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

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

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Commission Implementing Regulation (EU) No 680/2014 is up to date with all changes known to be in force on or before 05 November 2024. There are changes that may be brought into force at a future date. Help about Changes to Legislation

EUR 2014 No. 680 may be subject to amendment by EU Exit Instruments made by both the Prudential Regulation Authority and the Financial Conduct Authority under powers set out in The Financial Regulators' Powers (Technical Standards etc.) (Amendment etc.) (EU Exit) Regulations 2018 (S.I. 2018/1115), regs. 2, 3, Sch. Pt. 4. These amendments are not currently available on legislation.gov.uk. Details of relevant amending instruments can be found on their website/s.

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Changes and effects yet to be applied to :

  • Regulation revoked by 2023 c. 29 Sch. 1 Pt. 1 3
  • Regulation revoked by S.I. 2021/1078, reg. 13(2)(aa) (as inserted) by S.I. 2021/1376 reg. 32(7)(a)(i) (This amendment not applied to legislation.gov.uk. The affected provision Pt. 2 (PRA) was modified by a non-legislative instrument (Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019) and is not present in the text of the retained EU legislation. Details of the non-legislative modifications can be found on the Bank of England's website on the page entitled 'The Bank of England's amendments to financial services legislation under the European Union (Withdrawal) Act 2018')
  • Art. 2-13 omitted by S.I. 2021/1078 reg. 13(4)(b) (amending provision omitted by S.I. 2021/1376)
  • Art. 15-17 omitted by S.I. 2021/1078 reg. 13(4)(c) (amending provision omitted by S.I. 2021/1376)

Changes and effects yet to be applied to the whole legislation item and associated provisions

  1. Introductory Text

  2. CHAPTER 1 SUBJECT MATTER AND SCOPE

    1. Article 1.Subject matter and scope

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

    1. Article 2.Reporting reference dates

    2. Article 3.Reporting remittance dates

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

  12. CHAPTER 9 TRANSITIONAL AND FINAL PROVISIONS

    1. Article 18.Transitional period

    2. Article 19.Entry into Force

  13. Signature

    1. ANNEX I

      REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

      1. Annex I Table 1

      2. C 01.00 – OWN FUNDS (CA1)

        1. ANNEX I Table 2: rows 1 - 101

      3. C 02.00 – OWN FUNDS REQUIREMENTS (CA2)

        1. ANNEX I Table 3: rows 1 - 78

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

        1. ANNEX I Table 4: rows 1 - 17

      5. C 04.00 – MEMORANDUM ITEMS (CA4)

        1. ANNEX I Table 5: rows 1 - 128

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

        1. ANNEX I Table 6: rows 1 - 62

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

        1. ANNEX I Table 7: rows 1 - 17

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

        1. ANNEX I Table 8: rows 1 - 6

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

        1. ANNEX I Table 9: rows 1 - 7

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

        1. ANNEX I Table 10: rows 1 - 41

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

        1. ANNEX I Table 11: rows 1 - 27

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

        1. ANNEX I Table 12: rows 1 - 6

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

        1. ANNEX I Table 13: rows 1 - 23

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

        1. ANNEX I Table 14: rows 1 - 19

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

        1. ANNEX I Table 15: rows 1 - 23

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

        1. ANNEX I Table 16: rows 1 - 13

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

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

        1. ANNEX I Table 18: rows 1 - 14

      19. C 13.01 – CREDIT RISK: SECURITISATIONS (CR SEC)

        1. ANNEX I Table 19: rows 1 - 73

      20. C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC Details)

        1. ANNEX I Table 20: rows 1 - 6

      21. C 14.01 – DETAILED INFORMATION ON SECURITISATIONS BY APPROACH (SEC Details Approach)

        1. ANNEX I Table 21: rows 1 - 7

      22. C 16.00 – OPERATIONAL RISK (OPR)

        1. ANNEX I Table 22: rows 1 - 18

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

        1. ANNEX I Table 23: rows 1 - 95

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

        1. ANNEX I Table 24: rows 1 - 4

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

        1. ANNEX I Table 25: rows 1 - 49

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

        1. ANNEX I Table 26: rows 1 - 17

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

        1. ANNEX I Table 27: rows 1 - 17

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

        1. ANNEX I Table 28: rows 1 - 18

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

        1. ANNEX I Table 29: rows 1 - 54

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

        1. ANNEX I Table 30: rows 1 - 19

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

        1. ANNEX I Table 31: rows 1 - 15

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

        1. ANNEX I Table 32: rows 1 - 7

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

        1. ANNEX I Table 33: rows 1 - 24

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

        1. ANNEX I Table 34: rows 1 - 25

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

        1. ANNEX I Table 35: rows 1 - 4

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

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

        1. ANNEX I Table 37: rows 1 - 31

    2. ANNEX II

      REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

      1. PART I: GENERAL INSTRUCTIONS

        1. 1. STRUCTURE AND CONVENTIONS

          1. 1.1. STRUCTURE

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

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

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

          2. 1.2. NUMBERING CONVENTION

            1. 4. The document follows the labelling convention set in points 5...

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

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

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

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

          3. 1.3. SIGN CONVENTION

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

          4. 1.4. ABBREVIATIONS

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

      2. PART II: TEMPLATE RELATED INSTRUCTIONS

        1. 1. CAPITAL ADEQUACY OVERVIEW (‘CA’)

          1. 1.1. GENERAL REMARKS

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

            2. 11. The templates shall be used by all reporting entities, irrespective...

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

            4. 13. The application of CRR and CRD transitional provisions is treated...

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

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

            1. 1.2.1. Instructions concerning specific positions

              1. Annex II Table 1

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

            1. 1.3.1. Instructions concerning specific positions

              1. Annex II Table 2

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

            1. 1.4.1. Instructions concerning specific positions

              1. Annex II Table 3

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

            1. 1.5.1. Instructions concerning specific positions

              1. Annex II Table 4

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

            1. 1.6.1. General remarks

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

              2. 16. CA5 is structured as follows:

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

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

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

            2. 1.6.2. C 05.01 – TRANSITIONAL PROVISIONS (CA5.1)

              1. 20. Institutions shall report in CA5.1 template the transitional provisions to...

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

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

              4. 23. In rows 100 onwards institutions shall report information about the...

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

              6. 1.6.2.1. Instructions concerning specific positions

                1. Annex II Table 5

                2. Annex II Table 6

            3. 1.6.3. C 05.02 – GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)...

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

              2. 1.6.3.1. Instructions concerning specific positions

                1. Annex II Table 7

                2. Annex II Table 8

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

          1. 2.1. GENERAL REMARKS

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

            2. 27. Institutions that obtained a waiver in accordance with Article 7 CRR...

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

          2. 2.2. DETAILED GROUP SOLVENCY INFORMATION

            1. 29. The second part of template C 06.02 (detailed group solvency...

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

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

            1. 31. The objective of the third part of template C 06.02...

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

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

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

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

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

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

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

            1. Annex II Table 9

            2. Annex II Table 10

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

            1. Annex II Table 11

        3. 3. CREDIT RISK TEMPLATES

          1. 3.1. GENERAL REMARKS

            1. 38. There are different sets of templates for the Standardised Approach...

            2. 3.1.1. Reporting of CRM techniques with substitution effect

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

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

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

              4. 42. Exposures to obligors (immediate counterparties) and protection providers which are...

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

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

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

            3. 3.1.2. Reporting of Counterparty Credit Risk

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

          2. 3.2. C 07.00 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES:...

            1. 3.2.1. General remarks

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

            2. 3.2.2. Scope of the CR SA template

              1. 48. In accordance with Article 112 CRR each SA exposure shall be...

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

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

              4. 51. The scope of the CR SA template shall cover the...

              5. 52. The template shall include all exposures for which the own...

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

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

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

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

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

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

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

              2. 59. The following criteria shall apply to for the classification of...

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

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

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

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

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

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

              9. 66. ‘ nth ’ to default credit derivatives, as specified in...

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

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

                1. Annex II Table 12

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

              1. 3.2.4.1. Exposure Class ‘Institutions’

                1. 68. Intra-group exposures referred to in paragraphs 6 and 7 of...

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

                3. 70. According to paragraphs 6 and 7 of Article 113 CRR an...

              2. 3.2.4.2. Exposure Class ‘Covered Bonds’

                1. 71. SA exposures shall be assigned to the exposure class ‘...

                2. 72. Bonds referred to in Article 52(4) of Directive 2009/65/EC of the...

              3. 3.2.4.3. Exposure class ‘Collective Investment Undertakings’

                1. 73. Where the possibility referred to in Article 132(5) CRR is used,...

            5. 3.2.5. Instructions concerning specific positions

              1. Annex II Table 13

              2. Annex II Table 14

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

            1. 3.3.1. Scope of the CR IRB template

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

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

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

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

            2. 3.3.2. Breakdown of the CR IRB template

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

            3. 3.3.3. C 08.01 – Credit and counterparty credit risks and free deliveries:...

              1. 3.3.3.1. Instructions concerning specific positions

                1. Annex II Table 15

                2. Annex II Table 16

            4. 3.3.4. C 08.02 – Credit and counterparty credit risks and free deliveries:...

              1. Annex II Table 17

              2. Annex II Table 18

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

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

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

            3. 81. Data regarding ‘ original exposure pre-conversion factors ’ shall be...

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

              1. 3.4.1.1. Instructions concerning specific positions

                1. Annex II Table 19

                2. Annex II Table 20

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

              1. 3.4.2.1. Instructions concerning specific positions

                1. Annex II Table 21

                2. Annex II Table 22

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

              1. 3.4.3.1. General remarks

                1. 82. This template aims at receiving more information regarding the elements...

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

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

                4. 85. In order to determine the geographical location, the exposures shall...

              2. 3.4.3.2. Instructions concerning specific positions

                1. Annex II Table 23

                2. Annex II Table 24

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

            1. 3.5.1. General remarks

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

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

              3. 88. In accordance with Article 147(6) CRR, the following exposures shall be...

              4. 89. Collective investment undertakings treated in accordance with the simple risk...

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

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

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

              1. Annex II Table 25

              2. 92. In accordance with Article 155 CRR, institutions may employ different approaches...

                1. Annex II Table 26

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

            1. 3.6.1. General remarks

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

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

              3. 95. In accordance with Article 378 CRR, repurchase transactions, securities or commodities...

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

              5. 97. Institutions shall multiply that difference by the appropriate factor of...

              6. 98. In accordance with point (b) of Article 92(4) CRR, the own...

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

            2. 3.6.2. Instructions concerning specific positions

              1. Annex II Table 27

              2. Annex II Table 28

          7. 3.7. C 13.01 – CREDIT RISK – SECURITISATIONS (CR SEC)

            1. 3.7.1. General remarks

              1. 100. Where institution acts as originator, the information in this template...

              2. 101. The information to be reported shall be contingent on the...

              3. 102. This template shall gather joint information on both traditional and...

            2. 3.7.2. Instructions concerning specific positions

              1. Annex II Table 29

              2. 103. The template is divided into three major blocks of rows...

              3. 104. Positions treated in accordance with the SEC-ERBA and unrated positions...

                1. Annex II Table 30

          8. 3.9. DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

            1. 3.9.1. Scope of the SEC DETAILS template

              1. 109. These templates gather information on a transaction basis (versus the...

              2. 110. These template are to be reported for:

              3. 111. These templates shall be reported by consolidated groups and stand-alone...

              4. 112. Because of Article 5 of Regulation (EU) 2017/2402, which establishes that...

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

            2. 3.9.2. Breakdown of the SEC DETAILS template

              1. 113a. The SEC DETAILS consists of two templates. SEC DETAILS provides...

              2. 113b. Securitisation positions in the trading book shall only be reported...

            3. 3.9.3. C 14.00 – Detailed information on securitisations (SEC DETAILS)

              1. Annex II Table 31

            4. 3.9.4. C 14.01 – Detailed information on securitisations (SEC DETAILS 2)

              1. 113c. The template SEC DETAILS 2 shall be reported separately for...

        4. 4. OPERATIONAL RISK TEMPLATES

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

            1. 4.1.1. General Remarks

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

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

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

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

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

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

            2. 4.1.2. Instructions concerning specific positions

              1. Annex II Table 33

              2. Annex II Table 34

          2. 4.2. OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR...

            1. 4.2.1. General Remarks

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

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

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

              4. 123. ‘ Gross loss ’ means a loss – as referred to...

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

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

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

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

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

              10. 129. In order to verify compliance with the criterion laid down...

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

              1. 4.2.2.1. General Remarks

                1. 130. In template C 17.01, the information shall be presented by...

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

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

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

              2. 4.2.2.2. Instructions concerning specific positions

                1. Annex II Table 35

                2. Annex II Table 36

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

              1. 4.2.3.1. General Remarks

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

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

                3. 136. Only loss events entailing a gross loss amount of 100...

              2. 4.2.3.2. Instructions concerning specific positions

                1. Annex II Table 37

        5. 5. MARKET RISK TEMPLATES

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

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

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

            1. 5.1.1. General Remarks

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

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

            2. 5.1.2. Instructions concerning specific positions

              1. Annex II Table 38

              2. Annex II Table 39

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

            1. 5.2.1. General Remarks

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

              2. 142. The MKR SA SEC template presents the own funds requirement...

              3. 143. Positions which receive a risk weight of 1 250  %...

            2. 5.2.2. Instructions concerning specific positions

              1. Annex II Table 40

              2. Annex II Table 41

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

            1. 5.3.1. General Remarks

              1. 144. This template requests information on positions of the Correlation Trading...

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

              3. 146. The template separates securitisation positions, n-th to default credit derivatives...

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

            2. 5.3.2. Instructions concerning specific positions

              1. Annex II Table 42

              2. Annex II Table 43

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

            1. 5.4.1. General Remarks

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

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

            2. 5.4.2. Instructions concerning specific positions

              1. Annex II Table 44

              2. Annex II Table 45

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

            1. 5.5.1. General Remarks

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

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

            2. 5.5.2. Instructions concerning specific positions

              1. Annex II Table 46

              2. Annex II Table 47

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

            1. 5.6.1. General Remarks

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

            2. 5.6.2. Instructions concerning specific positions

              1. Annex II Table 48

              2. Annex II Table 49

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

            1. 5.7.1. General Remarks

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

              2. 154. Generally, it depends on the structure of the model of...

            2. 5.7.2. Instructions concerning specific positions

              1. Annex II Table 50

              2. Annex II Table 51

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

            1. 5.8.1. Instructions concerning specific positions

              1. Annex II Table 52

              2. Annex II Table 53

        6. 6. PRUDENT VALUATION (PRUVAL)

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

            1. 6.1.1. General remarks

              1. 154a. This template shall be completed by all institutions, irrespective of...

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

            2. 6.1.2. Instructions concerning specific positions

              1. Annex II Table 54

              2. Annex II Table 55

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

            1. 6.2.1. General remarks

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

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

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

            2. 6.2.2. Instructions concerning specific positions

              1. Annex II Table 56

              2. Annex II Table 57

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

            1. 6.3.1. General remarks

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

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

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

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

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

            2. 6.3.2. Instructions concerning specific positions

              1. Annex II Table 58

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

            1. 6.4.1. General remarks

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

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

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

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

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

            2. 6.4.2. Instructions concerning specific positions

              1. Annex II Table 59

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

          1. 7.1. GENERAL REMARKS

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

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

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

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

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

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

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

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

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

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

          3. 7.3. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

            1. Annex II Table 60

            2. Annex II Table 61

    3. ANNEX III

      REPLACES ANNEX III – REPORTING FINANCIAL INFORMATION ACCORDING TO IFRS

      1. Annex III Table 1

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

        1. 1.1 Assets

          1. Annex III Table 2

        2. 1.2 Liabilities

          1. Annex III Table 3

        3. 1.3 Equity

          1. Annex III Table 4

      3. 2. Statement of profit or loss

        1. Annex III Table 5

      4. 3. Statement of comprehensive income

        1. Annex III Table 6

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

        1. 4.1 Financial assets held for trading

          1. Annex III Table 7

        2. 4.2.1 Non-trading financial assets mandatorily at fair value through profit or...

          1. Annex III Table 8

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

          1. Annex III Table 9

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

          1. Annex III Table 10

        5. 4.4.1 Financial assets at amortised cost

          1. Annex III Table 11

        6. 4.5 Subordinated financial assets

          1. Annex III Table 12

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

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

          1. Annex III Table 13

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

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

          1. Annex III Table 14

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

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

          1. Annex III Table 15

      9. 8. Breakdown of financial liabilities

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

          1. Annex III Table 16

        2. 8.2 Subordinated financial liabilities

          1. Annex III Table 17

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

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

          1. Annex III Table 18

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

          1. Annex III Table 19

      11. 10. Derivatives – Trading and economic hedges

        1. Annex III Table 20

      12. 11. Hedge accounting

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

          1. Annex III Table 21

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

          1. Annex III Table 22

        3. 11.4 Hedged items in fair value hedges

          1. Annex III Table 23

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

        1. 12.1 Movements in allowances and provisions for credit losses

          1. Annex III Table 24

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

          1. Annex III Table 25

      14. 13. Collateral and guarantees received

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

          1. Annex III Table 26

        2. 13.2.1 Collateral obtained by taking possession during the period [held at...

          1. Annex III Table 27

        3. 13.3.1 Collateral obtained by taking possession accumulated

          1. Annex III Table 28

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

        1. Annex III Table 29

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

        1. Annex III Table 30

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

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

          1. Annex III Table 31

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

          1. Annex III Table 32

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

          1. Annex III Table 33

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

          1. Annex III Table 34

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

          1. Annex III Table 35

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

          1. Annex III Table 36

        7. 16.6 Gains or losses from hedge accounting

          1. Annex III Table 37

        8. 16.7 Impairment on non-financial assets

          1. Annex III Table 38

        9. 16.8 Other administrative expenses

          1. Annex III Table 39

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

        1. 17.1 Assets

          1. Annex III Table 40

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

          1. Annex III Table 41

        3. 17.3 Liabilities and equity

          1. Annex III Table 42

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

        1. 18.0 Information on performing and non-performing exposures

          1. Annex III Table 43

        2. 18.1 Inflows and outflows of non-performing exposures – loans and advances by...

          1. Annex III Table 44

        3. 18.2 Commercial Real Estate (CRE) loans and additional information on loans...

          1. Annex III Table 45

      20. 19. Information forborne exposures

        1. Annex III Table 46

      21. 20. Geographical breakdown

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

          1. Annex III Table 47

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

          1. Annex III Table 48

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

          1. Annex III Table 49

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

          1. Annex III Table 50

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

          1. Annex III Table 51

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

          1. Annex III Table 52

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

          1. Annex III Table 53

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

        1. Annex III Table 54

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

        1. 22.1 Fee and commission income and expenses by activity

          1. Annex III Table 55

        2. 22.2 Assets involved in the services provided

          1. Annex III Table 56

      24. 23. Loans and advances: additional information

        1. 23.1 Loans and advances: Number of instruments

          1. Annex III Table 57

        2. 23.2 Loans and advances: Additional information on gross carrying amounts

          1. Annex III Table 58

        3. 23.3 Loans and advances collateralised by immovable property: Breakdown by LTV...

          1. Annex III Table 59

        4. 23.4 Loans and advances: Additional information on accumulated impairments and accumulated...

          1. Annex III Table 60

        5. 23.5 Loans and advances: Collateral received and financial guarantees received

          1. Annex III Table 61

        6. 23.6 Loans and advances: Accumulated partial write-offs

          1. Annex III Table 62

      25. 24. Loans and advances: Flows of non performing exposures, impairment &...

        1. 24.1 Loans and advances: Inflows and outflows of non-performing exposures

          1. Annex III Table 63

        2. 24.2 Loans and advances: Flow of impairments and accumulated negative changes...

          1. Annex III Table 64

        3. 24.3 Loans and advances: Write-offs of non-performing exposures during the period...

          1. Annex III Table 65

      26. 25. Collateral obtained by taking possession and execution processes

        1. 25.1 Collateral obtained by taking possession other than collateral classified as...

          1. Annex III Table 66

        2. 25.2 Collateral obtained by taking possession other than collateral classified as...

          1. Annex III Table 67

        3. 25.3 Collateral obtained by taking possession classified as Property Plant and...

          1. Annex III Table 68

      27. 26. Forbearance management and quality of forbearance

        1. Annex III Table 69

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

        1. 30.1 Interests in unconsolidated structured entities

          1. Annex III Table 70

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

          1. Annex III Table 71

      29. 31. Related parties

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

          1. Annex III Table 72

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

          1. Annex III Table 73

      30. 40. Group structure

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

          1. Annex III Table 74

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

          1. Annex III Table 75

      31. 41. Fair value

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

          1. Annex III Table 76

        2. 41.2 Use of the Fair Value Option

          1. Annex III Table 77

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

        1. Annex III Table 78

      33. 43. Provisions

        1. Annex III Table 79

      34. 44. Defined benefit plans and employee benefits

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

          1. Annex III Table 80

        2. 44.2 Movements in defined benefit obligations

          1. Annex III Table 81

        3. 44.3 Staff expenses by type of benefits

          1. Annex III Table 82

        4. 44.4 Staff expenses by category of remuneration and category of staff...

          1. Annex III Table 83

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

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

          1. Annex III Table 84

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

          1. Annex III Table 85

        3. 45.3 Other operating income and expenses

          1. Annex III Table 86

      36. 46. Statement of changes in equity

        1. Annex III Table 87

      37. 47. Loans and advances: Average duration and recovery periods

        1. Annex III Table 88

    4. ANNEX IV

      REPORTING FINANCIAL INFORMATION ACCORDING TO NATIONAL ACCOUNTING FRAMEWORKS

      1. Annex IV Table 1

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

        1. 1.1 Assets

          1. Annex IV Table 2

        2. 1.2 Liabilities

          1. Annex IV Table 3

        3. 1.3 Equity

          1. Annex IV Table 4

      3. 2. Statement of profit or loss

        1. Annex IV Table 5

      4. 3. Statement of comprehensive income

        1. Annex IV Table 6

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

        1. 4.1 Financial assets held for trading

          1. Annex IV Table 7

        2. 4.2.1 Non-trading financial assets mandatorily at fair value through profit or...

          1. Annex IV Table 8

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

          1. Annex IV Table 9

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

          1. Annex IV Table 10

        5. 4.4.1 Financial assets at amortised cost

          1. Annex IV Table 11

        6. 4.5 Subordinated financial assets

          1. Annex IV Table 12

        7. 4.6 Trading Financial assets

          1. Annex IV Table 13

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

          1. Annex IV Table 14

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

          1. Annex IV Table 15

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

          1. Annex IV Table 16

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

          1. Annex IV Table 17

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

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

          1. Annex IV Table 18

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

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

          1. Annex IV Table 19

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

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

          1. Annex IV Table 20

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

          1. Annex IV Table 21

      9. 8. Breakdown of financial liabilities

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

          1. Annex IV Table 22

        2. 8.2 Subordinated financial liabilities

          1. Annex IV Table 23

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

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

          1. Annex IV Table 24

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

          1. Annex IV Table 25

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

          1. Annex IV Table 26

      11. 10. Derivatives – Trading and economic hedges

        1. Annex IV Table 27

      12. 11. Hedge accounting

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

          1. Annex IV Table 28

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

          1. Annex IV Table 29

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

          1. Annex IV Table 30

          2. 11.3.1 Non-derivative hedging instruments under national GAAP: breakdown by accounting portfolio...

            1. Annex IV Table 31

        4. 11.4 Hedged items in fair value hedges

          1. Annex IV Table 32

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

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

          1. Annex IV Table 33

        2. 12.1 Movements in allowances and provisions for credit losses

          1. Annex IV Table 34

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

          1. Annex IV Table 35

      14. 13. Collateral and guarantees received

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

          1. Annex IV Table 36

        2. 13.2.1 Collateral obtained by taking possession during the period [held at...

          1. Annex IV Table 37

        3. 13.3.1 Collateral obtained by taking possession accumulated

          1. Annex IV Table 38

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

        1. Annex IV Table 39

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

        1. Annex IV Table 40

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

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

          1. Annex IV Table 41

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

          1. Annex IV Table 42

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

          1. Annex IV Table 43

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

          1. Annex IV Table 44

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

            1. Annex IV Table 45

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

          1. Annex IV Table 46

        6. 16.6 Gains or losses from hedge accounting

          1. Annex IV Table 47

        7. 16.7 Impairment on non-financial assets

          1. Annex IV Table 48

        8. 16.8 Other administrative expenses

          1. Annex IV Table 49

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

        1. 17.1 Assets

          1. Annex IV Table 50

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

          1. Annex IV Table 51

        3. 17.3 Liabilities and equity

          1. Annex IV Table 52

      19. 18 Information on performing and non-performing exposures

        1. 18.0 Information on performing and non-performing exposures

          1. Annex IV Table 53

        2. 18.1 Inflows and outflows of non-performing exposures – loans and advances by...

          1. Annex IV Table 54

        3. 18.2 Commercial Real Estate (CRE) loans and additional information on loans...

          1. Annex IV Table 55

      20. 19. Information forborne exposures

        1. Annex IV Table 56

      21. 20. Geographical breakdown

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

          1. Annex IV Table 57

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

          1. Annex IV Table 58

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

          1. Annex IV Table 59

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

          1. Annex IV Table 60

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

          1. Annex IV Table 61

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

          1. Annex IV Table 62

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

          1. Annex IV Table 63

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

        1. Annex IV Table 64

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

        1. 22.1 Fee and commission income and expenses by activity

          1. Annex IV Table 65

        2. 22.2 Assets involved in the services provided

          1. Annex IV Table 66

      24. 23. Loans and advances: additional information

        1. 23.1 Loans and advances: Number of instruments

          1. Annex IV Table 67

        2. 23.2 Loans and advances: Additional information on gross carrying amounts

          1. Annex IV Table 68

        3. 23.3 Loans and advances collateralised by immovable property: Breakdown by LTV...

          1. Annex IV Table 69

        4. 23.4 Loans and advances: Additional information on accumulated impairments and accumulated...

          1. Annex IV Table 70

        5. 23.5 Loans and advances: Collateral received and financial guarantees received

          1. Annex IV Table 71

        6. 23.6 Loans and advances: Accumulated partial write-offs

          1. Annex IV Table 72

      25. 24. Loans and advances: Flows of non performing exposures, impairment &...

        1. 24.1 Loans and advances: Inflows and outflows of non-performing exposures

          1. Annex IV Table 73

        2. 24.2 Loans and advances: Flow of impairments and accumulated negative changes...

          1. Annex IV Table 74

        3. 24.3 Loans and advances: Write-offs of non-performing exposures during the period...

          1. Annex IV Table 75

      26. 25. Collateral obtained by taking possession and execution processes

        1. 25.1 Collateral obtained by taking possession other than collateral classified as...

          1. Annex IV Table 76

        2. 25.2 Collateral obtained by taking possession other than collateral classified as...

          1. Annex IV Table 77

        3. 25.3 Collateral obtained by taking possession classified as Property Plant and...

          1. Annex IV Table 78

      27. 26. Forbearance management and quality of forbearance

        1. Annex IV Table 79

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

        1. 30.1 Interests in unconsolidated structured entities

          1. Annex IV Table 80

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

          1. Annex IV Table 81

      29. 31. Related parties

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

          1. Annex IV Table 82

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

          1. Annex IV Table 83

      30. 40. Group structure

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

          1. Annex IV Table 84

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

          1. Annex IV Table 85

      31. 41. Fair value

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

          1. Annex IV Table 86

        2. 41.2 Use of the Fair Value Option

          1. Annex IV Table 87

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

        1. Annex IV Table 88

      33. 43. Provisions

        1. Annex IV Table 89

      34. 44 Defined benefit plans and employee benefits

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

          1. Annex IV Table 90

        2. 44.2 Movements in defined benefit obligations

          1. Annex IV Table 91

        3. 44.3 Staff expenses by type of benefits

          1. Annex IV Table 92

        4. 44.4 Staff expenses by category of remuneration and category of staff...

          1. Annex IV Table 93

      35. 45 Breakdown of selected items of statement of profit or loss...

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

          1. Annex IV Table 94

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

          1. Annex IV Table 95

        3. 45.3 Other operating income and expenses

          1. Annex IV Table 96

      36. 46. Statement of changes in equity

        1. Annex IV Table 97

      37. 47. Loans and advances: Average duration and recovery periods

        1. Annex IV Table 98

    5. ANNEX V

      REPORTING ON FINANCIAL INFORMATION

      1. PART 1 GENERAL INSTRUCTIONS

        1. 1. REFERENCES

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

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

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

          4. 4. An institution shall only submit those parts of the templates...

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

        2. 2. CONVENTIONS

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

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

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

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

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

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

          7. Table 1

            1. ANNEX V Table 1: rows 1 - 21

        3. 3. CONSOLIDATION

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

        4. 4. ACCOUNTING PORTFOLIOS OF FINANCIAL INSTRUMENTS

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

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

          3. 4.1. Financial assets

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

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

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

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

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

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

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

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

          4. 4.2. Financial liabilities

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

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

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

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

        5. 5. FINANCIAL INSTRUMENTS

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

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

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

          4. 5.1. Financial assets

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

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

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

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

          5. 5.2. Gross carrying amount

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

          6. 5.3. Financial liabilities

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

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

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

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

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

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

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

        6. 6. COUNTERPARTY BREAKDOWN

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

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

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

      2. PART 2 TEMPLATE RELATED INSTRUCTIONS

        1. 1. BALANCE SHEET

          1. 1.1. Assets (1.1)

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

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

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

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

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

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

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

          2. 1.2. Liabilities (1.2)

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

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

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

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

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

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

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

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

          3. 1.3. Equity (1.3)

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

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

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

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

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

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

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

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

            9. 24. ‘ Hedge of net investments in foreign operations (effective portion)...

            10. 25. ‘ Hedging derivatives. Cash flow hedges reserve (effective portion) ’...

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

            12. 27. ‘ Hedging instruments (not designated elements) ’ shall include the...

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

          19. 48i. ‘ Cash contributions to resolution funds and deposit guarantee schemes...

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

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

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

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

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

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

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

          27. 56. Under IFRS, the gains or losses on derecognition of investments...

        3. 3. STATEMENT OF COMPREHENSIVE INCOME (3)

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

          2. 58. ‘ Hedge of net investments in foreign operations (effective portion)...

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

          4. 60. ‘ Hedging instruments (not designated elements) ’ shall include changes...

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

          2. 95. Accounting portfolios subject to impairment shall be financial assets subject...

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

        8. 8. BREAKDOWN OF FINANCIAL LIABILITIES (8)

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

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

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

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

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

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

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

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

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

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

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

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

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

          8. 109. A financial guarantee or a commitment to provide a loan...

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

          10. 10.1. Classification of derivatives by type of risk

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

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

          11. 10.2. Amounts to be reported for derivatives

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

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

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

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

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

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

          12. 10.3. Derivatives classified as ‘ economic hedges ’

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

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

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

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

          13. 10.4. Breakdown of derivatives by counterparty sector

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

            2. 142. All OTC derivatives, irrespective of the type of risk to...

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

            12. 166i. ‘ Gains or losses on derecognition of debt instruments ’...

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

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

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

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

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

        12. 12. COLLATERAL AND GUARANTEES RECEIVED (13)

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

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

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

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

            4. 174. For loans and advances that have simultaneously several types of...

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

            1. 175. This template shall be used to report information on collateral...

            2. 175i. ‘ Value at initial recognition ’ shall mean the gross...

            3. 175ii. ‘ Accumulated negative changes ’ shall be the difference, at...

          3. 12.3. Collateral obtained by taking possession accumulated (13.3.1)

            1. 176. Collateral obtained by taking possession that remains recognised in the...

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

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

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

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

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

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

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

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

          4. 183. ‘ Repurchase agreements ’ ( ‘ repos ’ ) shall...

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

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

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

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

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

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

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

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

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

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

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

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

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

            9. 194i. ‘ Of which: credit for consumption ’ and ‘ of...

            10. 194ii. ‘ Of which: interest from leases ’ shall reflect the...

          3. 15.2. Gains or losses on derecognition of financial assets and liabilities...

            1. 195. Gains and losses on derecognition of financial assets and financial...

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

          10. 15.9. Other Administrative Expenses (16.8)

            1. 208i. ‘ Information Technology expenses ’ shall be the expenses made...

            2. 208ii. Among the Information Technology expenses, ‘ IT outsourcing ’ shall...

            3. 208iii. ‘ Taxes and duties (other) ’ shall include taxes and...

            4. 208iv. ‘ Consulting and professional services ’ shall mean expenses made...

            5. 208v. ‘ Advertising, marketing and communication ’ shall include expenses related...

            6. 208vi. ‘ Expenses related to credit risk ’ shall mean administrative...

            7. 208vii. ‘ Litigation expenses not covered by provisions ’ shall mean...

            8. 208viii. ‘ Real estate expenses ’ shall mean expenses for repairs...

            9. 208ix. Under IFRS, ‘ leasing expenses ’ shall comprise expenses of...

            10. 208x. ‘ Other administrative expenses – Rest ’ shall include all the...

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

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

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

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

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

        17. 17. NON-PERFORMING EXPOSURES (18)

          1. 17.1. Information on performing and non-performing exposures (18.0)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

            17. 229. An exposure shall remain classified as non-performing as long as...

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

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

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

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

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

            23. 234i. The following exposures shall be identified in separate rows:

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

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

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

            27. 238. Accumulated impairment, accumulated negative changes in fair value due to...

            28. 239. Information on collateral held and guarantees received on performing and...

          2. 17.2. Inflows and outflows of non-performing exposures – loans and advances by...

            1. 239i. Template 18.1 shall provide the inflows and outflows of loans...

            2. 239ii. Inflows to the non-performing exposures category shall be reported on...

            3. 239iii. For an exposure that during the period has been reclassified...

            4. 239iv. Outflows from the non-performing exposures category shall be reported on...

            5. 239v. An outflow shall be reported in the following cases:

            6. 239vi. The reclassification of a non-performing exposure from one accounting portfolio...

            7. 239vii. The following exposures shall be identified in separate rows:

          3. 17.3. Commercial Real Estate (CRE) loans and additional information on loans...

            1. 239viii. Template 18.2 shall present information on commercial real estate loans...

            2. 239ix. ‘Commercial real estate (CRE) loans’ shall comprise exposures as defined...

            3. 239x. The LTV ratio shall be calculated in accordance with the...

            4. 239xi. Information on collateral received and financial guarantees received on loans...

        18. 18. FORBORNE EXPOSURES (19)

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

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

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

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

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

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

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

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

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

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

          11. 250. For the purposes of template 19, ‘ institution ’ shall...

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

        19. 19. GEOGRAPHICAL BREAKDOWN (20)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

        23. 23. RELATED PARTIES (31)

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

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

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

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

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

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

            1. 292. ‘ Gains or losses on derecognition of other than financial...

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

        24. 24. GROUP STRUCTURE (40)

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

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

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

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

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

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

        25. 25. FAIR VALUE (41)

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

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

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

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

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

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

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

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

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

          3. 303i. Where the institution assumes the role of a lessee, it...

        27. 27. PROVISIONS (43)

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

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

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

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

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

            1. 307. The template on components of net defined benefit plan assets...

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

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

            1. 309. The template on movements in defined benefit obligations shall show...

            2. 310. The amount of ‘ Closing balance (present value) ’ in...

          4. 28.3. Staff expenses by type of benefits (44.3)

            1. 311. For reporting of staff expenses by type of benefits, the...

          5. 28.4. Staff expenses by category of remuneration and category of staff...

            1. 311i. For reporting of staff expenses by category of remuneration and...

            2. 311ii. ‘ Number of staff ’ shall include, as of the...

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

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

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

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

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

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

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

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

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

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

          1. 317. The statement of changes in equity shall disclose the reconciliation...

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

        31. 31. LOANS AND ADVANCES: ADDITIONAL INFORMATION (23)

          1. 319. Template 23 presents additional information on loans and advances, excluding...

          2. 320. For the purposes of determining the ‘ number of instruments...

          3. 321. An exposure shall be ‘ in pre-litigation status ’ where...

          4. 322. An exposure shall be ‘ in litigation status ’ where...

          5. 323. ‘ Unsecured loans and advances without guarantees ’ refers to...

          6. 324. Loans and advances with an accumulated coverage ratio of more...

          7. 325. Loans collateralised by immovable property as defined in paragraphs 86(a)...

          8. 326. Information on collateral held and guarantees received on the loans...

          9. 327. By way of derogation from the previous paragraph, ‘ collateral...

        32. 32. LOANS AND ADVANCES: FLOWS OF NON PERFORMING EXPOSURES, IMPAIRMENTS AND...

          1. 32.1. Loans and advances: Inflows and outflows of non-performing exposures (24.1)...

            1. 328. Template 24.1 shall provide a reconciliation of the opening and...

            2. 329. Inflows to the category of non-performing exposures shall be reported...

            3. 330. The following exposures shall be reported in separate rows:

            4. 331. Outflows from the category of non-performing exposures shall be reported...

            5. 332. In those cases where an exposure is partially derecognised and...

            6. 333. ‘ Net cumulated recoveries ’ shall mean (i) the amount...

            7. 334. The outflow pertaining to loans and advances that became non-performing...

          2. 32.2. Loans and advances: Flow of impairments and accumulated negative changes...

            1. 335. Template 24.2 shall contain a reconciliation of the opening and...

            2. 336. ‘ Increases during the period ’ shall comprise:

            3. 337. The part of the increase attributable to impairments and accumulated...

            4. 338. ‘ Decreases during the period ’ shall comprise:

            5. 339. The following items shall be reported separately:

          3. 32.3. Loans and advances: Write-offs of non-performing exposures during the period...

            1. 340. Template 24.3 shall be used to report the write-offs as...

        33. 33. COLLATERAL OBTAINED BY TAKING POSSESSION AND EXECUTION PROCESSES (25)

          1. 341. ‘ Collateral obtained by taking possession ’ shall include both...

          2. 33.1. Collateral obtained by taking possession other than collateral classified as...

            1. 342. Template 25.1 shall be used to present the reconciliation of...

            2. 343. ‘ Debt balance reduction ’ shall mean the gross carrying...

            3. 344. ‘ Value at initial recognition ’ shall have the same...

            4. 345. With regard to the ‘ inflows during the period ’...

            5. 346. With regard to the ‘ outflows during the period ’...

            6. 347. In case of a sale of collateral for cash, the...

            7. 348. Collateral obtained by taking possession shall be reported broken down...

            8. 349. In the context of the presentation of collateral obtained by...

          3. 33.2. Collateral obtained by taking possession other than collateral classified as...

            1. 350. Template 25.2 shall include a breakdown of the collateral obtained...

            2. 351. The type of collateral shall be the ones referred to...

            3. 352. With regard to collateral in the form of immovable property,...

          4. 33.3. Collateral obtained by taking possession classified as Property Plant and...

            1. 353. In template 25.3, information on collateral obtained by taking possession...

            2. 354. Information shall be provided on the stock of collateral as...

        34. 34. FORBEARANCE MANAGEMENT AND QUALITY OF FORBEARANCE (26)

          1. 355. Template 26 shall include detailed information on loans and advances...

          2. 356. The ‘ Number of instruments ’ shall be determined as...

          3. 357. The gross carrying amount of exposures with forbearance measures shall...

          4. 358. The types of forbearance measures shall be the following:

          5. 359. Where the forbearance measure affects the gross carrying amount of...

          6. 360. The following items shall be reported in separate rows:

          7. 361. Exposures to which forbearance measures have been granted since the...

        35. 35. LOANS AND ADVANCES: AVERAGE DURATION AND RECOVERY PERIODS (47)

          1. 362. The information provided in template 47 shall refer to loans...

          2. 363. The ‘ weighted average time since past due date (in...

          3. 364. The following information on the results of litigation procedures on...

      3. PART 3 MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS

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

        2. Table 2

          1. ANNEX V Table 2: rows 1 - 18

        3. Table 3

    6. ANNEX VI

      REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY

      1. Annex VI Table 1

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

    7. ANNEX VII

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

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

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

      3. 1. Reporting scope

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

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

      4. 2. Definitions

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

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

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

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

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

      5. 3. Geographical breakdown

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

      6. 4. Reporting of exposures and losses

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

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

        3. 13. Reference date: The exposure value at default should be used...

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

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

      7. 5. Instructions concerning specific positions

        1. Annex VII Table 1

        2. Annex VII Table 2

    8. ANNEX VIII

      TEMPLATES FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK

      1. LARGE EXPOSURES TEMPLATES

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

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

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

        1. ANNEX VIII Table 4: rows 1 - 7

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

        1. ANNEX VIII Table 5: rows 1 - 7

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

        1. ANNEX VIII Table 6: rows 1 - 4

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

        1. ANNEX VIII Table 7: rows 1 - 4

    9. ANNEX IX

      INSTRUCTIONS FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK

      1. PART I: GENERAL INSTRUCTIONS 1. Structure and conventions 1. The reporting framework on large...

        1. 1. Structure and conventions

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

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

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

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

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

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

        2. 2. Abbreviations

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

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

        1. 1. Scope and level of the LE reporting

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

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

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

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

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

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

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

        2. 2. Structure of the LE template

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

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

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

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

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

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

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

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

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

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

          7. 17. The exposures to groups of connected clients shall be calculated...

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

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

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

          11. 21. Reverse repurchase agreements which fall under the reporting for large...

        4. 4. C 26.00 — LE Limits template

          1. 4.1. Instructions concerning specific rows

            1. Annex IX Table 1

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

          1. 5.1. Instructions concerning specific columns

            1. Annex IX Table 2

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

          1. 6.1. Instructions concerning specific columns

            1. Annex IX Table 3

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

          1. 7.1. Instructions concerning specific columns

            1. Annex IX Table 4

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

          1. 8.1. Instructions concerning specific columns

            1. Annex IX Table 5

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

          1. 9.1. Instructions concerning specific columns

            1. Annex IX Table 6

    10. ANNEX X

      REPORTING ON LEVERAGE

      1. Annex X Table 1

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

        1. ANNEX X Table 2: rows 1 - 28

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

        1. ANNEX X Table 3: rows 1 - 14

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

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

        1. ANNEX X Table 5: rows 1 - 40

      6. C 44.00 — GENERAL INFORMATION (LR5)

      7. C 47.00 — LEVERAGE RATIO CALCULATION (LRCalc)

        1. ANNEX X Table 7: rows 1 - 39

    11. ANNEX XI

      REPORTING ON LEVERAGE

      1. PART I: GENERAL INSTRUCTIONS 1. Template labelling and other conventions 1.1. Template labelling 1....

        1. 1. Template labelling and other conventions

          1. 1.1. Template labelling

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

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

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

          2. 1.2. Numbering convention

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

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

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

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

          3. 1.3. Abbreviations

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

          4. 1.4. Sign convention

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

      2. PART II: TEMPLATE RELATED INSTRUCTIONS 1. Structure and frequency 1. The leverage ratio template is...

        1. 1. Structure and frequency

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

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

        2. 2. Formulas for leverage ratio calculation

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

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

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

        3. 3. Materiality thresholds for derivatives

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

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

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

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

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

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

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

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

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

          10. 15. The cells which are required to be reported by institutions...

        4. 4. C 47.00 – Leverage ratio calculation (LRCalc)

          1. 16. This part of the reporting template collects the data that...

          2. 17. Institutions shall perform the reporting of the leverage ratio quarterly....

          3. 18. Institutions shall report {010;010} to {030;010}, {060;010}, {090;010}, {110;010}, and...

          4. 19. Institutions shall report {010;010} to {240;010} as if the exemptions...

          5. 20. Any amount that increases the own funds or the leverage...

            1. Annex XI Table 1

        5. 5. C 40.00 – Alternative treatment of the Exposure Measure (LR1)...

          1. 21. This part of the reporting collects data on an alternative...

          2. 22. Institutions shall determine the ‘ accounting balance sheet values ’...

          3. 23. Apart from {250;120} and {260;120}, institutions shall report LR1 as...

            1. Annex XI Table 2

        6. 6. C 41.00 – On- and off-balance sheet items – additional...

          1. 24. Template LR2 provides information on additional breakdown items of all...

          2. 25. For exposures supported by CRM techniques implying the substitution of...

          3. 26. Under both approaches, institutions shall consider exposures deducted from the...

            1. Annex XI Table 3

        7. 7. C 42.00 – Alternative definition of capital (LR3)

          1. 27. Template LR3 provides information on the capital measures needed for...

            1. Annex XI Table 4

        8. 8. C 43.00 – Alternative breakdown of leverage ratio exposure measure...

          1. 28. Institutions shall report the leverage ratio exposure values in LR4...

          2. 29. In order to avoid double-counting, institutions shall uphold the equation...

          3. 30. The equation that institutions shall uphold according to paragraph 29...

            1. Annex XI Table 5

        9. 9. C 44.00 – General information (LR5)

          1. 31. Additional information is collected here for the purpose of categorising...

            1. Annex XI Table 6

    12. ANNEX XII

      REPORTING ON LIQUIDITY

      1. Annex XII Table 1

      2. C 51.00 — LIQUIDITY COVERAGE — LIQUID ASSETS

        1. ANNEX XII Table 2: rows 1 - 123

      3. C 52.00 — LIQUIDITY COVERAGE — OUTFLOWS

        1. ANNEX XII Table 3: rows 1 - 188

      4. C 53.00 — LIQUIDITY COVERAGE — INFLOWS

        1. ANNEX XII Table 4: rows 1 - 140

      5. C 54.00 — LIQUIDITY COVERAGE — COLLATERAL SWAPS

        1. ANNEX XII Table 5: rows 1 - 12

      6. C 60.00 — STABLE FUNDING — ITEMS REQUIRING STABLE FUNDING

        1. ANNEX XII Table 6: rows 1 - 183

      7. C 61.00 — STABLE FUNDING — ITEMS PROVIDING STABLE FUNDING

        1. ANNEX XII Table 7: rows 1 - 38

    13. ANNEX XIII

      1. REPORTING ON LIQUIDITY (PART 1 of 5: LIQUID ASSETS)

        1. 1. Liquid assets

          1. 1.1. General remarks

            1. 1. This is a summary template which contains information about assets...

            2. 2. Assets shall be reported in one of six sections in...

            3. 3. Assets which meet the requirements of Article 416 and Article...

            4. 4. Assets which meet the requirements of Article 416 (1) (b)...

            5. 5. Items subject to supplementary reporting of liquid assets according to...

            6. 6. Assets which do not meet the requirements of Article 416...

            7. 7. Treatment for jurisdictions with insufficient liquid assets

            8. 8. Reporting of Shar'iah compliant assets as alternative assets under Article...

          2. 1.2. Specific remarks

            1. 9. For items 1.1 to 1.2 institutions shall report the relevant...

            2. 10. For items 1.3 to 1.4 institutions shall report the market...

            3. 11. For item 1.5 institutions shall report the relevant undrawn amount...

            4. 12. For item 1.6.1/1.6.2 institutions shall report the relevant amounts in...

            5. 13. For items 1.7 to 2.2, in accordance with the last...

            6. 14. For items 1.3 to 1.4 and 1.7 to 1.14, institutions...

            7. 15. For items 2.1 to 2.2, institutions shall report assets which...

            8. 16. For items 1.1 to 2.2, with the exception of item...

            9. 17. For items 3.1 to 3.12, institutions shall only report assets...

            10. 18. For items 4.1 to 4.12.3, institutions shall only report assets...

            11. 19. For items 5.1 to 5.2, institutions shall only report items...

            12. 20. For items 6.1 to 6.1.3, only Shar'iah compliant banks shall...

            13. 21. The value of the liquid assets of all items in...

          3. Liquid assets sub template

            1. 1.2.1. Instructions concerning specific rows

              1. Annex XIII Table 1

      2. REPORTING ON LIQUIDITY (PART 2 of 5: OUTFLOWS)

        1. 1. Outflows

          1. 1.1. General remarks

            1. 1. This is a summary template which contains information about liquidity...

            2. 2. In accordance with Article 420 REGULATION (EU) NO 575/2013, this...

            3. 3. In accordance with Article 421(5) of the REGULATION (EU) NO...

          2. 1.2. Outflows sub template

            1. 1.2.1. Instructions concerning specific rows

              1. Annex XIII Table 2

      3. REPORTING ON LIQUIDITY (PART 3 of 5: INFLOWS)

        1. 1. Inflows

          1. 1.1. General remarks

            1. 1. This is a summary template which contains information about liquidity...

            2. 2. In accordance with Article 425(2) REGULATION (EU) NO 575/2013, liquidity...

            3. 3. In accordance with Article 425(7) REGULATION (EU) NO 575/2013, institutions...

            4. 4. In accordance with Article 425(8) REGULATION (EU) NO 575/2013, institutions...

          2. 1.2. Inflows sub template

            1. 1.2.1. Instructions concerning specific rows

              1. Annex XIII Table 3

      4. REPORTING ON LIQUIDITY (PART 4 of 5: COLLATERAL SWAPS)

        1. General remarks

          1. 1. This is a summary template which contains information that will...

      5. REPORTING ON LIQUIDITY (PART 5 of 5: STABLE FUNDING)

        1. 1. Items providing stable funding

          1. 1.1. General remarks

            1. 1. This is a summary template which contains information about items...

            2. 2. All own funds and liabilities reported on an institution's balance...

            3. 3. In accordance with Article 427(2) REGULATION (EU) NO 575/2013, liabilities...

            4. 4. Institutions shall assume that investors redeem a call option at...

            5. 5. For retail deposits reported in section 1.2, the same assumptions...

          2. 1.2. Items providing stable funding

            1. 1.2.1. Instructions concerning specific rows

              1. Annex XIII Table 5

        2. 2. Items requiring stable funding

          1. 2.1. General remarks

            1. 1. This is a summary template which contains information about items...

            2. 2. All assets reported on an institutions balance sheet shall be...

            3. 3. Treatment of maturity:

            4. 4. In accordance with Article 510 of the REGULATION (EU) NO...

            5. 5. Treatment of assets received or lent in secured lending and...

            6. 6. Treatment of derivatives payables and receivables:

          2. 2.2. Items requiring stable funding

            1. 2.2.1. Instructions concerning specific rows

              1. Annex XIII Table 6

    14. ANNEX XIV

      Single Data Point Model

      1. All data items set out in the Annexes to this...

      2. The single data point model shall meet the following criteria:...

      3. provide a structured representation of all data items set out...

    15. ANNEX XV

      Validation Rules

      1. The data items set out in the Annexes to this...

      2. The validation rules shall meet the following criteria:

      3. define the logical relationships between relevant data points; include filters...

    16. ANNEX XVI

      REPORTING TEMPLATES ON ASSET ENCUMBRANCE

      1. Annex XVI Table 1

      2. F 32.01 - ASSETS OF THE REPORTING INSTITUTION (AE-ASS)

        1. ANNEX XVI Table 2: rows 1 - 15

      3. F 32.02 - COLLATERAL RECEIVED (AE-COL)

        1. ANNEX XVI Table 3: rows 1 - 17

      4. F 32.03 - OWN COVERED BONDS AND ABSs ISSUED AND NOT YET PLEDGED (AE-NPL)

      5. F 32.04 - SOURCES OF ENCUMBRANCE (AE-SOU)

        1. ANNEX XVI Table 5: rows 1 - 23

      6. F 33.00 - MATURITY DATA (AE-MAT)

        1. ANNEX XVI Table 6: rows 1 - 5

      7. F 34.00 - CONTINGENT ENCUMBRANCE (AE-CONT)

        1. ANNEX XVI Table 7: rows 1 - 18

      8. F 35.00 - COVERED BONDS ISSUANCE (AE-CB)

        1. ANNEX XVI Table 8: rows 1 - 9

      9. F 36.01 - ADVANCE DATA. PART I (AE-ADV-1)

        1. ANNEX XVI Table 9: rows 1 - 28

      10. F 36.02 - ADVANCE DATA. PART II (AE-ADV-2)

        1. ANNEX XVI Table 10: rows 1 - 28

    17. ANNEX XVII

      REPORTING ON ASSET ENCUMBRANCE

      1. GENERAL INSTRUCTIONS

        1. 1. STRUCTURE AND CONVENTIONS

          1. 1.1. Structure

            1. 1. The framework consists of five sets of templates which comprise...

            2. 2. For each template legal references are provided as well as...

          2. 1.2. Accounting standard

            1. 3. Institutions shall report carrying amounts under the accounting framework they...

            2. 4. For the purposes of this Annex, ‘ IAS ’ and...

          3. 1.3. Numbering convention

            1. 5. The following general notation is used in these instructions to...

            2. 6. In the case of validations within a template the following...

          4. 1.4. Sign convention

            1. 7. Templates in Annex XVI shall follow the sign convention described...

          5. 1.5. Level of application

            1. 8. The level of application of the reporting on asset encumbrance...

          6. 1.6. Proportionality

            1. 9. For the purpose of Article 16a(2)(b), the asset encumbrance level...

            2. 10. For the purpose of Article 16a(2)(a), the sum of total...

          7. 1.7. Definition of encumbrance

            1. 11. For the purpose of this Annex and Annex XVI, an...

      2. TEMPLATE-RELATED INSTRUCTIONS

        1. 2. PART A: ENCUMBRANCE OVERVIEW

          1. 12. The encumbrance overview templates differentiate assets which are used to...

          2. 13. The overview template shows the amount of encumbered and non-encumbered...

          3. 2.1. Template: AE-ASS. Assets of the reporting institution

            1. 2.1.1. General remarks

              1. 14. This paragraph sets out instructions that apply to the main...

                1. (a) Collateralised deposit

                2. (b) Repo/matching repos

                3. (c) Central bank funding

                4. (d) Securities lending

                5. (e) Derivatives (liabilities)

                6. (f) Covered bonds

                  1. Annex XVII Table 1

                7. (g) Securitisations

            2. 2.1.2. Instructions concerning specific rows

              1. Annex XVII Table 2

            3. 2.1.3. Instructions concerning specific columns

              1. Annex XVII Table 3

          4. 2.2. Template: AE-COL. Collateral received by the reporting institution

            1. 2.2.1. General remarks

              1. 15. For the collateral received by the reporting institution and the...

              2. 16. Assets are ‘ non-available for encumbrance ’ when they have...

              3. 17. For the purpose of the asset encumbrance reporting, securities borrowed...

            2. 2.2.2. Instructions concerning specific rows

              1. Annex XVII Table 4

            3. 2.2.3. Instructions concerning specific columns

              1. Annex XVII Table 5

          5. 2.3. Template: AE-NPL. Own covered bonds and ABSs issued and not...

            1. 2.3.1. General remarks

              1. 18. To avoid double counting, the following rule applies in relation...

            2. 2.3.2. Instructions concerning specific rows

              1. Annex XVII Table 6

            3. 2.3.3. Instructions concerning specific columns

              1. Annex XVII Table 7

          6. 2.4. Template: AE-SOU. Sources of encumbrance

            1. 2.4.1. General remarks

              1. 19. This template provides information on the importance for the reporting...

              2. 20. The total amounts of assets and collateral received in the...

            2. 2.4.2. Instructions concerning specific rows

              1. Annex XVII Table 8

            3. 2.4.3. Instructions concerning specific columns

              1. Annex XVII Table 9

        2. 3. PART B: MATURITY DATA

          1. 3.1. General remarks

            1. 21. The template included in Part B shows a general overview...

          2. 3.2. Template: AE-MAT. Maturity data

            1. 3.2.1. Instructions concerning specific rows

              1. Annex XVII Table 10

            2. 3.2.2. Instructions concerning specific columns

              1. Annex XVII Table 11

        3. 4. PART C: CONTINGENT ENCUMBRANCE

          1. 4.1. General remarks

            1. 22. This template requires institutions to calculate the level of asset...

            2. 23. Contingent encumbrance refers to the additional assets which may need...

            3. 24. This template includes the following two scenarios for reporting contingent...

            4. 25. The scenarios shall be reported independently of each other, and...

            5. 4.1.1. Scenario A: Decrease of 30 % of encumbered assets

              1. 26. It shall be assumed that all encumbered assets decrease 30...

              2. 27. Only contracts and agreements, where there is a legal obligation...

            6. 4.1.2. Scenario B: Depreciation of 10 % in significant currencies

              1. 28. A currency is a significant currency if the reporting institution...

              2. 29. The calculation of a 10 % depreciation shall take into...

              3. 30. All transactions which have a cross-currency element shall be covered...

          2. 4.2. Template: AE-CONT. Contingent encumbrance

            1. 4.2.1. Instructions concerning specific rows

              1. 31. See instructions concerning specific columns of the AE-SOU template in...

            2. 4.2.2. Instructions concerning specific columns

              1. Annex XVII Table 12

        4. 5. PART D: COVERED BONDS

          1. 5.1. General remarks

            1. 32. The information in this template is reported for all UCITS-compliant...

            2. 33. Covered bonds issued by or on behalf of the reporting...

            3. 34. The reporting shall be based on the statutory covered bond...

          2. 5.2. Template: AE-CB. Covered bonds issuance

            1. 5.2.1. Instructions concerning z-axis

              1. Annex XVII Table 13

            2. 5.2.2. Instructions concerning specific rows

              1. Annex XVII Table 14

            3. 5.2.3. Instructions concerning specific columns

              1. Annex XVII Table 15

        5. 6. PART E: ADVANCED DATA

          1. 6.1. General remarks

            1. 35. Part E follows the same structure as in the encumbrance...

          2. 6.2. Template: AE-ADV1. Advanced template for assets of the reporting institution...

            1. 6.2.1. Instructions concerning specific rows

              1. Annex XVII Table 16

            2. 6.2.2. Instructions concerning specific columns

              1. Annex XVII Table 17

          3. 6.3. Template: AE-ADV2. Advanced template for collateral received by the reporting...

            1. 6.3.1. Instructions concerning specific rows

              1. 36. See point 6.2.1 as instructions are similar for both templates....

            2. 6.3.2. Instructions concerning specific columns

              1. Annex XVII Table 18

    18. ANNEX XVIII

      1. Annex XVIII Table 1

      2. C 67.00 – CONCENTRATION OF FUNDING BY COUNTERPARTY

        1. ANNEX XVIII Table 2: rows 1 - 15

      3. C 68.00 – CONCENTRATION OF FUNDING BY PRODUCT TYPE

        1. ANNEX XVIII Table 3: rows 1 - 21

      4. C 69.00 – PRICES FOR VARIOUS LENGTHS OF FUNDING

        1. ANNEX XVIII Table 4: rows 1 - 11

      5. C 70.00 – ROLL-OVER OF FUNDING

        1. ANNEX XVIII Table 5: rows 1 - 128

    19. ANNEX XIX

      INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII

      1. 1. Additional Monitoring Tools

        1. 1.1. General

          1. 1. In order to monitor an institution’s liquidity risk that falls...

          2. 2. Total funding shall be all financial liabilities other than derivatives...

          3. 3. Funding with open maturity including on sight deposits shall be...

          4. 4. Original maturity shall represent the time between the date of...

          5. 5. Residual maturity shall represent the time between the end of...

          6. 6. For the purposes of calculating the original or residual weighted...

          7. 7. For the purposes of calculating the original and residual maturity,...

          8. 8. For perpetual liabilities, except where subject to optionality as referred...

          9. 9. For calculating the percentage threshold referred to in templates C...

        2. 1.2. Concentration of funding by counterparty (C 67.00)

          1. 1. In order to collect information about the reporting institutions’ concentration...

          2. 2. Institutions shall report the top ten largest counterparties or a...

          3. 3. Where a counterparty belongs to several groups of connected clients,...

          4. 4. Institutions shall report the total of all other remaining funding...

          5. 5. The totals of section 1 and section 2 shall equal...

          6. 6. For each counterparty, institutions shall report all of the columns...

          7. 7. Where funding is obtained in more than one product type,...

          8. 8. Instructions concerning specific columns:

            1. Annex XIX Table 1

        3. 1.3. Concentration of funding by product type (C 68.00)

          1. 1. This template seeks to collect information about the reporting institutions’...

            1. Annex XIX Table 2

          2. 2. For the purpose of completing this template, institutions shall report...

          3. 3. For each product type, institutions shall report all of the...

          4. 4. The 1 % of total liabilities threshold shall be used to...

          5. 5. The figures reported in rows 1. ‘ Retail ’ ,...

          6. 6. Instructions concerning specific columns:

            1. Annex XIX Table 3

        4. 1.4. Prices for Various Lengths of Funding (C 69.00)

          1. 1. Institutions shall report the information about the transaction volume and...

          2. 2. For the purposes of determining the maturity of the funding...

          3. 3. The spread reported in the left hand column of each...

          4. 4. Spreads shall be reported in basis points with a negative...

          5. 5. For the purposes of calculating the average spread payable across...

          6. 6. The amount of funding obtained for the funding categories listed...

          7. 7. In the column ‘ volume ’ , institutions shall provide...

          8. 8. As for all items, also for off-balance sheet commitments, institutions...

          9. 9. Deposits placed by retail customers shall consist of deposits as...

          10. 10. For funding that has rolled-over during the reporting period that...

          11. 11. By way of deviation from the rest of Section 1.4,...

          12. 12. Where there is nothing to report, cells relating to spreads...

          13. 13. Instructions concerning specific rows:

            1. Annex XIX Table 4

        5. 1.5. Roll-over of funding (C 70.00)

          1. 1. This template seeks to collect information about the volume of...

          2. 2. Institutions shall report, in calendar days, the funding they have...

          3. 3. For each time bucket described in paragraph 2, the amount...

          4. 4. Total net cash flows shall be reported in column 290...

          5. 5. The average term of funding, in days, for maturing term...

          6. 6. The average term of funding, in days, of funds rolled...

          7. 7. The average term of funding, in days, for new term...

          8. 8. The ‘ Maturing ’ amount shall comprise all liabilities that...

          9. 9. The ‘ Roll-over ’ amount shall comprise the maturing amount...

          10. 10. The ‘ New funds ’ amount shall comprise actual inflows...

          11. 11. The ‘ Net ’ amount shall be considered as a...

          12. 12. Instructions concerning specific columns:

            1. Annex XIX Table 5

    20. ANNEX XX

      REPORTING ON COUNTERBALANCING CAPACITY

      1. Annex XX Table 1

      2. C 71.00 — CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER

        1. ANNEX XX Table 2: rows 1 - 15

    21. ANNEX XXI

      INSTRUCTIONS FOR COMPLETING THE CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATE (C 71.00) OF ANNEX XX

      1. Concentration of Counterbalancing Capacity by issuer/counterparty (CCC) (C 71.00)

        1. 1. In order to collect information about the reporting institutions’ concentration...

        2. 2. Where an issuer or counterparty is assigned to more than...

        3. 3. The counterbalancing capacity in C 71.00 shall be the same...

        4. 4. For calculating the concentrations for the purpose of reporting template...

        5. 5. When an issuer or counterparty belongs to several groups of...

        6. 6. Except for row 120, concentrations of counterbalancing capacity with a...

          1. Annex XXI Table 1

    22. ANNEX XXII

      1. REPORTING ON AMM MATURITY LADDER

      2. C 66.01 - MATURITY LADDER

        1. ANNEX XXII Table 2: rows 1 - 129

    23. ANNEX XXIII

      INSTRUCTIONS FOR COMPLETING THE MATURITY LADDER TEMPLATE OF ANNEX XXII

      1. PART I: GENERAL INSTRUCTIONS 1. In order to capture the maturity mismatch of an...

        1. 1. In order to capture the maturity mismatch of an institution’s...

        2. 2. The maturity ladder monitoring tool shall cover contractual flows and...

        3. 3. Institutions shall not double count inflows.

        4. 4. In the column ‘ initial stock ’ , the stock...

        5. 5. Only the blank white cells of the template in Annex...

        6. 6. The section of the maturity ladder template entitled ‘ Outflows...

        7. 7. The section of the maturity ladder template entitled ‘ Counterbalancing...

        8. 8. Cash outflows and inflows in the respective sections ‘ outflows...

        9. 9. For the section of the maturity ladder template entitled ‘...

        10. 10. Contractual flows shall be allocated across the twenty-two time buckets...

        11. 11. All contractual flows shall be reported, including all material cash-flows...

        12. 12. In order for institutions to apply a conservative approach in...

        13. 13. Interest outflows and inflows from all on and off balance...

        14. 14. Foreign Exchange ( ‘ FX ’ ) swaps maturing shall...

        15. 15. Cash flows from unsettled transactions shall be reported, in the...

        16. 16. Items where the institution has no underlying business, such as...

        17. 17. Past due items and items for which the institution has...

        18. 18. Where the collateral received is re-hypothecated in a transaction that...

        19. 19. Intragroup items shall not affect the reporting on a consolidated...

      2. PART II: INSTRUCTIONS CONCERNING SPECIFIC ROWS ANNEX XXIII Table 1: rows 1 - 128

        1. Annex XXIII Table 1

    24. ANNEX XXIV

      REPORTING ON LIQUIDITY

      1. Annex XXIV Table 1

      2. C 72.00 – LIQUIDITY COVERAGE – LIQUID ASSETS

        1. ANNEX XXIV Table 2: rows 1 - 53

      3. C 73.00 – LIQUIDITY COVERAGE – OUTFLOWS

        1. ANNEX XXIV Table 3: rows 1 - 154

      4. C 74.00 – LIQUIDITY COVERAGE – INFLOWS

        1. ANNEX XXIV Table 4: rows 1 - 87

      5. C 75.01 – LIQUIDITY COVERAGE – COLLATERAL SWAPS

        1. ANNEX XXIV Table 5: rows 1 - 200

        2. ANNEX XXIV Table 5: rows 201 - 286

      6. C 76.00 – LIQUIDITY COVERAGE – CALCULATIONS

        1. ANNEX XXIV Table 6: rows 1 - 39

      7. C 77.00 – LIQUIDITY COVERAGE – PERIMETER

    25. ANNEX XXV

      1. REPORTING ON LIQUIDITY (PART 1: LIQUID ASSETS)

        1. 1. Liquid assets

          1. 1.1. General remarks

            1. 1. This is a summary template which contains information about assets...

            2. 2. Assets reported shall comply with the requirements set out in...

            3. 3. By way of derogation from point 2, credit institutions shall not...

            4. 4. Credit institutions shall report the template in the corresponding currencies...

            5. 5. In accordance with Article 9 of Delegated Regulation (EU) 2015/61, credit...

            6. 6. Delegated Regulation (EU) 2015/61 only refers to rates and haircuts....

            7. 7. Credit institutions shall not double report items within and across...

          2. 1.2. Specific remarks

            1. 1.2.1. Specific requirements regarding CIUs

              1. 8. For items 1.1.1.10., 1.1.1.11., 1.2.1.6., 1.1.2.2., 1.2.2.10., 1.2.2.11., 1.2.2.12., 1.2.2.13....

            2. 1.2.2. Specific requirements regarding grandfathering and transitional provisions

              1. 9. Credit institutions shall report items as referred to in Articles...

            3. 1.2.3. Specific requirements for reporting by Central Institutions

              1. 10. Central institutions, when reporting liquid assets corresponding to deposits from...

            4. 1.2.4. Specific requirements regarding settlement and forward starting transactions

              1. 11. All assets complying with Articles 7, 8 and 9 of...

            5. 1.2.5. Liquid assets sub template

              1. 1.2.5.1. Instructions concerning specific columns

                1. Annex XXV Table 1

              2. 1.2.5.2. Instructions concerning specific rows

                1. Annex XXV Table 2

      2. REPORTING ON LIQUIDITY (PART 2 OUTFLOWS)

        1. 1. Outflows

          1. 1.1. General remarks

            1. 1. This is a summary template which contains information about liquidity...

            2. 2. Credit institutions shall report the template in the corresponding currencies...

            3. 3. Some memorandum items are included in the associated template to...

            4. 4. In accordance with Article 22(1) of Delegated Regulation (EU) 2015/61, liquidity...

            5. 5. Delegated Regulation (EU) 2015/61 only refers to rates and haircuts,...

            6. 6. Outflows within a group or an institutional protection scheme (except...

            7. 7. The liquidity outflows shall be reported only once in the...

            8. 8. In the case of separate reporting as referred to in...

            9. 9. The standard weights in column 040 of template C 73.00...

            10. 10. The template contains information about collateralised liquidity flows, referred to...

            11. 11. A separate template is provided for collateral swaps, C 75.01...

          2. 1.2. Specific remarks regarding settlement and forward starting transactions

            1. 12. Credit institutions shall report outflows stemming from forward starting repos,...

            2. 13. Decision tree for sections 1 of C 73.00 of Annex...

              1. Annex XXV Table 3

          3. 1.3. Instructions concerning specific columns

            1. Annex XXV Table 4

          4. 1.4. Instructions concerning specific rows

            1. Annex XXV Table 5

      3. REPORTING ON LIQUIDITY (PART 3: INFLOWS)

        1. 1. Inflows

          1. 1.1. General remarks

            1. 1. This is a summary template which contains information about liquidity...

            2. 2. Credit institutions shall submit the template in the corresponding currencies...

            3. 3. In accordance with Article 32 of Delegated Regulation (EU) 2015/61, liquidity...

            4. 4. Inflows within a group or an institutional protection scheme (except...

            5. 5. In accordance with Article 32(6) of Delegated Regulation (EU) 2015/61, credit...

            6. 6. Inflows which are to be received in third countries where...

            7. 7. Monies due from securities issued by the credit institution itself...

            8. 8. In accordance with Article 32(7) of Delegated Regulation (EU) 2015/61, credit...

            9. 9. In the case of a separate reporting in accordance with...

            10. 10. The Column structure of this template is built to accommodate...

            11. 11. In accordance with point (c) of Article 2(3) of Delegated Regulation...

            12. 12. Delegated Regulation (EU) 2015/61 only refers to rates and haircuts,...

            13. 13. Some ‘ memorandum items ’ are included in the associated...

          2. 1.2. Specific remarks regarding secured lending and capital market-driven transactions

            1. 14. The template categories collateralizsed flows by the quality of the...

            2. 15. Where secured lending and capital market-driven transactions are secured by...

            3. 16. In the case of a separate reporting in accordance with...

            4. 17. For the calculation of inflows, secured lending and capital market-driven...

            5. 18. Where a credit institution may only recognise part of their...

          3. 1.3. Specific remarks regarding settlement and forward starting transactions

            1. 19. Credit institutions shall report inflows stemming from forward starting repos...

            2. 20. Credit institutions shall report inflows stemming from forward starting repos,...

            3. 21. Forward repos, forward reverse repos and forward collateral swaps that...

          4. 1.4. Decision tree on LCR inflows in accordance with Article 32, Article 33...

            1. 22. The decision tree is without prejudice to the reporting of...

            2. 23. For the sake of simplicity, the decision tree ignores totals...

            3. 1.4.1. Decision tree on rows in template C 74.00 of ANNEX...

              1. Annex XXV Table 6

            4. 1.4.2. Decision tree on columns in template C 74.00 of ANNEX...

              1. Annex XXV Table 7

          5. 1.5. Inflows sub template

            1. 1.5.1. Instructions concerning specific columns

              1. Annex XXV Table 8

            2. 1.5.2. Instructions concerning specific rows

              1. Annex XXV Table 9

      4. REPORTING ON LIQUIDITY (PART 4: COLLATERAL SWAPS)

        1. 1. Collateral swaps

          1. 1.1. General remarks

            1. 1. Any transaction maturing within the next 30 calendar days in...

            2. 2. Collateral swap transactions that mature within the next 30 calendar...

            3. 3. Collateral swaps that mature within the next 30 calendar days...

            4. 4. For liquid assets the liquidity value is calculated in accordance...

            5. 5. Each collateral swap transaction shall be assessed individually and the...

            6. 6. Collateral swap transactions involving shares or units in CIUs shall...

            7. 7. Credit institutions shall report the template in the corresponding currencies...

          2. 1.2. Specific remarks

            1. 8. For the calculation of inflows or outflows, collateral swap transactions...

            2. 9. Where an institution may only recognise part of their foreign...

            3. 10. Collateral Swaps involving Level 2A assets shall be reported in...

          3. 1.3. Collateral swaps sub template

            1. 1.3.1. Instructions concerning specific columns

              1. Annex XXV Table 10

            2. 1.3.2. Instructions concerning specific rows

              1. Annex XXV Table 11

      5. REPORTING ON LIQUIDITY (PART 5: CALCULATIONS)

        1. 1. Calculations

          1. 1.1. General remarks

            1. 1. This is a summary template which contains information about calculations...

          2. 1.2. Specific remarks

            1. 2. Cell references are given in the format: template; row; column....

          3. 1.3. Calculations sub template – Instructions concerning specific rows

            1. Annex XXV Table 12

      6. REPORTING ON LIQUIDITY (PART 6: PERIMETER OF CONSOLIDATION)

        1. 1. Perimeter of consolidation

          1. 1.1. General remarks

            1. 1. This is a template that, for the only purposes of...

          2. 1.2. Instructions concerning specific columns

            1. Annex XXV Table 13

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