 52(1), point (a) of Article 56 and Article 57 CRR
622	1.1.2.1.5. (-) Actual or contingent obligations to purchase own AT1 instruments Point (a) of Article 56 and Article 57 CRR According to point (a) of Article 56 CRR, “own Additional Tier 1 instruments that an institution could be obliged to purchase as a result of existing contractual obligations” shall be deducted.
660	1.1.2.2. Transitional adjustments due to grandfathered AT1 Capital instruments Paragraphs 4 and 5 of Article 483, Articles 484 to 487, Articles 489 and 491 CRR Amount of capital instruments transitionally grandfathered as AT1. The amount to be reported is directly obtained from CA5.
670	1.1.2.3. Instruments issued by subsidiaries that are given recognition in AT1 Capital Articles 83, 85 and 86 CRR Sum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated AT1. Qualifying AT1 capital issued by a special purpose entity (Article 83 CRR) shall be included.
680	1.1.2.4. Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries Article 480 CRR Adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions. This item is obtained directly from CA5.
690	1.1.2.5. (-) Reciprocal cross holdings in AT1 Capital Point (122) of Article 4(1), point (b) of Article 56 and Article 58 CRR Holdings in AT1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution. The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Additional Tier 1 own-fund insurance items.
700	1.1.2.6. (-) AT1 instruments of financial sector entities where the institution does not have a significant investment Point (27) of Article 4(1), point (c) of Article 56; Articles 59, 60 and 79 CRR Part of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution does not have a significant investment that has to be deducted from AT1.
710	1.1.2.7. (-) AT1 instruments of financial sector entities where the institution has a significant investment Point (27) of Article 4(1), point (d) of Article 56, Articles 59 and 79 CRR Holdings by the institution of AT1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment are completely deducted
720	1.1.2.8. (-) Excess of deduction from T2 items over T2 Capital Point (e) of Article 56 CRR The amount to be reported is directly taken from CA1 item ‘Excess of deduction from T2 items over T2 Capital (deducted in AT1).
730	1.1.2.9. Other transitional adjustments to AT1 Capital Articles 474, 475, 478 and 481 CRR Adjustments due to transitional provisions. The amount to be reported is directly obtained from CA5.
740	1.1.2.10. Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) Point (j) of Article 36(1) CRR Additional Tier 1 cannot be negative, but it is possible that AT1 deductions are greater than AT1 Capital plus related share premium. When this happens, AT1 has to be equal to zero, and the excess of AT1 deductions has to be deducted from CET1. With this item, it is achieved that the sum of items 1.1.2.1 to 1.1.2.12 is never lower than zero. Where this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure.
744	1.1.2.11. (-) Additional deductions of AT1 Capital due to Article 3 CRR Article 3 CRR
748	1.1.2.12. AT1 capital elements or deductions – other This row is intended to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if an AT1 capital element or a deduction from an AT1 element cannot be assigned to one of the rows 530 to 744. This row shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope CRR).
750	1.2. TIER 2 CAPITAL Article 71 CRR
760	1.2.1. Capital instruments and subordinated loans eligible as T2 Capital Point (a) of Article 62, Articles 63 to 65, point (a) of Article 66 and Article 67 CRR
770	1.2.1.1. Paid up capital instruments and subordinated loans Point (a) of Article 62, Articles 63 and 65 CRR The amount to be reported shall not include the share premium related to the instruments
780	1.2.1.2* Memorandum item: Capital instruments and subordinated loans not eligible Points (c), (e) and (f) of Article 63 and Article 64 CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments
790	1.2.1.3. Share premium Point (b) of Article 62 and Article 65 CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the “Paid up capital instruments”.
800	1.2.1.4. (-) Own T2 instruments Point (b)(i) of Article 63, point (a) of Article 66, and Article 67 CRR Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 67 CRR. Holdings on shares included as “Capital instruments not eligible” shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.2.1.4 to 1.2.1.4.3 do not include actual or contingent obligations to purchase own T2 instruments. Actual or contingent obligations to purchase own T2 instruments are reported separately in item 1.2.1.5.
810	1.2.1.4.1. (-) Direct holdings of T2 instruments Point (b) of Article 63, point (a) of Article 66 and Article 67 CRR Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group.
840	1.2.1.4.2. (-) Indirect holdings of T2 instruments Point (114) of Article 4(1), point (b) of Article 63, point (a) of Article 66 and Article 67 CRR
841	1.2.1.4.3. (-) Synthetic holdings of T2 instruments Point (126) of Article 4(1), point (b) of Article 63, point (a) of Article 66 and Article 67 CRR
842	1.2.1.5. (-) Actual or contingent obligations to purchase own T2 instruments Point (a) of Article 66 and Article 67 CRR According to point (a) of Article 66 CRR, “own Tier 2 instruments that an institution could be obliged to purchase as a result of existing contractual obligations” shall be deducted.
880	1.2.2. Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans Paragraphs 6 and 7 of Article 483, Articles 484, 486, 488, 490 and 491 CRR Amount of capital instruments transitionally grandfathered as T2. The amount to be reported is directly obtained from CA5.
890	1.2.3. Instruments issued by subsidiaries that are given recognition in T2 Capital Articles 83, 87 and 88 CRR Sum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2. Qualifying Tier 2 capital issued by a special purpose entity (Article 83 CRR) shall be included.
900	1.2.4. Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries Article 480 CRR Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions. This item is obtained directly from CA5.
910	1.2.5. IRB Excess of provisions over expected losses eligible Point (d) of Article 62 CRR For institutions calculating risk-weighted exposure amounts in accordance with IRB Approach, this item shall contain the positive amounts resulting from comparing the provisions and expected losses which are eligible as T2 capital.
920	1.2.6. SA General credit risk adjustments Point (c) of Article 62 CRR For institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item shall contain the general credit risk adjustments eligible as T2 capital.
930	1.2.7. (-) Reciprocal cross holdings in T2 Capital Point (122) of Article 4(1), point (b) of Article 66 and Article 68 CRR Holdings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate the own funds of the institution artificially. The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 2 and Tier 3 own-fund insurance items.
940	1.2.8. (-) T2 instruments of financial sector entities where the institution does not have a significant investment Point (27) of Article 4(1), point (c) of Article 66, Articles 68 to 70 and Article 79 CRR Part of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution does not have a significant investment that has to be deducted from T2.
950	1.2.9. (-) T2 instruments of financial sector entities where the institution has a significant investment Point (27) of Article 4(1), point (d) of Article 66, Articles 68, 69 and Article 79 CRR Holdings by the institution of T2 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment shall be completely deducted.
960	1.2.10. Other transitional adjustments to T2 Capital Articles 476, 477, 478 and 481 CRR Adjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5.
970	1.2.11. Excess of deduction from T2 items over T2 Capital (deducted in AT1) Point (e) of Article 56 CRR Tier 2 cannot be negative, but it is possible that T2 deductions are greater than T2 Capital plus related share premium. When this happens, T2 shall be equal to zero, and the excess of T2 deductions shall be deducted from AT1. With this item, the sum of items 1.2.1 to 1.2.13 is never lower than zero. Where this item shows a positive figure, item 1.1.2.8 shall be the inverse of that figure.
974	1.2.12. (-) Additional deductions of T2 Capital due to Article 3 CRR Article 3 CRR
978	1.2.13. T2 capital elements or deductions – other This row provides flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a T2 capital element or a deduction from a T2 element cannot be assigned to one of the rows 750 to 974. This row shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope CRR).

1.3. C 02.00 – OWN FUNDS REQUIREMENTS (CA2)

1.3.1. Instructions concerning specific positions

Row	Legal references and instructions
010	1. TOTAL RISK EXPOSURE AMOUNT Article 92(3) and Articles 95, 96 and 98 CRR
020	1* Of which: Investment firms under Article 95 paragraph 2 and Article 98 CRR For investment firms under Article 95(2) and Article 98 CRR
030	1** Of which: Investment firms under Article 96 paragraph 2 and Article 97 CRR For investment firms under Article 96(2) and Article 97 CRR
040	1.1. RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES Points (a) and (f) of Article 92(3) CRR
050	1.1.1. Standardised Approach (SA) CR SA and SEC SA templates at the level of total exposures
051	1.1.1* Of which: Additional stricter prudential requirements based on Article 124 CRR Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements as communicated to the institutions after having been consulted with EBA, in accordance with paragraphs 2 and 5 of Article 124CRR.
060	1.1.1.1. SA exposure classes excluding securitisations positions CR SA template at the level of total exposures. The SA exposure classes are those mentioned in Article 112 CRR, excluding securitisation positions.
070	1.1.1.1.01. Central governments or central banks See CR SA template
080	1.1.1.1.02. Regional governments or local authorities See CR SA template
090	1.1.1.1.03. Public sector entities See CR SA template
100	1.1.1.1.04. Multilateral Development Banks See CR SA template
110	1.1.1.1.05. International Organisations See CR SA template
120	1.1.1.1.06. Institutions See CR SA template
130	1.1.1.1.07. Corporates See CR SA template
140	1.1.1.1.08. Retail See CR SA template
150	1.1.1.1.09. Secured by mortgages on immovable property See CR SA template
160	1.1.1.1.10. Exposures in default See CR SA template
170	1.1.1.1.11. Items associated with particular high risk See CR SA template
180	1.1.1.1.12. Covered bonds See CR SA template
190	1.1.1.1.13. Claims on institutions and corporate with a short-term credit assessment See CR SA template
200	1.1.1.1.14. Collective investments undertakings (CIU) See CR SA template
210	1.1.1.1.15. Equity See CR SA template
211	1.1.1.1.16. Other items See CR SA template
240	1.1.2. Internal ratings based Approach (IRB)
241	1.1.2* Of which: Additional stricter prudential requirements based on Article 164 CRR Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements as communicated to the institutions after having been notified to EBA, in accordance with paragraphs 5 and 7 of Article 164 CRR.
242	1.1.2** Of which: Additional stricter prudential requirements based on Article 124 CRR Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements set by the competent authorities after having consulted EBA, as laid down in paragraphs 2 and 5 of Article 124 CRR and which are related to limits on the eligible market value of the collateral as laid down in point (d) of Article 125(2) and point (d) of Article 126(2) CRR.
250	1.1.2.1. IRB Approaches when neither own estimates of LGD nor Conversion Factors are used CR IRB template at the level of total exposures (when own estimates of LGD or CCF are not used)
260	1.1.2.1.01. Central governments and central banks See CR IRB template
270	1.1.2.1.02. Institutions See CR IRB template
280	1.1.2.1.03. Corporates – SME See CR IRB template
290	1.1.2.1.04. Corporates – Specialised Lending See CR IRB template
300	1.1.2.1.05. Corporates – Other See CR IRB template
310	1.1.2.2. IRB Approaches when own estimates of LGD and/or Conversion Factor are used CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are used)
320	1.1.2.2.01. Central governments and central banks See CR IRB template
330	1.1.2.2.02. Institutions See CR IRB template
340	1.1.2.2.03. Corporates – SME See CR IRB template
350	1.1.2.2.04. Corporates – Specialised Lending See CR IRB template
360	1.1.2.2.05. Corporates – Other See CR IRB template
370	1.1.2.2.06. Retail – secure by real estate SME See CR IRB template
380	1.1.2.2.07. Retail – secure by real estate non-SME See CR IRB template
390	1.1.2.2.08. Retail – Qualifying revolving See CR IRB template
400	1.1.2.2.09. Retail – Other SME See CR IRB template
410	1.1.2.2.10. Retail – Other non-SME See CR IRB template
420	1.1.2.3. Equity IRB See CR EQU IRB template
450	1.1.2.5. Other non credit-obligation assets The amount to be reported is the risk weighted exposure amount as calculated in accordance with Article 156 CRR.
460	1.1.3. Risk exposure amount for contributions to the default fund of a CCP Articles 307, 308 and 309 CRR
470	1.1.4. Securitisation positions See CR SEC template
490	1.2. TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY Point (c)(ii) of Article 92(3) and point (b) of Article 92(4) CRR
500	1.2.1. Settlement/delivery risk in the non-Trading book See CR SETT template
510	1.2.2. Settlement/delivery risk in the Trading book See CR SETT template
520	1.3. TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS Points (b)(i), (c)(i) and (c)(iii) of Article 92(3) and point (b) of Article 92(4) CRR
530	1.3.1. Risk exposure amount for position, foreign exchange and commodities risks under Standardised Approaches (SA)
540	1.3.1.1. Traded debt instruments MKR SA TDI template at the level of total currencies.
550	1.3.1.2. Equity MKR SA EQU template at the level of total national markets.
555	1.3.1.3. Particular approach for position risk in CIUs Article 348(1), point (c) of Article 350(3) and point (a) of Article 364(2) CRR Total risk exposure amount for positions in CIUs if capital requirements are calculated in accordance with Article 348(1) CRR either immediately or as a consequence of the cap laid down in point (c) of Article 350(3) CRR. CRR does not explicitly assign those positions to either the interest rate risk or the equity risk. Where the particular approach laid down in the first sentence of Article 348(1) CRR is applied, the amount to be reported shall be 32 % of the net position of the CIU exposure in question, multiplied by 12,5. Where the particular approach laid down in the second sentence of Article 348(1) CRR is applied, the amount to be reported shall be the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure, multiplied by 12,5 respectively.
556	1.3.1.3.* Memo item: CIUs exclusively invested in traded debt instruments Total risk exposure amount for positions in CIUs if the CIU is invested exclusively in instruments subject to interest rate risk.
557	1.3.1.3.** CIUs invested exclusively in equity instruments or in mixed instruments Total risk exposure amount for positions in CIUs if the CIU is invested either exclusively in instruments subject to equity risk or in mixed instruments or if the constituents of the CIU are unknown.
560	1.3.1.4. Foreign Exchange See MKR SA FX template
570	1.3.1.5. Commodities See MKR SA COM template
580	1.3.2. Risk exposure amount for positions, foreign exchange and commodity risks under internal models (IM) See MKR IM template
590	1.4. TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR) Point (e) of Article 92(3) and point (b) of Article 92(4) CRR For investment firms under Articles 95(2) and 96(2) and Article 98 CRR, this element shall be zero.
600	1.4.1. OpR Basic Indicator approach (BIA) See OPR template
610	1.4.2. OpR Standardised (TSA)/Alternative Standardised (ASA) approaches See OPR template
620	1.4.3. OpR Advanced measurement approaches (AMA) See OPR template
630	1.5. ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS Articles 95(2) and 96(2), Article 97 and point (a) of Article 98(1) CRR Only for investment firms under Article 95(2), Article 96(2) and Article 98 CRR. See also Article 97 CRR. Investment firms under Article 96 CRR shall report the amount referred to in Article 97 multiplied by 12.5. Investment firms under Article 95 CRR shall report as follows: Where the amount referred to in point (a) of Article 95(2) CRR is greater than the amount referred to in point (b) of Article 95(2) CRR, the amount to be reported is zero. Where the amount referred to in point (b) of Article 95(2) CRR is greater than the amount referred to in point (a) of Article 95(2) CRR, the amount to be reported is the result of subtracting the latter amount from the former.
640	1.6. TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT Point (d) of Article 92(3) CRR See CVA template.
650	1.6.1. Advanced method Own funds requirements for credit valuation adjustment risk in accordance with Article 383 CRR. See CVA template.
660	1.6.2. Standardised method Own funds requirements for credit valuation adjustment risk in accordance with Article 384 CRR. See CVA template.
670	1.6.3. Based on OEM Own funds requirements for credit valuation adjustment risk in accordance with Article 385 CRR. See CVA template.
680	1.7. TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK Point (b)(ii) of Article 92(3) and Articles 395 to 401 CRR
690	1.8. OTHER RISK EXPOSURE AMOUNTS Articles 3, 458 and 459 CRR and risk exposure amounts which cannot be assigned to one of the items from 1.1 to 1.7. Institutions shall report the amounts needed to comply with the following: Stricter prudential requirements imposed by the Commission, in accordance with Articles 458 and 459 CRR. Additional risk exposure amounts due to Article 3 CRR. This item does not have a link to a details template.
710	1.8.2. Of which: Additional stricter prudential requirements based on Article 458 CRR Article 458 CRR
720	1.8.2* Of which: requirements for large exposures Article 458 CRR
730	1.8.2** Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property Article 458 CRR
740	1.8.2*** Of which: due to intra financial sector exposures Article 458 CRR
750	1.8.3. Of which: Additional stricter prudential requirements based on Article 459 CRR Article 459 CRR
760	1.8.4. Of which: Additional risk exposure amount due to Article 3 CRR Article 3 CRR The additional risk exposure amount has to be reported. It shall only include the additional amounts (e.g. if an exposure of 100 has a risk-weight of 20 % and the institutions applies a risk weight of 50 % based on Article 3 CRR, the amount to be reported is 30).

1.4. C 03.00 – CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

1.4.1. Instructions concerning specific positions

Rows
010	1. CET1 Capital ratio Point (a) of Article 92(2) CRR The CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount.
020	2. Surplus(+)/Deficit(-) of CET1 capital This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirement set in point (a) of Article 92(1) CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.
030	3. T1 Capital ratio Point (b) of Article 92(2) CRR The T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount.
040	4. Surplus(+)/Deficit(-) of T1 capital This item shows, in absolute figures, the amount of T1 capital surplus or deficit relating to the requirement set in point (b) of Article 92(1) CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.
050	5. Total capital ratio Point (c) of Article 92(2) CRR The total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount.
060	6. Surplus(+)/Deficit(-) of total capital This item shows, in absolute figures, the amount of own funds surplus or deficit relating to the requirement set in point (c) of Article 92(1) CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.
130	13. Total SREP capital requirement (TSCR) ratio The sum of (i) and (ii) as follows: (i) the total capital ratio (8 %) as specified in point (c) of Article 92(1) CRR; (ii) the additional own funds requirements (Pillar 2 Requirements – P2R) ratio determined in accordance with the criteria specified in the EBA Guidelines on common procedures and methodologies for the supervisory review and evaluation process and supervisory stress testing (EBA SREP GL). This item shall reflect the total SREP capital requirement (TSCR) ratio as communicated to the institution by the competent authority. The TSCR is defined in Section 1.2 of the EBA SREP GL. Where no additional own funds requirements were communicated by the competent authority, only point (i) shall be reported.
140	13* TSCR: to be made up of CET1 capital The sum of (i) and (ii) as follows: (i) the CET1 capital ratio (4,5 %) as per point (a) of Article 92(1) CRR; (ii) the part of the P2R ratio, referred to in point (ii) of row 130, which is required by the competent authority to be held in the form of CET1 capital. Where no additional own funds requirements, to be held in the form of CET1 capital, were communicated by the competent authority, only point (i) shall be reported.
150	13** TSCR: to be made up of Tier 1 capital The sum of (i) and (ii) as follows: (i) the Tier 1 capital ratio (6 %) as per point (b) of Article 92(1) CRR; (ii) the part of P2R ratio, referred to in point (ii) of row 130, which is required by the competent authority to be held in the form of Tier 1 capital. Where no additional own funds requirements, to be held in the form of Tier 1 capital, were communicated by the competent authority, then only point (i) shall be reported.
160	14. Overall capital requirement (OCR) ratio The sum of (i) and (ii) as follows: (i) the TSCR ratio referred to in row 130; (ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD. This item shall reflect the Overall capital requirement (OCR) ratio as defined in Section 1.2 of the EBA SREP GL. Where no buffer requirement is applicable, only point (i) shall be reported.
170	14* OCR: to be made up of CET1 capital The sum of (i) and (ii) as follows: (i) the TSCR ratio to be made up of CET1 capital referred to in row 140; (ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD. Where no buffer requirement is applicable, only point (i) shall be reported.
180	14** OCR: to be made up of Tier 1 capital The sum of (i) and (ii) as follows: (i) the TSCR ratio to be made up of Tier 1 capital referred to in row 150; (ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD. Where no buffer requirement is applicable, only point (i) shall be reported.
190	15. Overall capital requirement (OCR) and Pillar 2 Guidance (P2G) ratio The sum of (i) and (ii) as follows: (i) the OCR ratio referred to in row 160; (ii) where applicable, the Pillar 2 Guidance (P2G) as defined in the EBA SREP GL. P2G shall be included only if communicated to the institution by the competent authority. Where no P2G is communicated by the competent authority, only point (i) shall be reported.
200	15* OCR and P2G: to be made up of CET1 capital The sum of (i) and (ii) as follows: (i) the OCR ratio to be made up of CET1 capital referred to in row 170; (ii) where applicable, the part of P2G, referred to in point (ii) in row 190, which is required by the competent authority to be held in the form of CET1 capital. P2G shall be included only if communicated to the institution by the competent authority. Where no P2G is communicated by the competent authority, only point (i) shall be reported.
210	15** OCR and P2G: to be made up of Tier 1 capital The sum of (i) and (ii) as follows: (i) the OCR ratio to be made up of Tier 1 capital referred to in row 180; (ii) where applicable, the part of P2G, referred to in point (ii) in row 190, which is required by the competent authority to be held in the form of Tier 1 capital. P2G shall be included only if communicated to the institution by the competent authority. Where no P2G is communicated by the competent authority, only point (i) shall be reported.

1.5. C 04.00 – MEMORANDUM ITEMS (CA4)

1.5.1. Instructions concerning specific positions

a Council Directive 93/6/EEC of 15 March 1993 on the capital adequacy of investments firms and credit institutions (OJ L 141, 11.6.1993, p. 1).
b Directive 2000/12/EC of the European Parliament and of the Council of 20 March 2000 relating to the taking up and pursuit of the business of credit institutions (OJ L 126, 26.5.2000, p. 1).
Rows
010	1. Total deferred tax assets The amount reported in this item shall be equal to the amount reported in the most recent verified/audited accounting balance sheet.
020	1.1. Deferred tax assets that do not rely on future profitability Article 39(2) CRR Deferred tax assets that do not rely on future profitability, and thus are subject to the application of a risk weight.
030	1.2. Deferred tax assets that rely on future profitability and do not arise from temporary differences Point (c) of Article 36(1) and Article 38 CRR Deferred tax assets that rely on future profitability, but do not arise from temporary differences, and thus are not subject to any threshold (i.e. are completely deducted from CET1).
040	1.3. Deferred tax assets that rely on future profitability and arise from temporary differences Point (c) of Article 36(1); Article 38 and point (a) of Article 48(1) CRR Deferred tax assets that rely on future profitability and arise from temporary differences, and thus, their deduction from CET1 is subject to 10 % and 17,65 % thresholds in Article 48 CRR.
050	2. Total deferred tax liabilities The amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet.
060	2.1. Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability Paragraphs 3 and 4 of Article 38 CRR Deferred tax liabilities for which conditions in paragraphs 3 and 4 of Article 38 CRR are not met. Hence, this item shall include the deferred tax liabilities that reduce the amount of goodwill, other intangible assets or defined benefit pension fund assets required to be deducted, which are reported, respectively, in CA1 items 1.1.1.10.3, 1.1.1.11.2 and 1.1.1.14.2.
070	2.2. Deferred tax liabilities deductible from deferred tax assets that rely on future profitability Article 38 CRR
080	2.2.1. Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences Paragraphs 3, 4 and 5 of Article 38 CRR Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, in accordance with paragraphs 3 and 4 of Article 38 CRR, and are not allocated to deferred tax assets that rely on future profitability and arise from temporary differences, as laid down in Article 38(5) CRR
090	2.2.2. Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences Paragraphs 3, 4 and 5 of Article 38 CRR Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, in accordance with paragraphs 3 and 4 of Article 38 CRR, and are allocated to deferred tax assets that rely on future profitability and arise from temporary differences, as laid down in Article 38(5) CRR
093	2A Tax overpayments and tax loss carry backs Article 39(1) CRR The amount of tax overpayments and tax loss carry backs which is not deducted from own funds in accordance with Article 39(1) CRR; the amount reported shall be the amount before the application of risk weights.
096	2B Deferred Tax Assets subject to a risk weight of 250 % Article 48(4) CRR The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to Article 48(1) CRR, but subject to a risk weight of 250 % in accordance with Article 48(4) CRR, taking into account the effect of Article 470 CRR. The amount reported shall be the amount of DTAs before the application of the risk weight.
097	2C Deferred Tax Assets subject to a risk weight of 0 % Point (d) of Article 469(1), Article 470, Article 472(5) and Article 478 CRR The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to point (d) of Article 469(1) and Article 470 CRR, but subject to a risk weight of 0 % in accordance with Article 472(5) CRR. The amount reported shall be the amount of DTAs before the application of the risk weight.
100	3. IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures Point (d) of Article 36(1), point (d) of Article 62, Articles 158 and 159 CRR This item shall only be reported by IRB institutions.
110	3.1. Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount Article 159 CRR This item shall only be reported by IRB institutions.
120	3.1.1. General credit risk adjustments Article 159 CRR This item shall only be reported by IRB institutions.
130	3.1.2. Specific credit risk adjustments Article 159 CRR This item shall only be reported by IRB institutions.
131	3.1.3. Additional value adjustments and other own funds reductions Articles 34, 110 and 159 CRR This item shall only be reported by IRB institutions.
140	3.2. Total expected losses eligible Paragraphs 5, 6 and 10 of Article 158 and Article 159 CRR This item shall only be reported by IRB institutions. Only the expected loss related to non-defaulted exposures shall be reported.
145	4. IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures Point (d) of Article 36(1), point (d) of Article 62, Articles 158 and 159 CRR This item shall only be reported by IRB institutions.
150	4.1. Specific credit risk adjustments and positions treated similarily Article 159 CRR This item shall only be reported by IRB institutions.
155	4.2. Total expected losses eligible Paragraphs 5, 6 and 10 of Article 158, and Article 159 CRR This item shall only be reported by IRB institutions. Only the expected loss related to defaulted exposures shall be reported.
160	5. Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2 Point (d) of Article 62 CRR For IRB institutions, the excess amount of provisions (to expected losses) eligible for inclusion in Tier 2 capital is capped at 0,6 % of risk-weighted exposure amounts calculated with the IRB Approach, in accordance with point (d) of Article 62 CRR. The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 0,6 %) which is the base for calculating the cap.
170	6. Total gross provisions eligible for inclusion in T2 capital Point (c) of Article 62 CRR This item includes the general credit risk adjustments that are eligible for inclusion in T2 capital, before cap. The amount to be reported shall be gross of tax effects.
180	7. Risk weighted exposure amounts for calculating the cap to the provision eligible as T2 Point (c) of Article 62 CRR According to point (c) of Article 62 CRR, the credit risk adjustments eligible for inclusion in Tier 2 capital is capped at 1,25 % of risk-weighted exposure amounts. The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 1,25 %) which is the base for calculating the cap.
190	8. Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment Point (a) of Article 46(1) CRR This item contains the threshold up to which holdings in a financial sector entity where an institution does not have a significant investment are not deducted. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.
200	9. 10 % CET1 threshold Points (a) and (b) of Article 48(1) CRR This item contains the 10 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.
210	10. 17,65 % CET1 threshold Article 48(1) CRR This item contains the 17,65 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences, to be applied after the 10 % threshold. The threshold is to be calculated in such a way that the amount of the two items that is recognised does not exceed 15 % of the final Common Equity Tier 1 capital, i.e. the CET1 capital calculated after all deductions, not including any adjustment due to transitional provisions.
225	11.1. Eligible capital for the purposes of qualifying holdings outside the financial sector Point (a) of point (71) of Article 4(1) CRR
226	11.2. Eligible capital for the purposes of large exposures Point (b) of point (71) of Article 4(1) CRR
230	12. Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 44, 45, 46 and 49 CRR
240	12.1. Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 44, 45, 46 and 49 CRR
250	12.1.1. Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 44, 46 and 49 CRR Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer; b) The amounts relating to the investments for which any alternative in Article 49 is applied; and c) Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR
260	12.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 45 CRR Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
270	12.2. Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Point (114) of Article 4(1) and Articles 44 and 45 CRR
280	12.2.1. Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Point (114) of Article 4(1) and Articles 44 and 45 CRR The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR shall not be included
290	12.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Point (114) of Article 4(1) and Article 45 CRR Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
291	12.3.1. Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Point (126) of Article 4(1) and Articles 44 and 45 CRR
292	12.3.2. Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Point (126) of Article 4(1) and Articles 44 and 45 CRR
293	12.3.3. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Point (126) of Article 4(1) and Article 45 CRR
300	13. Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 58, 59 and 60 CRR
310	13.1. Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 58, 59 and Article 60(2) CRR
320	13.1.1. Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Article 58 and Article 60(2) CRR Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer; and b) Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 56 CRR
330	13.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 59 CRR Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
340	13.2. Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Point (114) of Article 4(1) and Articles 58 and 59 CRR
350	13.2.1. Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Point (114) of Article 4(1) and Articles 58 and 59 CRR The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to point (b) of Article 56 CRR shall not be included.
360	13.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Point (114) of Article 4(1) and Article 59 CRR Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
361	13.3. Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Point (126) of Article 4(1) and Articles 58 and 59 CRR
362	13.3.1. Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Point (126) of Article 4(1) and Articles 58 and 59 CRR
363	13.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Point (126) of Article 4(1) and Article 59 CRR
370	14. Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 68, 69 and 70 CRR
380	14.1. Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 68 and 69 and Article 70(2) CRR
390	14.1.1. Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment Article 68 and Article 70(2) CRR Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer; and b) Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 66 CRR
400	14.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 69 CRR Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
410	14.2. Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment Point (114) of Article 4(1) and Articles 68 and 69 CRR
420	14.2.1. Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment Point (114) of Article 4(1) and Articles 68 and 69 CRR The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings in accordance with Article 66 point (b) CRR shall not be included
430	14.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Point (114) of Article 4(1) and Article 69 CRR Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
431	14.3. Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment Point (126) of Article 4(1) and Articles 68 and 69 CRR
432	14.3.1. Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment Point (126) of Article 4(1) and Articles 68 and 69 CRR
433	14.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Point (126) of Article 4(1) and Article 69 CRR
440	15. Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions Articles 44, 45, 47 and 49 CRR
450	15.1. Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 44, 45, 47 and 49 CRR
460	15.1.1. Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 44, 45, 47 and 49 CRR Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer; b) The amounts relating to the investments for which any alternative in Article 49 is applied; and c) Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR
470	15.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 45 CRR Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
480	15.2. Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment Point (114) of Article 4(1) and Articles 44 and 45 CRR
490	15.2.1. Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment Point (114) of Article 4(1) and Articles 44 and 45 CRR The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR shall not be included.
500	15.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Point (114) of Article 4(1) and Article 45 CRR Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
501	15.3. Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment Point (126) of Article 4(1) and Articles 44 and 45 CRR
502	15.3.1. Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment Point (126) of Article 4(1) and Articles 44 and 45 CRR
503	15.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Point (126) of Article 4(1) and Article 45 CRR
510	16. Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions Articles 58 and 59 CRR
520	16.1. Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 58 and 59 CRR
530	16.1.1. Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment Article 58 CRR Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer (point (d) of Article 56 CRR); and b) Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 56 CRR.
540	16.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 59 CRR Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
550	16.2. Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment Point (114) of Article 4(1) and Articles 58 and 59 CRR
560	16.2.1. Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment Point (114) of Article 4(1) and Articles 58 and 59 CRR The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 56 CRR shall not be included.
570	16.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Point (114) of Article 4(1) and Article 59 CRR Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
571	16.3. Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment Point (126) of Article 4(1) and Articles 58 and 59 CRR
572	16.3.1. Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment Point (126) of Article 4(1) and Articles 58 and 59 CRR
573	16.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Point (126) of Article 4(1) and Article 59 CRR
580	17. Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions Articles 68 and 69 CRR
590	17.1. Direct holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 68 and 69 CRR
600	17.1.1. Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment Article 68 CRR Direct holdings of T2 capital of financial sector entities where the institution has a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer (point (d) of Article 66 CRR); and b) Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 66 CRR
610	17.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 69 CRR Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
620	17.2. Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment Point (114) of Article 4(1) and Articles 68 and 69 CRR
630	17.2.1. Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment Point (114) of Article 4(1) and Articles 68 and 69 CRR The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 66 CRR shall not be included
640	17.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Point (114) of Article 4(1) and Article 69 CRR Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
641	17.3. Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment Point (126) of Article 4(1) and Articles 68 and 69 CRR
642	17.3.1. Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment Point (126) of Article 4(1) and Articles 68 and 69 CRR
643	17.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Point (126) of Article 4(1) and Article 69 CRR
650	18. Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution’s CET1 capital Articles 46(4), 48(4) and 49(4) CRR
660	19. Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution’s AT1 capital Article 60(4) CRR
670	20. Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution’s T2 capital Article 70(4) CRR
680	21. Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived Article 79 CRR A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, where it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that those instruments shall also be reported on item 12.1.
690	22. Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Article 79 CRR A competent authority may waive the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that those instruments shall also be reported on item 15.1.
700	23. Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived Article 79 CRR A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 13.1.
710	24. Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Article 79 CRR A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 16.1.
720	25. Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived Article 79 CRR A competent authority may waive the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that those instruments shall also be reported on item 14.1.
730	26. Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Article 79 CRR A competent authority may waive the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that those instruments shall also be reported on item 17.1.
740	27. Combined buffer requirement Point (6) of Article 128 CRD
750	Capital conservation buffer Point (1) of Article 128 and Article 129 CRD In accordance with Article 129(1) CRD, the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this row.
760	Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State Point (d)(iv) of Article 458(2) CRR In this row, the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested in accordance with Article 458 CRR in addition to the capital conservation buffer, shall be reported. The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.
770	Institution specific countercyclical capital buffer Point (2) of Article 128 and Articles 130, 135 to 140 CRD The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.
780	Systemic risk buffer Point (5) of Article 128, Articles 133 and 134 CRD The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.
800	Global Systemically Important Institution buffer Point (3) of Article 128 and Article 131 CRD The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.
810	Other Systemically Important Institution buffer Point (4) Article 128 and Article 131 CRD The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.
820	28. Own funds requirements related to Pillar II adjustments Article 104(2) CRD. If a competent authority decides that an institution has to calculate additional own funds requirements for Pillar II reasons, those additional own funds requirements shall be reported in this row.
830	29. Initial capital Articles 12 and 28 to 31 CRD and Article 93 CRR
840	30. Own funds based on Fixed Overheads Point (b) of Article 96(2), Article 97 and point (a) of Article 98(1) CRR
850	31. Non-domestic original exposures Information necessary to calculate the threshold for reporting of the CR GB template in accordance with point (4) of Article 5(a) of this Implementing Regulation. The calculation of the threshold shall be done at the basis of the original exposure pre-conversion factor. Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.
860	32. Total original exposures Information necessary to calculate the threshold for reporting of the CR GB template in accordance with point (4) of Article 5(a)of this Implementing Regulation. The calculation of the threshold shall be done at the basis of the original exposure pre-conversion factor Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.
870	Adjustments to total own funds Article 500(4) CRR The difference between the amount reported in row 880 and the total own funds pursuant to CRR has to be reported in this row. If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty.
880	Own funds fully adjusted for Basel I floor Article 500(4) CRR Total own funds pursuant to CRR adjusted as required by Article 500(4) CRR (i.e. fully adjusted to reflect differences in the calculation of own funds under Council Directive 93/6/EECa and Directive 2000/12/EC of the European Parliament and of the Councilb as those Directives stood prior to 1 January 2007 and the calculation of own funds under CRR deriving from the separate treatments of expected loss and unexpected loss under Chapter 3 of Title II of Part Three CRR) have to be reported in this position. If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty.
890	Own funds requirements for Basel I floor Point (b) of Article 500(1) CRR The amount of own funds required by point (b) of Article 500(1) CRR to be held (i.e. 80 % of the total minimum amount of own funds that the institution would be required to hold under Article 4 of Directive 93/6/EEC and Directive 2000/12/EC has to be reported in this position.
900	Own funds requirements for Basel I floor – SA alternative Paragraphs 2 and 3 of Article 500 CRR The amount of own funds required by Article 500(2) CRR to be hold (i.e. 80 % of the own funds that the institution would be required to hold under Article 92 CRR calculating risk-weighted exposure amounts in accordance with Chapter 2 of Title II of Part Three and Chapters 2 and 3 of Title III of Part Three CRR, as applicable, instead of in accordance with Chapter 3 of Title II of Part Three, or Chapter 4 of Title III of Part Three CRR, as applicable) has to be reported in this position.
910	Deficit of total own funds as regards the own funds requirements of the Basel I floor or SA alternative Point (b) of Article 500(1) and Article 500(2) CRR This row has to be filled with: where point (b) of Article 500(1) CRR is applied and row 880 < row 890: the difference between row 890 and row 880; or where Article 500(2) CRR is applied and row 010 of C 01.00 < row 900 of C 04.00: the difference between row 900 of C 04.00 and row 010 of C 01.00.

1.6. TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA5)

1.6.1. General remarks

15. CA5 summarises the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491 CRR.

16. CA5 is structured as follows:

(a)

Template 5.1 summarises the total adjustments which need to be made to the different components of own funds (reported in CA1 in accordance with the final provisions) as a consequence of the application of the transitional provisions. The elements of this template are presented as “adjustments” to the different capital components in CA1, in order to reflect in own funds components the effects of the transitional provisions.

(b)

Template 5.2 provides further details on the calculation of those grandfathered instruments which do not constitute state aid.

17. Institutions shall report in the first four columns the adjustments to Common Equity Tier 1 capital, Additional Tier 1 capital and Tier 2 capital as well as the amount to be treated as risk weighted assets. Institutions are also required to report the applicable percentage in column 050 and the eligible amount without the recognition of transitional provisions in column 060.

18. Institutions shall only report elements in CA5 during the period where transitional provisions laid down in Part Ten CRR apply.

19. Some of the transitional provisions require a deduction from Tier 1. If this is the case the residual amount of a deduction or deductions is applied to Tier 1 and there is insufficient AT1 to absorb this amount then the excess shall be deducted from CET1.

1.6.2. C 05.01 – TRANSITIONAL PROVISIONS (CA5.1)

20. Institutions shall report in CA5.1 template the transitional provisions to own funds components as laid down in Articles 465 to 491 CRR, compared to applying the final provisions laid down in Title II of Part Two CRR.

21. Institutions shall report in rows 020 to 060 information about the transitional provisions of grandfathered instruments. The figures to be reported in columns 010 to 030 of row 060 of CA5.1 can be derived from the respective sections of CA5.2.

22. Institutions shall report in rows 070 to 092 information about the transitional provisions of minority interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 CRR).

23. In rows 100 onwards institutions shall report information about the transitional provisions of unrealised gains and losses, deductions as well as additional filters and deductions.

24. There might be cases where the transitional deductions of CET1, AT1 or T2 capital exceed the CET1, AT1 or T2 capital of an institution. That effect – if it results from transitional provisions – shall be shown in the CA1 template using the respective cells. As a consequence, the adjustments in the columns of the CA5 template shall not include any spill-over effects in the case of insufficient capital available.

1.6.2.1. Instructions concerning specific positions

Columns
010	Adjustments to CET1
020	Adjustments to AT1
030	Adjustments to T2
040	Adjustments included in RWAs Column 040 includes the relevant amounts adjusting the total risk exposure amount of Article 92(3) CRR due to transitional provisions. The amounts reported shall consider the application of provisions of Chapter 2 or 3 of Title II of Part Three or of Title IV of Part Three in accordance with Article 92(4) CRR. That means that transitional amounts subject to Chapter 2 or 3 of Title II of Part Three shall be reported as risk weighted exposure amounts, whereas transitional amounts subject to Title IV of Part Three shall represent the own funds requirements multiplied by 12,5. Whereas columns 010 to 030 have a direct link to the CA1 template, the adjustments to the total risk exposure amount do not have a direct link to the relevant templates for credit risk. If there are adjustments stemming from the transitional provisions to the total risk exposure amount, those adjustments shall be included directly in the CR SA, CR IRB, CR EQU IRB, MKR SA TDI, MKR SA EQU or MKR IM. Additionally, those effects shall be reported in column 040 of CA5.1. As a consequence, those amounts shall be memorandum items only.
050	Applicable percentage
060	Eligible amount without transitional provisions Column 060 includes the amount of each instrument prior the application of transitional provisions, i.e. the basis amount relevant to calculate the adjustments.

Rows
010	1. Total adjustments This row reflects the overall effect of transitional adjustments in the different types of capital, plus the risk weighted amounts arising from those adjustments
020	1.1. Grandfathered instruments Articles 483 to 491 CRR This row reflects the overall effect of instruments transitionally grandfathered in the different types of capital.
030	1.1.1. Grandfathered instruments: Instruments constituting state aid Article 483 CRR
040	1.1.1.1. Instruments that qualified as own funds according to 2006/48/EC Paragraphs 1, 2, 4 and 6 of Article 483 CRR
050	1.1.1.2. Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme Paragraphs 1, 3, 5, 7 and 8 of Article 483CRR
060	1.1.2. Instruments not constituting state aid The amounts to be reported shall be obtained from column 060 of CA5.2 template
070	1.2. Minority interests and equivalents Articles 479 and 480 CRR This row reflects the effects of transitional provisions in the minority interests eligible as CET1; the qualifying T1 instruments eligible as consolidated AT1; and the qualifying own funds eligible as consolidated T2.
080	1.2.1. Capital instruments and items that do not qualify as minority interests Articles 479 CRR The amount to be reported in column 060 of this row shall be the amount qualifying as consolidated reserves in accordance with prior regulation.
090	1.2.2. Transitional recognition in consolidated own funds of minority interests Articles 84 and 480 CRR The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.
091	1.2.3. Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital Articles 85 and 480 CRR The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.
092	1.2.4. Transitional recognition in consolidated own funds of qualifying Tier 2 capital Articles 87 and 480 CRR The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.
100	1.3. Other transitional adjustments Articles 467 to 478 and Article 481 CRR This row reflects the overall effect of transitional adjustments in the deduction to different types of capital, unrealised gains and losses, additional filters and deductions plus the risk weighted amounts arising from these adjustments.
110	1.3.1. Unrealised gains and losses Articles 467 and 468 CRR This row reflects the overall effect of transitional provisions on unrealised gains and losses measured at fair value.
120	1.3.1.1. Unrealised gains Article 468(1) CRR
130	1.3.1.2. Unrealised losses Article 467(1) CRR
133	1.3.1.3. Unrealised gains on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39 Article 468 CRR
136	1.3.1.4. Unrealised loss on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39 Article 467 CRR
138	1.3.1.5. Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities Article 468 CRR
140	1.3.2. Deductions Article 36(1) and Articles 469 to 478 CRR This row reflects the overall effect of transitional provisions on deductions.
150	1.3.2.1. Losses for the current financial year Point (a) of Article 36(1), Articles 469(1) and 472(3) and Article 478 CRR The amount to be reported in column 060 of this row shall be the original deduction in accordance with point (a) of Article 36(1) CRR. Where firms have only been required to deduct material losses: where the total interim net loss was “material”, the full residual amount would be deducted from Tier 1, or where the whole total interim net loss was not “material”, no deduction of residual amount would be made.
160	1.3.2.2. Intangible assets Point (b) of Article 36(1), Articles 469(1) and 472(4) and Article 478 CRR When determining the amount of intangible assets to be deducted, institutions shall take into account the provisions of Article 37 CRR. The amount to be reported in column 060 of this row shall be the original deduction in accordance with point (b) of Article 36(1) CRR.
170	1.3.2.3. Deferred tax assets that rely on future profitability and do not arise from temporary differences Point (c) of Article 36(1), Articles 469(1) and 472(5) and Article 478 CRR When determining the amount of the above-mentioned deferred tax assets (DTA) to be deducted, institutions shall take into account the provisions of Article 38 CRR relating to the reduction of DTA by deferred tax liabilities. The amount to be reported in column 060 of this row: Total amount in accordance with Article 469(1) CRR.
180	1.3.2.4. IRB shortfall of provisions to expected losses Point (d) of Articles 36(1), Articles 469(1) and 472(6) and Article 478 CRR When determining the amount of the above-mentioned IRB shortfall of provisions to expected losses to be deducted, institutions shall take into account the provisions of Article 40 CRR. The amount to be reported in column 060 of this row: Original deduction in accordance with point (d) of Article 36(1) CRR
190	1.3.2.5. Defined benefit pension fund assets Point (e) of Article 33(1), Articles 469(1) and 472(7), Articles 473 and 478 CRR When determining the amount of the above-mentioned defined benefit pension fund assets to be deducted, institutions shall take into account the provisions of Article 41 CRR. The amount to be reported in column 060 of this row: Original deduction in accordance with point (e) of Article 36(1)CRR
194	1.3.2.5.* of which: Introduction of amendments to IAS 19 – positive item Article 473 CRR
198	1.3.2.5.** of which: Introduction of amendments to IAS 19 – negative item Article 473 CRR
200	1.3.2.6. Own instruments Point (f) of Article 36(1), Articles 469(1) and 472(8) and Article 478 CRR The amount to be reported in column 060 of this row: Original deduction in accordance with point (f) of Article 36(1)CRR.
210	1.3.2.6.1. Own CET1 instruments Point (f) of Article 36(1), Articles 469(1) and 472(8) and Article 478 CRR When determining the amount of the above-mentioned Own Common Equity Tier 1 instruments to be deducted, institutions shall take into account Article 42 CRR. Given that the treatment of the “residual amount” differs depending upon the nature of the instrument, institutions shall break down holdings in own Common Equity instruments into “direct” and “indirect” holdings. The amount to be reported in column 060 of this row: Original deduction in accordance with point (f) of Article 36(1) CRR.
211	1.3.2.6.1** of which: Direct holdings Point (b) of Article 469(1) and point (a) of Article 472(8) CRR The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation.
212	1.3.2.6.1* of which: Indirect holdings Point (b) of Article 469(1) and point (b) of Article 472(8) CRR The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation.
220	1.3.2.6.2. Own AT1 instruments Point (a) of Article 56, Article 474 and Article 475(2) and Article 478 CRR When determining the amount of the above-mentioned holdings to be deducted, institutions shall take into account the provisions of Article 57 CRR. Given that the treatment of the “residual amount” differs depending upon the nature of the instrument (Article 475(2) CRR), institutions shall break down the above-mentioned holdings into “direct” and “indirect” own Additional Tier 1 holdings. The amount to be reported in column 060 of this row: Original deduction in accordance with point (a) of Article 56CRR.
221	1.3.2.6.2** of which: Direct holdings The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, point (b) of Article 474 and point (a) of Article 475(2) CRR.
222	1.3.2.6.2* of which: Indirect holdings The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, point (b) of Article 474 and point (b) of Article 475(2) CRR.
230	1.3.2.6.3. Own T2 instruments Point (a) of Article 66, Article 476, Article 477(2) and Article 478 CRR When determining the amount of the holdings to be deducted, institutions shall take into account the provisions of Article 67 CRR. Given that the treatment of the “residual amount” differs depending upon the nature of the instrument (Article 477(2) CRR), institutions shall break down the above-mentioned holdings according to “direct” and “indirect” own Tier 2 holdings. The amount to be reported in column 060 of this row: Original deduction in accordance with point (a) of Article 66 CRR.
231	of which: Direct holdings The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, point (b) of Article 476 and point (a) of Article 477(2) CRR.
232	of which: Indirect holdings The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, point (b) of Article 476 and point (b) of Article 477(2) CRR.
240	1.3.2.7. Reciprocal cross holdings Given that the treatment of the “residual amount” differs depending whether the holding of Common Equity Tier 1, Additional Tier 1 or Tier 2 in the financial sector entity is to be considered being significant or not (Articles 472(9), 475(3) and 477(3) CRR), institutions shall break down reciprocal cross holdings according to significant investments and non-significant investments.
250	1.3.2.7.1. Reciprocal cross holdings in CET1 Capital Point (g) of Article 36(1), Articles 469(1) and 472(9) and Article 478 CRR The amount to be reported in column 060 of this row: Original deduction in accordance with point (g) of Article 36(1)CRR.
260	1.3.2.7.1.1. Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment Point (g) of Article 36(1), Article 469(1), point (a) of Article 472(9) and Article 478 CRR The amount to be reported in column 060 of this row: Residual amount in accordance with point (b) of Article 469(1) CRR.
270	1.3.2.7.1.2. Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment Point (g) of Article 36(1), Article 469(1), point (b) of Article 472(9) and Article 478 CRR The amount to be reported in column 060 of this row: Residual amount in accordance with point (b) of Article 469(1) CRR
280	1.3.2.7.2. Reciprocal cross holdings in AT1 Capital Point (b) of Article 56, Article 474, Article 475(3) and Article 478 CRR The amount to be reported in column 060 of this row: Original deduction in accordance with point (b) of Article 56 CRR
290	1.3.2.7.2.1. Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment Point (b) of Article 56, Article 474, point (a) of Article 475(3) and Article 478 CRR The amount to be reported in column 060 of this row: Residual amount in accordance with Article 475(3) CRR
300	1.3.2.7.2.2. Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment Point (b) of Article 56, Article 474, point (b) of Article 475(3) and Article 478 CRR The amount to be reported in column 060 of this row: Residual amount in accordance with Article 475(3) CRR.
310	1.3.2.7.3. Reciprocal cross holdings in T2 Capital Point (b) of Article 66, Article 476, Article 477(3) and Article 478 CRR The amount to be reported in column 060 of this row: Original deduction in accordance with point (b) of Article 66 CRR
320	1.3.2.7.3.1. Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment Point (b) of Article 66, Article 476, point (a) of Article 477(3) and Article 478 CRR The amount to be reported in column 060 of this row: Residual amount in accordance with Article 477(3) CRR.
330	1.3.2.7.3.2. Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment Point (b) of Article 66, Article 476, point (a) of Article 477(3) and Article 478 CRR The amount to be reported in column 060 of this row: Residual amount in accordance with Article 477(3) CRR.
340	1.3.2.8. Own funds instruments of financial sector entities where the institution does not have a significant investment
350	1.3.2.8.1. CET1 instruments of financial sector entities where the institution does not have a significant investment Point (h) of Article 36(1), Articles 469(1) and 472(10) and Article 478 CRR The amount to be reported in column 060 of this row: Original deduction in accordance with point (h) of Article 36(1) CRR.
360	1.3.2.8.2. AT1 instruments of financial sector entities where the institution does not have a significant investment Point (c) of Article 56, Article 474, Article 475(4) and Article 478 CRR The amount to be reported in column 060 of this row: Original deduction in accordance with point (c) of Article 56 CRR
370	1.3.2.8.3. T2 instruments of financial sector entities where the institution does not have a significant investment Point (c) of Article 66, Article 476, Article 477(4) and Article 478 CRR The amount to be reported in column 060 of this row: Original deduction in accordance with point (c) of Article 66 CRR.
380	1.3.2.9. Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment Paragraphs 2 and 3 of Article 470 CRR The amount to be reported in column 060 of this row: Article 470(1) CRR
385	Deferred tax assets that are dependent on future profitability and arise from temporary differences Point (c) of Article 469(1), Article 472(5) and Article 478 CRR. Part of deferred tax assets that rely in future profitability and arise from temporary differences which exceeds the 10 % threshold in point (a) of Article 470(2) CRR.
390	1.3.2.10. Own funds instruments of financial sector entities where the institution has a significant investment
400	1.3.2.10.1. CET1 instruments of financial sector entities where the institution has a significant investment Point (i) of Article 36(1), Articles 469(1) and 472(11) and Article 478 CRR The amount to be reported in column 060 of this row: Original deduction in accordance with point (i) of Article 36(1) CRR
410	1.3.2.10.2. AT1 instruments of financial sector entities where the institution has a significant investment Point (d) of Article 56, Article 474, Article 475(4) and Article 478 CRR The amount to be reported in column 060 of this row: Original deduction in accordance with point (d) of Article 56CRR.
420	1.3.2.10.2. T2 instruments of financial sector entities where the institution has a significant investment Point (d) of Article 66, Article 476, Article 477(4) and Article 478 CRR The amount to be reported in column 060 of this row: Original deduction in accordance with point (d) of Article 66 CRR
425	1.3.2.11. Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items Article 471 CRR
430	1.3.3. Additional filters and deductions Article 481 CRR This row reflects the overall effect of transitional provisions on additional filters and deductions. In accordance with Article 481 CRR, institutions shall report in item 1.3.3 information relating to the filters and deductions required under the national transposition measures for Articles 57 and 66 of Directive 2006/48/EC and for Articles 13 and 16 of Directive 2006/49/EC, and which are not required in accordance with Part Two.
440	1.3.4. Adjustments due to IFRS 9 transitional arrangements Institutions shall report information in relation with the transitional arrangements due to IFRS 9 in accordance with the applicable legal provisions.

1.6.3. C 05.02 – GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)

25. Institutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting state aid (Articles 484 to 491 CRR).

1.6.3.1. Instructions concerning specific positions

Columns
010	Amount of instruments plus related share premium Paragraphs 3, 4 and 5 of Article 484 CRR Instruments which are eligible for each respective row, including their related share premiums.
020	Base for calculating the limit Paragraphs 2, 3 and 4 of Article 486 CRR
030	Applicable percentage Article 486(5) CRR
040	Limit Paragraphs 2 to 5 of Article 486 CRR
050	(-) Amount that exceeds the limits for grandfathering Paragraphs 2 to 5 of Article 486 CRR
060	Total grandfathered amount The amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA5.1.

Rows
010	1. Instruments that qualified for point (a) of Article 57 of 2006/48/EC Article 484(3) CRR The amount to be reported shall include the related share premium accounts.
020	2. Instruments that qualified for point (ca) of Article 57 and Article 154(8) and (9) of Directive 2006/48/EC, subject to the limit of Article 489 CRR Article 484(4) CRR
030	2.1. Total instruments without a call or an incentive to redeem Article 484(4) and Article 489 CRR The amount to be reported shall include the related share premium accounts.
040	2.2. Grandfathered instruments with a call and incentive to redeem Article 489 CRR
050	2.2.1. Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 CRR after the date of effective maturity Article 489(3) and point (a) of Article 491 CRR The amount to be reported shall include the related share premium accounts.
060	2.2.2. Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 CRR after the date of effective maturity Article 489(5) and point (a) of Article 491 CRR The amount to be reported shall include the related share premium accounts.
070	2.2.3. Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 CRR after the date of effective maturity Article 489(6) and point (c) of Article 491 CRR The amount to be reported shall include the related share premium accounts
080	2.3. Excess on the limit of CET1 grandfathered instruments Article 487(1) CRR The excess on the limit of CET1 grandfathered instruments may be treated as instruments which can be grandfathered as AT1 instruments.
090	3. Items that qualified for points (e), (f), (g) or (h) of Article 57 of Directive 2006/48/EC, subject to the limit of Article 490 CRR Article 484(5) CRR
100	3.1. Total items without an incentive to redeem Article 490 CRR
110	3.2. Grandfathered items with an incentive to redeem Article 490 CRR
120	3.2.1. Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 CRR after the date of effective maturity Article 490(3) and point (a) of Article 491 CRR The amount to be reported shall include the related share premium accounts.
130	3.2.2. Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 CRR after the date of effective maturity Article 490(5) and point (a) of Article 491 CRR The amount to be reported shall include the related share premium accounts.
140	3.2.3. Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 CRR after the date of effective maturity Article 490(6) and point (c) of Article 491 CRR The amount to be reported shall include the related share premium accounts.
150	3.3. Excess on the limit of AT1 grandfathered instruments Article 487(2) CRR The excess on the limit of AT1 grandfathered instruments may be treated as instruments which can be grandfathered as T2 instruments.

2. GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

2.1. GENERAL REMARKS

26. Templates C 06.01 and C 06.02 shall be reported if own funds requirements are calculated on a consolidated basis. Template C 06.02 consists of four parts in order to gather different information on all individual entities (including the reporting institution) included in the scope of consolidation.

(a)

Entities within the scope of consolidation;

(b)

Detailed group solvency information;

(c)

Information on the contribution of individual entities to group solvency;

(d)

Information on capital buffers;

27. Institutions that obtained a waiver in accordance with Article 7 CRR shall only report the columns 010 to 060 and 250 to 400.

28. The figures reported take into account all applicable transitional provisions CRR which are applicable at the respective reporting date.

2.2. DETAILED GROUP SOLVENCY INFORMATION

29. The second part of template C 06.02 (detailed group solvency information) in columns 070 to 210 is designed to gather information on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for each risk category and the own funds for solvency purposes.

30. In the case of proportional consolidation of participations, the figures related to own funds requirements and own funds shall reflect the respective proportional amounts.

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

31. The objective of the third part of template C 06.02 and template C 06.01 (information on the contributions of all entities within CRR scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 250 to 400, is to identify which entities within the group generate the risks and raise own funds from the market, based on data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared to each other.

32. The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds.

33. As this third part of the template refers to “contributions”, the figures to be reported herein shall defer, when applicable, from the figures reported in the columns referring to detailed group solvency information.

34. The principle is to delete the cross-exposures within the same groups in a homogeneous way both in terms of risks or own funds, in order to cover the amounts reported in the group’s consolidated CA template by adding the amounts reported for each entity in “Group Solvency” template. A direct link to the CA template is not possible where the 1 % threshold is not exceeded.

35. The institutions shall define the most appropriate breakdown method between the entities to take into account the possible diversification effects for market risk and operational risk.

36. It is possible for one consolidated group to be included within another consolidated group. That means that the entities within a subgroup shall be reported entity-by-entity in the GS of the entire group, even if the sub-group itself is subject to reporting requirements. A subgroup that is subject to reporting requirements shall also report the GS template on an entity-by-entity basis, although those details are included in the GS template of a higher consolidated group.

37. An institution shall report data of the contribution of an entity when its contribution to the total risk exposure amount exceeds 1 % of the total risk exposure amount of the group or when its contribution to the total own funds exceeds 1 % of the total own funds of the group. That threshold does not apply in the case of subsidiaries or subgroups that provide own funds (in the form of minority interests or qualifying AT1 or T2 instruments included in own funds) to the group.

2.4. C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL)

Columns	Instructions
250-400	ENTITIES WITHIN SCOPE OF CONSOLIDATION See instructions for C 06.02
410-480	CAPITAL BUFFERS See instructions for C 06.02

Rows	Instructions
010	TOTAL The Total shall represent the sum of the values reported in all rows of template C 06.02.

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

Columns	Instructions
010-060	ENTITIES WITHIN SCOPE OF CONSOLIDATION This template is designed to gather information on all entities on an entity-by-entity-basis within the scope of consolidation in accordance with Chapter 2 of Title II of Part One CRR.
010	NAME Name of the entity within the scope of consolidation.
020	CODE This code is a row identifier and shall be unique for each row in the template. Code assigned to the entity within the scope of consolidation. The actual composition of the code depends on the national reporting system.
025	LEI CODE LEI code stands for Legal Entity Identification code which is a reference code proposed by the Financial Stability Board (FSB) and endorsed by the G20, aimed at achieving a unique and worldwide identification of parties to financial transactions. Until the global LEI system is fully operational, a Local Operational Unit that has been endorsed by Regulatory Oversight Committee (ROC, detailed information may be found at the following website: www.leiroc.org) assigns pre-LEI codes to counterparties. Where a Legal Entity Identification code (LEI code) exists for a given counterparty, it shall be used to identify that counterparty.
030	INSTITUTION OR EQUIVALENT (YES/NO) “YES” shall be reported where the entity is subject to own funds requirements pursuant to CRR and CRD or provisions at least equivalent to Basel provisions. “NO” shall be reported otherwise. Minority interests: Point (a)(ii) of Article 81(1) and point (a)(ii) of Article 82(1) CRR To the effects of minority interests and AT1 and T2 instruments issued by subsidiaries, the subsidiaries whose instruments can be eligible shall be institutions or undertakings subject to the requirements CRR by virtue of applicable national law.
035	TYPE OF ENTITY The type of entity shall be reported based on the following categories: (a) credit institution Point (1) of Article 4(1)CRR; (b) investment firm Point (2) of Article 4(1) CRR; (c) financial institution (other) Points (20), (21) and (26) of Article 4(1) CRR Financial institutions within the meaning of Article 4(1)(26) CRR which are not included in any of the categories (d), (f) or (g); (d) (mixed) financial holding company Points (20) and (21) of Article 4(1)CRR; (e) ancillary services undertaking Point (18) of Article 4(1) CRR; (f) securitisation special purpose entity (SSPE), Point (66) of Article 4(1)CRR; (g) covered bond company Entity set up to issue covered bonds or to hold the collateral securing a covered bond, if not included in any of the categories (a), (b) or (d) to (f) above; (h) other type of entity Entity other than those referred to in points (a) to (g). Where an entity is not subject to CRR and CRD, but subject to provisions at least equivalent to Basel provisions, the relevant category shall be determined on a best effort basis.
040	SCOPE OF DATA: solo fully consolidated (SF) OR solo partially consolidated (SP) “SF” shall be reported for individual subsidiaries fully consolidated. “SP” shall be reported for individual subsidiaries partially consolidated.
050	COUNTRY CODE Institutions shall report the two-letter country code referred to in ISO 3166-2.
060	SHARE OF HOLDING (%) This percentage refers to the actual share of capital the parent undertaking holds in subsidiaries. In case of full consolidation of a direct subsidiary, the actual share is e.g. 70 %. In accordance with point 16 of Article 4(1) CRR, the share of holding of a subsidiary to be reported results from a multiplication of the shares between the subsidiaries concerned.
070-240	INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT The section of detailed information (i.e. columns 070 to 240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Chapter 2 of Title II of Part One CRR), are effectively subject to solvency requirements laid down in CRR or provisions at least equivalent to Basel provisions (i.e, reported yes in column 030). Information shall be included about all individual institutions of a consolidated group that are subject to own funds requirements, regardless where they are located. The information reported in this part shall reflect the local solvency rules of the jurisdiction in which the institution is operating (therefore, for this template, it is not necessary to do a double calculation on an individual basis on the basis of the parent institution’s rules). When local solvency rules differ from CRR and a comparable breakdown is not given, the information shall be completed where data are available in the respective granularity. Therefore, this part is a factual template that summarises the calculations that the individual institutions of a group shall carry out, bearing in mind that some of those institutions may be subject to different solvency rules. Reporting of fixed overheads of investment firms: Investment firms shall include own funds requirements related to fixed overheads in their calculation of capital ratio pursuant to Articles 95, 96, 97 and 98 CRR. The part of the total risk exposure amount related to fixed overheads shall be reported in column 100 of part 2 of this template.
070	TOTAL RISK EXPOSURE AMOUNT The sum of the columns 080 to 110 shall be reported.
080	CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK The amount to be reported in this column shall correspond to the sum of risk weighted exposure amounts that are equal or equivalent to the ones that must be reported in row 040 “RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES” and the amounts of own funds requirements that are equal or equivalent to the ones that must be reported in row 490 “TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS” of template CA2.
090	POSITION, FX AND COMMODITY RISKS The amount to be reported in this column shall correspond to the amount of own funds requirements that are equal or equivalent to the ones that must be reported in row 520 “TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS” of template CA2.
100	OPERATIONAL RISK The amount to be reported in this column shall correspond to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 590 “TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR)” of the template CA2. Fixed overheads shall be included in this column including the row 630 “ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS” of template CA2.
110	OTHER RISK EXPOSURE AMOUNTS The amount to be reported in this column shall correspond to the risk exposure amount not especially listed above. It shall be the sum of the amounts of rows 640, 680 and 690 of template CA2.
120-240	DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS The information reported in the following columns shall reflect the local solvency rules of the Member State in which the entity or subgroup is operating.
120	OWN FUNDS The amount to be reported in this column corresponds to the amount of own funds that are equal or equivalent to the ones that must be reported in row 010 “OWN FUNDS” of the template CA1.
130	OF WHICH: QUALIFYING OWN FUNDS Article 82 CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated and that are institutions. Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings, share premium accounts and other reserves) owned by persons other than the undertakings and included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting.
140	RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES Point (b) of Article 87(1)CRR
150	TOTAL TIER 1 CAPITAL Article 25 CRR
160	OF WHICH: QUALIFYING TIER 1 CAPITAL Article 82 CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated and that are institutions. Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.
170	RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS Point (b) of Article 85(1) CRR
180	COMMON EQUITY TIER 1 CAPITAL Article 50 CRR
190	OF WHICH: MINORITY INTERESTS Article 81 CRR This column shall only be reported for subsidiaries that are fully consolidated and that are institutions, except for the subsidiaries referred to in Article 84(3) CRR. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required by Article 84 CRR, where relevant, in accordance with Article 84(2), otherwise on a solo basis. Minority interests are, for the subsidiaries specified above, the CET1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting.
200	RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES Point (b) of Article 84(1) CRR
210	ADDITIONAL TIER 1 CAPITAL Article 61 CRR
220	OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL Articles 82 and 83 CRR This column shall only be provided for the subsidiaries that are fully consolidated and that are institutions, except for the subsidiaries referred to in Article 85(2) CRR. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required in Article 85 CRR, where relevant, in accordance with Article 85(2), otherwise on a solo basis. Minority interests are, for the subsidiaries specified above, the AT1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting.
230	TIER 2 CAPITAL Article 71 CRR
240	OF WHICH: QUALIFYING TIER 2 CAPITAL Articles 82 and 83 CRR This column shall only be provided for the subsidiaries that are fully consolidated and that are institutions, except for subsidiaries referred to in Article 87(2) CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in Article 87 CRR, if relevant, in accordance with Article 87(2) CRR, otherwise on a solo basis. Minority interests are, for the subsidiaries specified above, the T2 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provisions, It shall be the eligible amount on the date of reporting.
250-400	INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP
250-290	CONTRIBUTION TO RISKS The information reported in the following columns shall be in accordance with the solvency rules applicable to the reporting institution.
250	TOTAL RISK EXPOSURE AMOUNT The sum of the columns 260 to 290 shall be reported.
260	CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK The amount to be reported shall be the risk weighted exposure amounts for credit risk and own funds requirements of settlement/delivery risk in accordance with the CRR, excluding any amount related to transactions with other entities included in the group consolidated solvency ratio computation.
270	POSITION, FX AND COMMODITY RISKS Risk exposure amounts for market risks are to be computed at each entity level in accordance with the CRR. Entities shall report the contribution to the total risk exposure amounts for position, FX and commodity risk of the group. The sum of amounts reported here shall correspond to the amount reported in row 520 “TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS” of the consolidated report.
280	OPERATIONAL RISK In case of AMA, the reported risk exposure amounts for operational risk shall include the effect of diversification. Fixed overheads shall be included in this column.
290	OTHER RISK EXPOSURE AMOUNTS The amount to be reported in this column shall correspond to the risk exposure amount for risks other than listed above.
300-400	CONTRIBUTION TO OWN FUNDS This part of the template is not intended to impose on institutions a full computation of the total capital ratio at the level of each entity. Columns 300 to 350 shall be reported for those consolidated entities which contribute to own funds by minority interest, qualifying Tier 1 capital or qualifying own funds. Subject to the threshold referred to in the last paragraph of chapter 2.3 of Part II above, columns 360 to 400 shall be reported for all consolidated entities which contribute to the consolidated own funds. Own funds brought to an entity by the rest of entities included within the scope of the reporting entity shall not to be taken into account, only the net contribution to the group own funds shall be reported in this column (mainly the own funds raised from third parties and accumulated reserves). The information reported in the following columns shall be in accordance with the solvency rules applicable to the reporting institution.
300-350	QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS The amount to be reported as “QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS” shall be the amount as derived from Title II of Part Two CRR, excluding any fund brought in by other group entities.
300	QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS Article 87 CRR
310	QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL Article 85 CRR
320	MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL Article 84 CRR The amount to be reported shall the amount of minority interests of a subsidiary that is included in consolidated CET1 in accordance with the CRR.
330	QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL Article 86 CRR The amount to be reported shall the amount of qualifying T1 capital of a subsidiary that is included in consolidated AT1 in accordance with the CRR.
340	QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL Article 88 CRR The amount to be reported shall the amount of qualifying own funds of a subsidiary that is included in consolidated T2 in accordance with the CRR.
350	MEMORANDUM ITEM: GOODWILL (-)/(+) NEGATIVE GOODWILL
360-400	CONSOLIDATED OWN FUNDS Article 18 CRR The amount to be reported as “CONSOLIDATED OWN FUNDS” shall be the amount as derived from the balance sheet, excluding any fund brought in by other group entities.
360	CONSOLIDATED OWN FUNDS
370	OF WHICH: COMMON EQUITY TIER 1
380	OF WHICH: ADDITIONAL TIER 1
390	OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT The contribution of each entity to the consolidated result (profit or loss (-)) shall be reported. That includes the results attributable to minority interests.
400	OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL Goodwill or negative goodwill of the reporting entity on the subsidiary shall be reported here.
410-480	CAPITAL BUFFERS The structure of the reporting of capital buffers for the GS template shall follow the general structure of the template CA4, using the same reporting concepts. When reporting the capital buffers for the GS template, the relevant amounts shall be reported in accordance with the provisions applicable to determine the buffer requirement for the consolidated situation of a group. Therefore, the reported amounts of capital buffers shall represent the contributions of each entity to group capital buffers. The amounts reported shall be based on the national provisions transposing CRD and on CRR, including any transitional provisions provided for therein.
410	COMBINED BUFFER REQUIREMENT Point (6) of Article 128 CRD
420	CAPITAL CONSERVATION BUFFER Point (1) of Article 128 and Article 129 CRD In accordance with Article 129(1) CRD, the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this cell.
430	INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER Point (2) of Article 128, Article 130 and Articles 135 to 140 CRD In this cell the concrete amount of the countercyclical buffer shall be reported.
440	CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE Point (d)(iv) of Article 458(2) CRR In this cell, the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested in accordance with Article 458 CRR in addition to the capital conservation buffer, shall be reported.
450	SYSTEMIC RISK BUFFER Point (5) of Article 128, Articles 133 and 134 CRD In this cell the amount of the systemic risk buffer shall be reported.
470	GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER Point (3) of Article 128 and Article 131 CRD In this cell the amount of the Global Systemically Important Institution buffer shall be reported.
480	OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER Point (4) of Article 128 and Article 131 CRD In this cell the amount of the Other Systemically Important Institution buffer shall be reported.

3. CREDIT RISK TEMPLATES

3.1. GENERAL REMARKS

38. There are different sets of templates for the Standardised Approach and the IRB Approach for credit risk. Additionally, separate templates for the geographical breakdown of positions subject to credit risk shall be reported if the relevant threshold set out in point (4) of Article 5(a) of this Implementing Regulation is exceeded.

3.1.1. Reporting of CRM techniques with substitution effect

39. Article 235 CRR describes the computation procedure of the exposure which is fully protected by unfunded protection.

40. Article 236 CRR describes the computation procedure of the exposure which is fully protected by unfunded protection in the case of full protection/partial protection – equal seniority.

41. Articles 196, 197 and 200 CRR regulate the funded credit protection.

42. Exposures to obligors (immediate counterparties) and protection providers which are assigned to the same exposure class shall be reported as an inflow as well as an outflow to the same exposure class.

43. The exposure type shall not change because of unfunded credit protection.

44. If an exposure is secured by an unfunded credit protection, the secured part shall be assigned as an outflow e.g. in the exposure class of the obligor and as an inflow in the exposure class of the protection provider. However, the type of the exposure shall not change due to the change of the exposure class.

45. The substitution effect in the COREP reporting framework shall reflect the risk weighting treatment effectively applicable to the covered part of the exposure. As such, the covered part of the exposure shall be risk weighted in accordance with the Standardised Approach and shall be reported in the CR SA template.

3.1.2. Reporting of Counterparty Credit Risk

46. Exposures stemming from Counterparty Credit Risk positions shall be reported in templates CR SA or CR IRB independent from whether they are Banking Book items or Trading Book items.

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

3.2.1. General remarks

47. The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk in accordance with the Standardised Approach. In particular, they provide detailed information on:

a)

the distribution of the exposure values according to the different, exposure types, risk weights and exposure classes;

b)

the amount and type of credit risk mitigation techniques used for mitigating the risks.

3.2.2. Scope of the CR SA template

48. In accordance with Article 112 CRR each SA exposure shall be assigned to one of the 16 SA exposure classes to calculate the own funds requirements.

49. The information in CR SA is required for the total exposure classes and individually for each of the exposure classes under the Standardised Approach. The total figures as well as the information of each exposure class are reported in a separate dimension.

50. However the following positions are not within the scope of CR SA:

(a)

Exposures assigned to exposure class “items representing securitisation positions” as referred to in point (m) of Article 112 CRR, which shall be reported in the CR SEC templates.

(b)

Exposures deducted from own funds.

51. The scope of the CR SA template shall cover the following own funds requirements:

(a)

Credit risk in accordance with Chapter 2 (Standardised Approach) of Title II of Part Three CRR in the banking book, among which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three CRR in the banking book;

(b)

Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three CRR in the trading book;

(c)

Settlement risk arising from free deliveries in accordance with Article 379 CRR in respect of all the business activities.

52. The template shall include all exposures for which the own funds requirements are calculated in accordance with Chapter 2 of Title II of Part Three CRR in conjunction with Chapters 4 and 6 of Title II of Part Three CRR. Institutions that apply Article 94(1) CRR also need to report their trading book positions in this template when they apply Chapter 2 of Title II of Part Three CRR to calculate the own funds requirements thereof (Chapters 2 and 6 of Title II of Part Three and Title V of Part Three CRR). Therefore the template shall not only provide detailed information on the type of the exposure (e.g. on balance sheet/off balance sheet items), but also information on the allocation of risk weights within the respective exposure class.

53. In addition, CR SA includes memorandum items in rows 290 to 320 to collect further information about exposures secured by mortgages on immovable property and exposures in default.

54. Those memorandum items shall only be reported for the following exposure classes:

(a)

Central governments or central banks (point (a) of Article 112 CRR);

(b)

Regional governments or local authorities (point (b) of Article 112 CRR)

(c)

Public sector entities (point (c) of Article 112 CRR);

(d)

Institutions (point (f) of Article 112 CRR);

(e)

Corporates (point (g) of Article 112 CRR);

(f)

Retail (point (h) of Article 112 CRR).

55. The reporting of the memorandum items shall affect neither the calculation of the risk weighted exposure amounts of the exposure classes referred to in points (a) to (c) and (f) to (h) of Article 112 CRR nor of the exposure classes referred to in points (i) and (j) of Article 112 CRR reported in template CR SA.

56. The memorandum rows provide additional information about the obligor structure of the exposure classes “in default” or “secured by immovable property”. Exposures shall be reported in these rows where the obligors would have been reported in the exposure classes “Central governments or central banks”, “Regional governments or local authorities”, “Public sector entities”, “Institutions”, “Corporates” and “Retail” of CR SA, if those exposures were not assigned to the exposure classes “in default” or “secured by immovable property”. The figures reported, however, are the same as used to calculate the risk weighted exposure amounts in the exposure classes “in default” or “secured by immovable property”.

57. E.g. if an exposure, the risk exposure amounts of which are calculated in accordance with Article 127 CRR and the value adjustments are less than 20 %, then that information shall be reported in CR SA, row 320 in the total and in the exposure class “in default”. If this exposure, before it defaulted, was an exposure to an institution, then that information shall also be reported in row 320 of exposure class “institutions”.

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

58. In order to ensure a consistent categorisation of exposures into the different exposure classes referred to in Article 112 CRR the following sequential approach shall be applied:

(a)

In a first step, the Original exposure pre-conversion factors shall be classified into the corresponding (original) exposure class referred to in Article 112 CRR, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.

(b)

In a second step the exposures may be redistributed to other exposure classes due to the application of credit risk mitigation (CRM) techniques with substitution effects on the exposure (e.g. guarantees, credit derivatives, financial collateral simple method) via inflows and outflows.

59. The following criteria shall apply to for the classification of the Original exposure pre-conversion factors into the different exposure classes (first step) without prejudice to the subsequent redistribution caused by the use of CRM techniques with substitution effects on the exposure or to the treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.

60. For the purpose of classifying the original exposure pre-conversion factor in the first step, the CRM techniques associated to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class referred to in point (i) of Article 112 CRR (exposures secured by mortgages on immovable property).

61. Article 112 CRR does not provide criteria for disjoining the exposure classes. This might imply that one exposure could potentially be classified in different exposure classes if no prioritisation in the assessment criteria for the classification is provided. The most obvious case arises between exposures to institutions and corporate with a short-term credit assessment (point (n) of Article 112 CRR) and exposures to institutions (point (f) of Article 112 CRR)/exposures to corporates (point (g) of Article 112 CRR). In that case, it is clear that there is an implicit prioritisation in CRR since it shall be assessed first if a certain exposure is fit for being assigned to Short-term exposures to institutions and corporates and only afterwards assessed if it fits for being assigned to exposures to institutions or exposures to corporates. Otherwise it is obvious that the exposure class referred to in point (n) of Article 112 CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but is not the only one. It is worth noting that the criteria used for establishing the exposure classes under the Standardised Approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is the underlying reason for non-disjoint groupings.

62. For a homogeneous and comparable reporting it is necessary to specify prioritisation assessment criteria for the assignment of the Original exposure pre-conversion factor by exposure classes, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. The prioritisation criteria presented below, using a decision tree scheme, are based on the assessment of the conditions explicitly laid down in CRR for an exposure to fit in a certain exposure class and, if that is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. Therefore, the outcome of the exposure assignment process for reporting purposes shall be in line with CRR provisions. That does not prohibit institutions from applying other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora.

63. An exposure class shall be given priority to others in the assessment ranking in the decision tree (i.e. it shall be first assessed if an exposure can be assigned to an exposure class, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. That will be the case where in the absence of prioritisation criteria one exposure class is a subset of others. Therefore, the criteria graphically depicted in the following decision tree would work on a sequential process.

64. With this background the assessment ranking in the decision tree mentioned below shall follow the following order:

1.

Securitisation positions;

2.

Items associated with particular high risk;

3.

Equity exposures

4.

Exposures in default;

5.

Exposures in the form of units or shares in collective investment undertakings (“CIU”)/Exposures in the form of covered bonds (disjoint exposure classes);

6.

Exposures secured by mortgages on immovable property;

7.

Other items;

8.

Exposures to institutions and corporates with a short-term credit assessment;

9.

All other exposure classes (disjoint exposure classes) which include Exposures to central governments or central banks; Exposures to regional governments or local authorities; Exposures to public sector entities; Exposures to multilateral development banks; Exposures to international organisations; Exposures to institutions; Exposures to corporate and Retail exposures.

65. In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach (paragraphs 3, 4 and 5 of Article 132 CRR) is used, the underlying individual exposures shall be considered and classified into their corresponding risk weight line according to their treatment, but all the individual exposures shall be classified within the exposure class of Exposures in the form of units or shares in collective investment undertakings (“CIU”).

66. “nth” to default credit derivatives, as specified in Article 134(6) CRR that are rated shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the “Other items” exposure class. In that latter case, the nominal amount of the contract shall be reported as the Original exposure pre-conversion factors in the line for “Other risk weights” (the risk weight used shall be that specified by the sum indicated under Article 134(6) CRR.

67. In a second step, as a consequence of credit risk mitigation techniques with substitution effects, exposures shall be reallocated to the exposure class of the protection provider.

DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE-CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH IN ACCORDANCE WITH THE CRR

Original exposure pre-conversion factors
Does it fit for being assigned to the exposure class of point (m) of Article 112 CRR?	YES	Securitisation positions
NO
Does it fit for being assigned to the exposure class of point (k) of Article 112 CRR?	YES	Items associated with particular high risk (see also Article 128 CRR)
NO
Does it fit for being assigned to the exposure class of point (p) of Article 112 CRR?	YES	Equity exposures (see also Article 133 CRR)
NO
Does it fit for being assigned to the exposure class of point (j) of Article 112 CRR?	YES	Exposures in default
NO
Does it fit for being assigned to the exposure classes of points (l) and (o) of Article 112 CRR?	YES	Exposures in the form of units or shares in collective investment undertakings (CIU) Exposures in the form of covered bonds (see also Article 129 CRR) These two exposure classes are disjoint among themselves (see comments on the look-through approach in the answer above). Therefore the assignment to one of them is straightforward.
NO
Does it fit for being assigned to the exposure class of point (i) of Article 112 CRR?	YES	Exposures secured by mortgages on immovable property (see also Article 124 CRR)
NO
Does it fit for being assigned to the exposure class of point (q) of Article 112 CRR?	YES	Other items
NO
Does it fit for being assigned to the exposure class of point (n) of Article 112 CRR?	YES	Exposures to institutions and corporates with a short-term credit assessment
NO
The exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward. Exposures to central governments or central banks Exposures to regional governments or local authorities Exposures to public sector entities Exposures to multilateral development banks Exposures to international organisations Exposures to institutions Exposures to corporates Retail exposures

3.2.4. Clarifications on the scope of some specific exposure classes referred to in Article 112 CRR

3.2.4.1. Exposure Class “Institutions”

68. Intra-group exposures referred to in paragraphs 6 and 7 of Article 113 CRR shall be reported as follows:

69. Exposures which fulfil the requirements of Article 113(7) CRR shall be reported in the respective exposure classes where they would be reported if they were not intra-group exposures.

70. According to paragraphs 6 and 7 of Article 113 CRR an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of that Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC. That means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings within the meaning of Article 12(1) of Council Directive 83/349/EEC(5). Therefore intra-group exposures shall be reported in the corresponding exposure class.

3.2.4.2. Exposure Class “Covered Bonds”

71. SA exposures shall be assigned to the exposure class “covered bonds” as follows:

72. Bonds referred to in Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council(6) shall fulfil the requirements of paragraphs 1 and 2 of Article 129 CRR to be classified in the exposure class “Covered Bonds”. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds referred to in Article 52(4) of Directive 2009/65/EC and issued before 31 December 2007 shall also be assigned to the exposure class “Covered Bonds” pursuant to Article 129(6) CRR.

3.2.4.3. Exposure class “Collective Investment Undertakings”

73. Where the possibility referred to in Article 132(5) CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items in accordance with the first sentence in Article 111(1) CRR.

3.2.5. Instructions concerning specific positions

Columns
010	ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Exposure value calculated in accordance with Article 111 CRR without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) CRR: 1. For derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to Chapter 6 of Title II of Part Three CRR or subject to point (f) of Article 92(3) CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated in accordance with the methods laid down Chapter 6 of Title II of Part Three CRR. 2. Exposure values for leases shall be subject to Article 134(7) CRR. 3. In the case of on-balance sheet netting as laid down in Article 219 CRR, the exposure values shall be reported taking into account the amount of the received cash collateral. 4. In the case of master netting agreements covering repurchase transactions, securities, commodities lending, borrowing transactions or other capital market driven transactions subject to Chapter 6 of Title II of Part Three CRR, the effect of Funded Credit Protection in the form of master netting agreements referred to in Article 220(4) CRR shall be reflected in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to Chapter 6 of Title II of Part Three CRR, E* as calculated in accordance with Articles 220 and 221 CRR shall be reported in column 010 of the CR SA template.
030	(-) Value adjustments and provision associated with the original exposure Article 24 and 111 CRR Value adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject
040	Exposure net of value adjustments and provisions Sum of columns 010 and 030
050 – 100	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Credit risk mitigation techniques as defined in point (57) of Article 4(1) CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as described below in “Substitution of the exposure due to CRM”. Collateral that has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value. Items to be reported here: collateral, incorporated in accordance with the Financial Collateral Simple Method; eligible unfunded credit protection. Please also see instructions of point 3.1.1.
050 – 060	Unfunded credit protection: adjusted values (GA) Article 235 CRR Article 239(3) CRR contains the formula for the calculation of the adjusted value GA of an unfunded credit protection.
050	Guarantees Article 203 CRR Unfunded Credit Protection as defined in point (59) of Article 4(1) CRR which does not include Credit Derivatives.
060	Credit derivatives Article 204 CRR
070 – 080	Funded credit protection These columns refer to funded credit protection as defined in point (58) of Article 4(1) CRR and subject to the rules laid down in Articles 196, 197 and 200 CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre-conversion factors). Investments in credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral.
070	Financial collateral: simple method Paragraphs 1 and 2 of Article 222 CRR.
080	Other funded credit protection Article 232 CRR.
090 – 100	SUBSTITUTION OF THE EXPOSURE DUE TO CRM Article 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR Outflows shall correspond to the covered part of the Original Exposure pre-conversion factors that is deducted from the obligor’s exposure class and subsequently assigned to the protection provider’s exposure class. That amount shall be considered as an inflow into the protection provider’s exposure class. Inflows and outflows within the same exposure classes shall also be reported. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.
110	NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS Amount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
120-140	CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD Articles 223 to 228 CRR. They also include credit linked notes (Article 218 CRR) Credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral. The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, shall be calculated in accordance with Articles 223 to 228 CRR.
120	Volatility adjustment to the exposure Paragraphs 2 and 3 of Article 223 CRR. The amount to be reported is the impact of the volatility adjustment to the exposure (EVA-E) = E*He
130	(-) Financial collateral adjusted value (Cvam) Article 239(2) CRR. For trading book operations, financial collateral and commodities eligible for trading book exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included. The amount to be reported corresponds to Cvam = C*(1-Hc-Hfx)*(t-t*)/(T-t*). For a definition of C, Hc, Hfx, t, T and t* see Sections 4 and 5 of Chapter 4 of Title II of Part Three CRR.
140	(-) Of which: Volatility and maturity adjustments Article 223(1) CRR and Article 239(2) CRR. The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva) = C*(1-Hc-Hfx)*[(t-t*)/(T-t*)-1]
150	Fully adjusted exposure value (E*) Article 220(4), Article 223(2) to (5) and Article 228(1) CRR.
160 – 190	Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors Article 111(1) and point (56) of Article 4(1) CRR. See also Articles 222(3) and 228(1) CRR. The figures reported shall be the fully adjusted exposure values before application of the conversion factor.
200	Exposure value Article 111 CRR and Section 4 of Chapter 4 of Title II of Part Three CRR. Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights in accordance with Article 113 and Section 2 of Chapter 2 of Title II of Part Three CRR.
210	Of which: Arising from Counterparty Credit Risk For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to Chapter 6 of Title II of Part Three CRR, the exposure value for Counterparty Credit Risk calculated in accordance with the methods laid down in Sections 2 to 5 of Chapter 6 of Title II of Part Three CRR.
215	Risk weighted exposure amount pre SME-supporting factor Paragraphs 1 to 5 of Article 113CRR, without taking into account the SME-supporting factor laid down in Article 501 CRR.
220	Risk weighted exposure amount after SME-supporting factor Paragraphs 1 to 5 of Article 113CRR, taking into account the SME-supporting factor laid down in Article 501 CRR.
230	Of which: with a credit assessment by a nominated ECAI Points (a) to (d), (f), (g), (l), (n), (o) and (q) of Article 112 CRR
240	Of which: with a credit assessment derived from central government Points (b) to d), (f), (g), (l) and (o) of Article 112 CRR

Rows	Instructions
010	Total exposures
015	of which: Defaulted exposures in exposure classes “items associated with a particular high risk” and “equity exposures” Article 127 CRR This row shall only be reported in exposure classes “Items associated with a particular high risk” and “Equity exposures”. An exposure that is either listed in Article 128(2) CRR or meets the criteria set in Article 128(3) or Article 133 CRR shall be assigned to the exposure class “Items associated with particular high risk” or “Equity exposures”. Consequently, there shall be no other allocation, even in case of an exposure in default as referred to in Article 127 CRR.
020	of which: SME All exposures to SME shall be reported here.
030	of which: Exposures subject to the SME-supporting factor Only exposures which meet the requirements of Article 501 CRR shall be reported here.
040	of which: Secured by mortgages on immovable property – Residential property Article 125 CRR Only reported in exposure class “Secured by mortgages on immovable property”
050	of which: Exposures under the permanent partial use of the Standardised Approach Exposures to which the Standardised Approach has been applied in accordance with Article 150(1) CRR
060	of which: Exposures under the Standardised Approach with prior supervisory permission to carry out a sequential IRB implementation Article 148(1) CRR
070-130	BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES Reporting institution’s “banking book” positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk. Exposures to counterparty credit risk arising from the trading book business of the institution as referred to in point (f) of Article 92(3) and Article 299(2) CRR shall be assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) CRR also break down their “trading book” positions following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.
070	On balance sheet exposures subject to credit risk Assets referred to in Article 24 CRR not included in any other category. Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 090, 110 and 130, and therefore shall not be reported in this row. Free deliveries as referred to in Article 379(1) CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row. Exposures arising from assets posted to a CCP as defined in point (90) of Article 4(1)) CRR shall be included if not reported in row 080.
080	Off balance sheet exposures subject to credit risk Off-balance sheet positions comprise the items listed in Annex I CRR. Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 090, 110 and 130 and therefore not be reported in this row. Exposures arising from assets posted to a CCP as defined in point (90) of Article 4(1) CRR shall be included if they are considered as off-balance sheet items.
090-130	Exposures/Transactions subject to counterparty credit risk
090	Securities Financing Transactions Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document “The Application of Basel II to Trading Activities and the Treatment of Double Default Effects”, includes: (i) Repurchase and reverse repurchase agreements as defined in point (82) of Article 4(1) CRR as well as securities or commodities lending and borrowing transactions; (ii) margin lending transactions as defined in Article 272(3) CRR.
100	Of which: centrally cleared through a QCCP Article 306 CRR for qualifying CCPs as defined in point (88) of Article 4(1) CRR in accordance with Article 301(2) CRR. Trade exposures, as defined in point (91) of Article 4(1) CRR, to a CCP
110	Derivatives and Long Settlement Transactions Derivatives comprise the contracts listed in Annex II to the CRR. Long Settlement Transactions as defined in Article 272(2) CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 130, shall not be reported in this row.
120	Of which: centrally cleared through a QCCP Article 306 CRR for qualifying CCPs as defined in point (88) of Article 4(1) CRR in accordance with Article 301(2) CRR Trade exposures, as defined in point (91) of Article 4(1) CRR, to a CCP
130	From Contractual Cross Product Netting Exposures that due to the existence of a contractual cross product netting (as defined in Article 272(11) CRR) cannot be assigned to either Derivatives & Long Settlement Transactions or Securities Financing Transactions, shall be included in this row.
140-280	BREAKDOWN OF EXPOSURES BY RISK WEIGHTS
140	0 %
150	2 % Article 306(1) CRR
160	4 % Article 305(3) CRR
170	10 %
180	20 %
190	35 %
200	50 %
210	70 % Point (c) of Article 232(3) CRR.
220	75 %
230	100 %
240	150 %
250	250 % Articles 133(2) and 48(4) CRR
260	370 % Article 471 CRR
270	1 250 % Article 133(2) and Article 379 CRR
280	Other risk weights This row is not available for exposure classes Government, Corporates, Institutions and Retail. For reporting those exposures not subject to the risk weights listed in the template. Paragraphs 1 to 5 of Article 113 CRR. Unrated nth-to-default credit derivatives under the Standardised Approach (Article 134(6) CRR) shall be reported in this row under the exposure class “Other items”. See also Article 124(2) and point (b) of Article 152(2) CRR.
290-320	Memorandum Items See also the explanation of the purpose of the memorandum items in the general section of the CR SA.
290	Exposures secured by mortgages on commercial immovable property Point (i) of Article 112 CRR This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property as referred to in Article 124 and 126 CRR the exposures shall be broken down and reported in this row if the exposures are secured by commercial real estate.
300	Exposures in default subject to a risk weight of 100 % Point (j) of Article 112 CRR Exposures included in the exposure class “exposures in default” which shall be included in this exposure class if they were not in default.
310	Exposures secured by mortgages on residential property Point (i) of Article 112 CRR This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property in accordance with Article 124 and 125 CRR the exposures shall be broken down and reported in this row if the exposures are secured by real estate property.
320	Exposures in default subject to a risk weight of 150 % Point (j) of Article 112 CRR Exposures included in the exposure class “exposures in default” which shall be included in this exposure class if they were not in default.

3.3. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)

3.3.1. Scope of the CR IRB template

74. The scope of the CR IRB template covers own funds requirements for:

i.

Credit risk in the banking book, among which:

• Counterparty credit risk in the banking book;

• Dilution risk for purchased receivables;

ii.

Counterparty credit risk in the trading book;

iii.

Free deliveries resulting from all business activities.

75. The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated in accordance with Articles 151 to 157 of Chapter 3 of Title II of Part Three (IRB Approach).

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

i.

Equity exposures, which are reported in the CR EQU IRB template;

ii.

Securitisation positions, which are reported in the CR SEC and/or CR SEC Details templates;

iii.

“Other non credit-obligation assets”, as referred to in point (g) of Article 147(2) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, in accordance with Article 156 CRR. The risk weighted exposure amounts for this exposure class shall be reported directly in the CA-Template;

iv.

Credit valuation adjustment risk, which is reported on the CVA Risk template;

The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown shall be reported in the template CR GB.

77. In order to clarify whether the institution uses its own estimates for LGD or credit conversion factors, the following information shall be provided for each reported exposure class:

“NO” in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)

“YES” in case own estimates of LGD and credit conversion factors are used (Advanced IRB)

In any case, for the reporting of the retail portfolios “YES” has to be reported.

In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.

3.3.2. Breakdown of the CR IRB template

78. The CR IRB consists of two templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate total risk exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools. The templates CR IRB 1 and CR IRB 2 shall be reported separately for the following exposure and sub-exposure classes:

1.

Total

(The Total template must be reported for the Foundation IRB and, separately for the Advanced IRB Approach.)

2.

Central banks and central governments

(point (a) of Article 147(2) CRR)

3.

Institutions

(point (b) of Article 147(2) CRR)

4.1)

Corporate – SME

(point (c) of Article 147(2) CRR

4.2)

Corporate – Specialised lending

(Article 147(8) CRR)

4.3)

Corporate – Other

(All exposures to corporates as referred to in point (c) of Article 147(2) CRR, not reported under 4.1 and 4.2).

5.1)

Retail – Secured by immovable property SME

(Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(3) CRR which are secured by immovable property).

5.2)

Retail – Secured by immovable property non-SME

(Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by immovable property and not reported under 5.1).

5.3)

Retail – Qualifying revolving

(Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(4) CRR).

5.4)

Retail – Other SME

(Retail exposures as referred to in point (d) of Article 147(2) CRR not reported under 5.1 and 5.3).

5.5)

Retail – Other non – SME

(Retail exposures as referred to in point (d) of Article 147(2) CRR which were not reported under 5.2 and 5.3).

3.3.3. C 08.01 – Credit and counterparty credit risks and free deliveries: IRB Approach to Capital Requirements (CR IRB 1)

3.3.3.1. Instructions concerning specific positions

Columns	Instructions
010	INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 CRR. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures), the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the exposure-weighted average PD.
	For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report in accordance with an internal master scale, that scale shall be used. Otherwise, the different rating systems shall be merged and ordered in accordance with the following criteria: Obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. Institutions shall contact their competent authority in advance if they want to report a different number of grades in comparison with the internal number of grades. For the purposes of weighting the average PD, the exposure value reported in column 110 shall be used. All exposures, including defaulted exposures, are to be considered for the the calculation of the exposure weighted average PD (e.g. for “total exposure”). Defaulted exposures shall be those assigned to the last rating grade/s with a PD of 100 %.
020	ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Institutions shall report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors. The original exposure value shall be reported in accordance with Article 24 CRR and paragraphs 1, 2, 4, 5, 6 and 7 of Article 166 CRR. The effect resulting from Article 166(3) CRR (effect of on balance sheet netting of loans and deposits) shall be reported separately as Funded Credit Protection and shall therefore not reduce the Original Exposure.
030	OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the original exposure pre-conversion factor for all exposures of entities referred to in Article 142(4) and (5) CRR subject to the higher correlation determined in accordance with Article 153(2) CRR.
040-080	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Credit risk mitigation as defined in point (57) of Article 4(1) CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in “SUBSTITUTION OF THE EXPOSURE DUE TO CRM”.
040-050	UNFUNDED CREDIT PROTECTION Unfunded credit protection as defined in point (59) of Article 4(1) CRR. Collateral that has an effect on the exposure (e.g. used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value.
040	GUARANTEES: Where own estimates of LGD are not used, the Adjusted Value (GA) as defined in Article 236(3) CRR shall be provided. When own estimates of LGD are used in accordance with Article 183 CRR, the relevant value used in the internal model shall be reported. Guarantees shall be reported in column 040 where the adjustment is not made in the LGD. Where the adjustment is made in the LGD, the amount of the guarantee shall be reported in column 150. Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 220.
050	CREDIT DERIVATIVES: Where own estimates of LGD are not used, the Adjusted Value (GA) as defined in Article 236(3) CRR shall be provided. Where own estimates of LGD are used in accordance with Article 183 CRR, the relevant value used in the internal modelling shall be reported. Where the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 160. Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 220.
060	OTHER FUNDED CREDIT PROTECTION Collateral that has an effect on the exposure (e.g. where used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value. Where own estimates of LGD are not used, Article 232 CRR shall be applied. Where own estimates of LGD are used, those credit risk mitigation that complies with the conditions in Article 212 CRR shall be reported. The relevant value used in the internal model shall be reported. The amount shall be reported in column 060 where the adjustment is not made in the LGD. Where an adjustment is made in the LGD, that amount shall be reported in column 170.
070-080	SUBSTITUTION OF THE EXPOSURE DUE TO CRM Outflows shall correspond to the covered part of the original exposure pre-conversion factors, that is deducted from the obligor’s exposure class and, where relevant, obligor grade or pool, and subsequently assigned to the protection provider’s exposure class and, where relevant, obligor grade or pool. That amount shall be considered as an inflow into the protection provider’s exposure class and, where relevant, obligor grades or pools. Inflows and outflows within the same exposure classes and, where relevant, obligor grades or pools, shall also be considered. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.
090	EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure.
100, 120	Of which: Off Balance Sheet Items See CR-SA instructions
110	EXPOSURE VALUE The exposure value determined in accordance with Article 166 CRR and the second sentence of Article 230(1) CRR shall be reported. For the instruments referred to in Annex I, the credit conversion factors (paragraphs 8, 9 and 10 of Article 166 CRR), irrespective of the approach chosen by the institution, shall be applied. For rows 040-060 (securities financing transactions, derivatives and long settlement transactions and exposures from contractual cross-product netting), subject to Chapter 6 of Title II of Part Three CRR, the Exposure Value shall be the same as the value for Counterparty Credit Risk calculated in accordance with Sections 3 to 7 of Chapter 6 of Title II of Part Three CRR. Those values shall be reported in this column and not column 130 “Of which: arising from counterparty credit risk”.
130	Of which: Arising from counterparty Credit Risk See CR SA instructions.
140	OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the exposure value for all exposures to entities referred to in Article 142(4) and (5) CRR subject to the higher correlation determined in accordance with Article 153(2) CRR.
150-210	CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT CRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques shall not be included in these columns. Where own estimates of LGD are not used, Article 228(2), Article 230(1) and (2) and Article 231 CRR shall be taken into account. Where own estimates of LGD are used: Regarding unfunded credit protection, for exposures to central governments, central banks, institutions and corporates, Article 161(3) CRR shall be taken into account. For retail exposures, Article 164(2) CRR shall be taken into account. Regarding funded credit protection, the collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR.
150	GUARANTEES See instructions to column 040.
160	CREDIT DERIVATIVES See instructions to column 050.
170	OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION The relevant value used in the internal modelling of the institution. Those credit risk mitigants that comply with the criteria in Article 212 CRR.
180	ELIGIBLE FINANCIAL COLLATERAL For trading book operations, financial instruments and commodities eligible for trading book exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included. Credit linked notes and on -balance sheet netting in accordance with Section 4 of Chapter 4 of Title II of Part Three CRR shall be treated as cash collateral. Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 1 to 4 of Article 193 and Article 194(1) CRR. The adjusted value (Cvam) as set out in Article 223(2) CRR shall be reported. Where own estimates of LGD are used, the financial collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR. The amount to be reported shall be the estimated market value of the collateral.
190-210	OTHER ELIGIBLE COLLATERAL Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 1 to 8 of Article 199 CRR and Article 229 CRR. Where own estimates of LGD are used, other collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR.
190	REAL ESTATE Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 2, 3 and 4 of Article 199 CRR and shall be reported in this column. Leasing of real estate property shall also be included (see Article 199(7) CRR). See also Article 229 CRR. Where own estimates of LGD are used, the amount to be reported shall be the estimated market value.
200	OTHER PHYSICAL COLLATERAL Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 6 and 8 of Article 199 CRR and shall be reported in this column. Leasing of property different from real estate shall also be included (see Article 199(7) CRR). See also Article 229(3) CRR. Where own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.
210	RECEIVABLES Where own estimates of LGD are not used, values shall be determined in accordance with Articles 199(5) and 229(2) CRR and shall be reported in this column. Where own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.
220	SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION Guarantees and credit derivatives covering exposures subject to the double default treatment taking into account Article 202 and Article 217(1) CRR. See also columns 040 “Guarantees” and 050 “Credit derivatives”.
230	EXPOSURE WEIGHTED AVERAGE LGD (%) All the impact of CRM techniques on LGD values as specified in Chapters 3 and 4 of Title II of Part Three CRR shall be considered. In- case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) CRR. For defaulted exposures, point (h) of Article 181(1) CRR shall be taken into account. The exposure value referred to in column 110 shall be used for the calculation of the exposure-weighted averages. All effects shall be considered (so the floor applicable to mortgages shall be included in the reporting). For institutions applying the IRB Approach but not using their own estimates of LGD, the risk mitigation effects of financial collateral shall be reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* as referred to in Article 228(2) CRR. The exposure weighted average LGD associated to each PD “obligor grade or pool” shall result from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, weighted by the respective exposure value of column 110. Where own estimates of LGD are applied, Article 175 and paragraphs 1 and 2 of Article 181 CRR shall be taken into account. In case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) CRR. The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating system approved by the respective competent authority. Data shall not be reported for specialised lending exposures referred to in Article 153(5). Exposures and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, but only be included in the calculation of column 240.
240	EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Exposure weighted average LGD (%) for all exposures to large financial sector entities as defined in Article 142(4) CRR and to unregulated financial sector entities as defined in Article 142(5) CRR subject to the higher correlation determined in accordance with Article 153(2) CRR.
250	EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) The value reported shall be determined in accordance with Article 162 CRR. The exposure value (column 110) shall be used for the calculation of the exposure-weighted averages. The average maturity shall be reported in days. This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts. That means that this column shall not be filled in for the exposure class “retail”.
255	RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR For central governments and central banks, corporate and institutions, see paragraphs 1 and 3 of Article 153 CRR. For retail, see Article 154(1) CRR. The SME-supporting factor referred to in Article 501(1) CRR shall not be taken into account.
260	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR For central governments and central banks, corporate and institutions, see paragraphs 1 and 3 of Article 153 CRR. For retail, see Article 154(1) CRR. The SME-supporting factor referred to in Article 501(1) CRR shall be taken into account.
270	OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the risk weighted exposure amount after SME supporting factor for all exposures to large financial sectors entities as defined in Article 142(4) CRR and to unregulated financial sector entities as defined in Article 142(5) CRR, subject to the higher correlation determined in accordance with Article 153(2) CRR.
280	EXPECTED LOSS AMOUNT For the definition of Expected Loss, see Article 5(3) CRR and, for the calculation of expected loss amounts, see Article 158 CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating system approved by the respective competent authority.
290	(-) VALUE ADJUSTMENTS AND PROVISIONS Value Adjustments as well as specific and general credit risk adjustments in accordance with Article 159 CRR shall be reported. General credit risk adjustments shall be reported by assigning the amount pro rata on the basis of the expected loss of the different obligor grades.
300	NUMBER OF OBLIGORS Paragraphs 1 and 2 of Article 172 CRR. For all exposure classes, with the exception of the exposure class retail and the cases mentioned in the second sentence of point (e) of Article 172(1) CRR, the institution shall report the number of legal entities/obligors which were separately rated, regardless of the number of different loans or exposures granted. Within the exposure class retail, or if separate exposures to the same obligor are assigned to different obligor grades in accordance with the second sentence of point (e) of Article 172(1) CRR in other exposure classes, the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172(2) CRR applies, an obligor may be considered in more than one grade. As this column deals with an element of the structure of the rating systems, it relates to the original exposures pre-conversion factor assigned to each obligor grade or pool without taking into account the effect of CRM techniques (in particular redistribution effects).

Rows	Instructions
010	TOTAL EXPOSURES
015	of which: Exposures subject to SME-supporting factor Only exposures which meet the requirements of Article 501(2) CRR shall be reported here.
020-060	BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
020	On balance sheet items subject to credit risk Assets referred to in Article 24 CRR shall not be included in any other category. Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row. Free deliveries as referred to in Article 379(1) CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row. Exposures arising from assets posted to a CCP as defined in point (91) of Article 4(1) CRR shall be included if not reported in row 030.
030	Off balance sheet items subject to credit risk Off-balance sheet items shall comprise those items that are listed in Annex I CRR. Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting, shall be reported in rows 040-060 and, therefore, not in this row. Exposures arising from assets posted to a CCP as defined in point (91) of Article 4(1) CRR shall be included if they are considered as off-balance sheet items.
040-060	Exposures/Transactions subject to counterparty credit risk
040	Securities Financing Transactions Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document “The Application of Basel II to Trading Activities and the Treatment of Double Default Effects”, includes: (i) repurchase and reverse repurchase agreements as defined in point (82) of Article 4(1) CRR as well as securities or commodities lending and borrowing transactions and (ii) margin lending transactions as defined in Article 272(3) CRR. Securities Financing Transactions, which are included in a Cross Product Netting and therefore reported in row 060, shall not be reported in this row.
050	Derivatives and Long Settlement Transactions Derivatives comprise those contracts that are listed in Annex II CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 060 shall not be reported in this row.
060	From Contractual Cross Product Netting See CR SA instructions
070	EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL For exposures to corporates, institutions and central governments and central banks, see point (6) of Article 142(1) and point (c) of Article 170(1) CRR. For retail exposures see point (b) of Article 170(3) CRR. For exposures arising from purchased receivables, see Article 166(6) CRR. Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 180. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. A master scale is not used. Instead, institutions shall determine the scale to be used themselves.
080	SPECIALISED LENDING SLOTTING CRITERIA: TOTAL Article 153(5) CRR. This shall only apply to the exposure classes corporates, institutions and central governments and central banks.
090-150	BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALISED LENDING SLOTTING CRITERIA:
120	Of which: In category 1 Table 1 of Article 153(5) CRR
160	ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE Paragraphs 1 and 2 of Article 193, paragraphs 1 to 7 of Article 194 and Article 230(3) CRR
170	EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS Exposures arising from free deliveries for which the alternative treatment referred to in the last sentence of the first subparagraph of Article 379(2) CRR is used, or for which a 100 % risk weight is applied in accordance with the last subparagraph of Article 379(2) CRR. Unrated nth-to-default credit derivatives in accordance with Article 153(8) CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row.
180	DILUTION RISK: TOTAL PURCHASED RECEIVABLES See point (53) of Article 4(1) CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157(1) CRR. In accordance with Article 166(6) CRR, the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation.

3.3.4. C 08.02 – Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements: breakdown by obligor grades or pools (CR IRB 2 template)

Column	Instructions
005	Obligor grade (row identifier) This is a row identifier and shall be unique for each row on a particular sheet of the template. It shall follow the numerical order 1, 2, 3, etc.
010-300	Instructions for each of these columns are the same as for the corresponding numbered columns in CR IRB 1 template.

Row

Instructions

010-001 – 010-NNN

Values reported in these rows must be ordered from the lower to the higher in accordance with the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned in accordance with the PD of the obligor and not reported in this template.

3.4. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN

79. All institutions shall submit information aggregated at a total level. Additionally, institutions fulfilling the threshold set in point (4) of Article 5(a) of this Implementing Regulation shall submit information broken down by country regarding the domestic country as well as any non-domestic country. The threshold shall be considered only in relation to the CR GB 1 and CR GB 2 templates. Exposures to supranational organisations shall be assigned to the geographical area “other countries”.

80. The term “residence of the obligor” refers to the country of incorporation of the obligor. This concept can be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques with substitution effects can change the allocation of an exposure to a country. Exposures to supranational organisations shall not be assigned to the country of residence of the institution but to the geographical area “Other countries”, irrespective of the exposure class where the exposure to supranational organisations is assigned.

81. Data regarding “original exposure pre-conversion factors” shall be reported referring to the country of residence of the immediate obligor. Data regarding “exposure value” and “Risk weighted exposure amounts” shall be reported as of the country of residence of the ultimate obligor.

3.4.1. C 09.01 – Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1)

3.4.1.1. Instructions concerning specific positions

Columns
010	ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Same definition as for column 010 of CR SA template
020	Defaulted exposures Original exposure pre-conversion factors for those exposures which have been classified as “exposures in default” and for defaulted exposures assigned to the exposure classes “exposures associated with particularly high risk” or “equity exposures”. This “memorandum item” shall provide additional information about the obligor structure of defaulted exposures. Exposures classified as “exposures in default” as referred to in point (j) of Article 112 CRR shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes “exposures in default”. This information is a “memorandum item” – hence does not affect the calculation of risk weighted exposure amounts of exposure classes “exposures in default”, “exposures associated with particularly high risk” or “equity exposures” as referred to in points (j), (k) and (p) of Article 112 CRR.
040	Observed new defaults for the period The amount of original exposures which have moved into exposure class “Exposures in default” during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.
050	General credit risk adjustments Credit risk adjustments as referred to in Article 110 CRR. This item shall include the general credit risk adjustments that are eligible for inclusion in T2 capital, before the application of the cap referred to in point (c) of Article 62 CRR. The amount to be reported shall be gross of tax effects.
055	Specific credit risk adjustments Credit risk adjustments as referred to in Article 110 CRR.
060	Write-offs Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].
070	Credit risk adjustments/write-offs for observed new defaults Sum of credit risk adjustments and write-offs for those exposures which were classified as “defaulted exposures” during the 3-month period since the last data submission.
075	Exposure value Same definition as for column 200 of CR SA template
080	RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR Same definition as for column 215 of CR SA template
090	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR Same definition as for column 220 of CR SA template

Rows
010	Central governments or central banks Point (a) of Article 112 CRR
020	Regional governments or local authorities Point (b) of Article 112 CRR.
030	Public sector entities Point (c) of Article 112 CRR
040	Multilateral developments banks Point (d) of Article 112 CRR
050	International organisations Point (e) of Article 112 CRR
060	Institutions Point (f) of Article 112 CRR
070	Corporates Point (g) of Article 112 CRR
075	of which: SME Same definition as for row 020 of CR SA template
080	Retail Point (h) of Article 112 CRR
085	of which: SME Same definition as for row 020 of CR SA template
090	Secured by mortgages on immovable property Point (i) of Article 112 CRR
095	of which: SME Same definition as for row 020 of CR SA template
100	Exposures in default Point (j) of Article 112 CRR
110	Items associated with particularly high risk Point (k) of Article 112 CRR
120	Covered bonds Point (l) of Article 112 CRR
130	Claims on institutions and corporates with a short-term credit assessment Point (n) of Article 112 CRR
140	Collective investments undertakings (CIU) Point (o) of Article 112 CRR
150	Equity exposures Point (p) of Article 112 CRR
160	Other exposures Point (q) of Article 112 CRR
170	Total exposures

3.4.2. C 09.02 – Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2)

3.4.2.1. Instructions concerning specific positions

Columns
010	ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Same definition as for column 020 of CR IRB template
030	Of which defaulted Original exposure value for those exposures which have been classified as defaulted exposures in accordance with Article 178 CRR.
040	Observed new defaults for the period The amount of original exposures which have moved into exposure class “Exposures in default” during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.
050	General credit risk adjustments Credit risk adjustments as referred to in Article 110 CRR.
055	Specific credit risk adjustments Credit risk adjustments as referred to in Article 110 CRR.
060	Write-offs Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].
070	Credit risk adjustments/write-offs for observed new defaults Sum of credit risk adjustments and write-offs for those exposures which were classified as “defaulted exposures” during the 3-month period since the last data submission.
080	INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) Same definition as for column 010 of CR IRB template
090	EXPOSURE WEIGHTED AVERAGE LGD (%) Same definition as for columns 230 and 240 of CR IRB template: the exposure weighted average LGD (%) shall refer to all exposures, including exposures to large financial sector entities and unregulated financial entities. Point (h) of Article 181(1) CRR shall apply. Data shall not be reported for specialised lending exposures referred to in Article 153(5) CRR.
100	Of which: defaulted Exposure weighted LGD for those exposures which have been classified as defaulted exposures in accordance with Article 178 CRR.
105	Exposure value Same definition as for column 110 of CR IRB template.
110	RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR Same definition as for column 255 of CR IRB template
120	Of which defaulted Risk weighted exposure amount for those exposures which have been classified as defaulted exposures in accordance with Article 178(1) CRR.
125	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR Same definition as for column 260 of CR IRB template
130	EXPECTED LOSS AMOUNT Same definition as for column 280 of CR IRB template

Rows
010	Central banks and central governments Point (a) of Article 147(2) CRR
020	Institutions Point (b) of Article 147(2) CRR
030	Corporates All exposures to corporates as referred to in point (c) of Article 147(2) CRR
042	Of which: Specialised lending (excl. SL subject to slotting criteria) Point (a) of Article 147(8) CRR Data shall not be reported for specialized lending exposures as referred to in Article 153(5) CRR.
045	Of which: Specialised lending subject to slotting criteria Point (a) of Article 147(8) and Article 153(5) CRR
050	Of which: SME Point (c) of Article 147(2) CRR
060	Retail All retail exposures as referred to in point (d) of Article 147(2) CRR
070	Retail – Secured by real estate property Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate
080	SME Retail exposures as referred to in point (d) of Article 147(2) and Article 154(3) CRR which are secured by real estate
090	non-SME Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate
100	Retail – Qualifying revolving Retail exposures as referred to in point (d) of Article 147(2) in conjunction with Article 154(4) CRR
110	Other Retail Other retail exposures as referred to in point (d) of Article 147(2) CRR which are not reported in rows 070 – 100
120	SME Other retail exposures as referred to in point (d) of Article 147(2) CRR to SMEs
130	non-SME Other retail exposures as referred to in point (d) of Article 147(2) CRR to non-SMEs
140	Equity Equity exposures as referred to in point (e) of Article 147(2) CRR
150	Total exposures

3.4.3. C 09.04 – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB)

3.4.3.1. General remarks

82. This template aims at receiving more information regarding the elements of the institution-specific countercyclical capital buffer. The information required refers to the own funds requirements determined in accordance with Title II and Title IV of Part Three CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution-specific countercyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit exposures).

83. Information in template C 09.04 shall be reported for the “Total” of relevant credit exposures across all jurisdictions where those exposures are located and individually for each of the jurisdictions in which relevant credit exposures are located. The total figures as well as the information of each jurisdiction shall be reported in a separate dimension.

84. The threshold set in point (4) of Article 5(a) of this Implementing Regulation shall not apply for the reporting of this breakdown.

85. In order to determine the geographical location, the exposures shall be allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014(7). Therefore, CRM techniques shall not change the allocation of an exposure to its geographical location for the purpose of reporting information set out in this template.

3.4.3.2. Instructions concerning specific positions

Columns
010	Amount The value of the relevant credit exposures and their associated own-funds requirements determined in accordance with the instructions for the respective row.
020	Percentage
030	Qualitative Information This information shall only be reported for the country of residence of the institution (the jurisdiction corresponding to its home Member State) and the “Total” of all countries. Institutions shall report either {y} or {n} in accordance with the instructions for the relevant row.

Rows
010-020	Relevant credit exposures – Credit risk Relevant credit exposures as referred to in point (a) of Article 140(4) CRD.
010	Exposure value under the Standardised Approach Exposure value calculated in accordance with Article 111 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD. The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 055.
020	Exposure value under the IRB Approach Exposure value calculated in accordance with Article 166 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD. The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 055.
030-040	Relevant credit exposures – Market risk Relevant credit exposures as referred to in point (b) of Article 140(4) CRD.
030	Sum of long and short positions of trading book exposures for Standardised Approach Sum of net long and net short positions in accordance with Article 327 CRR of relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapter 2 of Title IV of Part Three CRR: exposures to debt instruments other than securitisation; exposures to securitisation positions in the trading book; exposures to correlation trading portfolios; exposures to equity securities; exposures to CIUs where capital requirements are calculated in accordance with Article 348 CRR.
040	Value of trading book exposures under internal models For relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapters 2 and 5 of Title IV of Part Three CRR, the sum of the following shall be reported: Fair value of non-derivative positions, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD, determined in accordance with Article 104 CRR. Notional value of derivatives, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD.
055	Relevant credit exposures – Securitisation positions in the banking book Exposure value calculated in accordance with Article 248 CRR for relevant credit exposures as referred to in point (c) of Article 140(4) CRD.
070-110	Own funds requirements and weights
070	Total own funds requirements for CCB The sum of rows 080, 090 and 100.
080	Own funds requirements for relevant credit exposures – Credit risk Own funds requirements calculated in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD, in the country in question. Own fund requirements for securitisation positions in the banking book shall be excluded from this row and reported in row 100. The own-funds requirements are 8 % of the risk-weighted exposure amount determined in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR.
090	Own funds requirements for relevant credit exposures – Market risk Own funds requirements calculated in accordance with Chapter 2 of Title IV of Part Three CRR for specific risk, or in accordance with Chapter 5 of Title IV of Part Three CRR for incremental default and migration risk for relevant credit exposures as referred to in point (b) of Article 140(4) CRD, in the country in question. The own funds requirements for relevant credit exposures under the market risk framework shall include, among others, the own fund requirements for securitisation positions calculated in accordance with Chapter 2 of Title IV of Part Three, CRR and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 CRR.
100	Own funds requirements for relevant credit exposures – Securitisation positions in the banking book Own funds requirements calculated in accordance with Chapter 5 of Title II of Part Three CRR for relevant credit exposures as referred to in point (c) of Article 140(4) CRD in the country in question. The own-funds requirements are 8 % of the risk-weighted exposure amount calculated in accordance with Chapter 5 of Title II of Part Three, CRR.
110	Own funds requirements weights The weight applied to the countercyclical buffer rate in each country shall be calculated as a ratio of own fund requirements, determined as follows: 1. Numerator: The total own funds requirements that relate to the relevant credit exposures in the country in question [r070; c010; country sheet], 2. Denominator: The total own funds requirements that relate to all credit exposures relevant for the calculation of the countercyclical buffer as referred to in Article 140(4) CRD [r070; c010; “Total”]. Information on the Own fund requirements weights shall not be reported for the “Total” of all countries.
120-140	Countercyclical buffer rates
120	Countercyclical capital buffer rate set by the Designated Authority Countercyclical capital buffer rate set for the country in question by the Designated Authority of that country in accordance with Articles 136, 137, 139, points (a) and (c) of Article 140(2) and point (b) of Article 140(3) CRD. This row shall be left empty when no countercyclical buffer rate was set for the country in question by the Designated Authority of that country. Countercyclical capital buffer rates that were set by the Designated Authority but are not yet applicable in the country in question at the reporting reference date shall not be reported. Information on the Countercyclical capital buffer rate set by the Designated Authority shall not be reported for the “Total” of all countries.
130	Countercyclical capital buffer rate applicable for the country of the institution Countercyclical capital buffer rate applicable for the country in question which was set by the Designated Authority of the country of residence of the institution, in accordance with Articles 137, 138, 139 and point (b) of Article 140(2) and point (a) of Article 140(3) CRD. Countercyclical capital buffer rates that are not yet applicable at the reporting reference date shall not be reported. Information on the Countercyclical capital buffer rate applicable in the country of the institution shall not be reported for the “Total” of all countries.
140	Institution-specific countercyclical capital buffer rate Institution-specific countercyclical capital buffer rate, calculated in accordance with Article 140(1) CRD. The institution-specific countercyclical capital buffer rate shall be calculated as the weighted average of the countercyclical buffer rates that apply in the jurisdictions where the relevant credit exposures of the institution are located or are applied for the purposes of Article 140 by virtue of paragraphs 2 or 3 of Article 139 CRD. The relevant countercyclical buffer rate shall reported in [r120; c020; country sheet], or [r130; c020; country sheet], as applicable. The weight applied to the countercyclical buffer rate in each country shall be the share of own funds requirements in total own funds requirements, and shall be reported in [r110; c020; country sheet]. Information on the institution-specific countercyclical capital buffer rate shall only be reported for the “Total” of all countries and not for each country separately.
150 – 160	Use of the 2 % threshold
150	Use of 2 % threshold for general credit exposure In accordance with point (b) of Article 2(5) of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, the aggregate of which does not exceed 2 % of the aggregate of the general credit, trading book and securitisation exposures of that institution, may be allocated to the institutions’ home Member State. The aggregate of the general credit, trading book and securitisation exposures shall be calculated by excluding the general credit exposures located in accordance with point (a) of Article 2(5) and Article 2(4) of Commission Delegated Regulation (EU) No 1152/2014. If the institution makes use of this derogation, it shall indicate “y” in the template for the jurisdiction corresponding to its home Member State and for the “Total” of all countries. If an institution does not make use of this derogation, it shall indicate “n” in the respective cell.
160	Use of 2 % threshold for trading book exposure In accordance with Article 3(3) of Commission Delegated Regulation (EU) No 1152/2014, institutions may allocate trading book exposures to their home Member State where the total trading book exposures do not exceed 2 % of their total general credit, trading book and securitisation exposures. If the institution makes use of this derogation, it shall indicate “y” in the template for the jurisdiction corresponding to its home Member State and for the “Total” of all countries. If an institution does not make use of this derogation, it shall indicate “n” in the respective cell.

3.5. C 10.01 AND C 10.02 – EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2)

3.5.1. General remarks

86. The CR EQU IRB template consists of two templates: CR EQU IRB 1 provides a general overview of IRB exposures of the equity exposure class and the different methods to calculate total risk exposure amounts. CR EQU IRB 2 provides a breakdown of total exposures assigned to obligor grades in the context of the PD/LGD approach. “CR EQU IRB” refers to both “CR EQU IRB 1” and “CR EQU IRB 2” templates, as applicable, in the following instructions.

87. The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (point (a) of Article 92(3) CRR) in accordance with Chapter 3 of Title II of Part Three CRR for equity exposures as referred to in point (e) of Article 147(2) CRR.

88. In accordance with Article 147(6) CRR, the following exposures shall be assigned to the equity exposure class:

(a)

non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer;

(b)

debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance of which is similar to the exposures specified in point (a).

89. Collective investment undertakings treated in accordance with the simple risk weight approach as referred to in Article 152 CRR shall also be reported in the CR EQU IRB template.

90. In accordance with Article 151(1) CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 CRR:

• the Simple Risk Weight approach;

• the PD/LGD approach;

• the Internal Models approach.

Moreover, institutions applying the IRB Approach shall also report in the CR EQU IRB template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the Standardised Approach for credit risk), e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) CRR, respectively a risk-weight of 370 % in accordance with Article 471(2) CRR.

91. The following equity claims shall not be reported in the CR EQU IRB template:

• Equity exposures in the trading book (where institutions are not exempted from calculating own funds requirements for trading book positions (Article 94 CRR)).

• Equity exposures subject to the partial use of the Standardised Approach (Article 150 CRR), including:

• Equity exposures grandfathered in accordance with Article 495(1) CRR;

• Equity exposures to entities the credit obligations of which are assigned a 0 % risk weight under the Standardised Approach, including those publicly sponsored entities where a 0 % risk weight can be applied (point (g) of Article 150(1) CRR),

• Equity exposures incurred under legislated programmes to promote specified sectors of the economy that provide significant subsidies for the investment to the institution and involve some form of government oversight and restrictions on the equity investments (point (h) of Article 150(1) CRR),

• Equity exposures to ancillary services undertakings the risk weighted exposure amounts of which may be calculated in accordance with the treatment of “other non credit-obligation assets” (Article 155(1) CRR),

• Equity claims deducted from own funds in accordance with Articles 46 and 48 CRR.

3.5.2. Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2)

Columns
005	OBLIGOR GRADE (ROW IDENTIFIER) The obligor grade shall be a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.
010	INTERNAL RATING SYSTEM PD ASSIGNED TO THE OBLIGOR GRADE (%) Institutions applying the PD/LGD approach shall report in column 010 the probability of default (PD) calculated in accordance with Article 165(1) CRR. The PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements laid down in Section 6 of Chapter 3 of Title II of Part Three CRR. For each individual grade or pool, the PD assigned to that specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. For figures corresponding to an aggregation of obligor grades or pools (e.g. “total exposures”), the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. All exposures, including defaulted exposures, are to be considered for the purpose of the calculation of the exposure weighted average PD. For the calculation of the exposure-weighted average PD, the exposure value taking into account unfunded credit protection (column 060) shall be used for weighting purposes.
020	ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Institutions report in column 020 the original exposure value (pre-conversion factors). In accordance with Article 167 CRR, the exposure value for equity exposures shall be the accounting value remaining after specific credit risk adjustments. The exposure value of off-balance sheet equity exposures shall be its nominal value after specific credit risk adjustments. Institutions shall also include in column 020 the off balance sheet items referred to in Annex I CRR assigned to the equity exposure class (e.g. “the unpaid portion of partly-paid shares”). Institutions applying the Simple Risk Weight approach or the PD/LGD approach (as referred to in Article 165(1) CRR) shall also take into account the offsetting referred to in the second subparagraph of Article 155(2) CRR.
030-040	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE UNFUNDED CREDIT PROTECTION GUARANTEES CREDIT DERIVATIVES Irrespective of the approach adopted for the calculation of risk weighted exposure amounts for equity exposures, institutions may recognise unfunded credit protection obtained on equity exposures (Paragraphs 2, 3 and 4 of Article 155 CRR). Institutions applying the Simple Risk Weight approach or the PD/LGD approach shall report in columns 030 and 040 the amount of unfunded credit protection under the form of guarantees (column 030) or credit derivatives (column 040) recognised in accordance with the methods set out in Chapter 4 of Title II of Part Three CRR.
050	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE SUBSTITUTION OF THE EXPOSURE DUE TO CRM (-) TOTAL OUTFLOWS Institutions shall report in column 050 the part of the original exposure pre-conversion factors covered by unfunded credit protection recognised in accordance with the methods set out in Chapter 4 of Title II of Part Three CRR.
060	EXPOSURE VALUE Institutions applying the Simple Risk Weight approach or the PD/LGD approach shall report in column 060 the exposure value, taking into account substitution effects stemming from unfunded credit protection (Paragraphs 2 and 3 of Article 155 and Article 167 CRR). In the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 CRR).
070	EXPOSURE WEIGHTED AVERAGE LGD (%) Institutions applying the PD/LGD approach shall report the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation. The exposure value taking into account unfunded credit protection (column 060) shall be used for the calculation of the exposure-weighted average LGD. Institutions shall take into account Article 165(2) CRR.
080	RISK WEIGHTED EXPOSURE AMOUNT Institutions shall report risk-weighted exposure amounts for equity exposures calculated in accordance with Article 155 CRR. Where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 CRR, a scaling factor of 1,5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) CRR). With regard to the input parameter M (Maturity) to the risk-weight function, the maturity assigned to equity exposures equals 5 years (Article 165(3) CRR).
090	MEMORANDUM ITEM: EXPECTED LOSS AMOUNT Institutions shall report in column 090 the expected loss amount for equity exposures calculated in accordance with paragraphs 4, 7, 8 and 9 of Article 158 CRR.

92. In accordance with Article 155 CRR, institutions may employ different approaches (Simple Risk Weight approach, PD/LGD approach or Internal Models approach) to different portfolios when they use these different approaches internally. Institutions shall also report in the CR EQU IRB 1 template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised Approach).

Rows
CR EQU IRB 1 – row 020,	PD/LGD APRROACH: TOTAL Institutions applying the PD/LGD approach (Article 155(3) CRR) shall report the required information in row 020 of the CR EQU IRB 1 template.
CR EQU IRB 1 – rows 050- 090	SIMPLE RISK WEIGHT APPROACH: TOTAL BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APPROACH BY RISK WEIGHTS: Institutions applying the Simple Risk Weight approach (Article 155(2) CRR) shall report the required information in accordance with the characteristics of the underlying exposures in rows 050 to 090.
CR EQU IRB 1 – row 100	INTERNAL MODELS APPROACH Institutions applying the Internal Models approach (Article 155(4) CRR) shall report the required information in row 100.
CR EQU IRB 1 – row 110	EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS Institutions applying the IRB Approach shall report risk weighted exposure amounts for those equity exposures which attract a fixed risk weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised Approach). As an example: the risk weighted exposure amount of equity positions in financial sector entities treated in accordance with Article 48(4) CRR, as well as equity positions risk-weighted with 370 % in accordance with Article 471(2) CRR shall be reported in row 110.
CR EQU IRB 2	BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: Institutions applying the PD/LGD approach (Article 155(3) CRR) shall report the required information in the CR EQU IRB 2 template. Institutions using the PD/LGD approach that apply a unique rating system or that are able to report in accordance with an internal master scale shall report in CR EQU IRB 2 the rating grades or pools associated to this unique rating system/master scale. In any other case, the different rating systems shall be merged and ordered in accordance with the following criteria: Obligor grades or pools of the different rating systems shall be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher.

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

3.6.1. General remarks

93. This template requests information on both trading and non-trading book transactions which are unsettled after their due delivery dates, and their corresponding own funds requirements for settlement risk as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR.

94. Institutions shall report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book.

95. In accordance with Article 378 CRR, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to own funds requirements for settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates shall nevertheless be subject to own funds requirements for settlement/delivery risk as determined in Article 378 CRR.

96. In case of unsettled transactions after the due delivery date, institutions shall calculate the price difference to which they are exposed. That is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the institution.

97. Institutions shall multiply that difference by the appropriate factor of Table 1 of Article 378 CRR to determine the corresponding own funds requirements.

98. In accordance with point (b) of Article 92(4) CRR, the own funds requirements for settlement/delivery risk shall be multiplied by 12,5 to calculate the risk exposure amount.

99. Note that own funds requirements for free deliveries as laid down in Article 379 CRR are not within the scope of the CR SETT template. Those own funds requirements shall be reported in the credit risk templates (CR SA, CR IRB).

3.6.2. Instructions concerning specific positions

Columns
010	UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE Institutions shall report the unsettled transactions after their due delivery date at the respective agreed settlement prices as referred to in Article 378 CRR. All unsettled transactions shall be included in this column, irrespective of whether or not they are at a gain or at a loss after the due settlement date.
020	PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS Institutions shall report the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution, as referred to in Article 378 CRR. Only unsettled transactions at a loss after the due settlement date shall be reported in this column.
030	OWN FUNDS REQUIREMENTS Institutions shall report the own funds requirements calculated in accordance with Article 378 CRR.
040	TOTAL SETTLEMENT RISK EXPOSURE AMOUNT In accordance with point (b) of Article 92(4) CRR, institutions shall multiply their own funds requirements reported in column 030 by 12,5 in order to obtain the settlement risk exposure amount.

Rows
010	Total unsettled transactions in the Non-trading Book Institutions shall report aggregated information about settlement/delivery risk for non-trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR). Institutions shall report in {r010;c010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions shall report in {r010;c020} the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions shall report in {r010;c030] the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the “price difference” reported in column 020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 CRR).
020 to 060	Transactions unsettled up to 4 days (Factor 0 %) Transactions unsettled between 5 and 15 days (Factor 8 %) Transactions unsettled between 16 and 30 days (Factor 50 %) Transactions unsettled between 31 and 45 days (Factor 75 %) Transactions unsettled for 46 days or more (Factor 100 %) Institutions shall report in rows 020 to 060 the information about settlement/delivery risk for non-trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.
070	Total unsettled transactions in the Trading Book Institutions shall report aggregated information about settlement/delivery risk for trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR). Institutions shall report in {r070;c010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions shall report in {r070;c020} the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions shall report in {r070;c030} the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the “price difference” reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 CRR).
080 to 120	Transactions unsettled up to 4 days (Factor 0 %) Transactions unsettled between 5 and 15 days (Factor 8 %) Transactions unsettled between 16 and 30 days (Factor 50 %) Transactions unsettled between 31 and 45 days (Factor 75 %) Transactions unsettled for 46 days or more (Factor 100 %) Institutions shall report in rows 080 to 120 the information about settlement/delivery risk for trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.

3.7. C 13.01 – CREDIT RISK – SECURITISATIONS (CR SEC)

3.7.1. General remarks

100. Where institution acts as originator, the information in this template shall be required for all securitisations for which a significant risk transfer is recognised. Where the institution acts as investor, all exposures shall be reported.

101. The information to be reported shall be contingent on the role of the institution in the securitisation process. As such, specific reporting items shall be applicable for originators, sponsors and investors.

102. This template shall gather joint information on both traditional and synthetic securitisations held in the banking book.

3.7.2. Instructions concerning specific positions

a Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ L 347, 28.12.2017, p. 35).
Columns
0010	TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED Originator institutions shall report the outstanding amount at the reporting date of all current securitisation exposures originated in the securitisation transaction, irrespective of who holds the positions. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, credit default swaps, etc.) that have been originated in the securitisation shall be reported. In case of traditional securitisations where the originator does not hold any position, the originator shall not consider that securitisation in the reporting of this template. For that purpose, securitisation positions held by the originator shall include early amortisation provisions, as defined in Article 242(16) CRR, in a securitisation of revolving exposures.
0020-0040	SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES Articles 251 and 252 CRR. Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure.
0020	(-) FUNDED CREDIT PROTECTION (CVA) The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which shall be reported in this column is laid down in Article 223(2) CRR.
0030	(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) Following the general rule for “inflows” and “outflows”, the amounts reported under this column shall appear as “inflows” in the corresponding credit risk template (CR SA or CR IRB) and exposure class to which the reporting entity allocates the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection). The calculation procedure of the “foreign exchange risk”- adjusted nominal amount of the credit protection (G*) is laid down in Article 233(3) CRR.
0040	NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount. The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection.
0050	SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORS This column shall include the exposure values of securitisation positions held by the reporting institution, calculated in accordance with paragraphs 1 and 2 of Article 248 CRR, without applying credit conversion factors, gross of value adjustments and provisions, and any non-refundable purchase price discounts on the securitised exposures as referred to in point (d) of Article 248(1) CRR, and gross of value adjustments and provisions on the securitisation position. Netting shall only be relevant with respect to multiple derivative contracts provided to the same SSPE, covered by an eligible netting agreement. In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest shall be the result of the aggregation of columns 0010 to 0040.
0060	(-) VALUE ADJUSTMENTS AND PROVISIONS Article 248 CRR. Value adjustments and provisions to be reported in this column shall only refer to securitisation positions. Value adjustments of securitised exposures shall not be considered.
0070	EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS This column shall include the exposure values of securitisation positions calculated in accordance with paragraphs 1 and 2 of Article 248 CRR, net of value adjustments and provisions, without applying conversion factors and gross of any non-refundable purchase price discounts on the securitised exposures as referred to in point (d) of Article 248(1) CRR, and net of value adjustments and provisions on the securitisation position.
0080-0110	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Point (57) of Article 4(1) CRR, Chapter 4 of Title II of Part Three, CRR and Article 249 CRR Institutions shall report in these columns information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows). Collateral that has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value. Items to be reported here: 1. collateral, incorporated in accordance with Article 222 CRR (Financial Collateral Simple Method); 2. eligible unfunded credit protection.
0080	(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA) Unfunded credit protection as defined in Article 4(1)(59), Articles 234 to 236 CRR.
0090	(-) FUNDED CREDIT PROTECTION Funded credit protection as defined in Article 4(1)(58) CRR, as referred to in the first subparagraph of Article 249(2) CRR and as regulated in Articles 195, 197 and 200 CRR. Credit linked notes and on-balance sheet netting as referred to in Articles 218 and 219 CRR shall be treated as cash collateral.
0100-0110	SUBSTITUTION OF THE EXPOSURE DUE TO CRM: Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall be reported.
0100	(-) TOTAL OUTFLOWS Article 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR. Outflows shall correspond to the covered part of the “Exposure net of value adjustments and provisions” that is deducted from the obligor’s exposure class and, where relevant, risk weight or obligor grade, and subsequently assigned to the protection provider’s exposure class and, where relevant, risk weight or obligor grade. That amount shall be considered as an Inflow into the protection provider’s exposure class and, where relevant, risk weights or obligor grades.
0110	TOTAL INFLOWS Securitisation positions which are debt securities and are used as eligible financial collateral in accordance with Article 197(1) CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column.
0120	NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS This column shall include the exposures assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to “Credit risk mitigation (CRM) techniques with substitution effects on the exposure”.
0130	(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM) Articles 223 to 228 CRR The reported amount shall also include credit linked notes (Article 218 CRR).
0140	FULLY ADJUSTED EXPOSURE VALUE (E*) The exposure value of securitisation positions calculated in accordance with Article 248 CRR, but without applying the conversion factors laid down in point (b) of Article 248(1) CRR
0150	OF WHICH: SUBJECT TO A CCF OF 0 % Point (b) of Article 248(1) CRR In this respect, point (56) of Article 4(1) CRR defines a conversion factor. For reporting purposes, fully adjusted exposure values (E*) shall be reported for the 0 % conversion factor.
0160	(-)NON REFUNDABLE PURCHASE PRICE DISCOUNT In accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from the exposure value of a securitisation position which is assigned a 1 250 % risk weight any non-refundable purchase price discounts connected with such underlying exposures to the extent that such discounts have caused the reduction of own funds.
0170	(-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES In accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from the exposure value of a securitisation position, which is assigned a 1 250 % risk weight or is deducted from Common Equity Tier 1, the amount of the specific credit risk adjustments on the underlying exposures as determined in accordance with Article 110 CRR.
0180	EXPOSURE VALUE The exposure value of securitisation positions calculated in accordance with Article 248 CRR
0190	(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS In accordance with point (b) of Article 244(1), point (b) of Article 245(1) and Article 253(1) CRR, in case of a securitisation position to which a 1 250 % risk weight applies, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position.
0200	EXPOSURE VALUE SUBJECT TO RISK WEIGHTS Exposure value minus the exposure value deducted from own funds.
0210	SEC-IRBA Point (a) of Article 254(1) CRR
0220-0260	BREAKDOWN BY RW BANDS SEC-IRBA exposures broken down by risk-weight bands.
0270	OF WHICH: CALCULATED UNDER ARTICLE 255(4) (PURCHASED RECEIVABLES) Article 255(4) CRR For the purpose of this column, retail exposures shall be treated as purchased retail receivables and non-retail exposures as purchased corporate receivables.
0280	SEC-SA Point (b) of Article 254(1) CRR
0290-0340	BREAKDOWN BY RW BANDS SEC-SA exposures broken down by risk-weight bands. For the RW = 1 250 % (W unknown), the fourth paragraph of point (b) of Article 261(2) CRR stipulates that the position in the securitisation shall be risk-weighted at 1 250 % where the institution does not know the delinquency status for more than 5 % of underlying exposures in the pool.
0350	SEC-ERBA Point (c) of Article 254(1) CRR
0360-0570	BREAKDOWN BY CREDIT QUALITY STEPS (SHORT/LONG TERM CREDIT QUALITY STEPS) Article 263 CRR SEC-ERBA Securitisation positions with an inferred rating as referred to in Article 254(2) CRR shall be reported as positions with a rating. Exposure values subject to risk weights shall be broken down by short and long-term and credit quality steps (CQS) as laid down in Tables 1 and 2 of Article 263 and Tables 3 and 4 of Article 264 CRR.
0580-0630	BREAKDOWN BY REASON FOR APPLICATION OF SEC-ERBA For each securitisation position, institutions shall consider one of the following options in columns 0580-0620.
0580	AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES Point (c) of Article 254(2) CRR All auto loans, auto leases and equipment leases shall be reported in this column, even if they qualify for Article 254(2)(a) or (b) of CRR.
0590	SEC-ERBA OPTION Article 254(3) CRR
0600	POSITIONS SUBJECT TO POINT (a) OF ARTICLE 254(2) CRR Point (a) of Article 254(2) CRR
0610	POSITIONS SUBJECT TO POINT (b) OF ARTICLE 254(2) CRR Point (b) of Article 254(2) CRR
0620	POSITIONS SUBJECT TO ARTICLES 254(4) OR 258(2) CRR Securitisation positions subject to SEC-ERBA, where the application of SEC-IRBA or SEC-SA has been precluded by the competent authorities in accordance with Articles 254(4) or 258(2) CRR
0630	FOLLOWING THE HIERARCHY OF APPROACHES Securitisation positions where SEC-ERBA is applied by following the hierarchy of approaches laid down in Article 254(1) CRR
0640	INTERNAL ASSESSMENT APPROACH Article 254(5) CRR on the “Internal Assessment Approach” (IAA) for positions in ABCP programmes
0650-0690	BREAKDOWN BY RW BANDS Internal Assessment Approach exposures broken down by risk-weight bands
0700	OTHER (RW = 1 250 %) Where none of the previous approaches is applied, a risk weight of 1 250 % shall be assigned to securitisation positions in accordance with Article 254(7) CRR.
0710-0860	RISK-WEIGHTED EXPOSURE AMOUNT Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template.
0840	IAA: AVERAGE RISK WEIGHT (%) The exposure-weighted average risk weights of the securitisation positions shall be reported in this column.
0860	RWEA OF WHICH: SYNTHETIC SECURITISATIONS For synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch.
0870	ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES Maturity mismatches in synthetic securitisations RW*-RW(SP), as calculated in accordance with Article 252 CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250 % where the amount to be reported shall be zero. RW(SP) shall not only include the risk weighted exposure amounts reported under column 0650, but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.
0880	OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 a In accordance with Article 270a CRR, whenever certain requirements are not met by the institution, competent authorities shall impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1 250 %) which would apply to the relevant securitisation positions under Section 3 of Chapter 5 of Title II of Part Three CRR.
0890	BEFORE CAP Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, before applying the limits specified in Articles 267 and 268 CRR.
0900	(-) REDUCTION DUE TO RISK WEIGHT CAP In accordance with Article 267 CRR, an institution which has knowledge at all times of the composition of the underlying exposures may assign the senior securitisation position a maximum risk weight equal to the exposure-weighted-average risk weight that would be applicable to the underlying exposures as if the underlying exposures had not been securitised.
0910	(-) REDUCTION DUE TO OVERALL CAP In accordance with Article 268 CRR, an originator institution, a sponsor institution or other institution using the SEC-IRBA or an originator institution or sponsor institution using the SEC-SA or the SEC-ERBA may apply a maximum capital requirement for the securitisation position it holds equal to the capital requirements that would be calculated under Chapter 2 or 3 of Title II of Part Three in respect of the underlying exposures had they not been securitised.
0920	TOTAL RISK-WEIGHTED EXPOSURE AMOUNT Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, considering the total risk weight as specified in Article 247(6) CRR.
0930	MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS TO OTHER EXPOSURE CLASSES Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions.

103. The template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information shall be broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as if it is subject to differentiated capital treatment or not.

104. Positions treated in accordance with the SEC-ERBA and unrated positions (exposures at reporting date) shall be broken down in accordance with the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.

Rows
0010	TOTAL EXPOSURES Total exposures refer to the total amount of outstanding securitisations and re-securitisations. This row summarises all the information reported by originators, sponsors and investors in subsequent rows.
0020	SECURITISATION POSITIONS Total amount of outstanding securitisation positions, as defined in point (62) of Article 4(1) CRR, which are not re-securitisations as defined in point (63) of Article 4(1) CRR.
0030	QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 or 270 CRR and therefore qualify for differentiated capital treatment.
0040	STS EXPOSURES Total amount of STS securitisation positions that meet the requirements set out in Article 243 CRR.
0050	SENIOR POSITION IN SMEs SECURITISATIONS Total amount of senior securitisation positions in SMEs which meet the conditions set out in Article 270 CRR.
0060, 0120, 0170, 0240, 0290, 0360 and 0410	NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Paragraphs 1, 4, 5 and 6 of Article 254 and Articles 259, 261, 263, 265, 266 and 269 CRR Total amount of securitisation positions which do not qualify for differentiated capital treatment.
0070, 0190, 0310 and 0430	RE-SECURITISATION POSITIONS Total amount of outstanding re-securitisations positions as defined in point (64) of Article 4(1) CRR.
0080	ORIGINATOR: TOTAL EXPOSURES This row summarises information on on-balance items and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of originator, as defined in point (13) of Article 4(1) CRR.
0090-0130, 0210-0250 and 0330-0370	SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS In accordance with point (a) of Article 248(1) CRR, the exposure value of an on-balance sheet securitisation position shall be its accounting value remaining after any relevant specific credit risk adjustments on the securitisation position have been applied in accordance with Article 110 CRR. On-balance sheet items shall be broken down to capture information regarding application of differentiated capital treatment, as referred to in Article 243 CRR, in rows 0100 and 0120 and on the total amount of senior securitisation positions, as defined in Article 242(6) CRR, in rows 0110 and 0130.
0100, 0220 and 0340	QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 CRR and therefore qualify for differentiated capital treatment.
0110, 0130, 0160, 0180, 0230, 0250, 0280, 0300, 0350, 0370, 400 and 420	OF WHICH: SENIOR EXPOSURES Total amount of senior securitisation positions as defined in Article 242(6) CRR.
0140-0180, 0260-0300 and 0380-0420	SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES These rows shall gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion factor unless otherwise specified. Off-balance sheet securitisation positions arising from a derivative instrument listed in Annex II to the CRR, shall be determined in accordance with Chapter 6 of Title II of Part Three CRR. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II to the CRR shall be determined in accordance with Chapter 6 of Title II of Part Three CRR. For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount. For interest rate and currency swaps, the exposure value (calculated in accordance with Article 248(1) CRR) shall be provided. Off-balance sheet items and derivatives shall be broken down to capture information regarding the application of differentiated capital treatment, as referred to in Article 270 CRR, in rows 0150 and 0170 and on the total amount of senior securitisation positions, as defined in Article 242(6) CRR, in rows 0160 and 0180. The same legal references as for rows 0100 to 0130 shall apply.
0150, 0270 and 0390	QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 or Article 270 CRR and therefore qualify for differentiated capital treatment.
0200	INVESTOR: TOTAL EXPOSURES This row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of an investor. For the purposes of this template, an investor shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.
0320	SPONSOR: TOTAL EXPOSURES This row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of a sponsor, as defined in point (14) of Article 4(1) CRR. If a sponsor is also securitising its own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets.
0440-0670	BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION These rows gather information on outstanding positions (at reporting date) for which a credit quality step (as laid down in Tables 1 and 2 of Article 263 and Tables 3 and 4 of Article 264 CRR) was determined at origination date (inception). For securitisations positions treated under IAA, the CQS shall be the one at the time an IAA rating was first assigned. In the absence of this information, the earliest CQS-equivalent data available shall be reported. These rows are only to be reported for columns 0180-0210, 0280, 0350-0640, 0700-0720, 0740, 0760-0830 and 0850.

3.9. DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

3.9.1. Scope of the SEC DETAILS template

109. These templates gather information on a transaction basis (versus the aggregate information reported in CR SEC, MKR SA SEC, MKR SA CTP, CA1 and CA2 templates) on all securitisations the reporting institution is involved in. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements shall be reported.

110. These template are to be reported for:

a.

Securitisations originated/sponsored by the reporting institution, including where it holds no position in the securitisation. In cases where institutions hold at least one position in the securitisation, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 6 of Regulation (EU) 2017/2402 and, where Article 43(6) of that Regulation applies, Article 405 CRR in the version applicable on 31 December 2018.

b.

Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. That underlying could include covered bonds or other liabilities and shall be identified as such in column 160.

c.

Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).

111. These templates shall be reported by consolidated groups and stand-alone institutions(8) located in the same country where they are subject to own funds requirements. In case of securitisations involving more than one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided.

112. Because of Article 5 of Regulation (EU) 2017/2402, which establishes that institutions investing in securitisation positions shall acquire a great deal of information on them in order to comply with due diligence requirements, the reporting scope of the template shall be applied to investors to a limited extent. In particular, they shall report columns 010-040; 070-110; 161; 190; 290-300; 310-470.

113. Institutions playing the role of original lenders (not performing also the role of originators or sponsors in the same securitisation) shall generally report the template to the same extent as investors.

3.9.2. Breakdown of the SEC DETAILS template

113a. The SEC DETAILS consists of two templates. SEC DETAILS provides a general overview of the securitisations and SEC DETAILS 2 provides a breakdown of the same securitisations by approach applied.

113b. Securitisation positions in the trading book shall only be reported in columns 005-020, 420, 430, 431, 432, 440 and 450-470. For columns 420, 430 and 440, institutions shall take into account the RW corresponding to the own funds requirement of the net position.

3.9.3. C 14.00 – Detailed information on securitisations (SEC DETAILS)

Columns
005	ROW NUMBER The row number is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.
010	INTERNAL CODE Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation transaction.
020	IDENTIFIER OF THE SECURITISATION (Code/Name) Code used for the legal registration of the securitisation transaction or, if not available, the name by which the securitisation transaction is known in the market, or within the institution in case of an internal or private securitisation. Where the International Securities Identification Number -ISIN- is available (i.e. for public transactions), the characters that are common to all tranches of the securitisation shall be reported in this column.
021	INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION? This column identifies whether the securitisation is an intra-group, private or public securitisation, Institutions shall report one of the following abbreviations: “PRI” for Private “INT” for Intra-group “PUB” for Public.
110	ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR) Institutions shall report the following abbreviations: “O” for Originator; “S” for Sponsor; “I” for Investor. “L” for Original Lender; Originator as defined in point (13) of Article 4(1) CRR and Sponsor as defined in point (14) of Article 4(1) CRR. Investors are assumed to be those institutions to which Article 5 of Regulation (EU) 2017/2402 applies. In case Article 43(5) of Regulation (EU) 2017/2402 applies, Articles 406 and 407 CRR in the version applicable on 31 December 2018 shall apply.
030	IDENTIFIER OF THE ORIGINATOR (Code/Name) The LEI code applicable to the originator, or, if not available, the code given by the supervisory authority to the originator or, if that is not available, the name of the institution itself shall be reported in this column. In the case of multi-seller securitisations where the reporting institution is involved as originator, sponsor or original lender, the reporting institution shall provide the identifier of all the entities within its consolidated group that are involved (as originator, sponsor or original lender) in the transaction. If the code is not available or is not known by the reporting institution, the name of the institution shall be reported. In the case of multi-seller securitisations where the reporting institution holds a position in the securitisation as an investor, the reporting institution shall provide the identifier of all the different originators involved in the securitisation, or, if not available, the names of the different originators. Where the names are not known by the reporting institution, the reporting institution shall report that the securitisation is “multi-seller”.
040	SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC/ABCP PROGRAMME/ABCP TRANSACTION) Institutions shall report the following abbreviations: “AP” for ABCP programme; “AT” for ABCP transaction; “T” for Traditional; “S” for Synthetic. The definitions of “Asset Backed Commercial Paper Programme”, “Asset Backed Commercial Paper Transaction”, “traditional securitisation” and “synthetic securitisation” are provided in points (11) to (14) of Article 242 CRR.
051	ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET? Institutions as originators, sponsors and original lenders shall report one of the following abbreviations: “K” if entirely recognised; “P” if partially derecognised; “R” if entirely derecognised; “N” if not applicable. This column summarises the accounting treatment of the transaction. Significant risk transfer (SRT) under Articles 244 and 245 CRR shall not affect the accounting treatment of the transaction under the relevant accounting framework. In the case of securitisations of liabilities, originators shall not report this column. Option “P” (partially removed) shall be reported where the securitised assets are recognised in the balance sheet to the extent of the reporting entity’s continuing involvement in accordance with IFRS 9.3.2.16 – 3.2.21.
060	SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS? Originators, only, shall report the following abbreviations: “N” not subject to own funds requirements; “B” banking book; “T” trading book; “A” partly in both books. Articles 109, 244 and 245 CRR. This column summarises the solvency treatment of the securitisation scheme by the originator. It indicates whether own funds requirements are calculated on the basis of securitised exposures or securitisation positions (banking book/trading book). Where own funds requirements are based on securitised exposures (as no significant risk transfer was achieved) the calculation of own funds requirements for credit risk shall be reported in the CR SA template, for those securitised exposures for which the Standardised Approach is used, or in the CR IRB template for those securitised exposures for which the Internal Ratings Based Approach is used by the institution. Conversely, where own funds requirements are based on securitisation positions held in the banking book (as a significant risk transfer was achieved), the information on the calculation of own funds requirements for credit risk shall be reported in the CR SEC template. In case of securitisation positions held in the trading book, the information on the calculation of own funds requirements for market risk shall be reported in the MKR SA TDI (standardised general position risk) and in the MKR SA SEC or MKR SA CTP (standardised specific position risk) or in the MKR IM (internal models) templates. In the case of the securitisations of liabilities, originators shall not report this column.
061	SIGNIFICANT RISK TRANSFER Originators, only, shall report the following abbreviations: “N” Not applied for SRT and the reporting entity risk weights its securitised exposures “A” Achieved SRT under point (a) of Article 244(2) or point (a) of Article 245(2) CRR; “B” Achieved SRT under point (b) of Article 244(2) or point (b) of Article 245(2) CRR; “C” Achieved SRT under point (a) of Article 244(3) or point (a) of Article 245(3) CRR; “D” Applying a 1 250 % RW or deducting retained positions in accordance with point (b) of Article 244(1) or point (b) of Article 245(1) CRR. This column summarises whether a significant transfer has been achieved and, if so, by which means. The achievement of SRT will determine the appropriate solvency treatment by the originator.
070	SECURITISATION OR RE-SECURITISATION? In accordance with the definition of “securitisation” in point (61) of Article 4(1) CRR and the definition of “re-securitisation” in point (64) of Article 4(1)CRR, report the type of underlying using the following abbreviations: “S” for securitisation; “R” for re-securitisation.
075	STS SECURITISATION Article 18 of Regulation (EU) 2017/2402 Report one of the following abbreviations Y – Yes N – No
446	SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Articles 243 and 270 CRR. Institutions shall report one of the following abbreviations Y – Yes N – No “Yes” shall be reported both in case of STS securitisations qualifying for the differentiated capital treatment in accordance with Article 243 CRR and in case of senior positions in (non-STS) SME securitisations eligible for this treatment in accordance with Article 270 CRR.
080-100	RETENTION Article 6 of the Regulation (EU) 2017/2402. In case Article 43(6) of Regulation (EU) 2017/2402 applies, Article 405 CRR in the version applicable on 31 December 2018,
080	TYPE OF RETENTION APPLIED For each securitisation scheme originated, the relevant type of retention of net economic interest as envisaged in Article 6 of Regulation (EU) 2017/2402 shall be reported: A – Vertical slice (securitisation positions): “retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to the investors”. V – Vertical slice (securitised exposures): retention of no less than 5 % of the credit risk of each of the securitised exposures, if the credit risk thus retained with respect to such securitised exposures always ranks pari passu with, or is subordinated to, the credit risk that has been securitised with respect to those same exposures. B – Revolving exposures: “in the case of securitisations of revolving exposures, retention of the originator’s interest of no less than 5 % of the nominal value of the securitised exposures”. C – On-balance sheet: “retention of randomly selected exposures, equivalent to no less than 5 % of the nominal amount of the securitised exposures, where such exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is no less than 100 at origination”. D – First loss: “retention of the first loss tranche and, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, so that the retention equals in total no less than 5 % of the nominal value of the securitised exposures”. E – Exempted. This code shall be reported for those securitisations affected by the application of Article 6(6) of Regulation (EU) 2017/2402. U – In breach or unknown. This code shall be reported where the reporting institution does not know with certainty which type of retention is being applied, or in case of non-compliance.
090	% OF RETENTION AT REPORTING DATE The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be not less than 5 % (at origination date). This column shall not be reported where codes “E” (exempted) or “N” (not applicable) are reported under column 080 (Type of retention applied).
100	COMPLIANCE WITH THE RETENTION REQUIREMENT? Institutions shall report the following abbreviations: Y – Yes; N – No. This column shall not be reported where code “E” (exempted) is reported under column 080 (Type of retention applied).
120-130	NON ABCP PROGRAMMES Because of the special character of ABCP programmes resulting from the fact that they comprise several single securitisation positions, ABCP programmes (as defined in Article 242(11) CRR) shall be exempted from reporting in columns 120, 121 and 130.
120	ORIGINATION DATE (mm/yyyy) The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported in the following format: “mm/yyyy”. For each securitisation scheme, the origination date cannot change between reporting dates. In the particular case of securitisation schemes backed by open pools, the origination date shall be the date of the first issuance of securities. This piece of information shall be reported even where the reporting entity does not hold any positions in the securitisation.
121	DATE OF LATEST ISSUANCE (mm/yyyy) The month and year of the date of the latest issuance of securities in the securitisation shall be reported in the following format: “mm/yyyy”. Regulation (EU) 2017/2402 only applies to securitisations the securities of which are issued on or after 1 January 2019. The date of the latest issuance of securities determines whether each securitisation scheme falls under the scope of Regulation (EU) 2017/2402. This information shall be reported even where the reporting entity does not hold any positions in the securitisation.
130	TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE This column gathers the amount (calculated on the basis of original exposures pre-conversion factors) of the securitised portfolio at the origination date. For securitisation schemes backed by open pools, the amount referring to the origination date of the first issuance of securities shall be reported. For traditional securitisations, no other assets of the securitisation pool shall be included. For multi-seller securitisation schemes (i.e. with more than one originator), only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. For securitisations of liabilities, only the amounts issued by the reporting entity shall be reported. This information shall be reported even where the reporting entity does not hold any positions in the securitisation.
140-225	SECURITISED EXPOSURES Columns 140 to 225 request information on several features of the securitised portfolio by the reporting entity.
140	TOTAL AMOUNT Institutions shall report the value of the securitised portfolio at reporting date, i.e. the outstanding amount of the securitised exposures. In the case of traditional securitisations, no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator), only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. In the case of securitisation schemes backed by closed pools (i.e. the portfolio of securitised assets cannot be enlarged after the origination date), the amount will progressively be reduced. This information shall be reported even where the reporting entity does not hold any positions in the securitisation.
150	INSTITUTION’S SHARE (%) Institution’s share (percentage with two decimals) at reporting date in the securitised portfolio. The figure to be reported in this column is, by default, 100 %, except for multi-seller securitisation schemes. In that case, the reporting entity shall report its current contribution to the securitised portfolio (equivalent to column 140 in relative terms). This information shall be reported even where the reporting entity does not hold any positions in the securitisation.
160	TYPE This column gathers information on the type of assets (“Residential mortgages” to “Other wholesale exposures”) or liabilities (“Covered bonds” and “Other liabilities”) of the securitised portfolio. The institution shall report one of the following options, considering the highest EAD: Retail: Residential mortgages; Credit card receivables; Consumer loans; Loans to SMEs (treated as retail); Other retail exposures. Wholesale: Commercial mortgages; Leasing; Loans to corporates; Loans to SMEs (treated as corporates); Trade receivables; Other wholesale exposures. Liabilites: Covered bonds; Other liabilities. Where the pool of securitised exposures is a mix of the types listed above, the institution shall indicate the most important type. In case of re-securitisations, the institution shall refer to the ultimate underlying pool of assets. Type “Other liabilities” includes treasury bonds and credit linked notes. For securitisation schemes backed by closed pools the type cannot change between reporting dates.
171	% OF IRB IN APPROACH APPLIED This column gathers information on the approach(es) that at the reporting date the institution would apply to the securitised exposures. Institutions shall report the percentage of the securitised exposures, measured by exposure value, to which the Internal Ratings Based Approach applies at the reporting date. This information shall be reported even where the reporting entity does not hold any positions in the securitisation. This column shall, however, not apply to securitisations of liabilities.
180	NUMBER OF EXPOSURES Article 259(4) CRR. This column shall be compulsory for those institutions using the SEC-IRBA approach to the securitisation positions (and, therefore, reporting more than 95 % in column 171). The institution shall report the effective number of exposures. This column shall not be reported in case of a securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets). This column shall not be reported where the reporting institution does not hold any positions in the securitisation. This column shall not be reported by investors.
181	EXPOSURES IN DEFAULT “W” (%) Article 261(2) CRR. Even where the institution is not applying the SEC-SA approach to the securitisation positions, the institution shall report the “W” factor (relating to the underlying exposures in default) which is to be calculated as indicated in Article 261(2) CRR.
190	COUNTRY Institutions shall report the code (ISO 3166-1 alpha-2) of the country of origin of the ultimate underlying of the transaction, i.e. the country of the immediate obligor of the original securitised exposures (look through). Where the pool of the securitisation consists of different countries, the institution shall indicate the most important country. Where no country exceeds a 20 % threshold based on the amount of assets/liabilities, then “other countries” shall be reported.
201	LGD (%) The exposure-weighted average loss-given-default (LGD) shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 170). The LGD is to be calculated as indicated in Article 259(5) CRR. This column shall not be reported in case of a securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets).
202	EL (%) The exposure-weighted average expected loss (EL) of the securitised assets shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 171). In the case of SA securitised assets, the EL reported shall be the specific credit risk adjustments as referred to in Article 111 CRR. The EL shall be calculated as indicated in Section 3, Chapter 3 of Title II, Part Three CRR. This column shall not be reported in case of securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets).
203	UL (%) The exposure-weighted average unexpected loss (UL) of the securitised assets shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 170). The UL of assets equals the risk-weighted exposure amount (RWEA) times 8 %. RWEA shall be calculated as indicated in Section 2, Chapter 3 of Title II, Part Three CRR. This column shall not be reported in case of securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in the case of a securitisation of assets).
204	EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS The exposure-weighted average maturity (WAM) of the securitised assets at the reporting date shall be reported by all institutions regardless of the approach used for calculating capital requirements. Institutions shall calculate the maturity of each asset as indicated in points (a) and (f) of Article 162(2) CRR, without applying the 5 year cap.
210	(-) VALUE ADJUSTMENTS AND PROVISIONS Value adjustments and provisions (Article 159 CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments shall include any amount recognised in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on assets purchased when in default as referred to in Article 166(1) CRR. Provisions shall include accumulated amounts of credit losses in off-balance sheet items. This column gathers information on the value adjustments and provisions applied to the securitised exposures. This column shall not be reported in the case of a securitisation of liabilities. This information shall be reported even where the reporting entity does not hold any positions in the securitisation.
221	OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) KIRB This column shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 171) and gathers information on KIRB, as referred to in Article 255 CRR. KIRB shall be expressed as a percentage (with two decimals). This column shall not be reported in case of a securitisation of liabilities. In case of a securitisation of assets, this information shall be reported even where the reporting entity does not hold any positions in the securitisation.
222	% OF RETAIL EXPOSURES IN IRB POOLS IRB pools as defined in Article 242(7) CRR, provided that the institution is able to calculate KIRB in accordance with Section 3 of Chapter 6 of Title II of Part Three CRR on a minimum of 95 % of the underlying exposure amount (Article 259(2) CRR)
223	OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa Even where the institution does not apply the SEC-SA approach to the securitisation positions, the institution shall report this column. This column gathers information on KSA, as referred to in Article 255(6) CRR. KSA shall be expressed as a percentage (with two decimals). This column shall not be reported in case of a securitisation of liabilities. In case of a securitisation of assets, this information shall be reported even where the reporting entity does not hold any positions in the securitisation.
225	MEMORANDUM ITEMS
225	CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD Article 110 CRR
230-304	SECURITISATION STRUCTURE This block of columns gathers information on the structure of the securitisation on the basis of on/off balance sheet positions, tranches (senior/mezzanine/first loss) and maturity at reporting date. For multi-seller securitisations, only the amount corresponding or attributed to the reporting institution shall be reported.
230-252	ON-BALANCE SHEET ITEMS This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss).
230-232	SENIOR
230	AMOUNT The amount of senior securitisation positions as defined in Article 242(6) CRR.
231	ATTACHMENT POINT (%) The attachment point (%) as referred to in Article 256(1) CRR
232 and 252	CQS Credit quality steps (CQS) as envisaged for institutions applying SEC-ERBA (Table 1 and 2 in Article 263 and Tables 3 and 4 in Article 264 CRR). These columns shall be reported for all rated transactions irrespective of the approach applied.
240-242	MEZZANINE
240	AMOUNT The amount to be reported includes: mezzanine securitisation positions as defined in Article 242(18) CRR; additional securitisation positions which are not those positions that are defined in Article 242(6), (17) or (18) CRR.
241	NUMBER OF TRANCHES Number of mezzanine tranches.
242	CQS OF THE MOST SUBORDINATED ONE CQS, as determined in accordance with Table 2 of Article 263 and Table 3 of Article 264 CRR, of the most subordinated mezzanine tranche.
250-252	FIRST LOSS
250	AMOUNT The amount of first loss tranche as defined in Article 242(17) CRR
251	DETACHMENT POINT (%) The detachment point (%) as referred to in Article 256(2) CRR
260-280	OFF-BALANCE SHEET ITEMS AND DERIVATIVES This block of columns gathers information on off-balance sheet items and derivatives broken down by tranches (senior/mezzanine/first loss). The same criteria of classification among tranches used for on-balance sheet items shall be applied here.
290-300	MATURITY
290	FIRST FORESEEABLE TERMINATION DATE The likely termination date of the whole securitisation in the light of its contractual clauses and the currently expected financial conditions. Generally, it would be the earliest of the following dates: (i) the date when a clean-up call option (as defined in Article 242(1) CRR) might first be exercised, taking into account the maturity of the underlying exposure(s) as well as their expected pre-payment rate or potential re-negotiation activities; (ii) the date on which the originator may first exercise any other call option embedded in the contractual clauses of the securitisation which would result in the total redemption of the securitisation. The day, month and year of the first expected termination date shall be reported. The exact day shall be reported where that information is available, otherwise the first day of the month shall be reported.
291	ORIGINATOR’S CALL OPTIONS INCLUDED IN TRANSACTION Type of call relevant for the first expected termination date: Clean-up call option meeting the requirements of point (g) of Article 244(4) CRR; Other clean-up call option; Other type of call option.
300	LEGAL FINAL MATURITY DATE The date upon which all principal and interest of the securitisation must be legally repaid (based on the transaction documentation). The day, month and year of the legal final maturity date shall be reported. The exact day shall be reported where that information is available, otherwise the first day of the month shall be reported.
302-304	MEMORANDUM ITEMS
302	ATTACHMENT POINT OF RISK SOLD (%) Originators, only, shall report the attachment point of the most subordinated tranche sold to, for traditional securitisations, or protected by, for synthetic securitisations, third parties.
303	DETACHMENT POINT OF RISK SOLD (%) Originators, only, shall report the detachment point of the most senior tranche sold to, fortraditional securitisations, or protected by, for synthetic securitisations, third parties.
304	RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%) Originators, only, shall report the Expected Loss (EL) plus the Unexpected loss (UL) of the securitised assets transferred to third parties as a percentage of the total EL plus UL. The EL and UL of the underlying exposures shall be reported, which shall then be allocated via the securitisation waterfall to the respective tranches of the securitisation. For SA banks, EL shall be the specific credit risk adjustment of the securitised assets and the UL shall be the capital requirement of the securitised exposures.

3.9.4. C 14.01 – Detailed information on securitisations (SEC DETAILS 2)

113c. The template SEC DETAILS 2 shall be reported separately for the following approaches:

1)

SEC-IRBA;

2)

SEC-SA;

3)

SEC-ERBA;

4)

1 250 %.

Columns
005	ROW NUMBER The row number is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.
010	INTERNAL CODE Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation transaction.
020	IDENTIFIER OF THE SECURITISATION (Code/Name) Code used for the legal registration of the securitisation position, or transaction in case of several positions that can be reported in the same row, or, if not available, the name by which the securitisation position or transaction is known in the market, or within the institution in the case of an internal or private securitisation. Where the International Securities Identification Number -ISIN- is available (i.e. for public transactions), the characters that are common to all tranches of the securitisation shall be reported in this column.
310-400	SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORS This block of columns gathers information on the securitisation positions broken down by on/off balance sheet positions and the tranches (senior/mezzanine/first loss) at reporting date.
310-330	ON-BALANCE SHEET ITEMS The same criteria of classification among tranches used for columns 230, 240 and 250 shall be applied here.
340-361	OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among tranches used for columns 260 to 280 shall be applied here.
351 and 361	RW CORRESPONDING TO PROTECTION PROVIDER/INSTRUMENT % RW of the eligible guarantor or % RW of the corresponding instrument that provides credit protection in accordance with Article 249 CRR.
370-400	MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE-CONVERSION FACTORS This block of columns gathers additional information on the total off-balance sheet items and derivatives (which are already reported under a different breakdown in columns 340-361).
370	DIRECT CREDIT SUBSTITUTES (DCS) This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS). In accordance with Annex I to CRR, the following full risk off-balance sheet items shall be regarded as DCS: Guarantees having the character of credit substitutes. Irrevocable standby letters of credit having the character of credit substitutes.
380	IRS/CRS IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. Those derivatives are listed in Annex II to the CRR.
390	LIQUIDITY FACILITIES Liquidity facilities (LF) as defined in Article 242(3) CRR.
400	OTHER Remaining off-balance sheet items.
411	EXPOSURE VALUE This information is closely related to column 0180 in the CR SEC template.
420	(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS This information is closely related to column 0190 in the CR SEC template. A negative figure shall be reported in this column.
430	TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP This column gathers information on the risk weighted exposure amount before cap applicable to the securitisation positions (i.e. for securitisation schemes with significant risk transfer). For securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount determined on the basis of securitised exposures), no data shall be reported in this column. In the case of securitisations of liabilities, this column shall not be reported. In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 570 of MKR SA SEC, or columns 410 and 420 (the relevant for the own funds requirement) of MKR SA CTP, respectively.
431	(-) REDUCTION DUE TO RISK WEIGHT CAP Article 267 CRR
432	(-) REDUCTION DUE TO OVERALL CAP Article 268 CRR
440	TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP This column gathers information on the risk weighted exposure amount after caps applicable to the securitisation positions (i.e. for securitisation schemes with significant risk transfer). For securitisation schemes without significant risk transfer (i.e. own funds requirements determined on the basis of securitised exposures) no data shall be reported in this column. In the case of securitisations of liabilities, this column shall not be reported. In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 600 of MKR SA SEC, or column 450 of MKR SA CTP, respectively.
447-448	MEMORANDUM ITEMS
447	RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA Articles 263 and 264 CRR. This column shall only be reported for rated transactions before cap and it shall not be reported for transactions under SEC-ERBA.
448	RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA Articles 261 and 262 CRR. This column shall be reported before cap and it shall not be reported for transactions under SEC-SA.
450-470	SECURITISATION POSITIONS – TRADING BOOK
450	CTP OR NON-CTP? Institutions shall report the following abbreviations: C – Correlation Trading Portfolio (CTP); N – Non-CTP
460-470	NET POSITIONS – LONG/SHORT See columns 050/060 of MKR SA SEC or MKR SA CTP, respectively.

4. OPERATIONAL RISK TEMPLATES

4.1. C 16.00 – OPERATIONAL RISK (OPR)

4.1.1. General Remarks

114. This template provides information on the calculation of own funds requirements in accordance with Articles 312 to 324 CRR for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA). An institution cannot apply TSA and ASA for the business lines retail banking and commercial banking at the same time at solo level.

115. Institutions using the BIA, TSA or ASA shall calculate their own funds requirement, based on the information at financial year-end. Where audited figures are not available, institutions may use business estimates. Where audited figures are used, institutions shall report the audited figures which are expected to remain unchanged. Deviations from this “unchanged” principle are possible, for instance if during that period the exceptional circumstances, such as recent acquisitions or disposals of entities or activities, are met.

116. Where an institution can justify its competent authority that – due to exceptional circumstances such as a merger or a disposal of entities or activities – using a three year average to calculating the relevant indicator would lead to a biased estimation for the own funds requirement for operational risk, the competent authority may permit the institution to modify the calculation in a way that would take into account such events. The competent authority may also on its own initiative require an institution to modify the calculation. An institution that has been in operation for less than three years may use forward looking business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as those data are available.

117. By columns, this template presents information, for the three most recent years, on the amount of the relevant indicator of the banking activities subject to operational risk and on the amount of loans and advances (the latter only applicable in the case of ASA). Next, information on the amount of own funds requirement for operational risk is reported. Where applicable, it must be detailed which part of that amount is due to an allocation mechanism. Regarding AMA, memorandum items are added to present a detail of the effect of the expected loss, diversification and mitigation techniques on own funds requirement for operational risk.

118. By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA.

119. This template shall be submitted by all institutions subject to operational risk own funds requirement.

4.1.2. Instructions concerning specific positions

Columns
010-030	RELEVANT INDICATOR Institutions using the relevant indicator to calculate the own funds requirement for operational risk (BIA, TSA and ASA) shall report the relevant indicator for the respective years in columns 010 to 030. Moreover, in case of a combined use of different approaches as referred in Article 314 CRR, institutions shall also report, for information purposes, relevant the indicator for the activities subject to AMA. The same shall apply for all other AMA banks. Hereafter, the term “relevant indicator” refers to “the sum of the elements” at the end of the financial year as referred to in point 1 in Table 1 of Article 316 CRR. Where the institution has less than 3 years of data on “relevant indicator” available, the available historical data (audited figures) shall be assigned by priority to the corresponding columns in the template. Where, for instance, historical data for only one year is available, those data shall be reported in column 030. Where it seems reasonable, the forward looking estimates shall be included in column 020 (estimate of next year) and column 010 (estimate of year +2). Furthermore, where there are no historical data on “relevant indicator” available, the institution may use forward-looking business estimates.
040-060	LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION) These columns shall be used to report the amounts of the loans and advances, as referred to in point (b) of Article 319(1) CRR, for business lines “commercial banking” and “retail banking”. Those amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to the alternative standard approach (point (a) of Article 319(1) CRR). For the “commercial banking” business line, securities held in the non-trading book shall also be included.
070	OWN FUND REQUIREMENT The own fund requirement shall be calculated in accordance with the approaches used and in accordance withArticles 312 to 324 CRR The resulting amount shall be reported in column 070.
071	TOTAL OPERATIONAL RISK EXPOSURE AMOUNT Article 92(4) CRR Own funds requirements in column 070 multiplied by 12,5.
080	OF WHICH: DUE TO AN ALLOCATION MECHANISM Where a permission to use the AMA at consolidated level (Article 18(1) CRR) has been granted in accordance with Article 312(2) CRR, operational risk capital shall be allocated between the different entities of the group on the basis of the methodology applied by the institutions to consider diversification effects in the risk measurement system used by a EU parent credit institution and its subsidiaries or jointly by the subsidiaries of an EU parent financial holding company or an EU parent mixed financial holding company. The result of that allocation shall be reported in this column.
090-120	AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE
090	OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES The own funds requirement reported in column 090 is the one of column 070 but calculated before taking into account the alleviation effects due to expected loss, diversification and risk mitigation techniques (see below).
100	(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES In column 100, the alleviation of own funds requirements due to expected loss captured in internal business practices (as referred to in point (a) of Article 322(2) CRR) shall reported.
110	(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION The diversification effect in column 110 shall be the difference between the sum of own funds requirements calculated separately for each operational risk class (i.e. a “perfect dependence” situation) and the diversified own funds requirement calculated by taking into account correlations and dependencies (i.e. assuming less than “perfect dependence” between the risk classes). The “perfect dependence” situation occurs in the “default case”, that is where the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is calculated as the sum of the individual operational risk measures of the chosen risk classes. In that case, the correlation between the risk classes is assumed to be 100 % and the value in the column has to be set to zero. Conversely, where the institution calculates an explicit correlations structure between risk classes, it has to include in this column the difference between the AMA capital as stemming from the “default case” and the AMA capital obtained after applying the correlations structure between the risk classes. The value reflects the “diversification capacity” of the AMA model, that is the ability of the model to capture the not simultaneous occurrence of severe operational risk loss events. In column 110, the amount by which the assumed correlation structure decreases the AMA capital relative to the assumption of 100 % correlation has to be reported.
120	(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS) In column 120 the impact of insurance and other risk transfer mechanisms as referred to in Article 323 CRR shall be reported.

Rows
010	BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA) This row shall present the amounts corresponding to activities subject to the BIA to calculate the own funds requirement for operational risk (Articles 315 and 316 CRR).
020	BANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ALTERNATIVE STANDARDISED (ASA) APPROACHES The own funds requirement calculated in accordance with the TSA and ASA (Articles 317, 318 and 319 CRR) shall be reported.
030-100	SUBJECT TO TSA Where the TSA is used, the relevant indicator for each respective year shall be distributed in rows 030 to 100 amongst the business lines referred to in Table 2 of Article 317 CRR. The mapping of activities into business lines shall follow the principles described in Article 318 CRR.
110-120	SUBJECT TO ASA Institutions using the ASA (Article 319 CRR) shall report for the respective years the relevant indicator separately for each business line in rows 030 to 050 and 080 to 100 and in rows 110 and 120 for business lines “commercial banking” and “retail banking”. Rows 110 and 120 shall present the amount of the relevant indicator of activities subject to ASA, distinguishing between the amount corresponding to the business line “commercial banking” and the amounts corresponding to the business line “retail banking” (Article 319 CRR). There can be amounts for the rows corresponding to “commercial banking” and “retail banking” under the TSA (rows 060 and 070) as well as under the ASA rows 110 and 120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA).
130	BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA The relevant data for AMA institutions (Article 312(2) and Articles 321, 322 and 323 CRR) shall be reported. Where different approaches are combined as indicated in Article 314 CRR, information on relevant indicator for activities subject to AMA shall be reported. The same shall apply for all other AMA banks.

4.2. OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS)

4.2.1. General Remarks

120. Template C 17.01 (OPR DETAILS 1) summarises the information on the gross losses and loss recoveries registered by an institution in the last year by event types and business lines. Template C 17.02 (OPR DETAILS 2) provides detailed information on the largest loss events in the most recent year.

121. Operational risk losses that are related to credit risk and are subject to own funds requirements for credit risk (boundary credit-related operational risk events) are neither considered in template C 17.01 nor template C 17.02.

122. In case of a combined use of different approaches for the calculation of own funds requirements for operational risk in accordance with Article 314 CRR, losses and recoveries registered by an institution shall be reported in C 17.01 and C 17.02, irrespective of the approach applied to calculate own funds requirements.

123. “Gross loss” means a loss – as referred to in point (b) of Article 322(3) CRR – stemming from an operational risk event or loss event type before recoveries of any kind, without prejudice to “rapidly recovered loss events” as defined below.

124. “Recovery” means an independent occurrence related to the original operational risk loss that is separate in time, in which funds or inflows of economic benefits are received from first or third parties, such as insurers or other parties. Recoveries are broken down into recoveries from insurance and other risk transfer mechanisms and direct recoveries.

125. “Rapidly recovered loss events” means operational risk events that lead to losses that are partly or fully recovered within five working days. In case of a rapidly recovered loss event, only the part of the loss that is not fully recovered (i.e. the loss net of the partial rapid recovery) shall be included into the gross loss definition. As a consequence, loss events that lead to losses that are fully recovered within five working days shall not be included into the gross loss definition, and neither into the OPR DETAILS reporting.

126. “Date of accounting” means the date when a loss or reserve/provision was first recognised in the Profit and Loss statement, against an operational risk loss. Those date logically follow the “Date of occurrence” (i.e. the date when the operational risk event happened or first began) and the “Date of discovery” (i.e. the date on which the institution became aware of the operational risk event).

127. Losses caused by a common operational risk event or by multiple events linked to an initial operational risk event generating events or losses (“root-event”) are grouped. The grouped events shall be considered and reported as one event, and thus the related gross loss amounts, respectively amounts of loss adjustments, shall be summed up.

128. The figures reported in June of the respective year shall be interim figures, while the final figures shall be reported in December. Therefore, the figures in June shall have a six-month reference period (i.e. from 1 January to 30 June of the calendar year) while the figures in December shall have a twelve-month reference period (i.e. from 1 January to 31 December of the calendar year). Both for data reported in June and December, “previous reporting reference periods” shall mean all reporting reference periods until and including the one ending at the preceding calendar year end.

129. In order to verify compliance with the criterion laid down in point (i) of Article 5(b)(2)(b) of this Implementing Regulation, an institution shall use the latest statistics as available in the Supervisory Disclosure webpage of EBA to get “the sum of individual balance sheet totals of all institutions within the same Member State”. In order to verify the criterion laid down in point (iii) of Article 5(b)2(b) of this Implementing Regulation, the gross domestic product at market prices as defined in point 8.89 of Annex A to Regulation (EU) No 549/2013 of the European Parliament and of the Council (ESA 2010)(9) and published by Eurostat for the previous calendar year shall be used.

4.2.2. C 17.01: Operational risk losses and recoveries by business lines and loss event types in the last year (OPR DETAILS 1)

4.2.2.1. General Remarks

130. In template C 17.01, the information shall be presented by distributing the losses and recoveries above internal thresholds amongst business lines (as listed in Table 2 of Article 317 CRR, including the additional business line “corporate items” referred to in point (b) of Article 322(3) CRR) and loss event types (as referred to in in Article 324 CRR). It is possible that the losses corresponding to one loss event are distributed amongst several business lines.

131. Columns present the different loss event types and the totals for each business line, together with a memorandum item that shows the lowest internal threshold applied in the data collection of losses, revealing within each business line the lowest and the highest threshold where there is more than one threshold.

132. Rows present the business lines, and within each business line, information on the number of loss events (new loss events), the gross loss amount (new loss events), the number of loss events subject to loss adjustments, the loss adjustments relating to previous reporting periods, the maximum single loss, the sum of the five largest losses and the total loss recoveries (direct loss recoveries as well as recoveries from insurance and other risk transfer mechanisms).

133. For the total business lines, data on the number of loss events and the gross loss amount shall also be reported for certain ranges based on set thresholds, that is 10 000, 20 000, 100 000, and 1 000 000. The thresholds are set in EUR and are included for comparability purposes of the reported losses among institutions. Those thresholds do therefore not necessarily relate to the minimum loss thresholds used for the internal loss data collection, to be reported in another section of the template.

4.2.2.2. Instructions concerning specific positions

Columns
0010-0070	EVENT TYPES Institutions shall report the losses in the respective columns 010 to 070 in accordance with the loss event types referred to in Article 324 CRR. Institutions that calculate their own funds requirement in accordance with the BIA may report those losses for which the loss event type is not identified in column 080 only.
0080	TOTAL LOSS EVENT TYPES In column 080, for each business line, institutions shall report the total “number of loss events (new loss events)”, the total of “gross loss amount (new loss events)”, the total “number of loss events subject to loss adjustments”, the total of “loss adjustments relating to previous reporting periods”, the “maximum single loss”, the “sum of the five largest losses”, the total of “total direct loss recovery” and the total of “total recovery from insurance and other risk transfer mechanisms”. Provided that the institution has identified the loss event types for all losses, column 080 shall show the simple aggregation of the number of loss events, the total gross loss amounts, the total loss recovery amounts and the “loss adjustments relating to previous reporting periods” reported in columns 010 to 070. The “maximum single loss” reported in column 080 shall be the maximum single loss within a business line and identical to the maximum of the “maximum single losses” reported in columns 010 to 070, provided that the institution has identified the loss event types for all losses. For the sum of the five largest losses, in column 080 the sum of the five largest losses within one business line shall be reported.
0090-0100	MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION Institutions shall report in columns 090 and 100 the minimum loss thresholds they are using for the internal loss data collection in accordance with the last sentence of point (c) of Article 322(3) CRR. Where the institution applies only one threshold for in each business line, only column 090 shall be filled in. Where there are different thresholds applied within the same regulatory business line, the highest applicable threshold (column 100) shall be filled in as well.

Rows
0010-0880	BUSINESS LINES: CORPORATE FINANCE, TRADING AND SALES, RETAIL BROKERAGE, COMMERCIAL BANKING, RETAIL BANKING, PAYMENT AND SETTLEMENT, AGENCY SERVICES, ASSET MANAGEMENT, CORPORATE ITEMS For each business line referred to in Table 2 of Article 317(4) CRR, including the additional business line “Corporate items” as referred to in point (b) of Article 322(3) CRR, and for each loss event type, the institution shall report, in accordance with the internal thresholds, the following information: number of loss events (new loss events), gross loss amount (new loss events), the number of loss events subject to loss adjustments, loss adjustments relating to previous reporting periods, maximum single loss, sum of the five largest losses, total direct loss recovery and the total recovery from insurance and other risk transfer mechanisms. For a loss event that affects more than one business line the “gross loss amount” shall be distributed amongst all the affected business lines. Institutions that calculate their own funds requirement in accordance with the BIA can report those losses for which the business line is not identified in rows 910-980 only.
0010, 0110, 0210, 0310, 0410, 0510, 0610, 0710, 0810	Number of loss events (new loss events) The number of loss events is the number of loss events for which gross losses were accounted for within the reporting reference period. The number of loss events shall refer to “new events”, i.e. operational risk events: (i) “accounted for the first time” within the reporting reference period; or (ii) “accounted for the first time” within a previous reporting reference period, where the loss event was not included in any previous supervisory report, e.g. because it was identified as operational risk loss event only in the current reporting reference period or because the accumulated loss attributable to that loss event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period. “New loss events” do not include loss events “accounted for the first time” within a previous reporting reference period, which were already included in previous supervisory reports.
0020, 0120, 0220, 0320, 0420, 0520, 0620, 0720, 0820	Gross loss amount (new loss events) The gross loss amount shall be the gross loss amounts pertinent to operational risk loss events (e.g. direct charges, provisions, settlements). All losses related to a single loss event which are accounted for within the reporting reference period shall be summed up and considered as the gross loss for that loss event for that reporting reference period. The reported gross loss amount shall refer to “new loss events” as referred to in the row above of this table. For loss events “accounted for the first time” within a previous reporting reference period which were not included in any previous supervisory report, the total loss accumulated until the reporting reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) shall be reported as the gross loss at the reporting reference date. The amounts to be reported shall not take into account obtained recoveries.
0030, 0130, 0230, 0330, 0430, 0530, 0630, 0730, 0830	Number of loss events subject to loss adjustments The number of loss events subject to loss adjustments shall be the number of operational risk loss events “accounted for the first time” in previous reporting reference periods and already included in previous reports, for which loss adjustments were made in the current reporting reference period. Where more than one loss adjustment was made for a loss event within the reporting reference period, the sum of those loss adjustments shall be counted as one adjustment in the period.
0040, 0140, 0240, 0340, 0440, 0540, 0640, 0740, 0840	Loss adjustments relating to previous reporting periods Loss adjustments relating to previous reporting reference periods shall the sum of the following elements (positive or negative): (i) the gross loss amounts pertinent to positive loss adjustments made within the reporting reference period (e.g. increase of provisions, linked loss events, additional settlements) of operational risk events “accounted for the first time” and reported in previous reporting reference periods; (ii) the gross loss amounts pertinent to negative loss adjustments made within the reporting reference period (e.g. due to decrease of provisions) of operational risk loss events “accounted for the first time” and reported in previous reporting reference periods.
	Where more than one loss adjustment was made for a loss event within the reporting reference period, the amounts of all those loss adjustments shall be summed up, taking into account the sign of the adjustments (positive, negative). That sum shall be considered as the loss adjustment for that loss event for that reporting reference period. Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that loss event accumulated until the last time when the event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign instead of the amount of the negative loss adjustment itself. The amounts to be reported shall not take into account obtained recoveries.
0050, 0150, 0250, 0350, 0450, 0550, 0650, 0750, 0850	Maximum single loss The maximum single loss is the larger of: (i) the largest gross loss amount related to a loss event reported for the first time within the reporting reference period; and (ii) the largest positive loss adjustment amount (as referred to in rows 0040, 0140, …, 0840 above) related to a loss event reported for the first time within a previous reporting reference period. The amounts to be reported shall not take into account obtained recoveries.
0060, 0160, 0260, 0360, 0460, 0560, 0660, 0760, 0860	Sum of the five largest losses The sum of the five largest losses shall be the sum of the five largest amounts amongst: (i) the gross loss amounts for loss events reported for the first time within the reporting reference period; and (ii) the positive loss adjustment amounts (as defined for rows 0040, 0140, …, 0840 above) relating to loss events reported for the first time within a previous reporting reference period. The amount which can qualify as one of the five largest ones shall be the amount of the loss adjustment itself, not the total loss associated with the respective loss event before or after the loss adjustment. The amounts to be reported shall not take into account obtained recoveries.
0070, 0170, 0270, 0370, 0470, 0570, 0670, 0770, 0870	Total direct loss recovery Direct loss recoveries shall be all loss recoveries obtained, except those which are subject to Article 323 CRR as referred to in the row of this table below. The total direct loss recovery shall be the sum of all the direct recoveries and adjustments to direct recoveries accounted for within the reporting period and pertinent to operational risk loss events accounted for the first time within the reporting reference period or in previous reporting reference periods.
0080, 0180, 0280, 0380, 0480, 0580, 0680, 0780, 0880	Total recovery from insurance and other risk transfer mechanisms Recoveries from insurance and other risk transfer mechanisms shall be those recoveries which are subject to Article 323 CRR. The total recovery from insurance and other risk transfer mechanisms shall be the sum of all recoveries from insurance and other risk transfer mechanisms and adjustments to such recoveries accounted for within the reporting reference period and pertinent to operational risk loss events accounted for the first time within the reporting reference period or in previous reporting reference periods.
0910-0980	TOTAL BUSINESS LINES For each loss event type (column 0010 to 0080), the information on total business lines has to be reported.
0910-0914	Number of loss events In row 0910, the number of loss events above the internal threshold by loss event types for the total business lines shall be reported. This figure may be lower than the aggregation of the number of loss events by business lines since the loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the BIA cannot identify the business line(s) affected by the loss in every case. In rows 0911 – 0914, the number of loss events with a gross loss amount within the ranges defined in the pertinent rows of the template shall be reported. Provided that the institution has assigned all its losses to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” as referred to in point (b) of Article 322(3) CRR or that it has identified the loss event types for all losses, the following shall apply for column 080, as appropriate: The total number of loss events reported in rows 0910 to 0914 shall be equal to the horizontal aggregation of the number of loss events in the corresponding row, because in those figures the loss events with impacts in different business lines shall already have been considered as one loss event. The figure reported in column 0080, row 0910 shall not necessarily be equal to the vertical aggregation of the number of loss events which are included in column 080, because one loss event can have an impact in different business lines simultaneously.
0920-0924	Gross loss amount (new loss events) Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR, the gross loss amount (new loss events) reported in row 0920 shall be the simple aggregation of the gross loss amounts of new loss events for each business line. In rows 0921 – 0924, the gross loss amount for loss events with a gross loss amount within the ranges defined in the pertinent rows shall be reported.
0930, 0935, 0936	Number of loss events subject to loss adjustments In row 0930, the total of the numbers of loss events subject to loss adjustments as reported in rows 0030, 0130, …, 0830 shall be reported. That figure may be lower than the aggregation of the number of loss events subject to loss adjustments by business lines since loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the BIA cannot identify the business line(s) affected by the loss in every case. The number of loss events subject to loss adjustments shall be broken down into the number of loss events for which a positive loss adjustment was made within the reporting reference period and the number of loss events for which a negative loss adjustment was made within the reporting period (all reported with a positive sign).
0940, 0945, 0946	Loss adjustments relating to previous reporting periods In row 0940, the total of the loss adjustment amounts relating to previous reporting periods per business lines (as reported in rows 0040, 0140, …, 0840) shall be reported. Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR, the amount reported in row 0940 shall be the simple aggregation of the loss adjustments relating to previous reporting periods reported for the different business lines. The amount of loss adjustments shall be broken down into the amount related to loss events for which a positive loss adjustment was made in the reporting reference period (row 0945, reported with as positive figure) and the amount related to loss events for which a negative loss adjustment was made within the reporting period (row 0946, reported as negative figure). Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that loss event accumulated until the last time when the loss event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign in row 946 instead of the amount of the negative loss adjustment itself.
0950	Maximum single loss Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR, the maximum single loss shall be the maximum loss over the internal threshold for each loss event type and amongst all business lines. Those figures may be higher than the highest single loss recorded in each business line where a loss event impacts different business lines. Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR respectively that it has identified the loss event types for all losses, the following shall apply for column 0080: The maximum single loss reported shall be equal to the highest of the values reported in columns 0010 – 0070 of this row. Where there are loss events having an impact in different business lines, the amount reported in {r950, c080} may be higher than the amounts of “Maximum single loss” per business line reported in other rows of column 080.
0960	Sum of the five largest losses The sum of the five largest gross losses for each loss event type and amongst all business lines shall be reported. That sum may be higher than the highest sum of the five largest losses recorded in each business line. That sum has to be reported regardless of the number of losses. Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR and that it has identified the loss event types for all losses, for column 0080, the sum of the five largest losses shall be the sum of the five largest losses in the whole matrix, which means that it is not necessarily equal to either the maximum value of “sum of the five largest losses” in row 0960 or the maximum value of “sum of the five largest losses” in column 0080.
0970	Total direct loss recovery Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR, the total direct loss recovery shall be the simple aggregation of the total direct loss recovery for each business line.
0980	Total recovery from insurance and other risk transfer mechanisms Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR, the total recovery from insurance and other risk transfer mechanisms shall be the simple aggregation of the total loss recovery from insurance and other risk transfer mechanisms for each business line.

4.2.3. C 17.02: Operational risk: Detailed information on the largest loss events in the last year (OPR DETAILS 2)

4.2.3.1. General Remarks

134. In template C 17.02, information on individual loss events shall be provided (one row per loss event).

135. The information reported in this template shall refer to “new loss events”, i.e. operational risk events:

(a)

“accounted for the first time” within the reporting reference period; or

(b)

“accounted for the first time” within a previous reporting reference period, where the loss event was not included in any previous supervisory report, e.g. because it was identified as operational risk loss event only in the current reporting reference period or because the accumulated loss attributable to that loss event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period.

136. Only loss events entailing a gross loss amount of 100 000 € or more shall be reported.

Subject to that threshold:

(a)

the largest event for each event type, provided that the institution has identified the event types for losses; and

(b)

at least the ten largest of the remaining events with or without identified event type by gross loss amount shall be included in the template.

(c)

Loss events shall be ranked based on the gross loss attributed to them.

(d)

A loss event shall only be considered once.

4.2.3.2. Instructions concerning specific positions

Columns
0010	Event ID The event ID is a row identifier and shall be unique for each row in the template. Where an internal ID is available, institutions shall provide the internal ID. Otherwise, the reported ID shall follow the numerical order 1, 2, 3, etc.
0020	Date of Accounting Date of accounting means the date where a loss or reserve/provision against an operational risk loss was first recognised in the Profit and Loss statement.
0030	Date of occurrence Date of occurrence shall be the date when the operational risk loss event happened or first began.
0040	Date of discovery Date of discovery shall be the date on which the institution became aware of the operational risk loss event.
0050	Loss event type Loss event types as referred to in Article 324 CRR.
0060	Gross loss Gross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01
0070	Gross loss net of direct recoveries Gross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01, net of direct recoveries pertinent to that loss event
0080 – 0160	Gross loss by business line The gross loss as reported in column 0060 shall be allocated to the relevant business lines as referred to in Table 2 of Article 317(4) CRR and point (b) of Article 322(3) CRR.
0170	Legal Entity name Name of the legal entity as reported in column 010 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.
0180	Legal Entity ID LEI code of the legal entity as reported in column 025 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.
0190	Business Unit Business unit or corporate division of the institution where the loss – or the greatest share of the loss if several business units or corporate divisions were affected – occurred.
0200	Description Narrative description of the loss event, where necessary in a generalised or anonymised manner, which shall comprise at least information about the event itself and information about the drivers or causes of the loss event, where known.

5. MARKET RISK TEMPLATES

137. These instructions refer to the templates for the reporting of the calculation of own funds requirements in accordance with the Standardised Approach for foreign exchange risk (MKR SA FX), commodities risk (MKR SA COM), interest rate risk (MKR SA TDI, MKR SA SEC, MKR SA CTP) and equity risk (MKR SA EQU). Additionally, instructions for the template for the reporting of the calculation of own funds requirements in accordance with the internal models approach (MKR IM) are included in this part.

138. The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components in order to calculate the capital required against it. The first shall be its specific-risk component – that is the risk of a price change in the instrument concerned due to factors related to its issuer or, in the case of a derivative, the issuer of the underlying instrument. The second component shall cover its general risk – that is the risk of a price change in the instrument due (in the case of a traded debt instrument or debt derivative) to a change in the level of interest rates or (in the case of an equity or equity derivative) to a broad equity- market movement unrelated to any specific attributes of individual securities. The general treatment of specific instruments and netting procedures can be found in Articles 326 to 333 CRR.

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

5.1.1. General Remarks

139. This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the Standardised Approach (Article 102 and Article 105(1) CRR). The different risks and methods available under CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP has only to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {325;060} (securitisations) and {330;060} (CTP) respectively.

140. The template has to be filled out separately for the “Total”, plus a pre-defined list of following currencies: EUR, ALL, BGN, CZK, DKK, EGP, GBP, HRK, HUF, ISK, JPY, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.

5.1.2. Instructions concerning specific positions

Columns
010-020	ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties in accordance with the second sentence of the first subparagraph of Article 345(1) CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) CRR.
030-040	NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and Article 334 CRR. Regarding the distinction between Long and Short positions, see Article 328(2) CRR.
050	POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Chapter 2 of Title IV of Part Three CRR, receive a capital charge.
060	OWN FUNDS REQUIREMENTS The capital charge for any relevant position in accordance with Chapter 2 of Title IV of Part Three CRR.
070	TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5.

Rows
010-350	TRADED DEBT INSTRUMENTS IN TRADING BOOK Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk in accordance with point (b)(i) of Article 92(3) CRR and Chapter 2 of Title IV of Part Three CRR shall be reported depending on risk category, maturity and approach used.
011	GENERAL RISK.
012	Derivatives Derivatives included in the calculation of interest rate risk of trading book positions, taking into account Articles 328 to 331 CRR, where applicable.
013	Other assets and liabilities Instruments other than derivatives included in the calculation of interest rate risk of trading book positions.
020-200	MATURITY BASED APPROACH Positions in traded debt instruments subject to the maturity-based approach referred to in paragraphs 1 to 8 of Article 339 CRR and the corresponding own funds requirements calculated in accordance with Article 339(9) CRR. The position shall be split by zones 1, 2 and 3 and those zones shall be split by the maturity of the instruments.
210-240	GENERAL RISK. DURATION BASED APPROACH Positions in traded debt instruments subject to the duration-based approach referred to in paragraphs 1 to 6 of Article 340 CRR and the corresponding own funds requirements calculated in accordance with Article 340(7) CRR. The position shall be split by zones 1, 2 and 3.
250	SPECIFIC RISK Sum of amounts reported in rows 251, 325 and 330. Positions in traded debt instruments subject to the specific risk capital requirements and their corresponding capital requirements in accordance with point (b) of Article 92(3) and Article 335, paragraphs 1, 2 and 3 of Article 336 and Articles 337 and 338 CRR. Be also aware of the last sentence in Article 327(1) CRR.
251-321	Own funds requirement for non-securitisation debt instruments Sum of the amounts reported in rows 260 to 321. The own funds requirement of the n-th to default credit derivatives which are not rated externally shall be calculated by summing up the risk weights of the reference entities (point (e) of Article 332(1) CRR and the second subparagraph of Article 332(1) CRR – “look-through”). N-th-to-default credit derivatives which are rated externally (the third subparagraph of Article 332(1) CRR) shall be reported separately in line 321. Reporting of positions subject to Article 336(3) CRR: There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book in accordance with Article 129(3) CRR (covered bonds). The specific own funds requirements shall be half of the percentage of the second category referred to in Table 1 of Article 336 CRR. Those positions have to be assigned to rows 280-300 in accordance with the residual term to final maturity. Where the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 CRR shall be applied.
325	Own funds requirement for securitisation instruments Total own funds requirements reported in column 610 of template MKR SA SEC. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI.
330	Own funds requirement for the correlation trading portfolio Total own funds requirements reported in column 450 of template MKR SA CTP. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI.
350-390	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 329(3) CRR. The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.

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

5.2.1. General Remarks

141. This template requests information on positions (all/net and long/short) and the related own funds requirements for the specific risk component of position risk in securitisations/re-securitisations held in the trading book (not eligible for correlation trading portfolio) under the Standardised Approach.

142. The MKR SA SEC template presents the own funds requirement only for the specific risk of securitisation positions in accordance with Article 335 CRR in connection with 337 CRR. Where securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all positions of the trading book, irrespective of the approach institutions apply to determine the risk weight for each of the positions in accordance with Chapter 5 of Title II of Part Three CRR. The own funds requirements of the general risk of those positions shall be reported in the MKR SA TDI or the MKR IM template.

143. Positions which receive a risk weight of 1 250 % can alternatively be deducted from CET1 (see point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR). Where this is the case, those positions have to be reported in row 460 of CA1.

5.2.2. Instructions concerning specific positions

Columns
010-020	ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR in conjunction with Article 337 CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to those gross positions, see Article 328(2) CRR.
030-040	(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR
050-060	NET POSITIONS (LONG AND SHORT) Articles 327, 328, 329 and 334 CRR. Regarding the distinction between long and short positions, see Article 328(2) CRR.
061-104	BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR. The breakdown shall be done separately for long and short positions.
402-406	BREAKDOWN OF THE NET POSITIONS BY APPROACHES Article 254 CRR
402	SEC-IRBA Article 259 and 260 CRR
403	SEC-SA Article 261 and 262 CRR
404	SEC-ERBA Article 263 and 264 CRR
405	INTERNAL ASSESSMENT APPROACH Articles 254 and 265 CRR and Article 266(5) CRR.
406	OTHER (RW = 1 250 %) Article 254(7) CRR
530-540	OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 Article 270a CRR
570	BEFORE CAP Article 337 CRR, without taking into account the discretion of Article 335 CRR which allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss.
601	AFTER CAP/TOTAL OWN FUND REQUIREMENTS Article 337 CRR, taking into account the discretion of Article 335 CRR.

Rows
010	TOTAL EXPOSURES Total amount of outstanding securitisations and re-securitisations (held in the trading book) reported by the institution playing the role/s of originator or investor or sponsor.
040, 070 and 100	SECURITISATION POSITIONS Point 62 of Article 4(1) CRR.
020, 050, 080 and110	RE-SECURITISATIONS POSITIONS Point 64 of Article 4(1) CRR
041, 071 and 101	OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 CRR or Article 270 CRR and therefore qualify for differentiated capital treatment.
030-050	ORIGINATOR Point (13) of Article 4(1) CRR
060-080	INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender.
090-110	SPONSOR Point (14) of Article 4(1) CRR. A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets.

5.3. C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

5.3.1. General Remarks

144. This template requests information on positions of the Correlation Trading Portfolio (CTP) (comprising securitisations, nth-to-default credit derivatives and other CTP positions included in accordance with Article 338(3) CRR) and the corresponding own funds requirements under the Standardised Approach.

145. The MKR SA CTP template presents the own funds requirement only for the specific risk of positions assigned to the CTP in accordance with Article 335 CRR in conjunction with paragraphs 2 and 3 of Article 338 CRR. If CTP-positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all CTP-positions of the trading book, irrespective of the approach institutions apply to determine the risk weight for each of the positions in accordance with Chapter 5 of Title II of Part Three CRR. The own funds requirements for the general risk of these positions are reported in the MKR SA TDI or the MKR IM template.

146. The template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. Securitisation positions shall always be reported in rows 030, 060 or 090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in row 110. The “other CTP-positions” are positions that are neither securitisation positions nor n-th to default credit derivatives (see Article 338(3) CRR), but they are explicitly “linked” to one of those two positions (because of the hedging intent).

147. Positions which receive a risk weight of 1 250 % can alternatively be deducted from CET1 (see point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR). Where this is the case, those positions have to be reported in row 460 of CA1.

5.3.2. Instructions concerning specific positions

Columns
010-020	ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR in conjunction paragraphs 2 and 3 of Article 338 CRR (positions assigned to the Correlation Trading Portfolio) Regarding the distinction between long and short positions, also applicable to those gross positions, see Article 328(2) CRR.
030-040	(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Article 253 CRR
050-060	NET POSITIONS (LONG AND SHORT) Articles 327, 328, 329 and 334 CRR Regarding the distinction between long and short positions, see Article 328(2) CRR.
071-097	BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR
402-406	BREAKDOWN OF THE NET POSITIONS BY APPROACHES Article 254 CRR
402	SEC-IRBA Articles 259 and 260 CRR
403	SEC-SA Articles 261 and 262 CRR
404	SEC-ERBA Articles 263 and 264 CRR
405	INTERNAL ASSESSMENT APPROACH Articles 254 and 265 and Article 266(5) CRR.
406	OTHER (RW = 1 250 %) Article 254(7) CRR
410-420	BEFORE CAP – WEIGHTED NET LONG/SHORT POSITIONS Article 338 CRR, without taking into account the discretion of Article 335 CRR
430-440	AFTER CAP – WEIGHTED NET LONG/SHORT POSITIONS Article 338 CRR, taking into account the discretion of Article 335 CRR
450	TOTAL OWN FUNDS REQUIREMENTS The own funds requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (column 430) or (ii) the specific risk charge that would apply just to the net short positions (column 440).

Rows
010	TOTAL EXPOSURES Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor.
020-040	ORIGINATOR Point (13) of Article 4(1) CRR
050-070	INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender
080-100	SPONSOR Point (14) of Article 4(1) CRR A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets.
030, 060 and 090	SECURITISATION POSITIONS The correlation trading portfolio shall comprise securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set out in paragraphs 2 and 3 of Article 338 CRR. Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row “Other CTP positions”.
110	N-TH-TO-DEFAULT CREDIT DERIVATIVES N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives in accordance with Article 347 CRR shall both be reported here. The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives.
040, 070, 100 and 120	OTHER CTP POSITIONS The following positions are included: Derivatives of securitisation exposures that provide a pro-rata share, as well as positions hedging CTP positions; CTP positions hedged by credit derivatives in accordance with Article 346 CRR; Other positions that satisfy Article 338(3) CRR.

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

5.4.1. General Remarks

148. This template requests information on the positions and the corresponding own funds requirements for position risk in equities held in the trading book and treated under the Standardised Approach.

149. The template has to be filled out separately for the “Total”, plus a static, pre-defined list of the following markets: Bulgaria, Croatia, Czech Republic, Denmark, Egypt, Hungary, Iceland, Liechtenstein, Norway, Poland, Romania, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA, Euro Area plus one residual template for all other markets. For the purpose of this reporting requirement, the term “market” shall be read as “country” (except for countries belonging to the Euro Area, see Commission Delegated Regulation (EU) No 525/2014(10).

5.4.2. Instructions concerning specific positions

Columns
010-020	ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties as referred to in the second sentence of the first subparagraph of Article 345(1) CRR.
030-040	NET POSITIONS (LONG AND SHORT) Articles 327, 329, 332, 341 and 345 CRR.
050	POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Chapter 2 of Title IV of Part Three CRR receive a capital charge. The capital charge has to be calculated for each national market separately. Positions in stock-index futures as referred to in the second sentence of Article 344(4) CRR shall not be included in this column.
060	OWN FUNDS REQUIREMENTS The own funds requirement in accordance with Chapter 2 of Title IV of Part Three CRR for any relevant position
070	TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5.

a Commission Implementing Regulation (EU) No 945/2014 of 4 September 2014 laying down implementing technical standards with regard to relevant appropriately diversified indices according to Regulation (EU) No 575/2013 of the European Parliament and of the Council
Rows
010-130	EQUITIES IN TRADING BOOK Own funds requirements for position risk as referred to in point (b)(i) of Article 92(3) CRR and Section 3 of Chapter 2 of Title IV of Part Three CRR.
020-040	GENERAL RISK Positions in equities subject to general risk (Article 343 CRR) and their correspondent own funds requirement in accordance with Section 3 of Chapter 2 of Title IV of Part Three CRR Both breakdowns (021/022 as well as 030/040) are a breakdown related to all positions subject to general risk. Rows 021 and 022 request information on the breakdown by instruments. Only the breakdown in rows 030 and 040 shall be used as a basis for the calculation of own funds requirements.
021	Derivatives Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332 CRR, where applicable
022	Other assets and liabilities Instruments other than derivatives included in the calculation of equity risk of trading book positions.
030	Exchange traded stock-index futures broadly diversified and subject to a particular approach Exchange traded stock-index futures broadly diversified and subject to a particular approach in accordance with Commission Implementing Regulation (EU) No 945/2014a Those positions shall be only subject to general risk and, accordingly, must not be reported in row 050.
040	Other equities than exchange traded stock-index futures broadly diversified Other positions in equities subject to specific risk as well as the correspondent own funds requirements in accordance with Article 343 CRR, including positions in stock index futures treated in accordance with Article 344(3) CRR
050	SPECIFIC RISK Positions in equities subject to specific risk and the correspondent own funds requirement in accordance with Article 342 CRR, excluding positions in stock-index futures treated in accordance with the second sentence of Article 344(4) CRR
090-130	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Paragraphs 2 and 3 of Article 329 CRR The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

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

5.5.1. General Remarks

150. Institutions shall report information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange risk treated under the Standardised Approach. The position shall be calculated for each currency (including EUR), gold, and positions to CIUs.

151. Rows 100 to 480 of this template shall be reported even where institutions are not required to calculate own funds requirements for foreign exchange risk in accordance with Article 351 CRR. In those memorandum items, all the positions in the reporting currency are included, irrespective of whether they are considered for the purposes of Article 354 CRR. Rows 130 to 480 of the memorandum items of the template shall be filled out separately for all currencies of the Member States of the Union, the currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

5.5.2. Instructions concerning specific positions

Columns
020-030	ALL POSITIONS (LONG AND SHORT) Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) CRR In accordance with Article 352(2) CRR and subject to permission from competent authorities, positions taken to hedge against the adverse effect of the exchange rate on their ratios in accordance with Article 92(1) CRR and positions related to items that are already deducted in the calculation of own funds shall not be reported.
040-050	NET POSITIONS (LONG AND SHORT) Article 352(3), the first two sentences of Article 352(4), and Article 353 CRR The net positions are calculated by each currency in accordance with Article 352(1) CRR. Consequently, both long and short positions may be reported at the same time.
060-080	POSITIONS SUBJECT TO CAPITAL CHARGE The third sentence of Article 352(4) and Articles 353 and 354 CRR
060-070	POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT) The long and short net positions for each currency shall be calculated by deducting the total of short positions from the total of long positions. Long net positions for each operation in a currency shall be added to obtain the long net position in that currency. Short net positions for each operation in a currency shall be added to obtain the short net position in that currency. Unmatched positions in non-reporting currencies shall be added to positions subject to capital charges for other currencies (row 030) in column 060 or 070, depending on their short or long arrangement.
080	POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED) Matched positions for closely correlated currencies.
090	OWN FUNDS REQUIREMENTS The capital charge for any relevant position in accordance with Chapter 3 of Title IV of Part Three CRR
100	TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5.

Rows
010	TOTAL POSITIONS All positions in non-reporting currencies and those positions in the reporting currency that are considered for the purposes of Article 354 CRR as well as their correspondent own funds requirements for the foreign-exchange risk referred to in point (c)(i) of Article 92(3), taking into account paragraphs 2 and 4 of Article 352 CRR (for conversion into the reporting currency).
020	CURRENCIES CLOSELY CORRELATED Positions and their correspondent own funds requirements for closely correlated currencies as referred to in Article 354 CRR.
025	Currencies closely correlated: of which: reporting currency Positions in the reporting currency which contribute to the calculation of the capital requirements in accordance with Article 354 CRR.
030	ALL OTHER CURRENCIES (including CIU’s treated as different currencies) Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRR. Reporting of CIU’s treated as separate currencies in accordance with Article 353 CRR: There are two different treatments of CIUs treated as separate currencies for calculating the capital requirements: 1. The modified gold method, where the direction of the CIUs investment is not available (those CIUs shall be added to an institution’s overall net foreign-exchange position); 2. Where the direction of the CIU’s investment is available, those CIUs shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU). The reporting of those CIU’s shall follow the calculation of the capital requirements.
040	GOLD Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRR
050 – 090	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Paragraphs 5 and 6 of Article 352 CRR The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.
100-120	Breakdown of total positions (reporting currency included) by exposure types Total positions shall be broken down into derivatives, other assets and liabilities, and off-balance sheet items.
100	Other assets and liabilities other than off-balance sheet items and derivatives Positions not included in row 110 or 120 shall be included here.
110	Off-balance sheet items Items within the scope of Article 352 CRR, irrespective of the currency of denomination, which are included in Annex I to CRR, except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.
120	Derivatives Positions valued in accordance with Article 352 CRR.
130-480	MEMORANDUM ITEMS: CURRENCY POSITIONS The memorandum items of the template shall be filled in separately for all currencies of the Member States of the Union, USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

5.6. C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

5.6.1. General Remarks

152. This template request information on the positions in commodities and the corresponding own funds requirements treated under the Standardised Approach.

5.6.2. Instructions concerning specific positions

Columns
010-020	All POSITIONS (LONG AND SHORT) Gross long/short positions considered positions in the same commodity in accordance with Article 357(4) CRR (see also Article 359(1) CRR)
030-040	NET POSITIONS (LONG AND SHORT) As defined in Article 357(3) CRR
050	POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Chapter 4 of Title IV of Part Three CRR receive a capital charge
060	OWN FUNDS REQUIREMENTS The own funds requirement calculated in accordance with Chapter 4 of Title IV of Part Three CRR for any relevant position
070	TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5

Rows
010	TOTAL POSITIONS IN COMMODITIES Positions in commodities and their correspondent own funds requirements for market risk calculated in accordance with point (c)(iii) of Article 92(3) CRR and Chapter 4 of Title IV of Part Three CRR
020-060	POSITIONS BY CATEGORY OF COMMODITY For reporting purposes, commodities shall be grouped in the four groups of commodities referred to in Table 2 of Article 361 CRR.
070	MATURITY LADDER APPROACH Positions in commodities subject to the maturity ladder approach referred to in Article 359 CRR
080	EXTENDED MATURITY LADDER APPROACH Positions in commodities subject to the extended maturity ladder approach referred to in Article 361 CRR
090	SIMPLIFIED APPROACH Positions in commodities subject to the simplified approach referred to in Article 360 CRR
100-140	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 358(4) CRR The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

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

5.7.1. General Remarks

153. This template provides a breakdown of VaR and stressed VaR (sVaR) figures by the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements.

154. Generally, it depends on the structure of the model of the institutions whether the figures for general and specific risk can be determined and reported separately or only as a total. The same holds true for the decomposition of the VaR/Stress-VaR into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution can refrain from reporting those decompositions if it proves that reporting those figures would be unduly burdensome.

5.7.2. Instructions concerning specific positions

Columns
030-040	Value at Risk (VaR) VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon.
030	Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg) Point (a)(ii) of Article 364(1) and Article 365(1) CRR
040	Previous day VaR (VaRt-1) Point (a)(i) of Article 364(1) and Article 365(1) CRR
050-060	Stressed VaR Stressed VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution’s portfolio.
050	Multiplication factor (ms) x Average of previous 60 working days (SVaRavg) Point (b)(ii) of Article 364(1) and Article 365(1) CRR
060	Latest available (SVaRt-1) Point (b)(i) of Article 364(1) and Article 365(1) CRR
070-080	INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE Incremental default and migration risk capital charge means the maximum potential loss that would result from a price change linked to default and migration risks calculated in accordance with point (b) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR.
070	12 weeks average measure Point (b)(ii) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR
080	Last Measure Point (b)(i) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR
090-110	ALL PRICE RISKS CAPITAL CHARGE FOR CTP
090	FLOOR Point (c) of Article 364(3) CRR = 8 % of the capital charge that would be calculated in accordance with Article 338(1) CRR for all positions in the “all price risks” capital charge.
100-110	12 WEEKS AVERAGE MEASURE AND LAST MEASURE Point (b) of Article 364(3) CRR
110	LAST MEASURE Point (a) of Article 364(3) CRR
120	OWN FUNDS REQUIREMENTS Own funds requirements as referred to in Article 364 CRR of all risk factors, taking into account correlation effects, where applicable, plus incremental default and migration risk and all price of risks for CTP, but excluding the Securitization capital charges for Securitization and nth-to-default credit derivative according to Article 364(2) CRR
130	TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5
140	Number of overshootings (during previous 250 working days) Referred to in Article 366 CRR The number of overshootings based on which the addend is determined shall be reported.
150-160	VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms) As referred to in Article 366 CRR
170-180	ASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET LONG/SHORT POSITIONS AFTER CAP The amount reported and serving as the basis to calculate the floor capital charge for all price risks in accordance with point (c) of Article 364(3) CRR, taking into account the discretion of Article 335 CRR which stipulates that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss.

Rows
010	TOTAL POSITIONS Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) CRR linked to the risk factors specified in Article 367(2) CRR. Concerning the columns 030 to 060 (VAR and Stress-VAR), the figures in the total row are not equal to the decomposition of the figures for the VaR/Stress-VaR of the relevant risk components.
020	TRADED DEBT INSTRUMENTS Corresponds to the part of position risk referred to in Article 363(1) CRR, linked to the interest rates risk factors specified in point (a) of Article 367(2) CRR.
030	TDI – GENERAL RISK General risk component as referred to in Article 362 CRR
040	TDI – SPECIFIC RISK Specific risk component as referred to in Article 362 CRR
050	EQUITIES Corresponds to the part of position risk referred to in Article 363(1) CRR linked to the equity risk factors as specified in point (c) of Article 367(2) CRR.
060	EQUITIES – GENERAL RISK General risk component as referred to in Article 362 CRR
070	EQUITIES – SPECIFIC RISK Specific risk component as referred to in Article 362 CRR
080	FOREIGN EXCHANGE RISK Articles 363(1) and point (b) of Article 367(2) CRR
090	COMMODITY RISK Articles 363(1) and point (d) of Article 367(2) CRR
100	TOTAL AMOUNT FOR GENERAL RISK Market risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VaR for general risk of all risk factors (taking into account correlation effects where applicable)
110	TOTAL AMOUNT FOR SPECIFIC RISK Specific risk component of traded debt instruments and equities. VaR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects where applicable)

5.8. C 25.00 – CREDIT VALUATION ADJUSTMENT RISK (CVA)

5.8.1. Instructions concerning specific positions

Columns
010	Exposure value Article 271 CRR in conjunction with Article 382 CRR. Total EAD from all transactions subject to CVA charge.
020	Of which: OTC derivatives Article 271 CRR in conjunction with Article 382(1) CRR. The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set.
030	Of which: SFT Article 271 CRR in conjunction with Article 382(2) CRR The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set.
040	MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) Article 383 CRR in conjunction with point (d) of Article 363(1) CRR. VaR calculation based on internal models for market risk
050	PREVIOUS DAY (VaRt-1) See instructions for column 040.
060	MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) See instructions for column 040
070	LATEST AVAILABLE (SVaRt-1) See instructions for column 040
080	OWN FUNDS REQUIREMENTS Point (d) of Article 92(3) CRR. Own funds requirements for CVA Risk calculated via the chosen method.
090	TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Own funds requirements multiplied by 12,5.
	Memorandum items
100	Number of counterparties Article 382 CRR Number of counterparties included in calculation of own funds for CVA risk. Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are the other contracting party.
110	Of which: proxy was used to determine credit spread Number of counterparties where the credit spread was determined using a proxy instead of directly observed market data.
120	INCURRED CVA Accounting provisions due to decreased credit worthiness of derivatives counterparties.
130	SINGLE NAME CDS Point (a) of Article 386(1) CRR Total notional amounts of single name CDS used as hedge for CVA risk.
140	INDEX CDS Point (b) of Article 386(1) CRR Total notional amounts of index CDS used as hedge for CVA risk.

Rows
010	CVA risk total Sum of rows 020-040
020	Advanced method Advanced CVA risk method as prescribed by Article 383 CRR
030	Standardised method Standardised CVA risk method as prescribed by Article 384 CRR
040	Based on OEM Amounts subject to the application of Article 385 CRR

6. PRUDENT VALUATION (PRUVAL)

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

6.1.1. General remarks

154a. This template shall be completed by all institutions, irrespective of whether they have adopted the simplified approach for the determination of Additional Valuation Adjustments (“AVAs”). This template is dedicated to the absolute value of fair-valued assets and liabilities used to determine whether the conditions set out in Article 4 of Commission Delegated Regulation (EU) 2016/101(11) for using the simplified approach for the determination of AVAs are met.

154b. With regard to institutions using the simplified approach, this template shall provide the total AVA to be deducted from own funds pursuant to Articles 34 and 105 CRR as set out in Article 5 of the Delegated Regulation (EU) 2016/101, which shall be reported accordingly in row 290 of C 01.00.

6.1.2. Instructions concerning specific positions

Columns
0010	FAIR-VALUED ASSETS AND LIABILITIES Absolute value of fair-valued assets and liabilities, as stated in the financial statements under the applicable accounting framework, as referred to in Article 4(1) of Delegated Regulation (EU) 2016/101, before any exclusion in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.
0020	OF WHICH: trading book Absolute value of fair-valued assets and liabilities, as reported in 010, corresponding to positions held in the trading book.
0030-0070	FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1 Absolute value of fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.
0030	Exactly matching Exactly matching, offsetting fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.
0040	Hedge accounting For positions subject to hedge accounting under the applicable accounting framework, absolute value of fair-valued assets and liabilities excluded in proportion to the impact of the relevant valuation change on CET1 capital in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.
0050	PRUDENTIAL Filters Absolute value of fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 due to the transitional application of the prudential filters referred to in Articles 467 and 468 CRR.
0060	Other Any other positions excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 due to adjustments to their accounting value having only a proportional effect on CET1 capital. This row shall only be populated in rare cases where elements excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 cannot be assigned to columns 0030, 0040 or 0050 of this template.
0070	Comment for other The main reasons why the positions reported in column 0060 were excluded shall be provided.
0080	FAIR-VALUED Assets and Liabilities included in ARTICLE 4(1) threshold Absolute value of fair-valued assets and liabilities actually included in the threshold computation in accordance with Article 4(1) of Delegated Regulation (EU) 2016/101.
0090	OF WHICH: trading book Absolute value of fair-valued assets and liabilities, as reported in column 0080, corresponding to positions held in the trading book.

a Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards (OJ L 243, 11.9.2002, p. 1).
Rows
0010 – 0210	The definitions of these categories shall match those of the corresponding rows of FINREP templates 1.1 and 1.2.
0010	1. TOTAL FAIR-VALUED ASSETS AND LIABILITIES Total of fair-valued assets and liabilities reported in rows 20 to 210.
0020	1.1. TOTAL FAIR-VALUED ASSETS Total of fair-valued assets reported in rows 0030 to 0140. Relevant cells of rows 0030 to 0130 shall be reported in line with FINREP template F 01.01 of Annexes III and IV to this Implementing Regulation, depending on the institution’s applicable standards: IFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 of the European Parliament and of the Council (“EU IFRS”)a; National accounting standards compatible with EU IFRS (“National GAAP compatible IFRS”); or National GAAP based on BAD (FINREP “National GAAP based on BAD”).
0030	1.1.1. FINANCIAL ASSETS HELD FOR TRADING IFRS 9.Appendix A. The information reported in this row shall correspond to row 050 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0040	1.1.2. TRADING FINANCIAL ASSETS Articles 32 and 33 BAD; Part 1.17 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 091 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0050	1.1.3. NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8(a)(ii); IFRS 9.4.1.4. The information reported in this row shall correspond to row 096 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0060	1.1.4. FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8(a)(i); IFRS 9.4.1.5; point (a) of Article 8(1) and Article 8(6) AD The information reported in this row shall correspond to row 100 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0070	1.1.5. FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME IFRS 7.8(h); IFRS 9.4.1.2 A. The information reported in this row shall correspond to row 141 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0080	1.1.6. NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS Article 36(2) BAD. The information reported in this row shall correspond to row 171 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0090	1.1.7. NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY Point (a) of Article 8(1) and Article 8(8) AD The information reported in this row shall correspond to row 175 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0100	1.1.8. OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS Article 37 BAD; Article 12(7) AD; Part 1.20 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 234 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0110	1.1.9. DERIVATIVES – HEDGE ACCOUNTING IFRS 9.6.2.1; Part 1.22 of Annex V to this Implementing Regulation; point (a) of Article 8(1) and paragraphs 6 and 8 of Article 8 AD; IAS 39.9 The information reported in this row shall correspond to row 240 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0120	1.1.10. FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK IAS 39.89 A(a); IFRS 9.6.5.8; Paragraphs 5 and 6 of Article 8 AD. The information reported in this row shall correspond to row 250 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0130	1.1.11. INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES IAS 1.54(e); Parts 1.21 and 2.4 of Annex V to this Implementing Regulation; points (7) and (8) of Article 4 BAD; Article 2(2) AD The information reported in this row shall correspond to row 260 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0140	1.1.12. (-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE Part 1.29 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 375 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0150	1.2. TOTAL FAIR-VALUED LIABILITIES Total of fair-valued liabilities reported in rows 0160 to 0210. Relevant cells of rows 0150 to 0190 shall be reported in line with FINREP template F 01.02 of Annexes III and IV to this Implementing Regulation depending on the institution’s applicable standards: IFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 (“EU IFRS”) National accounting standards compatible with EU IFRS (“National GAAP compatible IFRS”) or National GAAP based on BAD (FINREP “National GAAP based on BAD”).
0160	1.2.1. FINANCIAL LIABILITIES HELD FOR TRADING IFRS 7.8 (e) (ii); IFRS 9.BA.6. The information reported in this row shall correspond to row 010 of template F 01.02 of Annexes III and IV to this Implementing Regulation.
0170	1.2.2. TRADING FINANCIAL LIABILITIES Point (a) of Article 8(1) and paragraphs 3 and 6 of Article 8 AD The information reported in this row shall correspond to row 061 of template F 01.02 of Annexes III and IV to this Implementing Regulation.
0180	1.2.3. FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8 (e)(i); IFRS 9.4.2.2; point (a) of Article 8(1) and Article 8(6) AD; IAS 39.9. The information reported in this row shall correspond to row 070 of template F 01.02 of Annexes III and IV to this Implementing Regulation.
0190	1.2.4. DERIVATIVES – HEDGE ACCOUNTING IFRS 9.6.2.1; Part 1.26 of Annex V to this Implementing Regulation; point (a) of Article 8(1), Article 8(6) and point (a) of Article 8(8) AD The information reported in this row shall correspond to row 150 of template F 01.02 of Annexes III and IV to this Implementing Regulation.
0200	1.2.5. FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK IAS 39.89 A(b), IFRS 9.6.5.8; Paragraphs 5 and 6 of Article 8 AD; Part 2.8 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 160 of template F 01.02 of Annexes III and IV to this Implementing Regulation.
0210	1.2.6. HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE Part 1.29 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 295 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

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

6.2.1. General remarks

154c. The purpose of this template is to provide information on the composition of the total AVA to be deducted from own funds under Articles 34 and 105 CRR alongside relevant information about the accounting valuation of the positions that give rise to the determination of AVAs.

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

(a)

are required to use the core approach because they exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101, either on an individual basis or on a consolidated basis as set out in Article 4(3) of that Regulation; or

(b)

have chosen to apply the core approach despite not exceeding the threshold.

154e. For the purposes of this template, “upside uncertainty” shall mean the following: As determined by Article 8(2) of Delegated Regulation (EU) 2016/101, AVAs are calculated as the difference between the fair value and a prudent valuation that is determined on the basis of a 90 % confidence that institutions can exit the exposure at that point or better within the notional range of plausible values. The upside value or “upside uncertainty” is the opposing point in the distribution of plausible values at which institutions are only 10 % confident that they can exit the position at that point or better. The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA but substituting a 10 % level of certainty for the 90 % used when determining the total AVA.

6.2.2. Instructions concerning specific positions

Columns
0010 – 0100	CATEGORY LEVEL AVA The category level AVAs for market price uncertainty, close-out costs, model risk, concentrated positions, future administrative costs, early termination and operational risk are calculated as described in Articles 9, 10, 11 and 14 to 17 of Delegated Regulation (EU) 2016/101 respectively. For the market price uncertainty, close-out cost and model risk categories, which are subject to diversification benefit as set out in Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101, respectively, category level AVAs shall be, unless indicated otherwise, reported as the straight sum of the individual AVAs before diversification benefit [since diversification benefits calculated using method 1 or method 2 of the Annex of Delegated Regulation (EU) 2016/101 are reported in items 1.1.2, 1.1.2.1 and 1.1.2.2 of the template]. For the market uncertainty, close-out cost and model risk categories, amounts calculated under the expert-based approach as referred to in point (b) of Article 9(5), point (b) of Article 10(6) and Article 11(4) of Delegated Regulation (EU) 2016/101 shall be separately reported in columns 0020, 0040 and 0060.
0010	MARKET PRICE UNCERTAINTY Article 105(10) CRR. Market price uncertainty AVAs calculated in accordance with Article 9 of Delegated Regulation (EU) 2016/101.
0020	OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH Market price uncertainty AVAs calculated in accordance with point (b) of Article 9(5) of Delegated Regulation (EU) 2016/101.
0030	CLOSE-OUT COSTS Article 105(10) CRR. Close-out costs AVAs calculated in accordance with Article 10 of Delegated Regulation (EU) 2016/101.
0040	OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH Close-out costs AVAs calculated in accordance with point (b) of Article 10(6) of Delegated Regulation (EU) 2016/101.
0050	MODEL RISK Article 105(10) CRR Model risk AVAs calculated in accordance with Article 11 of Delegated Regulation (EU) 2016/101.
0060	OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH Model risk AVAs calculated in accordance with Article 11(4) of Delegated Regulation (EU) 2016/101.
0070	CONCENTRATED POSITIONS Article 105(11) CRR Concentrated positions AVAs calculated in accordance with Article 14 of Delegated Regulation (EU) 2016/101.
0080	FUTURE ADMINISTRATIVE COSTS Article 105(10) CRR Future administrative costs AVAs calculated in accordance with Article 15 of Delegated Regulation (EU) 2016/101.
0090	EARLY TERMINATION Article 105(10) CRR Early termination AVAs calculated in accordance with Article 16 of Delegated Regulation (EU) 2016/101.
0100	OPERATIONAL RISK Article 105(10) CRR Operational risk AVAs calculated in accordance with Article 17 of Delegated Regulation (EU) 2016/101.
0110	TOTAL AVA Row 0010: total AVA to be deducted from own funds in accordance with Articles 34 and 105 CRR and reported accordingly in row 290 of C 01.00. The total AVA shall be the sum of rows 0030 and 0180. Row 0020: Share of the total AVA reported in row 0010 stemming from trading book positions (absolute value). Rows 0030 to 0160: Sum of columns 0010, 0030, 0050 and 0070 to 0100. Rows 0180 to 0210: Total AVA stemming from portfolios under the fall-back approach.
0120	UPSIDE UNCERTAINTY Article 8(2) of Delegated Regulation (EU) 2016/101. The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA computed in column 0110, but substituting a 10 % level of certainty for the 90 % used when determining the total AVA.
0130 -0140	FAIR-VALUED ASSETS AND LIABILITIES Absolute value of fair-valued assets and liabilities corresponding to the AVA amounts reported in rows 0010 to 0130 and row 0180. For some rows, in particular rows 0090 to 0130, these amounts may have to be approximated or allocated based on expert judgement. Row 0010: Total absolute value of fair-valued assets and liabilities included in the threshold computation of Article 4(1) of Delegated Regulation (EU) 2016/101. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080. Row 0010 is the sum of row 0030 and row 0180. Row 0020: share of total absolute value of fair-valued assets and liabilities reported in row 0010 stemming from trading book positions (absolute value).
	Row 0030: Absolute value of fair-valued assets and liabilities corresponding to the portfolios referred to in Articles 9 to 17 of Delegated Regulation (EU) 2016/101. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080. Row 0030 shall be the sum of rows 0090 to 0130. Row 0050: Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101, may not be considered exactly matching, offsetting anymore. Row 0060: Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101, may not be considered exactly matching, offsetting anymore. Row 0070: Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value referred to in Article 9(2) of Delegated Regulation (EU) 2016/101. Row 0080: Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value referred to in paragraphs 2 and 3 of Article 10 of Delegated Regulation (EU) 2016/101. Rows 0090 to 0130: Absolute value of fair-valued assets and liabilities allocated as set out below (see corresponding row instructions) in accordance with the following risk categories: interest rates, foreign exchange, credit, equities, commodities. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080. Row 0180: Absolute value of fair-valued assets and liabilities corresponding to the portfolios under the fall-back approach
0130	FAIR-VALUED ASSETS Absolute value of fair-valued assets corresponding to the different rows as explained in the instructions on columns 0130-0140 above.
0140	FAIR-VALUED LIABILITIES Absolute value of fair-valued liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above.
0150	QTD REVENUE The quarter-to-date revenues (“QTD revenue”) since the last reporting date attributed to the fair valued assets and liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above, where relevant allocated or approximated based on expert judgment.
0160	IPV DIFFERENCE The sum across all positions and risk factors of unadjusted difference amounts (“IPV difference”) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the relevant position or risk factor. Unadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process. No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.
0170 – 0250	FAIR VALUE ADJUSTMENTS Adjustments, sometimes also referred to as “reserves”, potentially applied in the institution’s accounting fair value that are made outside of the valuation model used to generate carrying amounts (excluding deferral of day one gains and losses) and that can be identified as addressing the same source of valuation uncertainty as the relevant AVA. They could reflect risk factors not captured within the valuation technique that are in a form of a risk premium or exit cost and are compliant with the definition of fair value. They shall nevertheless be considered by market participants when setting a price. (IFRS 13.9 and IFRS13.88)
0170	MARKET PRICE UNCERTAINTY Adjustment applied in the institution’s fair value to reflect the risk premium arising from the existence of a range of observed prices for equivalent instruments or, in respect of a market parameter input to a valuation model, the instruments from which the input has been calibrated, and thus that can be identified as addressing the same source of valuation uncertainty as the Market price uncertainty AVA.
0180	CLOSE-OUT COSTS Adjustment applied in the institution’s fair value to adjust for the fact that the position level valuations do not reflect an exit price for the position or portfolio, in particular where such valuations are calibrated to a mid-market price, and thus that can be identified as addressing the same source of valuation uncertainty as the close-out costs AVA.
0190	MODEL RISK Adjustment applied in the institution’s fair value to reflect market or product factors that are not captured by the model used to calculate daily position values and risks (“valuation model”) or to reflect an appropriate level of prudence given the uncertainty arising from the existence of a range of alternative valid models and model calibrations and thus that can be identified as addressing the same source of valuation uncertainty as the model risk AVA.
0200	CONCENTRATED POSITIONS Adjustment applied in the institution’s fair value to reflect the fact that the aggregate position held by the institution is larger than normal traded volume or larger than the position sizes on which observable quotes or trades that are used to calibrate the price or inputs used by the valuation model are based and thus can be identified as addressing the same source of valuation uncertainty as the concentrated positions AVA.
0210	UNEARNED CREDIT SPREADS Adjustment applied in the institution’s fair value to cover expected losses due to counterparty default on derivative positions (i.e. total Credit Valuation Adjustment “CVA” at institution level).
0220	INVESTING AND FUNDING COSTS Adjustment applied in the institution’s fair value to compensate where valuation models do not fully reflect the funding cost that market participants would factor into the exit price for a position or portfolio (i.e. total Funding Valuation Adjustment at institution level where an institution computes such adjustment, or alternatively, equivalent adjustment).
0230	FUTURE ADMINISTRATION COSTS Adjustment applied in the institution’s fair value to reflect administrative costs that are incurred by the portfolio or position but are not reflected in the valuation model or the prices used to calibrate inputs to that model, and thus that can be identified as addressing the same source of valuation uncertainty as the Future administrative costs AVA.
0240	EARLY TERMINATION Adjustments applied in the institution’s fair value to reflect contractual or non-contractual early termination expectations that are not reflected in the valuation model and thus can be identified as addressing the same source of valuation uncertainty as the Early termination AVA.
0250	OPERATIONAL RISK Adjustments applied in the institution’s fair value to reflect the risk premium that market participants would charge to compensate for operational risks arising from hedging, administration and settlement of contracts in the portfolio, and thus can be identified as addressing the same source of valuation uncertainty as the operational risk AVA.
0260	DAY 1 P&L Adjustments to reflect instances where the valuation model plus all other relevant fair value adjustments applicable to a position or portfolio did not reflect the price paid or received at first day recognition, i.e. the deferral of day one gains and losses (IFRS 9.B5.1.2.A).
0270	EXPLANATION DESCRIPTION Description of the positions treated in accordance with point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101 and the reason why it was not possible to apply Articles 9 to 17 thereof.

Rows
0010	1. TOTAL CORE APPROACH Article 7(2) of Delegated Regulation (EU) 2016/101. For each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs computed under the core approach as set out in Chapter 3 of Delegated Regulation (EU) 2016/101 o for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation. That includes the diversification benefits reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101.
0020	OF WHICH: TRADING BOOK Article 7(2) of Delegated Regulation (EU) 2016/101. For each relevant category of AVAs referred to in columns 0010 to 0110, share of total AVAs reported in row 0010 stemming from trading book positions (absolute value).
0030	1.1. PORTFOLIOS UNDER ARTICLES 9 TO 17 OF COMMISSION DELEGATED REGULATION (EU) 2016/101- TOTAL CATEGORY LEVEL POST-DIVERSIFICATION Point (a) of Article 7(2) of Delegated Regulation (EU) 2016/101. For each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs computed in accordance with Articles 9 to 17 of Delegated Regulation (EU) 2016/101 for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation, except fair-valued assets and liabilities subject to the treatment described in point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101. That includes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) 2016/101 that are reported in rows 0050 and 0060 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of that Regulation. That includes the diversification benefits reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101. Row 0030 shall be the difference between rows 0040 and 0140.
0040 – 0130	1.1.1. TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION For rows 0090 to 0130, institutions shall allocate their fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of Delegated Regulation (EU) 2016/101 (trading book and non-trading book) to the following risk categories: interest rates, foreign exchange, credit, equities, commodities. To that end, institutions shall rely on their internal risk management structure and, following a mapping developed based on expert judgement, allocate their business lines or trading desks to the most appropriate risk category. AVAs, Fair Value Adjustments and other required information which correspond to the allocated business lines or trading desks, shall be allocated to the same relevant risk category to provide at row level for each risk category a consistent overview of the adjustments performed both for prudential purposes and accounting purposes, as well as an indication of the size of the positions concerned (in terms of fair-valued assets and liabilities). Where AVAs or other adjustments are computed at a different level of aggregation, in particular at firm level, institutions shall develop an allocation methodology of the AVAs to the relevant sets of positions. The allocation methodology shall lead to row 0040 being the sum of rows 0050 to 0130 for columns 0010 to 0100. Regardless of the approach applied, the information reported shall, as much as possible, be consistent at row level, since the information provided will be compared at this level (AVA amounts, upside uncertainty, fair-value amounts and potential fair-value adjustments). The breakdown in rows 0090 to 0130 excludes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) 2016/101 that are reported in rows 0050 and 0060 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of that Regulation. Diversification benefits are reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101 and are therefore excluded from rows 0040 to 0130.
0050	OF WHICH: UNEARNED CREDIT SPREADS AVA Article 105(10) CRR, Article 12 of Delegated Regulation (EU) 2016/101. The total AVA calculated for unearned credit spreads (“AVA on CVA”) and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 12 of Delegated Regulation (EU) 2016/101. Column 0110: The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs. Columns 0130 and 0140: Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVAs. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore.
0060	OF WHICH: INVESTMENT AND FUNDING COSTS AVA Article 105(10) CRR, Article 17 of Delegated Regulation (EU) 2016/101. The total AVA calculated for investing and funding costs and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 13 of Delegated Regulation (EU) 2016/101. Column 0110: The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs. Columns 0130 and 0140: Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore.
0070	OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF Delegated Regulation (EU) 2016/101 Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 9(2) of Delegated Regulation (EU) 2016/101.
0080	OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF Delegated Regulation (EU) 2016/101 Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 10(2) or 10(3) of Delegated Regulation (EU) 2016/101.
0090	1.1.1.1. INTEREST RATES
0100	1.1.1.2. FOREIGN EXCHANGE
0110	1.1.1.3. CREDIT
0120	1.1.1.4. EQUITIES
0130	1.1.1.5. COMMODITIES
0140	1.1.2. (-) Diversification BenefitS Total diversification benefit. Sum of rows 0150 and 0160.
0150	1.1.2.1. (-) Diversification Benefit calculated using Method 1 For those categories of AVA aggregated under Method 1 in accordance with Articles 9(6), 10(7) and 11(6) of Delegated Regulation (EU) 2016/101, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation.
0160	1.1.2.2. (-) Diversification Benefit calculated using Method 2 For those categories of AVA aggregated under Method 2 in accordance with Articles 9(6), 10(7) and 11(6) of Delegated Regulation (EU) 2016/101, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation.
0170	1.1.2.2* Memorandum item: pre-diversification AVAs reduced by more than 90 % by diversification under Method 2 In the terminology of Method 2, the sum of FV – PV for all valuation exposures for which APVA < 10 % (FV – PV).
0180	1.2. Portfolios calculated under the fall-back approach Point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101. For portfolios subject to the fall-back approach under point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101, the total AVA shall be computed as a sum of rows 0190, 0200 and 0210. Relevant balance sheet and other contextual information shall be provided in columns 0130 – 0260. A description of the positions and the reason why it was not possible to apply Articles 9 to 17 of Delegated Regulation (EU) 2016/101 shall be provided in column 0270.
0190	1.2.1. Fall-back approach; 100 % unrealised profit Point (b)(i) of Article 7(2) of Delegated Regulation (EU) 2016/101.
0200	1.2.2. Fall-back approach; 10 % notional value Point (b)(ii) of Article 7(2) of Delegated Regulation (EU) 2016/101.
0210	1.2.3. Fall-back approach; 25 % of inception value Point (b)(iii) of Article 7(2) of Delegated Regulation (EU) 2016/101.

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

6.3.1. General remarks

154f. This template is to be completed only by institutions that exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101 at their level. Institutions that are part of a group breaching the threshold on a consolidated basis are required to report this template only where they also exceed the threshold at their level.

154g. This template shall be used to report details of the top 20 individual model risk AVAs in terms of AVA amount that contribute to the total category level model risk AVA computed in accordance with Article 11 of Delegated Regulation (EU) 2016/101. That information corresponds to the information reported in column 0050 of template C 32.02.

154h. The top 20 individual model risk AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual model risk AVAs.

154i. Products corresponding to those top individual model risk AVAs shall be reported using the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101.

154j. Where products are sufficiently homogenous with respect to the valuation model and the model risk AVA, they shall be merged and shown on one line for the purpose of maximising coverage of this template in respect of the total category level Model Risk AVA of the institution.

6.3.2. Instructions concerning specific positions

Columns
0005	RANK The rank is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc., with 1 being assigned to the highest individual model risk AVAs, 2 to the second highest and so on.
0010	MODEL Internal name (alpha-numerical) of the model used by the institution to identify the model.
0020	RISK CATEGORY The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the product or group of products that give rise to the model risk valuation adjustment. Institutions shall report the following codes: IR – interest rates FX – foreign exchange CR – credit EQ – equities CO – commodities
0030	PRODUCT Internal name (alpha-numerical) for the product or group of products, in line with the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101, that is valued using the model.
0040	OBSERVABILITY Number of price observations for the product or group of products in the last 12 months that meet either of the following criteria: The price observation is a price at which the institution has conducted a transaction; It is a verifiable price for an actual transaction between third parties; The price is obtained from a committed quote. Institutions shall report one of the following values: “none”, “1-6”, “6-24”, “24-100”, “100+”.
0050	MODEL RISK AVA Article 11(1) of Delegated Regulation (EU) 2016/101. Individual model risk AVA before diversification benefit, but after portfolio netting where relevant.
0060	OF WHICH: USING EXPERT-BASED APPROACH Amounts in column 0050 that have been calculated under the expert-based approach referred to in Article 11(4) of Delegated Regulation (EU) 2016/101.
0070	OF WHICH: AGGREGATED USING METHOD 2 Amounts in column 0050 that have been aggregated under Method 2 of the Annex to Delegated Regulation (EU) 2016/101. These amounts correspond to FV – PV in the terminology of that Annex.
0080	AGGREGATED AVA CALCULATED UNDER METHOD 2 The contribution towards the total category level AVA for model risk, as computed in accordance with Article 11(7) of the Delegated Regulation (EU) 2016/101 of individual model risk AVAs that are aggregated using Method 2 of the Annex to that Regulation (EU). That amount corresponds to APVA in the terminology of the Annex.
0090 -0100	FAIR-VALUED ASSETS AND LIABILITIES Absolute value of fair-valued assets and liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.
0090	FAIR-VALUED ASSETS Absolute value of fair-valued assets valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.
0100	FAIR-VALUED LIABILITIES Absolute value of fair-valued liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.
0110	IPV DIFFERENCE (OUTPUT TESTING) The sum of unadjusted difference amounts (“IPV difference”) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the corresponding product or group of products. Unadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process. No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference. Only results that have been calibrated from prices of instruments that would be mapped to the same product (output testing) shall be included here. Input testing results from market data inputs that are tested against levels that have been calibrated from different products shall not be included.
0120	IPV COVERAGE (OUTPUT TESTING) The percentage of those positions mapped to the model weighted by model risk AVA that is covered by the output IPV testing results given in column 0110.
0130 – 0140	FAIR VALUE ADJUSTMENTS Fair Value adjustments as referred to in columns 0190 and 0240 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.
0150	DAY 1 P&L Adjustments as defined in column 0260 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.

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

6.4.1. General remarks

154k. This template shall be completed only by institutions that exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101. Institutions that are part of a group breaching the threshold on a consolidated basis shall report this template only where they also exceed the threshold at their level.

154l. This template shall be used to report details of the top 20 individual concentrated positions AVAs in terms of AVA amount that contribute to the total category level concentrated positions AVA computed in accordance with Article 14 of Delegated Regulation (EU) 2016/101. This information shall correspond to the information reported in column 0070 of template C 32.02.

154m. The top 20 concentrated positions AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual concentrated positions AVAs.

154n. Products corresponding to these top individual concentrated positions AVAs shall be reported using the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101.

154o. Positions that are homogenous in terms of AVA calculation methodology shall be aggregated where this is possible to maximise the coverage of this template.

6.4.2. Instructions concerning specific positions

Columns
0005	RANK The rank is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc., with 1 being assigned to the highest concentrated positions AVAs, 2 to the second highest and so on.
0010	RISK CATEGORY The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the position. Institutions shall report the following codes: IR – Interest Rates FX – Foreign exchange CR – Credit EQ – Equities CO – Commodities
0020	PRODUCT Internal name for the product or group of products in line with the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101.
0030	UNDERLYING Internal name of the underlying, or underlyings, in the case of derivatives or of the instruments in the case of non-derivatives.
0040	CONCENTRATED POSITION SIZE Size of the individual concentrated valuation position identified in accordance with point (a) of Article 14(1) of Delegated Regulation (EU) 2016/101, expressed in the unit described in column 0050.
0050	SIZE MEASURE Unit of size measure used internally as part of the identification of the concentrated valuation position to compute the concentrated position size referred in column 0040. In the case of positions in bonds or equity, please report the unit used for internal risk management, such as “number of bonds”, “number of shares” or “market value”. In the case of position in derivatives, please report the unit used for internal risk management, such as “PV01; EUR per 1 basis point parallel yield curve shift”.
0060	MARKET VALUE Market value of the position.
0070	PRUDENT EXIT PERIOD The prudent exit period in number of days estimated in accordance with point (b) of Article 14(1) of Delegated Regulation (EU) 2016/101.
0080	CONCENTRATED POSITIONS AVA The concentrated positions AVA amount calculated in accordance with Article 14(1) of Delegated Regulation (EU) 2016/101 for the individual concentrated valuation position concerned.
0090	CONCENTRATED POSITION FAIR VALUE ADJUSTMENT The amount of any fair value adjustments taken to reflect the fact that the aggregate position held by the institution is larger than the normal traded volume or larger than position sizes and on which quotes or trades, which are used to calibrate the price or inputs used by the valuation model, are based. The amount reported shall correspond to the amount that has been applied to the individual concentrated valuation position concerned.
0100	IPV DIFFERENCE The sum of unadjusted difference amounts (“IPV difference”) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the individual concentrated valuation position concerned. Unadjusted difference amounts shall refer to unadjusted differences between the valuations generated by the trading system and the valuations assessed during the monthly IPV process. No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.

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

7.1. GENERAL REMARKS

155. The information for the purpose of template C 33.00 shall cover all exposures to “General governments” as referred to in point (b) of paragraph 42 of Annex V to this Implementing Regulation.

156. Exposures to “General governments” are included in different exposure classes in accordance with Article 112 and Article 147 CRR, as specified by the instructions for the completion of template C 07.00, C 08.01 and C 08.02.

157. Table 2 (Standardised Approach) and Table 3 (IRB Approach), included in Part 3 of Annex V to this Implementing Regulation, shall be observed for the mapping of exposure classes used to calculate capital requirements under CRR to counterparty sector “General governments”.

158. Information shall be reported for the total aggregate exposures (meaning the sum of all countries in which the bank has sovereign exposures) and for each country on the basis of the residence of the counterparty on an immediate borrower basis.

159. The allocation of exposures to exposure classes or jurisdictions shall be made without considering credit mitigation techniques and in particular without considering substitution effects. However, the calculation of exposure values and risk weighted exposure amounts for each exposure class and each jurisdiction shall include the incidence of credit risk mitigation techniques, including substitution effects.

160. The reporting of information on exposures to “General governments” by jurisdiction of residence of the immediate counterparty other than the domestic jurisdiction of the reporting institution is subject to the thresholds laid down in point (3) of Article 5(b) of this Implementing Regulation.

7.2. SCOPE OF THE TEMPLATE ON EXPOSURES TO “GENERAL GOVERNMENTS”

161. The scope of the GOV template covers on, off-balance sheet and derivatives direct exposures to “General governments” in the banking and trading book. In addition, a memorandum item on indirect exposures in the form of credit derivatives sold on general government exposures is also requested.

162. An exposure is a direct exposure when the immediate counterparty is an entity that is a “General government” as referred to in point (b) of paragraph 42 of Annex V to this Implementing Regulation.

163. The template is divided in two sections. The first one is based on a breakdown of exposures by risk, regulatory approach and exposure classes whereas a second one is based on a breakdown by residual maturity

7.3. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

Columns	Instructions
010-260	DIRECT EXPOSURES
010-140	ON-BALANCE SHEET EXPOSURES
010	Total gross carrying amount of non-derivative financial assets Aggregate of gross carrying amount, as determined in accordance with paragraph 34 of Part 1 of Annex V to this Implementing Regulation, of non-derivative financial assets to General governments, for all accounting portfolios under IFRS or national GAAP based on BAD defined in paragraphs 15 to 22 of Part 1 of Annex V to this Implementing Regulation, and listed in columns 030 to 120 Prudent valuation adjustments shall not reduce the gross carrying amount of trading and non-trading exposures measured at fair value.
020	Total carrying amount of non-derivative financial assets (net of short positions) Aggregate of the carrying amount, as referred to in paragraph 27 of Part 1 of Annex V to this Implementing Regulation, of non-derivative financial assets to General governments for all accounting portfolios under IFRS or national GAAP based on BAD defined in paragraphs 15 to 22 of Part 1 of Annex V to this Implementing Regulation and listed in columns 030 to 120, net of short positions. Where the institution has a short position for the same residual maturity and the same immediate counterparty that is denominated in the same currency, the carrying amount of the short position shall be netted against the carrying amount of the direct position. That net amount shall be considered to be zero when it is a negative amount. The sum of the columns 030 to 120 minus column 130 shall be reported. If that amount is lower than zero, the amount to be reported shall be zero.
030-120	NON-DERIVATIVE FINANCIAL ASSETS BY ACCOUNTING PORTFOLIOS Aggregate carrying amount of non-derivative financial assets, as defined in the row above of this table, to General governments, broken down by accounting portfolio under the applicable accounting framework
030	Financial assets held for trading IFRS 7.8(a)(ii); IFRS 9 Appendix A
040	Trading financial assets Articles 32 and 33 BAD; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation; point (a) of Article 8(1) AD Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).
050	Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.8(a)(ii); IFRS 9.4.1.4
060	Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5 and point (a) of Article 8(1) and Article 8(6) AD
070	Non-trading non-derivative financial assets measured at fair value through profit or loss Article 36(2) BAD; point (a) of Article 8(1) AD Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).
080	Financial assets at fair value through other comprehensive income IFRS 7.8(d); IFRS 9.4.1.2 A
090	Non-trading non-derivative financial assets measured at fair value to equity Point (a) of Article 8(1) and Article 8(8) AD Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).
100	Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2; Paragraph 15 of Part 1 of Annex V to this Implementing Regulation
110	Non-trading non-derivative financial assets measured at a cost-based method Article 35 BAD; point (i) of Article 6(1) and Article 8(2) AD; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).
120	Other non-trading non-derivative financial assets Article 37 BAD; Article 12(7) AD; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).
130	Short positions Carrying amount of short positions, as defined in IFRS 9 BA.7(b) where the direct counterparty is a General government as defined in paragraphs 155 to 160 of this Annex. Short positions arise where the institution sells securities acquired in a reverse repurchase loan or borrowed in a securities lending transaction. The carrying amount is the fair value of the short positions. Short positions shall be reported by residual maturity bucket, as listed in rows 170 to 230, and by immediate counterparty. Short positions shall be used for netting with positions for the same residual maturity and immediate counterparty for the computation of columns 030 to 120.
140	Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets Carrying amount of short positions, as defined in IFRS 9 BA.7(b), that arise when the institution sells the securities acquired in reverse repurchase loans, where the direct counterparty of those securities is a General government and that are included in the held for trading or trading financial assets accounting portfolios (columns 030 or 040). Short positions that arise when the sold securities were borrowed in a securities lending transition shall not be included in this column.
150	Accumulated impairment Aggregate accumulated impairment related to non-derivative financial assets reported in columns 080 to 120 (paragraphs 70 and 71 of Part 2 of Annex V to this Implementing Regulation)
160	Accumulated impairment – of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity Aggregate of accumulated impairment related to non-derivative financial assets reported in columns 080 and 090.
170	Accumulated negative changes in fair value due to credit risk Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 050, 060, 070, 080 and 090 (paragraph 69 of Part 2 of Annex V to this Implementing Regulation)
180	Accumulated negative changes in fair value due to credit risk – of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 050, 060 and 070.
190	Accumulated negative changes in fair value due to credit risk – of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 080 and 090.
200-230	DERIVATIVES Direct derivative positions shall be reported in columns 200 to 230. For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges, see instructions for the row breakdown.
200-210	Derivatives with positive fair value All derivative instruments with a General government counterparty with a positive fair value for the institution at the reporting date, regardless of whether those instruments are used in a qualifying hedging relationship, are held for trading, or are included in the trading portfolio under IFRS and national GAAP based on BAD. Derivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (paragraphs 120, 124, 125 and 137 to 140 of Part 2 of Annex V to this Implementing Regulation).
200	Derivatives with positive fair value: Carrying amount Carrying amount of the derivatives accounted for as financial assets at the reporting reference date. Under GAAP based on BAD, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments.
210	Derivatives with positive fair value: Notional amount Under IFRS and national GAAP based on BAD, notional amount, as defined in paragraphs 133 to 135 of Part 2 of Annex V to this Implementing Regulation, of all derivative contracts concluded and not yet settled at the reporting reference date, where the counterparty is a General government as defined in paragraphs 155 to 160 of this Annex and the fair value of the derivative is positive for the institution at the reference date.
220-230	Derivatives with negative fair value All derivative instruments with a General government counterparty with a negative fair value for the institution at the reporting reference date, regardless of whether those instruments are used in a qualifying hedging relationship or are held for trading or included in the trading portfolio under IFRS and national GAAP based on BAD. Derivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (paragraphs 120, 124, 125 and 137 to 140 of Part 2 of Annex V to this Implementing Regulation).
220	Derivatives with negative fair value: Carrying amount Carrying amount of the derivatives accounted for as financial liabilities at the reporting reference date. Under GAAP based on BAD, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments.
230	Derivatives with negative fair value: Notional amount Under IFRS and national GAAP based on BAD, notional amount, as defined in paragraphs 133 to 135 of Part 2 of Annex V to this Implementing Regulation, of all derivative contracts concluded and not yet settled at the reference date, where the counterparty is a General government as defined in paragraphs 155 to 160 of this Annex and the fair value of the derivative is negative for the institution at the reference date.
240-260	OFF-BALANCE SHEET EXPOSURES
240	Nominal amount Where the direct counterparty of the off-balance sheet item is a General government as defined in paragraphs 155 to 160 of this Annex, nominal amount of the commitments and financial guarantees that are not considered as a derivative in accordance with IFRS or under national GAAP based on BAD (paragraphs 102-119 of Part 2 of Annex V to this Implementing Regulation,). In accordance with paragraphs 43 and 44 of Part 2 of Annex V to this Implementing Regulation, the General government is the direct counterparty: (a) in a financial guarantee given, when it is the direct counterparty of the guaranteed debt instrument, and (b) in a loan commitment and other commitment given, when it is the counterparty whose credit risk is assumed by the reporting institution.
250	Provisions Point (6)(c) and “Off balance sheet items” of Article 4, Articles 27(11), 28(8) and Article 33 BAD+/; IFRS 9.4.2.1(c)(ii),(d)(ii), 9.5.5.20;IAS 37, IFRS 4, Part 2.11 of Annex V to this Implementing Regulation. Provisions on all off-balance sheet exposures regardless of how they are measured, except those that are measured at fair value through profit or loss in accordance with IFRS 9. Under IFRS, the impairment of a loan commitment given shall be reported in column 150 where the institution cannot separately identify the expected credit losses related to the drawn and undrawn amount of the debt instrument. In case the combined expected credit losses for that financial instrument exceed the gross carrying amount of the loan component of the instrument, the remaining balance of the expected credit losses shall be reported as a provision in column 250.
260	Accumulated negative changes in fair value due to credit risk For off-balance sheet items measured at fair value through profit or loss under IFRS 9, accumulated negative changes in fair value due to credit risk (paragraph 110 of Part 2 of Annex V to this Implementing Regulation)
270-280	Memorandum item: credit derivatives sold on general government exposures Credit derivatives that do not meet the definition of financial guarantees in Annex V, Part 2, paragraph 58 that the reporting institution has underwritten with counterparties other than General governments and whose reference exposure is a General government shall be reported. These columns shall not be reported for exposures broken down by risk, regulatory approach and exposure class (rows 020 to 160). The exposures reported in the section are not to be considered in the computation of exposure Value and Risk weighted amount (columns 290 and 300) which is based solely on direct exposures.
270	Derivatives with positive fair value – Carrying amount Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a positive fair value for the institution at the reference reporting date, without considering prudent valuation adjustments. For derivatives under IFRS, the amount to be reported in this column is the carrying amount of the derivatives that are financial assets at the reporting date. For derivatives under GAAP based on BAD, the amount to be reported in this column shall be the fair value of the derivatives with a positive fair value at the reference reporting date, independently of how they are accounted for.
280	Derivatives with negative fair value – Carrying amount Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a negative fair value for the institution at the reference reporting date, without considering prudent valuation adjustments. For derivatives under IFRS, the amount to be reported in this column shall be the carrying amount of the derivatives that are financial liabilities at the reporting date. For derivatives under GAAP based on BAD, the amount to be reported in this column is the fair value of the derivatives with a negative fair value at the reference reporting date, independently of how they are accounted for.
290	Exposure value Exposure value for exposures subject to the credit risk framework. For exposures under the Standardised Approach (SA): see Article 111 CRR. For exposures under the IRB Approach: see Article 166 and the second sentence of Article 230(1) CRR. For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges, see instructions for the row breakdown.
300	Risk weighted exposure amount Risk weighted exposure amount for exposures subject to the credit risk framework. For exposures under the Standardised Approach (SA): see paragraphs 1 to 5 of Article 113 CRR. For exposures under the IRB Approach: see paragraphs 1 and 3 of Article 153 CRR. For the reporting of direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk, see instructions for the row breakdown.

Rows	Instructions
BREAKDOWN OF EXPOSURES BY REGULATORY APPROACH
010	Total exposures Aggregate of exposures to General governments, as defined in paragraphs 155 to 160 of this Annex.
020-155	Exposures under the credit risk framework Aggregate of exposures to General governments that shall be risk-weighted in accordance with Title II of Part Three CRR. Exposures under the credit risk framework include exposures from both the non-trading book and the trading book subject to a capital charge for counterparty credit risk. Direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (020 to 155) and the market risk row (row 160): the exposures due to counterparty credit risk shall be reported in the credit risk rows, while the exposures due to market risk shall be reported in the market risk row.
030	Standardised Approach Exposures to General governments that shall be risk-weighted in accordance with Chapter 2 of Title II of Part Three CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.
040	Central governments Exposures to General governments that are central governments. These exposures are allocated to the “Central governments or central banks” exposure class in accordance with Articles 112 and 114 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
050	Regional governments or local authorities Exposures to General governments that are regional governments or local authorities. These exposures are allocated to the “Regional governments or local authorities” exposure class in accordance with Articles 112 and 115 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
060	Public sector entities Exposures to General governments that are public sector entities. These exposures are allocated to the “Public sector entities” exposure class in accordance with Articles 112 and 116 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
070	International Organisations Exposures to General governments that are international organisations. These exposures are allocated to the “International Organisations” exposure classes in accordance with Articles 112 and 118 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
075	Other general government exposures subject to Standardised Approach Exposures to General governments other than those included in rows 040 to 070 above, which are allocated to SA exposure classes in accordance with Article 112 CRR for the purposes of calculating own funds requirements.
080	IRB Approach Exposures to General governments that shall be risk-weighted in accordance with Chapter 3 of Title II of Part Three CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.
090	Central governments Exposures to General governments that are central governments and that are allocated to the “Central governments and central banks” exposure class in accordance with point (a) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply..
100	Regional governments or local authorities [Central governments and central banks] Exposures to General governments that are regional governments or local authorities and that are allocated to the “Central governments and central banks” exposure class in accordance with point (a) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
110	Regional governments or local authorities [Institutions] Exposures to General governments that are regional governments or local authorities and that are allocated to the “Institutions” exposure class in accordance with point (a) of Article 147(4) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
120	Public sector entities [Central governments and central banks] Exposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the “Central governments and central banks” exposure class in accordance with point (a) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
130	Public sector entities [Institutions] Exposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the “Institutions” exposure class in accordance with point (b) of Article 147(4) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
140	International Organisations [Central governments and central banks] Exposures to General governments that are International Organisations and that are allocated to the “Central governments and central banks” exposure class in accordance with point (c) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
155	Other general government exposures subject to IRB Approach Exposures to General governments other than those included in rows 090 to 140 above which are allocated to IRB exposure classes in accordance with Article 147 CRR for the purposes of calculating own funds requirements.
160	Exposures subject to market risk Market risk exposures cover positions for which own funds requirements are calculated in accordance with Title IV of Part Three CRR. Direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (020 to 155) and the market risk row (row 160): the exposure due to counterparty credit risk shall be reported in the credit risk rows, while the exposure due to market risk shall be reported in the market risk row.
170-230	BREAKDOWN OF EXPOSURES BY RESIDUAL MATURITY Residual maturity shall be computed in days between the contractual date of maturity and the reporting reference date for all positions. Exposures to General governments shall be broken-down by residual maturity and allocated to the buckets provided as follows: [0 – 3M [: Less than 90 days [3M – 1Y [: Equal or greater than 90 days and less than 365 days [1Y – 2Y [: Equal or greater than 365 days and less than 730 days [2Y – 3Y [: Equal or greater than 730 days and less than 1 095 days [3Y – 5Y [: Equal or greater than 1 095 days and less than 1 825 days [5Y – 10Y [: Equal or greater than 1 825 days and less than 3 650 days [10Y – more: Equal or greater than 3 650 days”

(1)

Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).

(2)

Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176 27.6.2013, p. 338).

(3)

Directive 2013/34/EU of the European Parliament and of the Council on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19).

(4)

Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (OJ L 372, 31.12.1986, p. 1).

(5)

Seventh Council Directive 83/349/EEC of 13 June 1983 based on the Article 54(3)(g) of the Treaty on consolidated accounts (OJ L 193, 18.7.1983, p. 1).

(6)

Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).

(7)

Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards on the identification of the geographical location of the relevant credit exposures for calculating institution-specific countercyclical capital buffer rates (OJ L 309, 30.10.2014, p. 5).

(8)

“Stand alone institutions” are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements.

(9)

Regulation (EU) No 549/2013 of the European Parliament and of the Council of 21 May 2013 on the European system of national and regional accounts in the European Union (OJ L 174 26.6.2013, p. 1).

(10)

Commission Delegated Regulation (EU) No 525/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for the definition of market (OJ L 148, 20.5.2014, p. 15).

(11)

Commission Delegated Regulation (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14) (OJ L 21, 28.1.2016, p. 54).