Commission Implementing Regulation (EU) 2020/429 amending Implementing Regulation (EU) No 680/2014 on supervisory reporting standards

Text from publications.europa.eu (text as adopted and published in the Official Journal of the European Union; later amendments are not included). Retrieved 2026-10-26.

30.3.2020

Official Journal of the European Union

L 96/1

COMMISSION IMPLEMENTING REGULATION (EU) 2020/429

of 14 February 2020

amending Implementing Regulation (EU) No 680/2014 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)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 ( 1 ) , and in particular Article 99(5) thereof,

Whereas:

(1)

Commission Implementing Regulation (EU) No 680/2014 ( 2 ) lays down uniform requirements for institutions in relation to supervisory reporting to competent authorities for the purposes of Articles 99 and 100, Article 101(4)(a), Article 394(1), and Articles 415 and 430 of Regulation (EU) No 575/2013.

(2)

Regulation (EU) 2017/2402 of the European Parliament and of the Council ( 3 ) set up a new framework for securitisation, including a specific framework for simple, transparent and standardised (STS) securitisations. It established preferential treatment for STS securitisations and certain SME synthetic securitisations and set out a framework for a more risk-sensitive regulatory treatment of exposures to securitisations. Implementing Regulation (EU) No 680/2014 needs to be amended to accommodate the reporting on securitisation positions to this new securitisation framework.

(3)

Commission Regulation (EC) No 1126/2008 ( 4 ) was amended by Regulation (EU) 2017/1986 ( 5 ) to bring that Regulation in line with the International Financial Reporting Standard (IFRS) 16 Leases that the International Accounting Standards Board (IASB) published on 13 January 2016. Implementing Regulation (EU) No 680/2014 now also needs to be amended to reflect those amendments.

(4)

Competent authorities’ should be able to effectively monitor and assess the institutions’ risk profile and to obtain a view on the risks posed to the financial sector. A high level of non-performing exposures (NPEs) affects the risk profile, profitability and solvency of institutions, ultimately affecting lending capacity to the overall economy. The reporting requirements should therefore be revised to strengthen the ability of competent authorities to assess and monitor non-performing exposures by collecting more granular information on those exposures on a recurring basis and to close identified data gaps.

(5)

Moreover, the structure and extent of the expenses of institutions significantly influence the profitability and sustainability of the institutions’ business models. To enable competent authorities to gain deeper insights into those expenses, the reporting framework should be improved.

(6)

Commission Delegated Regulation (EU) 2015/61 ( 6 ) was amended by Delegated Regulation (EU) 2018/1620 ( 7 ) to improve alignment with international standards and facilitate more efficient liquidity management by credit institutions. Implementing Regulation (EU) No 680/2014 should likewise be amended to reflect those amendments in the reporting framework of the liquidity coverage requirements for credit institutions.

(7)

Moreover, templates and instructions of Implementing Regulation (EU) No 680/2014 should also be reviewed to reassess the convenience and appropriateness of the memo items included in the templates and instructions during the early years of implementation of that Regulation as well as to correct typos, erroneous references and formatting inconsistencies which were discovered in the course of its application.

(8)

Competent authorities should be able to receive information from institutions using templates amended by this Implementing Regulation as soon as possible so that they can exercise their supervisory functions effectively. The new Union securitisation framework becomes fully applicable on 1 January 2020 after transitional provisions expire. Therefore, the revised reporting requirements on own funds and own funds requirements set out in this Implementing Regulation should apply from 30 March 2020. In order to provide institutions and competent authorities with sufficient time to implement the revised reporting requirements on NPEs, debt obligations subject to forbearance measures, the operating and administrative expenses and financial information, which are set out in Annexes III to V of this Implementing Regulation, those revised reporting requirements should apply from 1 June 2020. Finally, taking into account the amendments introduced by Delegated Regulation (EU) 2018/1620 that apply from 30 April 2019, the provisions of this Implementing Regulation concerning liquidity reporting should apply from 1 April 2020.

(9)

This Regulation is based on the draft implementing technical standards submitted by the European Banking Authority (EBA) to the Commission.

(10)

EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council ( 8 ) . In accordance with the second subparagraph of Article 15(1) of that Regulation, EBA has not conducted any open public consultation with regard to those parts of the draft implementing technical standards on which this Regulation is based that are either of editorial nature or introduce only a limited number of items in the supervisory reporting framework. Such consultation would be disproportionate in relation to the scope and impact of the draft implementing technical standards concerned.

(11)

Implementing Regulation (EU) No 680/2014 should therefore be amended accordingly,

HAS ADOPTED THIS REGULATION:

Article 1

Implementing Regulation (EU) No 680/2014 is amended as follows:

(1)

Article 5 is amended as follows:

(a)

point (a) is amended as follows:

(i)

point (7) is deleted;

(ii)

point (8) is replaced by the following:

‘(8)

the information on securitisation exposures specified in template 13.01 of Annex I, in accordance with the instructions in point 3.7 of Part II of Annex II;’;

(b)

in point (b), point (1) is replaced by the following:

‘(1)

the information on all securitisation exposures as specified in templates 14 and 14.01 of Annex I, in accordance with the instructions in point 3.9 of Part II of Annex II;

Institutions shall be exempted from submitting those securitisation details where they are part of a group in the same country in which they are subject to own funds requirements;’;

(2)

in Article 9, paragraph 2 is amended as follows:

(i)

point (c) is replaced by the following:

‘(c)

the information specified in Part 4 of Annex III, with the exception of the information specified in template 47, with an annual frequency;’;

(ii)

the following points (h) and (i) are added:

‘(h)

with a quarterly frequency, the information specified in templates 23 to 26 in Part 2 of Annex III where both of the following conditions are fulfilled:

(i)

the institution is not a small and non-complex institution as defined in point (145) of Article 4(1) of Regulation (EU) No 575/2013;

(ii)

the ratio between the institution’s gross carrying amount of non-performing loans and advances and the total gross carrying amount of loans and advances falling under the category of non-performing exposures as set out in section 17 of Part 2 of Annex V to this Regulation is equal to or higher than 5 %. For the purposes of this point, the ratio shall exclude loans and advances classified as held for sale, cash balances at central banks and other demand deposits in both the numerator and the denominator.

The entry and exit criteria referred to in Article 4 shall apply.

(i)

with an annual frequency, the information specified in template 47 in Part 4 of Annex III where both of the conditions referred to in points (i) and (ii) of point (h) of this paragraph are fulfilled. The entry and exit criteria referred to in Article 4 shall apply.’;

(3)

in Article 11, paragraph 2 is amended as follows:

(i)

point (c) is replaced by the following:

‘(c)

the information specified in Part 4 of Annex IV, with the exception of the information specified in template 47, with an annual frequency;’;

(ii)

the following points (h) and (i) are added:

‘(h)

with a quarterly frequency, the information specified in templates 23 to 26 in Part 2 of Annex IV where the conditions referred to in points (i) and (ii) of point (h) of Article 9(2) are fulfilled. The entry and exit criteria referred to in Article 4 shall apply;

(i)

with an annual frequency, the information specified in template 47 in Part 4 of Annex IV where the conditions referred to in points (i) and (ii) of point (h) of Article 9(2) are fulfilled. The entry and exit criteria referred to in Article 4 shall apply.’;

(4)

Annex I is replaced by the text in Annex I to this Regulation;

(5)

Annex II is replaced by the text in Annex II to this Regulation.

(6)

Annex III is replaced by the text in Annex III to this Regulation.

(7)

Annex IV is replaced by the text in Annex IV to this Regulation.

(8)

Annex V is replaced by the text in Annex V to this Regulation.

(9)

Annex XVIII is replaced by the text in Annex VI to this Regulation;

(10)

Annex XIX is replaced by the text in Annex VII to this Regulation.

(11)

Annex XXIV is replaced by the text in Annex VIII to this Regulation;

(12)

Annex XXV is replaced by the text in Annex IX to this Regulation.

Article 2

This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union .

Points (1), (4) and (5) of Article 1 shall apply from 30 March 2020. Points (9) to (12) of Article 1 shall apply from 1 April 2020. Points (2), (3), (6) to (8) of Article 1 shall apply from 1 June 2020.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 14 February 2020.

For the Commission

The President

Ursula VON DER LEYEN

( 1 )

OJ L 176, 27.6.2013, p. 1 .

( 2 ) 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 ( OJ L 191, 28.6.2014, p. 1 ).

( 3 ) Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 ( OJ L 347, 28.12.2017, p. 35 ).

( 4 ) Commission Regulation (EC) No 1126/2008 of 3 November 2008 adopting certain international accounting standards in accordance with Regulation (EC) No 1606/2002 of the European Parliament and of the Council ( OJ L 320, 29.11.2008, p. 1 ).

( 5 ) Commission Regulation (EU) 2017/1986 of 31 October 2017 amending Regulation (EC) No 1126/2008 adopting certain international accounting standards in accordance with Regulation (EC) No 1606/2002 of the European Parliament and of the Council as regards International Financial Reporting Standard 16 ( OJ L 291, 9.11.2017, p. 1 ).

( 6 ) Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions ( OJ L 11, 17.1.2015, p. 1 ).

( 7 ) Commission Delegated Regulation (EU) 2018/1620 of 13 July 2018 amending Delegated Regulation (EU) 2015/61 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for credit institutions ( OJ L 271, 30.10.2018, p. 10 ).

( 8 ) Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC ( OJ L 331, 15.12.2010, p. 12 ).

ANNEX I

‘ANNEX I

REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

COREP TEMPLATES

Template number

Template code

Name of the template /group of templates

Short name

CAPITAL ADEQUACY

C 01.00

OWN FUNDS

CA1

C 02.00

OWN FUNDS REQUIREMENTS

CA2

C 03.00

CAPITAL RATIOS

CA3

C 04.00

MEMORANDUM ITEMS:

CA4

TRANSITIONAL PROVISIONS

CA5

5.1

C 05.01

TRANSITIONAL PROVISIONS

CA5.1

5.2

C 05.02

GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID

CA5.2

GROUP SOLVENCY

6.1

C 06.01

GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL

GS Total

6.2

C 06.02

GROUP SOLVENCY: INFORMATION ON AFFILIATES

CREDIT RISK

C 07.00

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS

CR SA

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS

CR IRB

8.1

C 08.01

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS

CR IRB 1

8.2

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

GEOGRAPHICAL BREAKDOWN

CR GB

9.1

C 09.01

Table 9.1 – Geographical breakdown of exposures by residence of the obligor (SA exposures)

CR GB 1

9.2

C 09.02

Table 9.2 – Geographical breakdown of exposures by residence of the obligor (IRB exposures)

CR GB 2

9.4

C 09.04

Table 9.4 – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate

CCB

CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS

CR EQU IRB

10.1

C 10.01

CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS

CR EQU IRB 1

10.2

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

C 11.00

SETTLEMENT/DELIVERY RISK

CR SETT

13.1

C 13.01

CREDIT RISK: SECURITISATIONS

CR SEC

C 14.00

DETAILED INFORMATION ON SECURITISATIONS

CR SEC Details

14.1

C 14.01

DETAILED INFORMATION ON SECURITISATIONS BY APPROACH

CR SEC Details 2

OPERATIONAL RISK

OPR

C 16.00

OPERATIONAL RISK

OPR

OPERATIONAL RISK: LOSSES AND RECOVERIES

17.1

C 17.01

OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND LOSS EVENT TYPES IN THE LAST YEAR

OPR DETAILS 1

17.2

C 17.02

OPERATIONAL RISK: LARGE LOSS EVENTS

OPR DETAILS 2

MARKET RISK

MKR

C 18.00

MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS

MKR SA TDI

C 19.00

MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS

MKR SA SEC

C 20.00

MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO

MKR SA CTP

C 21.00

MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES

MKR SA EQU

C 22.00

MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK

MKR SA FX

C 23.00

MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES

MKR SA COM

C 24.00

MARKET RISK INTERNAL MODELS

MKR IM

C 25.00

CREDIT VALUE ADJUSTMENT RISK

CVA

PRUDENT VALUATION

MKR

32.1

C 32.01

PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES

PRUVAL 1

32.2

C 32.02

PRUDENT VALUATION: CORE APPROACH

PRUVAL 2

32.3

C 32.03

PRUDENT VALUATION: MODEL RISK AVA

PRUVAL 3

32.4

C 32.04

PRUDENT VALUATION: CONCENTRATED POSITIONS AVA

PRUVAL 4

GENERAL GOVERNMENTS EXPOSURES

MKR

C 33.00

GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY

GOV

C 01.00 – OWN FUNDS (CA1)

Rows

Item

Amount

010

OWN FUNDS

015

1.1

TIER 1 CAPITAL

020

1.1.1

COMMON EQUITY TIER 1 CAPITAL

030

1.1.1.1

Capital instruments eligible as CET1 Capital

040

1.1.1.1.1

Paid up capital instruments

045

1.1.1.1.1*

Of which: Capital instruments subscribed by public authorities in emergency situations

050

1.1.1.1.2*

Memorandum item: Capital instruments not eligible

060

1.1.1.1.3

Share premium

070

1.1.1.1.4

(-) Own CET1 instruments

080

1.1.1.1.4.1

(-) Direct holdings of CET1 instruments

090

1.1.1.1.4.2

(-) Indirect holdings of CET1 instruments

091

1.1.1.1.4.3

(-) Synthetic holdings of CET1 instruments

092

1.1.1.1.5

(-) Actual or contingent obligations to purchase own CET1 instruments

130

1.1.1.2

Retained earnings

140

1.1.1.2.1

Previous years retained earnings

150

1.1.1.2.2

Profit or loss eligible

160

1.1.1.2.2.1

Profit or loss attributable to owners of the parent

170

1.1.1.2.2.2

(-) Part of interim or year-end profit not eligible

180

1.1.1.3

Accumulated other comprehensive income

200

1.1.1.4

Other reserves

210

1.1.1.5

Funds for general banking risk

220

1.1.1.6

Transitional adjustments due to grandfathered CET1 Capital instruments

230

1.1.1.7

Minority interest given recognition in CET1 capital

240

1.1.1.8

Transitional adjustments due to additional minority interests

250

1.1.1.9

Adjustments to CET1 due to prudential filters

260

1.1.1.9.1

(-) Increases in equity resulting from securitised assets

270

1.1.1.9.2

Cash flow hedge reserve

280

1.1.1.9.3

Cumulative gains and losses due to changes in own credit risk on fair valued liabilities

285

1.1.1.9.4

Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities

290

1.1.1.9.5

(-) Value adjustments due to the requirements for prudent valuation

300

1.1.1.10

(-) Goodwill

310

1.1.1.10.1

(-) Goodwill accounted for as intangible asset

320

1.1.1.10.2

(-) Goodwill included in the valuation of significant investments

330

1.1.1.10.3

Deferred tax liabilities associated to goodwill

340

1.1.1.11

(-) Other intangible assets

350

1.1.1.11.1

(-) Other intangible assets before deduction of deferred tax liabilities

360

1.1.1.11.2

Deferred tax liabilities associated to other intangible assets

370

1.1.1.12

(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities

380

1.1.1.13

(-) IRB shortfall of credit risk adjustments to expected losses

390

1.1.1.14

(-)Defined benefit pension fund assets

400

1.1.1.14.1

(-)Defined benefit pension fund assets

410

1.1.1.14.2

Deferred tax liabilities associated to defined benefit pension fund assets

420

1.1.1.14.3

Defined benefit pension fund assets which the institution has an unrestricted ability to use

430

1.1.1.15

(-) Reciprocal cross holdings in CET1 Capital

440

1.1.1.16

(-) Excess of deduction from AT1 items over AT1 Capital

450

1.1.1.17

(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight

460

1.1.1.18

(-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight

470

1.1.1.19

(-) Free deliveries which can alternatively be subject to a 1 250 % risk weight

471

1.1.1.20

(-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250 % risk weight

472

1.1.1.21

(-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight

480

1.1.1.22

(-) CET1 instruments of financial sector entites where the institution does not have a significant investment

490

1.1.1.23

(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences

500

1.1.1.24

(-) CET1 instruments of financial sector entities where the institution has a significant investment

510

1.1.1.25

(-) Amount exceeding the 17,65 % threshold

520

1.1.1.26

Other transitional adjustments to CET1 Capital

524

1.1.1.27

(-) Additional deductions of CET1 Capital due to Article 3 CRR

529

1.1.1.28

CET1 capital elements or deductions – other

530

1.1.2

ADDITIONAL TIER 1 CAPITAL

540

1.1.2.1

Capital instruments eligible as AT1 Capital

550

1.1.2.1.1

Paid up capital instruments

560

1.1.2.1.2*

Memorandum item: Capital instruments not eligible

570

1.1.2.1.3

Share premium

580

1.1.2.1.4

(-) Own AT1 instruments

590

1.1.2.1.4.1

(-) Direct holdings of AT1 instruments

620

1.1.2.1.4.2

(-) Indirect holdings of AT1 instruments

621

1.1.2.1.4.3

(-) Synthetic holdings of AT1 instruments

622

1.1.2.1.5

(-) Actual or contingent obligations to purchase own AT1 instruments

660

1.1.2.2

Transitional adjustments due to grandfathered AT1 Capital instruments

670

1.1.2.3

Instruments issued by subsidiaries that are given recognition in AT1 Capital

680

1.1.2.4

Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries

690

1.1.2.5

(-) Reciprocal cross holdings in AT1 Capital

700

1.1.2.6

(-) AT1 instruments of financial sector entities where the institution does not have a significant investment

710

1.1.2.7

(-) AT1 instruments of financial sector entities where the institution has a significant investment

720

1.1.2.8

(-) Excess of deduction from T2 items over T2 Capital

730

1.1.2.9

Other transitional adjustments to AT1 Capital

740

1.1.2.10

Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)

744

1.1.2.11

(-) Additional deductions of AT1 Capital due to Article 3 CRR

748

1.1.2.12

AT1 capital elements or deductions – other

750

1.2

TIER 2 CAPITAL

760

1.2.1

Capital instruments and subordinated loans eligible as T2 Capital

770

1.2.1.1

Paid up capital instruments and subordinated loans

780

1.2.1.2*

Memorandum item: Capital instruments and subordinated loans not eligible

790

1.2.1.3

Share premium

800

1.2.1.4

(-) Own T2 instruments

810

1.2.1.4.1

(-) Direct holdings of T2 instruments

840

1.2.1.4.2

(-) Indirect holdings of T2 instruments

841

1.2.1.4.3

(-) Synthetic holdings of T2 instruments

842

1.2.1.5

(-) Actual or contingent obligations to purchase own T2 instruments

880

1.2.2

Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans

890

1.2.3

Instruments issued by subsidiaries that are given recognition in T2 Capital

900

1.2.4

Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries

910

1.2.5

IRB Excess of provisions over expected losses eligible

920

1.2.6

SA General credit risk adjustments

930

1.2.7

(-) Reciprocal cross holdings in T2 Capital

940

1.2.8

(-) T2 instruments of financial sector entities where the institution does not have a significant investment

950

1.2.9

(-) T2 instruments of financial sector entities where the institution has a significant investment

960

1.2.10

Other transitional adjustments to T2 Capital

970

1.2.11

Excess of deduction from T2 items over T2 Capital (deducted in AT1)

974

1.2.12

(-) Additional deductions of T2 Capital due to Article 3 CRR

978

1.2.13

T2 capital elements or deductions – other

C 02.00 – OWN FUNDS REQUIREMENTS (CA2)

Rows

Item

Label

Amount

010

TOTAL RISK EXPOSURE AMOUNT

020

Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR

030

1**

Of which : Investment firms under Article 96 paragraph 2 and Article 97 of CRR

040

1.1

RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES

050

1.1.1

Standardised Approach (SA)

051

1.1.1*

Of which: Additional stricter prudential requirements based on Article 124 CRR

060

1.1.1.1

SA exposure classes excluding securitisation positions

070

1.1.1.1.01

Central governments or central banks

080

1.1.1.1.02

Regional governments or local authorities

090

1.1.1.1.03

Public sector entities

100

1.1.1.1.04

Multilateral Development Banks

110

1.1.1.1.05

International Organisations

120

1.1.1.1.06

Institutions

130

1.1.1.1.07

Corporates

140

1.1.1.1.08

Retail

150

1.1.1.1.09

Secured by mortgages on immovable property

160

1.1.1.1.10

Exposures in default

170

1.1.1.1.11

Items associated with particular high risk

180

1.1.1.1.12

Covered bonds

190

1.1.1.1.13

Claims on institutions and corporates with a short-term credit assessment

200

1.1.1.1.14

Collective investments undertakings (CIU)

210

1.1.1.1.15

Equity

211

1.1.1.1.16

Other items

240

1.1.2

Internal ratings based Approach (IRB)

241

1.1.2*

Of which: Additional stricter prudential requirements based on Article 164 CRR

242

1.1.2**

Of which: Additional stricter prudential requirements based on Article 124 CRR

250

1.1.2.1

IRB approaches when neither own estimates of LGD nor Conversion Factors are used

260

1.1.2.1.01

Central governments and central banks

270

1.1.2.1.02

Institutions

280

1.1.2.1.03

Corporates – SME

290

1.1.2.1.04

Corporates – Specialised Lending

300

1.1.2.1.05

Corporates – Other

310

1.1.2.2

IRB approaches when own estimates of LGD and/or Conversion Factors are used

320

1.1.2.2.01

Central governments and central banks

330

1.1.2.2.02

Institutions

340

1.1.2.2.03

Corporates – SME

350

1.1.2.2.04

Corporates – Specialised Lending

360

1.1.2.2.05

Corporates – Other

370

1.1.2.2.06

Retail – Secured by real estate SME

380

1.1.2.2.07

Retail – Secured by real estate non-SME

390

1.1.2.2.08

Retail – Qualifying revolving

400

1.1.2.2.09

Retail – Other SME

410

1.1.2.2.10

Retail – Other non-SME

420

1.1.2.3

Equity IRB

450

1.1.2.5

Other non credit-obligation assets

460

1.1.3

Risk exposure amount for contributions to the default fund of a CCP

470

1.1.4

Securitisation positions

490

1.2

TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

500

1.2.1

Settlement/delivery risk in the non-Trading book

510

1.2.2

Settlement/delivery risk in the Trading book

520

1.3

TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS

530

1.3.1

Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)

540

1.3.1.1

Traded debt instruments

550

1.3.1.2

Equity

555

1.3.1.3

Particular approach for position risk in CIUs

556

1.3.1.3*

Memo item: CIUs exclusively invested in traded debt instruments

557

1.3.1.3**

Memo item: CIUs invested exclusively in equity instruments or in mixed instruments

560

1.3.1.4

Foreign Exchange

570

1.3.1.5

Commodities

580

1.3.2

Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)

590

1.4

TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )

600

1.4.1

OpR Basic indicator approach (BIA)

610

1.4.2

OpR Standardised (STA) / Alternative Standardised (ASA) approaches

620

1.4.3

OpR Advanced measurement approaches (AMA)

630

1.5

ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

640

1.6

TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

650

1.6.1

Advanced method

660

1.6.2

Standardised method

670

1.6.3

Based on OEM

680

1.7

TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK

690

1.8

OTHER RISK EXPOSURE AMOUNTS

710

1.8.2

Of which: Additional stricter prudential requirements based on Article 458 CRR

720

1.8.2*

Of which: requirements for large exposures

730

1.8.2**

Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property

740

1.8.2***

Of which: due to intra financial sector exposures

750

1.8.3

Of which: Additional stricter prudential requirements based on Article 459 CRR

760

1.8.4

Of which: Additional risk exposure amount due to Article 3 CRR

C 03.00 – CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

Rows

Item

Amount

010

CET1 Capital ratio

020

Surplus(+)/Deficit(-) of CET1 capital

030

T1 Capital ratio

040

Surplus(+)/Deficit(-) of T1 capital

050

Total capital ratio

060

Surplus(+)/Deficit(-) of total capital

Memorandum Items: Total SREP Capital Requirement (TSCR), Overall Capital Requirement (OCR) and Pillar 2 Guidance (P2G)

130

Total SREP capital requirement (TSCR) ratio

140

13*

TSCR: to be made up of CET1 capital

150

13**

TSCR: to be made up of Tier 1 capital

160

Overall capital requirement (OCR) ratio

170

14*

OCR: to be made up of CET1 capital

180

14**

OCR: to be made up of Tier 1 capital

190

OCR and Pillar 2 Guidance (P2G)

200

15*

OCR and P2G: to be made up of CET1 capital

210

15**

OCR and P2G: to be made up of Tier 1 capital

C 04.00 – MEMORANDUM ITEMS (CA4)

Row

Item

Column

Deferred tax assest and liabilities

010

Total deferred tax assets

020

1.1

Deferred tax assets that do not rely on future profitability

030

1.2

Deferred tax assets that rely on future profitability and do not arise from temporary differences

040

1.3

Deferred tax assets that rely on future profitability and arise from temporary differences

050

Total deferred tax liabilities

060

2.1

Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability

070

2.2

Deferred tax liabilities deductible from deferred tax assets that rely on future profitability

080

2.2.1

Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences

090

2.2.2

Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences

093

Tax overpayments and tax loss carry backs

096

Deferred Tax Assets subject to a risk weight of 250 %

097

Deferred Tax Assets subject to a risk weight of 0 %

Credit risk adjustments and expected losses

100

IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures

110

3.1

Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount

120

3.1.1

General credit risk adjustments

130

3.1.2

Specific credit risk adjustments

131

3.1.3

Additional value adjustments and other own funds reductions

140

3.2

Total expected losses eligible

145

IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures

150

4.1

Specific credit risk adjustments and positions treated similarily

155

4.2

Total expected losses eligible

160

Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2

170

Total gross provisions eligible for inclusion in T2 capital

180

Risk weighted exposure amounts for calculating the cap to the provision eligible as T2

Thresholds for Common Equity Tier 1 deductions

190

Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment

200

10 % CET1 threshold

210

17,65 % CET1 threshold

225

11.1

Eligible capital for the purposes of qualifying holdings outside the financial sector

226

11.2

Eligible capital for the purposes of large exposures

Investments in the capital of financial sector entities where the institution does not have a significant investment

230

Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

240

12.1

Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

250

12.1.1

Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

260

12.1.2

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

270

12.2

Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

280

12.2.1

Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

290

12.2.2

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

291

12.3

Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

292

12.3.1

Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

293

12.3.2

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

300

Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

310

13.1

Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

320

13.1.1

Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

330

13.1.2

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

340

13.2

Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

350

13.2.1

Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

360

13.2.2

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

361

13.3

Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

362

13.3.1

Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

363

13.3.2

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

370

Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions

380

14.1

Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment

390

14.1.1

Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment

400

14.1.2

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

410

14.2

Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment

420

14.2.1

Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment

430

14.2.2

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

431

14.3

Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment

432

14.3.1

Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment

433

14.3.2

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

Investments in the capital of financial sector entities where the institution has a significant investment

440

Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions

450

15.1

Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment

460

15.1.1

Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment

470

15.1.2

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

480

15.2

Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment

490

15.2.1

Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment

500

15.2.2

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

501

15.3

Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment

502

15.3.1

Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment

503

15.3.2

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

510

Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions

520

16.1

Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment

530

16.1.1

Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment

540

16.1.2

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

550

16.2

Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment

560

16.2.1

Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment

570

16.2.2

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

571

16.3

Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment

572

16.3.1

Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment

573

16.3.2

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

580

Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions

590

17.1

Direct holdings of T2 capital of financial sector entities where the institution has a significant investment

600

17.1.1

Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment

610

17.1.2

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

620

17.2

Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment

630

17.2.1

Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment

640

17.2.2

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

641

17.3

Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment

642

17.3.1

Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment

643

17.3.2

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

Total risk exposure amounts of holdings not deducted from the corresponding capital category:

650

Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution’s CET1 capital

660

Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution’s AT1 capital

670

Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution’s T2 capital

Temporary waiver from deduction from own funds

680

Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

690

Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

700

Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

710

Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

720

Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

730

Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

Capital buffers

740

Combined buffer requirement

750

Capital conservation buffer

760

Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State

770

Institution specific countercyclical capital buffer

780

Systemic risk buffer

800

Global Systemically Important Institution buffer

810

Other Systemically Important Institution buffer

Pillar II requirements

820

Own funds requirements related to Pillar II adjustments

Additional information for investment firms

830

Initial capital

840

Own funds based on Fixed Overheads

Additional information for calculation of reporting thresholds

850

Non-domestic original exposures

860

Total original exposures

Basel I floor

870

Adjustments to total own funds

880

Own funds fully adjusted for Basel I floor

890

Own funds requirements for Basel I floor

900

Own funds requirements for Basel I floor – SA alternative

910

Deficit of total capital as regards the minimum own funds requirements of the Basel I floor

C 05.01 – TRANSITIONAL PROVISIONS (CA5.1)

Adjustments to CET1

Adjustments to AT1

Adjustments to T2

Adjustments included in RWAs

Memorandum items

Applicable percentage

Eligible amount without transitional provisions

Code

Item

010

020

030

040

050

060

010

TOTAL ADJUSTMENTS

020

1.1

GRANDFATHERED INSTRUMENTS

link to {CA1;r220}

link to {CA1;r660}

link to {CA1;r880}

030

1.1.1

Grandfathered instruments: Instruments constituting state aid

040

1.1.1.1

Instruments that qualified as own funds according to 2006/48/EC

050

1.1.1.2

Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme

060

1.1.2

Instruments not constituting state aid

link to {CA5.2; r010;c060}

link to {CA5.2; r020;c060}

link to {CA5.2; r090;c060}

070

1.2

MINORITY INTERESTS AND EQUIVALENTS

link to {CA1;r240}

link to {CA1;r680}

link to {CA1;r900}

080

1.2.1

Capital instruments and items that do not qualify as minority interests

090

1.2.2

Transitional recognition in consolidated own funds of minority interests

091

1.2.3

Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital

092

1.2.4

Transitional recognition in consolidated own funds of qualifying Tier 2 capital

100

1.3

OTHER TRANSITIONAL ADJUSTMENTS

link to {CA1;r520}

link to {CA1;r730}

link to {CA1;r960}

110

1.3.1

Unrealised gains and losses

120

1.3.1.1

Unrealised gains

130

1.3.1.2

Unrealised losses

133

1.3.1.3.

Unrealised gains on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39

136

1.3.1.4.

Unrealised loss on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39

138

1.3.1.5.

Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities

140

1.3.2

Deductions

150

1.3.2.1

Losses for the current financial year

160

1.3.2.2

Intangible assets

170

1.3.2.3

Deferred tax assets that rely on future profitability and do not arise from temporary differences

180

1.3.2.4

IRB shortfall of provisions to expected losses

190

1.3.2.5

Defined benefit pension fund assets

194

1.3.2.5*

of which: Introduction of amendments to IAS 19 – positive item

198

1.3.2.5**

of which: Introduction of amendments to IAS 19 – negative item

200

1.3.2.6

Own instruments

210

1.3.2.6.1

Own CET1 instruments

211

1.3.2.6.1**

of which: Direct holdings

212

1.3.2.6.1*

of which: Indirect holdings

220

1.3.2.6.2

Own AT1 instruments

221

1.3.2.6.2**

of which: Direct holdings

222

1.3.2.6.2*

of which: Indirect holdings

230

1.3.2.6.3

Own T2 instruments

231

1.3.2.6.3*

of which: Direct holdings

232

1.3.2.6.3**

of which: Indirect holdings

240

1.3.2.7

Reciprocal cross holdings

250

1.3.2.7.1

Reciprocal cross holdings in CET1 Capital

260

1.3.2.7.1.1

Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment

270

1.3.2.7.1.2

Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment

280

1.3.2.7.2

Reciprocal cross holdings in AT1 Capital

290

1.3.2.7.2.1

Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment

300

1.3.2.7.2.2

Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment

310

1.3.2.7.3

Reciprocal cross holdings in T2 Capital

320

1.3.2.7.3.1

Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment

330

1.3.2.7.3.2

Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment

340

1.3.2.8

Own funds instruments of financial sector entities where the institution does not have a significant investment

350

1.3.2.8.1

CET1 instruments of financial sector entities where the institution does not have a significant investment

360

1.3.2.8.2

AT1 instruments of financial sector entities where the institution does not have a significant investment

370

1.3.2.8.3

T2 instruments of financial sector entities where the institution does not have a significant investment

380

1.3.2.9

Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment

385

1.3.2.9a

Deferred tax assets that are dependent on future profitability and arise from temporary differences

390

1.3.2.10

Own funds instruments of financial sector entities where the institution has a significant investment

400

1.3.2.10.1

CET1 instruments of financial sector entities where the institution has a significant investment

410

1.3.2.10.2

AT1 instruments of financial sector entities where the institution has a significant investment

420

1.3.2.10.3

T2 instruments of financial sector entities where the institution has a significant investment

425

1.3.2.11

Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items

430

1.3.3

Additional filters and deductions

440

1.3.4

Adjustments due to IFRS 9 transitional arrangements

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

CA 5.2 Grandfathered instruments: Instruments not constituting State aid

Amount of instruments plus related share premium

Base for calculating the limit

Applicable percentage

Limit

(-) Amount that exceeds the limits for grandfathering

Total grandfathered amount

Code

Item

010

020

030

040

050

060

010

Instruments that qualified for point a) of Article 57 of 2006/48/EC

link to {CA5.1;r060;c010)

020

Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489

link to {CA5.1;r060;c020)

030

2.1

Total instruments without a call or an incentive to redeem

040

2.2.

Grandfathered instruments with a call and incentive to redeem

050

2.2.1

Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of CRR after the date of effective maturity

060

2.2.2

Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity

070

2.2.3

Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity

080

2.3

Excess on the limit of CET1 grandfathered instruments

090

Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490

link to {CA5.1;r060;c030)

100

3.1

Total items without an incentive to redeem

110

3.2

Grandfathered items with an incentive to redeem

120

3.2.1

Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity

130

3.2.2

Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity

140

3.2.3

Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity

150

3.3

Excess on the limit of AT1 grandfathered instruments

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

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

CAPITAL BUFFERS

TOTAL RISK EXPOSURE AMOUNT

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

CONSOLIDATED OWN FUNDS

COMBINED BUFFER REQUIREMENTS

CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

MEMORANDUM ITEM:

GOODWILL (-) / (+) NEGATIVE GOODWILL

OF WHICH: COMMON EQUITY TIER 1

OF WHICH: ADDITIONAL TIER 1

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL

CAPITAL CONSERVATION BUFFER

INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER

CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE

SYSTEMIC RISK BUFFER

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

250

260

270

280

290

300

310

320

330

340

350

360

370

380

390

400

410

420

430

440

450

470

480

010

TOTAL

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

ENTITIES WITHIN SCOPE OF CONSOLIDATION

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

CAPITAL BUFFERS

NAME

CODE

LEI code

INSTITUTION OR EQUIVALENT

( Y ES / N O)

TYPE OF ENTITY

SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP)

COUNTRY CODE

SHARE OF HOLDING (%)

TOTAL RISK EXPOSURE AMOUNT

OWN FUNDS

TOTAL RISK EXPOSURE AMOUNT

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

CONSOLIDATED OWN FUNDS

COMBINED BUFFER REQUIREMENT

CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

TOTAL TIER 1 CAPITAL

TIER 2 CAPITAL

CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

MEMORANDUM ITEM:

GOODWILL (-) / (+) NEGATIVE GOODWILL

OF WHICH: COMMON EQUITY TIER 1

OF WHICH: ADDITIONAL TIER 1

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL

CAPITAL CONSERVATION BUFFER

INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER

CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE

SYSTEMIC RISK BUFFER

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

COMMON EQUITY TIER 1 CAPITAL

ADDITIONAL TIER 1 CAPITAL

OF WHICH: QUALIFYING OWN FUNDS

RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

OF WHICH: QUALIFYING TIER 1 CAPITAL

RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

OF WHICH: MINORITY INTERESTS

RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES

OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

OF WHICH: QUALIFYING TIER 2 CAPITAL

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

010

020

025

030

035

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

260

270

280

290

300

310

320

330

340

350

360

370

380

390

400

410

420

430

440

450

470

480

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

SA Exposure class

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

(-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE

EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD

FULLY ADJUSTED EXPOSURE VALUE (E*)

BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)

FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

VOLATILITY ADJUSTMENT TO THE EXPOSURE

(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)

0 %

20 %

50 %

100 %

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI

OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) FINANCIAL COLLATERAL: SIMPLE METHOD

(-) OTHER FUNDED CREDIT PROTECTION

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS

010

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

215

220

230

240

010

TOTAL EXPOSURES

Cell linked to CA

015

of which: Defaulted exposures in exposure classes “items associated with a particular high risk” and “equity exposures”

020

of which: SME

030

of which: Exposures subject to SME-supporting factor

040

of which: Secured by mortgages on immovable property – Residential property

050

of which: Exposures under the permanent partial use of the Standardised Approach

060

of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

070

On balance sheet exposures subject to credit risk

080

Off balance sheet exposures subject to credit risk

Exposures / Transactions subject to counterparty credit risk

090

Securities Financing Transactions

100

of which: centrally cleared through a QCCP

110

Derivatives & Long Settlement Transactions

120

of which: centrally cleared through a QCCP

130

From Contractual Cross Product Netting

BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:

140

0 %

150

2 %

160

4 %

170

10 %

180

20 %

190

35 %

200

50 %

210

70 %

220

75 %

230

100 %

240

150 %

250

250 %

260

370 %

270

1 250 %

280

Other risk weights

MEMORANDUM ITEMS

290

Exposures secured by mortgages on commercial immovable property

300

Exposures in default subject to a risk weight of 100 %

310

Exposures secured by mortgages on residential property

320

Exposures in default subject to a risk weight of 150 %

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

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

INTERNAL RATING SYSTEM

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

EXPOSURE VALUE

CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT

SUBJECT TO DOUBLE DEFAULT TREATMENT

EXPOSURE WEIGHTED AVERAGE LGD (%)

EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

MEMORANDUM ITEMS:

UNFUNDED CREDIT PROTECTION

(-) OTHER FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

OWN ESTIMATES OF LGD’S ARE USED:

UNFUNDED CREDIT PROTECTION

FUNDED CREDIT PROTECTION

UNFUNDED CREDIT PROTECTION

PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

GUARANTEES

CREDIT DERIVATIVES

OWN ESTIMATES OF LGD’S ARE USED:

OTHER FUNDED CREDIT PROTECTION

ELIGIBLE FINANCIAL COLLATERAL

OTHER ELIGIBLE COLLATERAL

EXPECTED LOSS AMOUNT

(-) VALUE ADJUSTMENTS AND PROVISIONS

NUMBER OF OBLIGORS

REAL ESTATE

OTHER PHYSICAL COLLATERAL

RECEIVABLES

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

010

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

255

260

270

280

290

300

010

TOTAL EXPOSURES

Cell linked to CA

015

of which: Exposures subject to SME-supporting factor

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

020

On balance sheet items subject to credit risk

030

Off balance sheet items subject to credit risk

Exposures / Transactions subject to counterparty credit risk

040

Securities Financing Transactions

050

Derivatives & Long Settlement Transactions

060

From Contractual Cross Product Netting

070

EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

080

SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL

BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:

090

RISK WEIGHT: 0 %

100

50 %

110

70 %

120

Of which: in category 1

130

90 %

140

115 %

150

250 %

160

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

170

EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS

180

DILUTION RISK: TOTAL PURCHASED RECEIVABLES

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)

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

OBLIGOR GRADE (ROW IDENTIFIER)

INTERNAL RATING SYSTEM

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

EXPOSURE VALUE

CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT

SUBJECT TO DOUBLE DEFAULT TREATMENT

EXPOSURE WEIGHTED AVERAGE LGD (%)

EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR

MEMORANDUM ITEMS:

UNFUNDED CREDIT PROTECTION

(-) OTHER FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

OWN ESTIMATES OF LGD’S ARE USED:

UNFUNDED CREDIT PROTECTION

FUNDED CREDIT PROTECTION

UNFUNDED CREDIT PROTECTION

EXPECTED LOSS AMOUNT

(-) VALUE ADJUSTMENTS AND PROVISIONS

NUMBER OF OBLIGORS

PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

GUARANTEES

CREDIT DERIVATIVES

OWN ESTIMATES OF LGD’S ARE USED:

OTHER FUNDED CREDIT PROTECTION

ELIGIBLE FINANCIAL COLLATERAL

OTHER ELIGIBLE COLLATERAL

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

REAL ESTATE

OTHER PHYSICAL COLLATERAL

RECEIVABLES

005

010

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

255

260

270

280

290

300

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

Country:

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Observed new defaults for the period

General credit risk adjustments

Specific credit risk adjustments

Write offs

Credit risk adjustments/write-offs for observed new defaults

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

Defaulted exposures

010

020

040

050

055

060

070

075

080

090

010

Central governments or central banks

020

Regional governments or local authorities

030

Public sector entities

040

Multilateral Development Banks

050

International Organisations

060

Institutions

070

Corporates

075

of which: SME

080

Retail

085

of which: SME

090

Secured by mortgages on immovable property

095

of which: SME

100

Exposures in default

110

Items associated with particularly high risk

120

Covered bonds

130

Claims on institutions and corporates with a short-term credit assessment

140

Collective investments undertakings (CIU)

150

Equity exposures

160

Other exposures

170

Total exposures

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

Country:

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Observed new defaults for the period

General credit risk adjustments

Specific credit risk adjustments

Write off

Credit risk adjustments/write-offs for observed new defaults

PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

EXPOSURE WEIGHTED AVERAGE LGD (%)

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

EXPECTED LOSS AMOUNT

Of which: defaulted

010

030

040

050

055

060

070

080

090

100

105

110

120

125

130

010

Central governments or central banks

020

Institutions

030

Corporates

042

Of Which: Specialised Lending

(excl. SL subject to slotting criteria)

045

Of Which: Specialised Lending

subject to slotting criteria

050

Of Which: SME

060

Retail

070

Secured by real estate property

080

SME

090

Non-SME

100

Qualifying Revolving

110

Other Retail

120

SME

130

Non-SME

140

Equity

150

Total exposures

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

Country:

Amount

Percentage

Qualitative information

010

020

030

Relevant credit exposures – Credit Risk

010

Exposure value under the Standardised Approach

020

Exposure value under the IRB Approach

Relevant credit exposures – Market risk

030

Sum of long and short positions of trading book exposures for Standardised Approach

040

Value of trading book exposures for internal models

Relevant credit exposures – Securitisation

055

Exposure value of securitisation positions in the banking book

Own funds requirements and weights

070

Total own funds requirements for CCB

080

Own funds requirements for relevant credit exposures – Credit risk

090

Own funds requirements for relevant credit exposures – Market risk

100

Own funds requirements for relevant credit exposures – Securitisation positions in the banking book

110

Own funds requirements weights

Countercyclical capital buffer rates

120

Countercyclical capital buffer rate set by the Designated Authority

130

Countercyclical capital buffer rate applicable for the country of the institution

140

Institution-specific countercyclical capital buffer rate

Use of 2 % threshold

150

Use of 2 % threshold for general credit exposure

160

Use of 2 % threshold for trading book exposure

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

INTERNAL RATING SYSTEM

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

EXPOSURE VALUE

EXPOSURE WEIGHTED AVERAGE LGD (%)

RISK WEIGHTED EXPOSURE AMOUNT

MEMORANDUM ITEM:

UNFUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

EXPECTED LOSS AMOUNT

PD ASSIGNED TO THE OBLIGOR GRADE (%)

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

010

020

030

040

050

060

070

080

090

010

TOTAL IRB EQUITY EXPOSURES

Cell linked to CA

020

PD/LGD APRROACH: TOTAL

050

SIMPLE RISK WEIGHT APPROACH: TOTAL

060

BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:

070

RISK WEIGHT: 190 %

080

290 %

090

370 %

100

INTERNAL MODELS APPROACH

110

EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS

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)

OBLIGOR GRADE

(ROW IDENTIFIER)

INTERNAL RATING SYSTEM

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

EXPOSURE VALUE

EXPOSURE WEIGHTED AVERAGE LGD (%)

RISK WEIGHTED EXPOSURE AMOUNT

MEMORANDUM ITEM:

UNFUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

EXPECTED LOSS AMOUNT

PD ASSIGNED TO THE OBLIGOR GRADE (%)

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

005

010

020

030

040

050

060

070

080

090

C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)

UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE

PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS

OWN FUNDS REQUIREMENTS

TOTAL SETTLEMENT RISK EXPOSURE AMOUNT

010

020

030

040

010

Total unsettled transactions in the Non-trading Book

Cell linked to CA

020

Transactions unsettled up to 4 days (Factor 0 %)

030

Transactions unsettled between 5 and 15 days (Factor 8 %)

040

Transactions unsettled between 16 and 30 days (Factor 50 %)

050

Transactions unsettled between 31 and 45 days (Factor 75 %)

060

Transactions unsettled for 46 days or more (Factor 100 %)

070

Total unsettled transactions in the Trading Book

Cell linked to CA

080

Transactions unsettled up to 4 days (Factor 0 %)

090

Transactions unsettled between 5 and 15 days (Factor 8 %)

100

Transactions unsettled between 16 and 30 days (Factor 50 %)

110

Transactions unsettled between 31 and 45 days (Factor 75 %)

120

Transactions unsettled for 46 days or more (Factor 100 %)

C 13.01 – CREDIT RISK: SECURITISATIONS (CR SEC)

TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED

SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

SECURITISATION POSITIONS

(-) VALUE ADJUSTMENTS AND PROVISIONS

EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)

FULLY ADJUSTED EXPOSURE VALUE (E*)

(-) NON REFUNDABLE PURCHASE PRICE DISCOUNT

(-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES

EXPOSURE VALUE

BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

RISK-WEIGHTED EXPOSURE AMOUNT

ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402

BEFORE CAP

(-) REDUCTION DUE TO RISK WEIGHT CAP

(-) REDUCTION DUE TO OVERALL CAP

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

MEMORANDUM ITEM:

RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS TO OTHER EXPOSURE CLASSES

(-) FUNDED CREDIT PROTECTION (Cva)

(-) TOTAL OUTFLOWS

NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)

(-) FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

OF WHICH: SUBJECT TO A CCF OF 0 %

(-) DEDUCTED FROM OWN FUNDS

SUBJECT TO RISK WEIGHTS

SEC-IRBA

SEC-SA

SEC-ERBA

INTERNAL ASSESSMENT APPROACH

OTHER (RW=1 250 %)

SEC-IRBA

SEC-SA

SEC-ERBA

INTERNAL ASSESSMENT APPROACH

OTHER (RW=1 250 %)

OF WHICH: SYNTHETIC SECURITISATIONS

BREAKDOWN BY RW BANDS

OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)

BREAKDOWN BY RW BANDS

BREAKDOWN BY CREDIT QUALITY STEPS

BREAKDOWN BY REASONS FOR APPLICATION OF SEC-ERBA

BREAKDOWN BY RW BANDS

OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)

OF WHICH: RW=1 250 % (W UNKNOWN)

AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES

SEC-ERBA OPTION

POSITIONS SUBJECT TO ART. 254(2)(a) CRR

POSITIONS SUBJECT TO ART. 254(2)(b) CRR

POSITIONS SUBJECT TO ART. 254 (4) OR 258 (2) CRR

FOLLOWING THE HIERARCHY OF APPROACHES

AVERAGE RISK WEIGHT (%)

(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

(-) TOTAL OUTFLOWS

TOTAL INFLOWS

=< 20 % RW

20 % TO 50 % RW

50 % TO 100 % RW

100 % TO < 1 250 % RW

1 250 % RW

=< 20 % RW

20 % TO 50 % RW

50 % TO 100 % RW

100 % TO < 1 250 % RW

1 250 % RW (W UNKNOWN)

1 250 % RW (OTHER)

SHORT TERM CREDIT QUALITY STEPS

LONG TERM CREDIT QUALITY STEPS

AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES

SEC-ERBA OPTION

POSITIONS SUBJECT TO POINT (a) OF ARTICLE 254(2) CRR

POSITIONS SUBJECT TO POINT (b) OF ARTICLE 254(2) CRR

POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) CRR

FOLLOWING THE HIERARCHY OF APPROACHES

=< 20 % RW

20 % TO 50 % RW

50 % TO 100 % RW

100 % TO < 1 250 % RW

1 250 % RW

CQS 1

CQS 2

CQS 3

ALL OTHER CQS

CQS 1

CQS 2

CQS 3

CQS 4

CQS 5

CQS 6

CQS 7

CQS 8

CQS 9

CQS 10

CQS 11

CQS 12

CQS 13

CQS 14

CQS 15

CQS 16

CQS 17

ALL OTHER CQS

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0220

0230

0240

0250

0260

0270

0280

0290

0300

0310

0320

0330

0340

0350

0360

0370

0380

0390

0400

0410

0420

0430

0440

0450

0460

0470

0480

0490

0500

0510

0520

0530

0540

0550

0560

0570

0580

0590

0600

0610

0620

0630

0640

0650

0660

0670

0680

0690

0700

0710

0720

0730

0740

0750

0760

0770

0780

0790

0800

0810

0820

0830

0840

0850

0860

0870

0880

0890

0900

0910

0920

0930

0010

TOTAL EXPOSURES

Cell linked to CA

0020

SECURITISATION POSITIONS

0030

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0040

STS EXPOSURES

0050

SENIOR POSITION IN SMEs SECURITISATIONS

0060

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0070

RE-SECURITISATION POSITIONS

0080

ORIGINATOR: TOTAL EXPOSURES

0090

SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS

0100

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0110

OF WHICH: SENIOR EXPOSURES

0120

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0130

OF WHICH: SENIOR EXPOSURES

0140

SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

0150

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0160

OF WHICH: SENIOR EXPOSURES

0170

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0180

OF WHICH: SENIOR EXPOSURES

0190

RE-SECURITISATION POSITIONS

0200

INVESTOR: TOTAL EXPOSURES

0210

SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS

0220

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0230

OF WHICH: SENIOR EXPOSURES

0240

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0250

OF WHICH: SENIOR EXPOSURES

0260

SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

0270

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0280

OF WHICH: SENIOR EXPOSURES

0290

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0300

OF WHICH: SENIOR EXPOSURES

0310

RE-SECURITISATION POSITIONS

0320

SPONSOR: TOTAL EXPOSURES

0330

SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS

0340

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0350

OF WHICH: SENIOR EXPOSURES

0360

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0370

OF WHICH: SENIOR EXPOSURES

0380

SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

0390

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0400

OF WHICH: SENIOR EXPOSURES

0410

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0420

OF WHICH: SENIOR EXPOSURES

0430

RE-SECURITISATION POSITIONS

0440

BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION: Short term

0450

CQS 1

0460

CQS 2

0470

CQS 3

0480

ALL OTHER CQS AND UNRATED

0490

BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION: Long term

0500

CQS 1

0510

CQS 2

0520

CQS 3

0530

CQS 4

0540

CQS 5

0550

CQS 6

0560

CQS 7

0570

CQS 8

0580

CQS 9

0590

CQS 10

0600

CQS 11

0610

CQS 12

0620

CQS 13

0630

CQS 14

0640

CQS 15

0650

CQS 16

0660

CQS 17

0670

ALL OTHER CQS AND UNRATED

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC Details)

ROW NUMBER

INTERNAL CODE

IDENTIFIER OF THE SECURITISATION

INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION?

ROLE OF THE INSTITUTION:

(ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR)

IDENTIFIER OF THE ORIGINATOR

SECURITISATION TYPE:

(TRADITIONAL / SYNTHETIC / ABCP PROGRAMME / ABCP TRANSACTION)

ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?

SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements ?

SIGNIFICANT RISK TRANSFER

SECURITISATION OR RE-SECURITISATION?

STS OR NON-STS SECURITISATION?

SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT?

RETENTION

NON ABCP PROGRAMMES

SECURITISED EXPOSURES

SECURITISATION STRUCTURE

TYPE OF RETENTION APPLIED

% OF RETENTION AT REPORTING DATE

COMPLIANCE WITH THE RETENTION REQUIREMENT?

ORIGINATION DATE

(mm/yyyy)

DATE OF LATEST ISSUANCE

(mm/yyyy)

TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE

TOTAL AMOUNT

INSTITUTION’S SHARE (%)

TYPE

% of IRB IN APPROACH APPLIED

NUMBER OF EXPOSURES

EXPOSURES IN DEFAULT W (%)

COUNTRY

LGD (%)

EL%

UL%

EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS

(-) VALUE ADJUSTMENTS AND PROVISIONS

OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb

% OF RETAIL EXPOSURES IN IRB POOLS

OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa

MEMORANDUM ITEMS

ON-BALANCE SHEET ITEMS

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

MATURITY

MEMORANDUM ITEMS

CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD

SENIOR

MEZZANINE

FIRST LOSS

SENIOR

MEZZANINE

FIRST LOSS

FIRST FORESEEABLE TERMINATION DATE

ORIGINATOR’S CALL OPTIONS INCLUDED IN TRANSACTION

LEGAL FINAL MATURITY DATE

ATTACHMENT POINT OF RISK SOLD (%)

DETACHMENT POINT OF RISK SOLD (%)

RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%)

AMOUNT

ATTACHMENT POINT (%)

CQS

AMOUNT

NUMBER OF TRANCHES

CQS OF THE MOST SUBORDINATED ONE

AMOUNT

DETACHMENT POINT (%)

CQS

005

010

020

021

110

030

040

051

060

061

070

075

446

080

090

100

120

121

130

140

150

160

171

180

181

190

201

202

203

204

210

221

222

223

225

230

231

232

240

241

242

250

251

252

260

270

280

290

291

300

302

303

304

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

Approach:

ROW NUMBER

INTERNAL CODE

IDENTIFIER OF THE SECURITISATION

SECURITISATION POSITIONS

EXPOSURE VALUE

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

MEMORANDUM ITEMS

SECURITISATION POSITIONS - TRADING BOOK

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE CONVERSION FACTORS

RISK-WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA

RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA

CTP OR NON-CTP?

NET POSITIONS

ON-BALANCE SHEET ITEMS

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

DIRECT CREDIT SUBSTITUTES

IRS / CRS

LIQUIDITY FACILITIES

OTHER

SENIOR

MEZZANINE

FIRST LOSS

SENIOR

MEZZANINE

FIRST LOSS

BEFORE CAP

(-) REDUCTION DUE TO RISK WEIGHT CAP

(-) REDUCTION DUE TO OVERALL CAP

AFTER CAP

RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT

LONG

SHORT

005

010

020

310

320

330

340

350

351

360

361

370

380

390

400

411

420

430

431

432

440

447

448

450

460

470

C 16.00 – OPERATIONAL RISK (OPR)

BANKING ACTIVITIES

RELEVANT INDICATOR

LOANS AND ADVANCES

(IN CASE OF ASA APPLICATION)

OWN FUNDS

REQUIREMENT

Total operational risk exposure amount

AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE

YEAR-3

YEAR-2

LAST YEAR

YEAR-3

YEAR-2

LAST YEAR

OF WHICH:

DUE TO AN ALLOCATION MECHANISM

OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)

010

020

030

040

050

060

070

071

080

090

100

110

120

010

BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)

Cell linked to CA2

020

BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES

Cell linked to CA2

SUBJECT TO TSA:

030

CORPORATE FINANCE (CF)

040

TRADING AND SALES (TS)

050

RETAIL BROKERAGE (RBr)

060

COMMERCIAL BANKING (CB)

070

RETAIL BANKING (RB)

080

PAYMENT AND SETTLEMENT (PS)

090

AGENCY SERVICES (AS)

100

ASSET MANAGEMENT (AM)

SUBJECT TO ASA:

110

COMMERCIAL BANKING (CB)

120

RETAIL BANKING (RB)

130

BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA

Cell linked to CA2

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

MAPPING OF LOSSES TO BUSINESS LINES

LOSS EVENT TYPES

TOTAL LOSS EVENT TYPES

MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION

INTERNAL FRAUD

EXTERNAL FRAUD

EMPLOYMENT PRACTICES AND WORKPLACE SAFETY

CLIENTS, PRODUCTS & BUSINESS PRACTICES

DAMAGE TO PHYSICAL ASSETS

BUSINESS DISRUPTION AND SYSTEM FAILURES

EXECUTION, DELIVERY & PROCESS MANAGEMENT

LOWEST

HIGHEST

Rows

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0010

CORPORATE FINANCE [CF]

Number of loss events (new loss events)

0020

Gross loss amount (new loss events)

0030

Number of loss events subject to loss adjustments

0040

Loss adjustments relating to previous reporting periods

0050

Maximum single loss

0060

Sum of the five largest losses

0070

Total direct loss recovery

0080

Total recovery from insurance and other risk transfer mechanisms

0110

TRADING AND SALES [TS]

Number of loss events (new loss events)

0120

Gross loss amount (new loss events)

0130

Number of loss events subject to loss adjustments

0140

Loss adjustments relating to previous reporting periods

0150

Maximum single loss

0160

Sum of the five largest losses

0170

Total direct loss recovery

0180

Total recovery from insurance and other risk transfer mechanisms

0210

RETAIL BROKERAGE [RBr]

Number of loss events (new loss events)

0220

Gross loss amount (new loss events)

0230

Number of loss events subject to loss adjustments

0240

Loss adjustments relating to previous reporting periods

0250

Maximum single loss

0260

Sum of the five largest losses

0270

Total direct loss recovery

0280

Total recovery from insurance and other risk transfer mechanisms

0310

COMMERCIAL BANKING [CB]

Number of events (new loss events)

0320

Gross loss amount (new loss events)

0330

Number of loss events subject to loss adjustments

0340

Loss adjustments relating to previous reporting periods

0350

Maximum single loss

0360

Sum of the five largest losses

0370

Total direct loss recovery

0380

Total recovery from insurance and other risk transfer mechanisms

0410

RETAIL BANKING [RB]

Number of loss events (new loss events)

0420

Gross loss amount (new loss events)

0430

Number of loss events subject to loss adjustments

0440

Loss adjustments relating to previous reporting periods

0450

Maximum single loss

0460

Sum of the five largest losses

0470

Total direct loss recovery

0480

Total recovery from insurance and other risk transfer mechanisms

0510

PAYMENT AND SETTLEMENT [PS]

Number of loss events (new loss events)

0520

Gross loss amount (new loss events)

0530

Number of loss events subject to loss adjustments

0540

Loss adjustments relating to previous reporting periods

0550

Maximum single loss

0560

Sum of the five largest losses

0570

Total direct loss recovery

0580

Total recovery from insurance and other risk transfer mechanisms

0610

AGENCY SERVICES [AS]

Number of loss events (new loss events)

0620

Gross loss amount (new loss events)

0630

Number of loss events subject to loss adjustments

0640

Loss adjustments relating to previous reporting periods

0650

Maximum single loss

0660

Sum of the five largest losses

0670

Total direct loss recovery

0680

Total recovery from insurance and other risk transfer mechanisms

0710

ASSET MANAGEMENT [AM]

Number of loss events (new loss events)

0720

Gross loss amount (new loss events)

0730

Number of loss events subject to loss adjustments

0740

Loss adjustments relating to previous reporting periods

0750

Maximum single loss

0760

Sum of the five largest losses

0770

Total direct loss recovery

0780

Total recovery from insurance and other risk transfer mechanisms

0810

CORPORATE ITEMS [CI]

Number of loss events (new loss events)

0820

Gross loss amount (new loss events)

0830

Number of loss events subject to loss adjustments

0840

Loss adjustments relating to previous reporting periods

0850

Maximum single loss

0860

Sum of the five largest losses

0870

Total direct loss recovery

0880

Total recovery from insurance and other risk transfer mechanisms

0910

TOTAL BUSINESS LINES

Number of loss events (new loss events). Of which:

0911

related to losses ≥ 10 000 and < 20 000

0912

related to losses ≥ 20 000 and < 100 000

0913

related to losses ≥ 100 000 and < 1 000 000

0914

related to losses ≥ 1 000 000

0920

Gross loss amount (new loss events). Of which:

0921

related to losses ≥ 10 000 and < 20 000

0922

related to losses ≥ 20 000 and < 100 000

0923

related to losses ≥ 100 000 and < 1 000 000

0924

related to losses ≥ 1 000 000

0930

Number of loss events subject to loss adjustments. Of which:

0935

of which: number of loss events with a positive loss adjustment

0936

of which: number of loss events with a negative loss adjustment

0940

Loss adjustments relating to previous reporting periods

0945

of which: positive loss adjustment amounts (+)

0946

of which: negative loss adjustment amounts (-)

0950

Maximum single loss

0960

Sum of the five largest losses

0970

Total direct loss recovery

0980

Total recovery from insurance and other risk transfer mechanisms

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

Event ID

Date of accounting

Date of occurrence

Date of discovery

Loss event type

Gross loss

Gross loss net of direct recoveries

GROSS LOSS BY BUSINESS LINE

Legal Entity name

Legal Entity ID

Business Unit

Description

Corporate Finance [CF]

Trading and Sales [TS]

Retail Brokerage [RBr]

Commercial Banking [CB]

Retail Banking [RB]

Payment and Settlement [PS]

Agency Services [AS]

Asset Management [AM]

Corporate Items [CI]

Rows

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

…

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

Currency:

POSITIONS

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

ALL POSITIONS

NET POSITIONS

POSITIONS SUBJECT TO CAPITAL CHARGE

LONG

SHORT

LONG

SHORT

010

020

030

040

050

060

070

010

TRADED DEBT INSTRUMENTS IN TRADING BOOK

Cell linked to CA2

011

General risk

012

Derivatives

013

Other assets and liabilities

020

Maturity-based approach

030

Zone 1

040

0 ≤ 1 month

050

1 ≤ 3 months

060

3 ≤ 6 months

070

6 ≤ 12 months

080

Zone 2

090

1 ≤ 2 (1,9 for cupon of less than 3 %) years

100

2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3 %) years

110

3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3 %) years

120

Zone 3

130

4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3 %) years

140

5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3 %) years

150

7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3 %) years

160

10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3 %) years

170

15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3 %) years

180

20 (> 10,6 ≤ 12,0 for cupon of less than 3 %) years

190

(> 12,0 ≤ 20,0 for cupon of less than 3 %) years

200

(> 20 for cupon of less than 3 %) years

210

Duration-based approach

220

Zone 1

230

Zone 2

240

Zone 3

250

Specific risk

251

Own funds requirement for non-securitisation debt instruments

260

Debt securities under the first category in Table 1

270

Debt securities under the second category in Table 1

280

With residual term ≤ 6 months

290

With a residual term > 6 months and ≤ 24 months

300

With a residual term > 24 months

310

Debt securities under the third category in Table 1

320

Debt securities under the fourth category in Table 1

321

Rated nth-to default credit derivatives

325

Own funds requirement for securitisation instruments

330

Own funds requirement for the correlation trading portfolio

350

Additional requirements for options (non-delta risks)

360

Simplified method

370

Delta plus approach – additional requirements for gamma risk

380

Delta plus approach – additional requirements for vega risk

385

Delta plus approach – non-continuous options and warrants

390

Scenario matrix approach

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

ALL POSITIONS

(-) POSITIONS DEDUCTED FROM OWN FUNDS

NET POSITIONS

BREAKDOWN OF THE NET POSITIONS (LONG) BY RISK WEIGHTS

BREAKDOWN OF THE NET POSITIONS (SHORT) BY RISK WEIGHTS

BREAKDOWN OF THE NET POSITION BY APPROACHES

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402

BEFORE CAP

AFTER CAP / TOTAL OWN FUND REQUIREMENTS

LONG

SHORT

(-) LONG

(-) SHORT

LONG

SHORT

[0 – 10 %[

[10 – 12 %[

[12 – 20 %[

[20 – 40 %[

[40 – 100 %[

[100 – 150 %[

[150 – 200 %[

[200 – 225 %[

[225 – 250 %[

[250 – 300 %[

[300 – 350 %[

[350 – 425 %[

[425 – 500 %[

[500 – 650 %[

[650 – 750 %[

[750 – 850 %[

[850 – 1 250 %[

1 250 %

[0 – 10 %[

[10 – 12 %[

[12 – 20 %[

[20 – 40 %[

[40 – 100 %[

[100 – 150 %[

[150 – 200 %[

[200 – 225 %[

[225 – 250 %[

[250 – 300 %[

[300 – 350 %[

[350 – 425 %[

[425 – 500 %[

[500 – 650 %[

[650 – 750 %[

[750 – 850 %[

[850 – 1 250 %[

1 250 %

SEC-IRBA

SEC-SA

SEC-ERBA

INTERNAL ASSESSMENT APPROACH

OTHER (RW=1 250 %)

WEIGHTED NET LONG POSITIONS

WEIGHTED NET SHORT POSITIONS

010

020

030

040

050

060

061

062

063

064

065

066

071

072

073

074

075

076

077

078

079

081

082

083

085

086

087

088

089

091

092

093

094

095

096

097

098

099

101

102

103

0104

402

403

404

405

406

530

540

570

601

010

TOTAL EXPOSURES

Cell linked to MKR SA TDI {325:060}

020

Of which: RE-SECURITISATIONS

030

ORIGINATOR: TOTAL EXPOSURES

040

SECURITISATION POSITIONS

041

OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

050

RE-SECURITISATION POSITONS

060

INVESTOR: TOTAL EXPOSURES

070

SECURITISATION POSITIONS

071

OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

080

RE-SECURITISATION POSITONS

090

SPONSOR: TOTAL EXPOSURES

100

SECURITISATION POSITIONS

101

OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

110

RE-SECURITISATION POSITONS

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

ALL POSITIONS

(-) POSITIONS DEDUCTED FROM OWN FUNDS

NET POSITIONS

BREAKDOWN OF THE NET POSITION (LONG) BY RISK WEIGHTS

BREAKDOWN OF THE NET POSITION (SHORT) BY RISK WEIGHTS

BREAKDOWN OF THE NET POSITION BY APPROACHES

BEFORE CAP

AFTER CAP

TOTAL OWN FUNDS REQUIREMENTS

LONG

SHORT

(-) LONG

(-) SHORT

LONG

SHORT

[0 – 10 %[

[10 – 12 %[

[12 – 20 %[

[20 – 40 %[

[40 – 100 %[

[100 – 250 %[

[250 – 350 %[

[350 – 425 %[

[425 – 650 %[

[650 – 1 250 %[

1 250 %

[0 – 10 %[

[10 – 12 %[

[12 – 20 %[

[20 – 40 %[

[40 – 100 %[

[100 – 250 %[

[250 – 350 %[

[350 – 425 %[

[425 – 650 %[

[650 – 1 250 %[

1 250 %

SEC-IRBA

SEC-SA

SEC-ERBA

INTERNAL ASSESSMENT APPROACH

OTHER (RW=1 250 %)

WEIGHTED NET LONG POSITIONS

WEIGHTED NET SHORT POSITIONS

WEIGHTED NET LONG POSITIONS

WEIGHTED NET SHORT POSITIONS

010

020

030

040

050

060

071

072

073

074

075

076

077

078

079

081

082

086

087

088

089

091

092

093

094

095

096

097

402

403

404

405

406

410

420

430

440

450

010

TOTAL EXPOSURES

Cell linked to MKR SA TDI {330:060}

SECURITISATION POSITIONS:

020

ORIGINATOR: TOTAL EXPOSURES

030

SECURITISATION POSITIONS

040

OTHER CTP POSITIONS

050

INVESTOR: TOTAL EXPOSURES

060

SECURITISATION POSITIONS

070

OTHER CTP POSITIONS

080

SPONSOR: TOTAL EXPOSURES

090

SECURITISATION POSITIONS

100

OTHER CTP POSITIONS

N-TH-TO-DEFAULT CREDIT DERIVATIVES:

110

N-TH-TO-DEFAULT CREDIT DERIVATIVES

120

OTHER CTP POSITIONS

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

National market:

POSITIONS

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

ALL POSITIONS

NET POSITIONS

POSITIONS SUBJECT TO CAPITAL CHARGE

LONG

SHORT

LONG

SHORT

010

020

030

040

050

060

070

010

EQUITIES IN TRADING BOOK

Cell linked to CA

020

General risk

021

Derivatives

022

Other assets and liabilities

030

Exchange traded stock-index futures broadly diversified subject to particular approach

040

Other equities than exchange traded stock-index futures broadly diversified

050

Specific risk

090

Additional requirements for options (non-delta risks)

100

Simplified method

110

Delta plus approach – additional requirements for gamma risk

120

Delta plus approach – additional requirements for vega risk

125

Delta plus approach – non-continuous options and warrants

130

Scenario matrix approach

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

ALL POSITIONS

NET POSITIONS

POSITIONS SUBJECT TO CAPITAL CHARGE

(Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions)

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

LONG

SHORT

LONG

SHORT

LONG

SHORT

MATCHED

020

030

040

050

060

070

080

090

100

010

TOTAL POSITIONS

Cell linked to CA

020

Currencies closely correlated

025

of which: reporting currency

030

All other currencies (including CIUs treated as different currencies)

040

Gold

050

Additional requirements for options (non-delta risks)

060

Simplified method

070

Delta plus approach – additional requirements for gamma risk

080

Delta plus approach – additional requirements for vega risk

085

Delta plus approach – non-continuous options and warrants

090

Scenario matrix approach

BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES

100

Other assets and liabilities other than off-balance sheet items and derivatives

110

Off-balance sheet items

120

Derivatives

Memorandum items: CURRENCY POSITIONS

130

Euro

140

Lek

150

Argentine Peso

160

Australian Dollar

170

Brazilian Real

180

Bulgarian Lev

190

Canadian Dollar

200

Czech Koruna

210

Danish Krone

220

Egyptian Pound

230

Pound Sterling

240

Forint

250

Yen

270

Lithuanian Litas

280

Denar

290

Mexican Peso

300

Zloty

310

Rumanian Leu

320

Russian Ruble

330

Serbian Dinar

340

Swedish Krona

350

Swiss Franc

360

Turkish Lira

370

Hryvnia

380

US Dollar

390

Iceland Krona

400

Norwegian Krone

410

Hong Kong Dollar

420

New Taiwan Dollar

430

New Zealand Dollar

440

Singapore Dollar

450

Won

460

Yuan Renminbi

470

Other

480

Croatian Kuna

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

ALL POSITIONS

NET POSITIONS

POSITIONS SUBJECT TO CAPITAL CHARGE

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

LONG

SHORT

LONG

SHORT

010

020

030

040

050

060

070

010

TOTAL POSITIONS IN COMMODITIES

Cell linked to CA

020

Precious metals (except gold)

030

Base metals

040

Agricultural products (softs)

050

Others

060

Of which energy products (oil, gas)

070

Maturity ladder approach

080

Extended maturity ladder approach

090

Simplified approach: All positions

100

Additional requirements for options (non-delta risks)

110

Simplified method

120

Delta plus approach – additional requirements for gamma risk

130

Delta plus approach – additional requirements for vega risk

135

Delta plus approach – non-continuous options and warrants

140

Scenario matrix approach

C 24.00 – MARKET RISK INTERNAL MODELS (MKR IM)

Value at Risk (VaR)

STRESSED VaR

INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

ALL PRICE RISKS CAPITAL CHARGE FOR CTP

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

Number of overshootings

during previous 250 working days

VaR Multiplication Factor (m c )

SVaR Multiplication Factor (m s )

ASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET LONG POSITIONS AFTER CAP

ASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET SHORT POSITIONS AFTER CAP

MULTIPLICATION FACTOR (m c ) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaR avg )

PREVIOUS DAY (VaR t-1 )

MULTIPLICATION FACTOR (m s ) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaR avg )

LATEST AVAILABLE (SVaR t-1 )

12 WEEKS AVERAGE MEASURE

LAST MEASURE

FLOOR

12 WEEKS AVERAGE MEASURE

LAST MEASURE

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

010

TOTAL POSITIONS

Cell linked to CA

Memorandum items: BREAKDOWN OF MARKET RISK

020

Traded debt instruments

030

TDI – General risk

040

TDI – Specific Risk

050

Equities

060

Equities – General risk

070

Equities – Specific Risk

080

Foreign Exchange risk

090

Commodities risk

100

Total amount for general risk

110

Total amount for specific risk

C 25.00 – CREDIT VALUE ADJUSTMENT RISK (CVA)

EXPOSURE VALUE

VaR

STRESSED VaR

OWN FUNDS

REQUIREMENTS

TOTAL RISK

EXPOSURE AMOUNT

MEMORANDUM ITEMS

CVA RISK HEDGE NOTIONALS

of which:

OTC Derivatives

of which:

SFT

MULTIPLICATION FACTOR (m c ) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaR avg )

PREVIOUS DAY

(VaR t-1 )

MULTIPLICATION FACTOR (m s ) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaR avg )

LATEST AVAILABLE (SVaR t-1 )

Number of counterparties

of which: proxy was used to determine credit spread

INCURRED CVA

SINGLE NAME CDS

INDEX CDS

010

020

030

040

050

060

070

080

090

100

110

120

130

140

010

CVA risk total

Link to {CA2;r640;c010}

020

Advanced method

Link to {CA2;r650;c010}

030

Standardised method

Link to {CA2;r660;c010}

040

Based on OEM

Link to {CA2;r670;c010}

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

FAIR-VALUED ASSETS AND LIABILITIES

FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1

FAIR-VALUED ASSETS AND LIABILITIES INCLUDED IN ARTICLE 4(1) THRESHOLD

OF WHICH: TRADING BOOK

EXACTLY MATCHING

HEDGE ACCOUNTING

PRUDENTIAL FILTERS

OTHER

COMMENTS FOR OTHER

OF WHICH:

TRADING BOOK

0010

0020

0030

0040

0050

0060

0070

0080

0090

0010

TOTAL FAIR-VALUED ASSETS AND LIABILITIES

0020

1.1

TOTAL FAIR-VALUED ASSETS

0030

1.1.1

FINANCIAL ASSETS HELD FOR TRADING

0040

1.1.2

TRADING FINANCIAL ASSETS

0050

1.1.3

NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS

0060

1.1.4

FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

0070

1.1.5

FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME

0080

1.1.6

NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS

0090

1.1.7

NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY

0100

1.1.8

OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS

0110

1.1.9

DERIVATIVES – HEDGE ACCOUNTING

0120

1.1.10

FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK

0130

1.1.11

INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES

0140

1.1.12

(-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE

0150

1.2

TOTAL FAIR-VALUED LIABILITIES

0160

1.2.1

FINANCIAL LIABILITIES HELD FOR TRADING

0170

1.2.2

TRADING FINANCIAL LIABILITIES

0180

1.2.3

FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

0190

1.2.4

DERIVATIVES – HEDGE ACCOUNTING

0200

1.2.5

FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK

0210

1.2.6

HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE

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

CATEGORY LEVEL AVA

TOTAL AVA

UPSIDE UNCERTAINTY

FAIR-VALUED ASSETS AND LIABILITIES

QTD

REVENUE

IPV

DIFFERENCE

FAIR VALUE ADJUSTMENTS

DAY 1 P&L

EXPLANATION DESCRIPTION

MARKET PRICE UNCERTAINTY

CLOSE-OUT COSTS

MODEL RISK

CONCENTRATED POSITIONS

FUTURE ADMINISTRATIVE COSTS

EARLY TERMINATION

OPERATIONAL RISK

FAIR-VALUED ASSETS

FAIR-VALUED LIABILITIES

MARKET PRICE UNCERTAINTY

CLOSE-OUT COSTS

MODEL RISK

CONCENTRATED

POSITIONS

UNEARNED CREDIT SPREADS

INVESTING AND FUNDING COSTS

FUTURE ADMINIS-TRATIVE COSTS

EARLY TERMINATION

OPERA- TIONAL RISK

OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0220

0230

0240

0250

0260

0270

0010

TOTAL CORE APPROACH

0020

OF WHICH: TRADING BOOK

0030

1.1

PORTFOLIOS UNDER ARTICLES 9 TO 17 OF COMMISION DELEGATED REGULATION (EU) 2016/101 – TOTAL CATEGORY LEVEL POST-DIVERSIFICATION

0040

1.1.1

TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION

0050

1.1.1*

OF WHICH: UNEARNED CREDIT SPREADS AVA

0060

1.1.1**

OF WHICH: INVESTMENT AND FUNDING COSTS AVA

0070

1.1.1***

OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF DELEGATED REGULATION (EU) 2016/101

0080

1.1.1****

OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF DELEGATED REGULATION (EU) 2016/101

0090

1.1.1.1

INTEREST RATES

0100

1.1.1.2

FOREIGN EXCHANGE

0110

1.1.1.3

CREDIT

0120

1.1.1.4

EQUITIES

0130

1.1.1.5

COMMODITIES

0140

1.1.2

(-) DIVERSIFICATION BENEFITS

0150

1.1.2.1

(-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 1

0160

1.1.2.2

(-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 2

0170

1.1.2.2*

MEMORANDUM ITEM: PRE-DIVERSIFICATION AVAS REDUCED BY MORE THAN 90 % BY DIVERSIFICATION UNDER METHOD 2

0180

1.2

PORTFOLIOS UNDER THE FALL-BACK APPROACH

0190

1.2.1

100 % OF NET UNREALISED PROFIT

0200

1.2.2

10 % OF NOTIONAL VALUE

0210

1.2.3

25 % OF INCEPTION VALUE

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

RANK

MODEL

RISK CATEGORY

PRODUCT

OBSER-VABILITY

MODEL RISK AVA

AGGREGATED AVA CALCULATED UNDER METHOD 2

FAIR-VALUED ASSETS AND LIABILITIES

IPV DIFFERENCE (OUTPUT TESTING)

IPV COVERAGE (OUTPUT TESTING)

FAIR VALUE ADJUSTMENTS

DAY1 P&L

OF WHICH:

USING EXPERT APPROACH

OF WHICH: AGGREGATED USING METHOD 2

FV ASSETS

FV LIABILITIES

MODEL RISK

EARLY TERMINATION

0005

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

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

RANK

RISK CATEGORY

PRODUCT

UNDERLYING

CONCENTRATED POSITION SIZE

SIZE MEASURE

MARKET VALUE

PRUDENT EXIT PERIOD

CONCENTRATED POSITIONS AVA

CONCENTRATED POSITION FAIR VALUE ADJUSTMENT

IPV DIFFERENCE

0005

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

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

Country:

Direct exposures

Memorandum item: credit derivatives sold on general government exposures

Exposure value

Risk weighted exposure amount

On-balance sheet exposures

Accumulated impairment

Accumulated negative changes in fair value due to credit risk

Derivatives

Off-balance sheet exposures

Total gross carrying amount of non-derivative financial assets

Total carrying amount of non-derivative financial assets (net of short positions)

Non-derivative financial assets by accounting portfolios

Short positions

Derivatives with positive fair value

Derivatives with negative fair value

Nominal amount

Provisions

Accumulated negative changes in fair value due to credit risk

Derivatives with positive fair value – Carrying amount

Derivatives with negative fair value – Carrying amount

Financial assets held for trading

Trading financial assets

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

Financial assets designated at fair value through profit or loss

Non-trading non-derivative financial assets measured at fair value through profit or loss

Financial assets at fair value through other comprehensive income

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

Financial assets at amortised cost

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

Other non-trading non-derivative financial assets

Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets

of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity

of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss

of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity

Carrying amount

Notional amount

Carrying amount

Notional amount

010

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

260

270

280

290

300

010

Total exposures

BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:

020

Exposures under the credit risk framework

030

Standardised Approach

040

Central governments

050

Regional governments or local authorities

060

Public sector entities

070

International Organisations

075

Other general government exposures subject to Standardised Approach

080

IRB Approach

090

Central governments

100

Regional governments or local authorities [Central governments]

110

Regional governments or local authorities [Institutions]

120

Public sector entities [Central governments]

130

Public sector entities [Institutions]

140

International Organisations [Central governments]

155

Other general government exposures subject to IRB Approach

160

Exposures under the market risk framework

BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:

170

[ 0 – 3M [

180

[ 3M – 1Y [

190

[ 1Y – 2Y [

200

[ 2Y – 3Y [

210

[3Y – 5Y [

220

[5Y – 10Y [

230

[10Y – more

’

ANNEX II

‘ANNEX II

REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

Table of Contents

PART I: GENERAL INSTRUCTIONS

175

STRUCTURE AND CONVENTIONS

175

1.1.

STRUCTURE

175

1.2.

NUMBERING CONVENTION

175

1.3.

SIGN CONVENTION

175

1.4.

ABBREVIATIONS

175

PART II: TEMPLATE RELATED INSTRUCTIONS

176

CAPITAL ADEQUACY OVERVIEW (CA)

176

1.1.

GENERAL REMARKS

176

1.2.

C 01.00 – OWN FUNDS (CA1)

177

1.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

177

1.3.

C 02.00 – OWN FUNDS REQUIREMENTS (CA2)

190

1.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

190

1.4.

C 03.00 – CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

195

1.4.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

195

1.5.

C 04.00 – MEMORANDUM ITEMS (CA4)

198

1.5.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

198

1.6.

TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5)

212

1.6.1.

GENERAL REMARKS

212

1.6.2.

C 05.01 – TRANSITIONAL PROVISIONS (CA5.1)

213

1.6.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

213

1.6.3.

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

221

1.6.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

221

GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

223

2.1.

GENERAL REMARKS

223

2.2.

DETAILED GROUP SOLVENCY INFORMATION

223

2.3.

INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY

224

2.4.

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

224

2.5.

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

225

CREDIT RISK TEMPLATES

232

3.1.

GENERAL REMARKS

232

3.1.1.

REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT

233

3.1.2.

REPORTING OF COUNTERPARTY CREDIT RISK

233

3.2.

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

233

3.2.1.

GENERAL REMARKS

233

3.2.2.

SCOPE OF THE CR SA TEMPLATE

233

3.2.3.

ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES UNDER THE STANDARDISED APPROACH

234

3.2.4.

CLARIFICATIONS ON THE SCOPE OF SOME SPECIFIC EXPOSURE CLASSES REFERRED TO IN ARTICLE 112 CRR

237

3.2.4.1.

EXPOSURE CLASS “INSTITUTIONS”

237

3.2.4.2.

EXPOSURE CLASS “COVERED BONDS”

238

3.2.4.3.

EXPOSURE CLASS “COLLECTIVE INVESTMENT UNDERTAKINGS”

238

3.2.5.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

238

3.3.

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

245

3.3.1.

SCOPE OF THE CR IRB TEMPLATE

245

3.3.2.

BREAKDOWN OF THE CR IRB TEMPLATE

245

3.3.3.

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

246

3.3.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

246

3.3.4.

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

254

3.4.

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

255

3.4.1.

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

255

3.4.1.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

255

3.4.2.

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

258

3.4.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

258

3.4.3.

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

260

3.4.3.1.

GENERAL REMARKS

260

3.4.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

260

3.5.

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

264

3.5.1.

GENERAL REMARKS

264

3.5.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS (APPLICABLE TO BOTH CR EQU IRB 1 AND CR EQU IRB 2)

265

3.6.

C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)

267

3.6.1.

GENERAL REMARKS

267

3.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

268

3.7.

C 13.01 – CREDIT RISK – SECURITISATIONS (CR SEC)

270

3.7.1.

GENERAL REMARKS

270

3.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

270

3.9.

DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

278

3.9.1.

SCOPE OF THE SEC DETAILS TEMPLATE

278

3.9.2.

BREAKDOWN OF THE SEC DETAILS TEMPLATE

279

3.9.3.

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

279

3.9.4.

C 14.01 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS 2)

289

OPERATIONAL RISK TEMPLATES

291

4.1.

C 16.00 – OPERATIONAL RISK (OPR)

291

4.1.1.

GENERAL REMARKS

291

4.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

292

4.2.

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

294

4.2.1.

GENERAL REMARKS

294

4.2.2.

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

295

4.2.2.1.

GENERAL REMARKS

295

4.2.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

296

4.2.3.

C 17.02: OPERATIONAL RISK: DETAILED INFORMATION ON THE LARGEST LOSS EVENTS IN THE LAST YEAR (OPR DETAILS 2)

301

4.2.3.1.

GENERAL REMARKS

301

4.2.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

301

MARKET RISK TEMPLATES

302

5.1.

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

303

5.1.1.

GENERAL REMARKS

303

5.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

303

5.2.

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

305

5.2.1.

GENERAL REMARKS

305

5.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

305

5.3.

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

307

5.3.1.

GENERAL REMARKS

307

5.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

307

5.4.

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

309

5.4.1.

GENERAL REMARKS

309

5.4.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

310

5.5.

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

311

5.5.1.

GENERAL REMARKS

311

5.5.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

312

5.6.

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

314

5.6.1.

GENERAL REMARKS

314

5.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

314

5.7.

C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM)

315

5.7.1.

GENERAL REMARKS

315

5.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

315

5.8.

C 25.00 – CREDIT VALUATION ADJUSTMENT RISK (CVA)

318

5.8.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

318

PRUDENT VALUATION (PRUVAL)

319

6.1.

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

319

6.1.1.

GENERAL REMARKS

319

6.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

320

6.2.

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

323

6.2.1.

GENERAL REMARKS

323

6.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

324

6.3.

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

331

6.3.1.

GENERAL REMARKS

331

6.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

332

6.4.

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

334

6.4.1.

GENERAL REMARKS

334

6.4.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

334

C 33.00 – EXPOSURES TO GENERAL GOVERNMENTS (GOV)

335

7.1.

GENERAL REMARKS

335

7.2.

SCOPE OF THE TEMPLATE ON EXPOSURES TO “GENERAL GOVERNMENTS”

336

7.3.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

336

PART I: GENERAL INSTRUCTIONS

STRUCTURE AND CONVENTIONS

1.1. STRUCTURE

Overall, the framework consists of five blocks of templates:

(a)

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

(b)

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

(c)

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

(d)

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

(e)

operational risk.

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

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

1.2. NUMBERING CONVENTION

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

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

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

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

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

1.3. SIGN CONVENTION

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

1.4. ABBREVIATIONS

9a.

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

PART II: TEMPLATE RELATED INSTRUCTIONS

CAPITAL ADEQUACY OVERVIEW (“CA”)

1.1. GENERAL REMARKS

10.

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

(a)

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

(b)

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

(c)

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

(d)

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

(e)

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

11.

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

12.

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

13.

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

(a)

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

(b)

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

(c)

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

14.

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

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

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

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

1.2. C 01.00 – OWN FUNDS (CA1)

1.2.1. Instructions concerning specific positions

Row

Legal references and instructions

010

Own funds

Point (118) of Article 4(1) and Article 72 CRR

The own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital.

015

1.1. Tier 1 capital

Article 25 CRR

The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital

020

1.1.1. Common Equity Tier 1 capital

Article 50 CRR

030

1.1.1.1. Capital instruments eligible as CET1 capital

Points (a) and (b) of Articles 26(1), Articles 27 to 30, point (f) of Article 36(1) and Article 42 CRR

040

1.1.1.1.1. Paid up capital instruments

Point (a) of Article 26(1) and Articles 27 to 31 CRR

Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 CRR) shall be included.

The share premium related to the instruments shall not be included.

Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 CRR are fulfilled.

045

1.1.1.1.1* Of which: Capital instruments subscribed by public authorities in emergency situations

Article 31 CRR

Capital instruments subscribed by public authorities in emergency situations shall be included in CET1 capital if all conditions of Article 31 CRR are fulfilled.

050

1.1.1.1.2* Memorandum item: Capital instruments not eligible

Points (b), (l) and (m) of Article 28(1) CRR

Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.

The amount to be reported shall not include the share premium related to the instruments

060

1.1.1.1.3. Share premium

Point (124) of Article 4(1), point (b) of Article 26(1) CRR

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the “Paid up capital instruments”.

070

1.1.1.1.4. (-) Own CET1 instruments

Point (f) of Article 36(1) and Article 42 CRR

Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 CRR.

Holdings on shares included as “Capital instruments not eligible” shall not be reported in this row.

The amount to be reported shall include the share premium related to the own shares.

Items 1.1.1.1.4 to 1.1.1.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own CET1 instruments are reported separately in item 1.1.1.1.5.

080

1.1.1.1.4.1. (-) Direct holdings of CET1 instruments

Point (f) of Article 36(1) and Article 42 CRR

Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group.

The amount to be reported shall include holdings in the trading book calculated on the basis of the net long position, as stated in point (a) of Article 42 CRR.

090

1.1.1.1.4.2. (-) Indirect holdings of CET1 instruments

Point (114) of Article 4(1), point (f) of Article 36(1) and Article 42 CRR

091

1.1.1.1.4.3. (-) Synthetic holdings of CET1 instruments

Point (126) of Article 4(1), point (f) of Article 36(1) and Article 42 CRR

092

1.1.1.1.5. (-) Actual or contingent obligations to purchase own CET1 instruments

Point (f) of Article 36(1) and Article 42 CRR

According to point (f) of Article 36(1) CRR, “own Common Equity Tier 1 instruments that an institution is under an actual or contingent obligation to purchase by virtue of an existing contractual obligation” shall be deducted.

130

1.1.1.2. Retained earnings

Point (c) of Article 26(1) and Article 26(2) CRR

Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits

140

1.1.1.2.1. Previous years retained earnings

Point (123) of Article 4(1) and point (c) of Article 26(1) CRR

Point (123) of Article 4(1) CRR defines retained earnings as “Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting framework”.

150

1.1.1.2.2. Profit or loss eligible

Point (121) of Article 4(1), Article 26(2) and point (a) of Article 36(1) CRR

Article 26(2) CRR allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met.

On the other hand, losses shall be deducted from CET1, as stated in point (a) of Article 36(1) CRR.

160

1.1.1.2.2.1. Profit or loss attributable to owners of the parent

Article 26(2) and point (a) of Article 36(1) CRR

The amount to be reported shall be the profit or loss reported in the accounting income statement.

170

1.1.1.2.2.2. (-) Part of interim or year-end profit not eligible

Article 26(2) CRR

This row shall not present any figure if, for the reference period, the institution has reported losses, because the losses shall be completely deducted from CET1.

If the institution reports profits, the part, which is not eligible according to Article 26(2) CRR (i.e. profits not audited and foreseeable charges or dividends), shall be reported.

Note that, in case of profits, the amount to be deduced shall be, at least, the interim dividends.

180

1.1.1.3. Accumulated other comprehensive income

Point (100) of Article 4(1) and point (d) of Article 26(1) CRR

The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation, and prior to the application of prudential filters. The amount to be reported shall be determined in accordance with Article 13(4) of Commission Delegated Regulation (EU) No 241/2014 ( 5 ) .

200

1.1.1.4. Other reserves

Point (117) of Article 4(1) and point (e) of Article 26(1) CRR

Other reserves are defined in CRR as “Reserves within the meaning of the applicable accounting framework that are required to be disclosed under that applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings”.

The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.

210

1.1.1.5. Funds for general banking risk

Point (112) of Article 4(1) and point (f) of Article 26(1) CRR

Funds for general banking risk are defined in Article 38 BAD as “Amounts which a credit institution decides to put aside to cover such risks where that is required by the particular risks associated with banking”.

The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.

220

1.1.1.6. Transitional adjustments due to grandfathered CET1 Capital instruments

Paragraphs 1, 2 and 3 of Article 483 and Articles 484 to 487 CRR

Amount of capital instruments transitionally grandfathered as CET1. The amount to be reported is directly obtained from CA5.

230

1.1.1.7. Minority interest given recognition in CET1 capital

Point (120) of Article 4(1) and Article 84 CRR

Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1.

240

1.1.1.8. Transitional adjustments due to additional minority interests

Articles 479 and 480 CRR

Adjustments to the minority interests due to transitional provisions. This item is obtained directly from CA5.

250

1.1.1.9. Adjustments to CET1 due to prudential filters

Articles 32 to 35 CRR

260

1.1.1.9.1. (-) Increases in equity resulting from securitised assets

Article 32(1) CRR

The amount to be reported is the increase in the equity of the institution resulting from securitised assets, in accordance with the applicable accounting standard.

For example, this item includes the future margin income that results in a gain on sale for the institution, or, for originators, the net gains that arise from the capitalisation of future income from the securitised assets that provide credit enhancement to positions in the securitisation.

270

1.1.1.9.2. Cash flow hedge reserve

Point (a) of Article 33(1) CRR

The amount to be reported can be positive or negative. It shall be positive if cash flow hedges result in a loss (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.

The amount shall be net of any tax charge to be expected at the moment of the calculation.

280

1.1.1.9.3. Cumulative gains and losses due to changes in own credit risk on fair valued liabilities

Point (b) of Article 33(1) CRR

The amount to be reported can be positive or negative. It shall be positive if there is a loss due to changes in own credit risk (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.

Unaudited profit shall not be included in this item.

285

1.1.1.9.4. Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities

Point (c) of Article 33(1) and Article 33(2) CRR

The amount to be reported can be positive or negative. It shall be positive if there is a loss due to changes in own credit risk and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.

Unaudited profit shall not be included in this item.

290

1.1.1.9.5. (-) Value adjustments due to the requirements for prudent valuation

Articles 34 and 105 CRR

Adjustments to the fair value of exposures included in the trading book or non-trading book due to stricter standards for prudent valuation set in Article 105 CRR

300

1.1.1.10. (-) Goodwill

Point (113) of Article 4(1), point (b) of Article 36(1) and Article 37 CRR

310

1.1.1.10.1. (-) Goodwill accounted for as intangible asset

Point (113) of Article 4(1) and point (b) of Article 36(1) CRR

Goodwill has the same meaning as under the applicable accounting standard.

The amount to be reported here shall be the same as the amount that is reported in the balance sheet.

320

1.1.1.10.2. (-) Goodwill included in the valuation of significant investments

Point (b) of Article 37 and Article 43 CRR

330

1.1.1.10.3. Deferred tax liabilities associated to goodwill

Point (a) of Article 37 CRR

Amount of deferred tax liabilities that would be extinguished if the goodwill became impaired or was derecognised under the relevant accounting standard.

340

1.1.1.11. (-) Other intangible assets

Point (115) of Article 4(1), point (b) of Article 36(1) and point (a) of Article 37 CRR

Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.

350

1.1.1.11.1. (-) Other intangible assets before deduction of deferred tax liabilities

Point (115) of Article 4(1) and point (b) of Article 36(1) CRR

Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.

The amount to be reported here shall correspond to the amount reported in the balance sheet of intangible assets, other than goodwill.

360

1.1.1.11.2. Deferred tax liabilities associated to other intangible assets

Point (a) of Article 37 CRR

Amount of deferred tax liabilities that would be extinguished if the intangibles assets, other than goodwill, became impaired or was derecognised under the relevant accounting standard.

370

1.1.1.12. (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities

Point (c) of Article 36(1) and Article 38 CRR

380

1.1.1.13. (-) IRB shortfall of credit risk adjustments to expected losses

Point (d) of Article 36(1), Articles 40, 158 and 159 CRR

The amount to be reported shall not be reduced by a rise in the level of deferred tax assets that rely on future profitability, or other additional tax effect, that could occur if provisions were to rise to the level of expected losses" (Article 40 CRR).

390

1.1.1.14. (-) Defined benefit pension fund assets

Point (109) of Article 4(1), point (e) of Article 36(1) and Article 41 CRR

400

1.1.1.14.1. (-) Defined benefit pension fund assets

Point (109) of Article 4(1) and point (e) of Article 36(1) CRR

Defined benefit pension fund assets are defined as “the assets of a defined pension fund or plan, as applicable, calculated after they have been reduced by the amount of obligations under the same fund or plan”.

The amount to be reported here shall correspond to the amount reported in the balance sheet (if reported separately).

410

1.1.1.14.2. Deferred tax liabilities associated to defined benefit pension fund assets

Points (108) and (109) of Article 4(1) and point (a) of Article 41(1) CRR

Amount of deferred tax liabilities that would be extinguished if the defined benefit pension fund assets became impaired or were derecognised under the relevant accounting standard.

420

1.1.1.14.3. Defined benefit pension fund assets which the institution has an unrestricted ability to use

Point (109) of Article 4(1) and point (b) of Article 41(1) CRR

This item shall only present any amount if there is a prior consent of the competent authority to reduce the amount of defined benefit pension fund assets to be deducted.

The assets included in this row shall receive a risk weight for credit risk requirements.

430

1.1.1.15. (-) Reciprocal cross holdings in CET1 Capital

Point (122) of Article 4(1), point (g) of Article 36(1) and Article 44 CRR

Holdings in CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution.

The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 1 own-fund insurance items.

440

1.1.1.16. (-) Excess of deduction from AT1 items over AT1 Capital

Point (j) of Article 36(1) CRR

The amount to be reported is directly taken from CA1 item “Excess of deduction from AT1 items over AT1 Capital”. The amount has to be deducted from CET1.

450

1.1.1.17. (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight

Point (36) of Article 4(1), point (k)(i) of Article 36(1) and Articles 89 to 91 CRR

Qualifying holdings are defined as “direct or indirect holding in an undertaking which represents 10 % or more of the capital or of the voting rights or which makes it possible to exercise a significant influence over the management of that undertaking”.

According to point (k)(i) of Article 36(1) CRR qualifying holdings can, alternatively, be deducted from CET1 (using this item), or be subject to a risk weight of 1 250 %.

460

1.1.1.18. (-) Securitisation positions which can alternatively be subject to a 1250 % risk weight

Point (b) of Articles 244(1), point (b) of Article 245(1) and Article 253(1) CRR.

Securitisation positions, which are subject to a 1 250 % risk weight, but alternatively are allowed to be deducted from CET1 (point (k)(ii) of Article 36(1) CRR), shall be reported in this item.

470

1.1.1.19. (-) Free deliveries which can alternatively be subject to a 1,250 % risk weight

Point (k)(iii) of Article 36(1) and Article 379(3) CRR

Free deliveries are subject to a 1 250 % risk weight after 5 days post second contractual payment or delivery leg until the extinction of the transaction, according to the own funds requirements for settlement risk. Alternatively, they are allowed to be deducted from CET1 (point (k)(iii) of Article 36(1) CRR). In the latter case, they shall be reported in this item.

471

1.1.1.20. (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB Approach, and can alternatively be subject to a 1 250 % risk weight

Point (k)(iv) of Articles 36(1) and Article 153(8) CRR

According to point (k)(iv) of Article 36(1) CRR, positions in a basket for which an institution cannot determine the risk weight under the IRB Approach can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250 %.

472

1.1.1.21. (-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight

Point (k)(v) of Article 36(1) and Article 155(4) CRR

According to point (k)(v) of Article 36(1) CRR, equity exposures under an internal models approach can, alternatively, be deducted from CET1 (using this item), or be subject to a risk weight of 1 250 %.

480

1.1.1.22. (-) CET1 instruments of financial sector entities where the institution does not have a significant investment

Point (27) of Article 4(1), point (h) of Article 36(1), Articles 43 to 46, paragraphs 2 and 3 of Article 49 and Article 79 CRR

Part of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution does not have a significant investment that has to be deducted from CET1.

See alternatives to deduction when consolidation is applied (paragraphs 2 and 3 of Article 49).

490

1.1.1.23. (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences

Point (c) of Article 36(1); Article 38 and point (a) of Article 48(1) CRR

Part of deferred tax assets that rely in future profitability and arise from temporary differences (net of the part of associated deferred tax liabilities allocated to deferred tax assets that arise from temporary differences), which according to point (b) of Article 38(5) CRR has to be deducted applying the 10 % threshold referred to in point (a) of Article 48(1) CRR.

500

1.1.1.24. (-) CET1 instruments of financial sector entities where the institution has a significant investment

Point (27) of Article 4(1), point (i) of Article 36(1); Articles 43, 45, 47, point (b) of Article 48(2), paragraphs 1, 2 and 3 of Article 49 and Article 79 CRR

Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment that has to be deducted, applying the 10 % threshold referred to in point (b) of Article 48(1) CRR.

See alternatives to deduction when consolidation is applied (paragraphs 1, 2 and 3 of Article 49 CRR).

510

1.1.1.25. (-) Amount exceeding the 17,65 % threshold

Article 48(2) CRR

Part of deferred tax assets that rely in future profitability and arise from temporary differences, and direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment that has to be deducted, applying the 17,65 % threshold in Article 48(2) CRR.

520

1.1.1.26. Other transitional adjustments to CET1 Capital

Articles 469 to 472, 478 and 481 CRR

Adjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5.

524

1.1.1.27. (-) Additional deductions of CET1 Capital due to Article 3 CRR

Article 3 CRR

529

1.1.1.28. CET1 capital elements or deductions – other

This row is intended to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a CET1 capital element or a deduction from a CET1 element cannot be assigned to one of the rows 020 to 524.

This row shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR).

530

1.1.2. ADDITIONAL TIER 1 CAPITAL

Article 61 CRR

540

1.1.2.1. Capital instruments eligible as AT1 Capital

Point (a) of Article 51, Articles 52, 53 and 54, point (a) of Article 56 and Article 57 CRR

550

1.1.2.1.1. Paid up capital instruments

Point (a) of Article 51 and Articles 52, 53 and 54 CRR

The amount to be reported shall not include the share premium related to the instruments

560

1.1.2.1.2* Memorandum item: Capital instruments not eligible

Points (c), (e) and (f) of Article 52(1) CRR

Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.

The amount to be reported shall not include the share premium related to the instruments

570

1.1.2.1.3. Share premium

Point (b) of Article 51 CRR

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the “Paid up capital instruments”.

580

1.1.2.1.4. (-) Own AT1 instruments

Point (b) of Article 52(1), point (a) of Article 56 and Article 57 CRR

Own AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 57 CRR.

Holdings on shares included as “Capital instruments not eligible” shall not be reported in this row.

The amount to be reported shall include the share premium related to the own shares.

Items 1.1.2.1.4 to 1.1.2.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own AT1 instruments are reported separately in item 1.1.2.1.5.

590

1.1.2.1.4.1. (-) Direct holdings of AT1 instruments

Point (144) of Article 4(1), point (b) of Article 52(1), point (a) of Article 56 and Article 57 CRR

Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group.

620

1.1.2.1.4.2. (-) Indirect holdings of AT1 instruments

Point (b)(ii) of Article 52(1), point (a) of Article 56 and Article 57 CRR

621

1.1.2.1.4.3. (-) Synthetic holdings of AT1 instruments

Point (126) of Article 4(1), point (b) of Article 52(1), point (a) of Article 56 and Article 57 CRR

622

1.1.2.1.5. (-) Actual or contingent obligations to purchase own AT1 instruments

Point (a) of Article 56 and Article 57 CRR

According to point (a) of Article 56 CRR, “own Additional Tier 1 instruments that an institution could be obliged to purchase as a result of existing contractual obligations” shall be deducted.

660

1.1.2.2. Transitional adjustments due to grandfathered AT1 Capital instruments

Paragraphs 4 and 5 of Article 483, Articles 484 to 487, Articles 489 and 491 CRR

Amount of capital instruments transitionally grandfathered as AT1. The amount to be reported is directly obtained from CA5.

670

1.1.2.3. Instruments issued by subsidiaries that are given recognition in AT1 Capital

Articles 83, 85 and 86 CRR

Sum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated AT1.

Qualifying AT1 capital issued by a special purpose entity (Article 83 CRR) shall be included.

680

1.1.2.4. Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries

Article 480 CRR

Adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions. This item is obtained directly from CA5.

690

1.1.2.5. (-) Reciprocal cross holdings in AT1 Capital

Point (122) of Article 4(1), point (b) of Article 56 and Article 58 CRR

Holdings in AT1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution.

The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Additional Tier 1 own-fund insurance items.

700

1.1.2.6. (-) AT1 instruments of financial sector entities where the institution does not have a significant investment

Point (27) of Article 4(1), point (c) of Article 56; Articles 59, 60 and 79 CRR

710

1.1.2.7. (-) AT1 instruments of financial sector entities where the institution has a significant investment

Point (27) of Article 4(1), point (d) of Article 56, Articles 59 and 79 CRR

Holdings by the institution of AT1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment are completely deducted

720

1.1.2.8. (-) Excess of deduction from T2 items over T2 Capital

Point (e) of Article 56 CRR

The amount to be reported is directly taken from CA1 item ‘Excess of deduction from T2 items over T2 Capital (deducted in AT1).

730

1.1.2.9. Other transitional adjustments to AT1 Capital

Articles 474, 475, 478 and 481 CRR

Adjustments due to transitional provisions. The amount to be reported is directly obtained from CA5.

740

1.1.2.10. Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)

Point (j) of Article 36(1) CRR

Additional Tier 1 cannot be negative, but it is possible that AT1 deductions are greater than AT1 Capital plus related share premium. When this happens, AT1 has to be equal to zero, and the excess of AT1 deductions has to be deducted from CET1.

With this item, it is achieved that the sum of items 1.1.2.1 to 1.1.2.12 is never lower than zero. Where this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure.

744

1.1.2.11. (-) Additional deductions of AT1 Capital due to Article 3 CRR

Article 3 CRR

748

1.1.2.12. AT1 capital elements or deductions – other

This row is intended to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if an AT1 capital element or a deduction from an AT1 element cannot be assigned to one of the rows 530 to 744.

750

1.2. TIER 2 CAPITAL

Article 71 CRR

760

1.2.1. Capital instruments and subordinated loans eligible as T2 Capital

Point (a) of Article 62, Articles 63 to 65, point (a) of Article 66 and Article 67 CRR

770

1.2.1.1. Paid up capital instruments and subordinated loans

Point (a) of Article 62, Articles 63 and 65 CRR

The amount to be reported shall not include the share premium related to the instruments

780

1.2.1.2* Memorandum item: Capital instruments and subordinated loans not eligible

Points (c), (e) and (f) of Article 63 and Article 64 CRR

Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.

The amount to be reported shall not include the share premium related to the instruments

790

1.2.1.3. Share premium

Point (b) of Article 62 and Article 65 CRR

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the “Paid up capital instruments”.

800

1.2.1.4. (-) Own T2 instruments

Point (b)(i) of Article 63, point (a) of Article 66, and Article 67 CRR

Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 67 CRR.

Holdings on shares included as “Capital instruments not eligible” shall not be reported in this row.

The amount to be reported shall include the share premium related to the own shares.

Items 1.2.1.4 to 1.2.1.4.3 do not include actual or contingent obligations to purchase own T2 instruments. Actual or contingent obligations to purchase own T2 instruments are reported separately in item 1.2.1.5.

810

1.2.1.4.1. (-) Direct holdings of T2 instruments

Point (b) of Article 63, point (a) of Article 66 and Article 67 CRR

Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group.

840

1.2.1.4.2. (-) Indirect holdings of T2 instruments

Point (114) of Article 4(1), point (b) of Article 63, point (a) of Article 66 and Article 67 CRR

841

1.2.1.4.3. (-) Synthetic holdings of T2 instruments

Point (126) of Article 4(1), point (b) of Article 63, point (a) of Article 66 and Article 67 CRR

842

1.2.1.5. (-) Actual or contingent obligations to purchase own T2 instruments

Point (a) of Article 66 and Article 67 CRR

According to point (a) of Article 66 CRR, “own Tier 2 instruments that an institution could be obliged to purchase as a result of existing contractual obligations” shall be deducted.

880

1.2.2. Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans

Paragraphs 6 and 7 of Article 483, Articles 484, 486, 488, 490 and 491 CRR

Amount of capital instruments transitionally grandfathered as T2. The amount to be reported is directly obtained from CA5.

890

1.2.3. Instruments issued by subsidiaries that are given recognition in T2 Capital

Articles 83, 87 and 88 CRR

Sum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2.

Qualifying Tier 2 capital issued by a special purpose entity (Article 83 CRR) shall be included.

900

1.2.4. Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries

Article 480 CRR

Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions. This item is obtained directly from CA5.

910

1.2.5. IRB Excess of provisions over expected losses eligible

Point (d) of Article 62 CRR

For institutions calculating risk-weighted exposure amounts in accordance with IRB Approach, this item shall contain the positive amounts resulting from comparing the provisions and expected losses which are eligible as T2 capital.

920

1.2.6. SA General credit risk adjustments

Point (c) of Article 62 CRR

For institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item shall contain the general credit risk adjustments eligible as T2 capital.

930

1.2.7. (-) Reciprocal cross holdings in T2 Capital

Point (122) of Article 4(1), point (b) of Article 66 and Article 68 CRR

Holdings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate the own funds of the institution artificially.

The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 2 and Tier 3 own-fund insurance items.

940

1.2.8. (-) T2 instruments of financial sector entities where the institution does not have a significant investment

Point (27) of Article 4(1), point (c) of Article 66, Articles 68 to 70 and Article 79 CRR

950

1.2.9. (-) T2 instruments of financial sector entities where the institution has a significant investment

Point (27) of Article 4(1), point (d) of Article 66, Articles 68, 69 and Article 79 CRR

Holdings by the institution of T2 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment shall be completely deducted.

960

1.2.10. Other transitional adjustments to T2 Capital

Articles 476, 477, 478 and 481 CRR

Adjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5.

970

1.2.11. Excess of deduction from T2 items over T2 Capital (deducted in AT1)

Point (e) of Article 56 CRR

Tier 2 cannot be negative, but it is possible that T2 deductions are greater than T2 Capital plus related share premium. When this happens, T2 shall be equal to zero, and the excess of T2 deductions shall be deducted from AT1.

With this item, the sum of items 1.2.1 to 1.2.13 is never lower than zero. Where this item shows a positive figure, item 1.1.2.8 shall be the inverse of that figure.

974

1.2.12. (-) Additional deductions of T2 Capital due to Article 3 CRR

Article 3 CRR

978

1.2.13. T2 capital elements or deductions – other

This row provides flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a T2 capital element or a deduction from a T2 element cannot be assigned to one of the rows 750 to 974.

1.3. C 02.00 – OWN FUNDS REQUIREMENTS (CA2)

1.3.1. Instructions concerning specific positions

Row

Legal references and instructions

010

TOTAL RISK EXPOSURE AMOUNT

Article 92(3) and Articles 95, 96 and 98 CRR

020

1* Of which: Investment firms under Article 95 paragraph 2 and Article 98 CRR

For investment firms under Article 95(2) and Article 98 CRR

030

1** Of which: Investment firms under Article 96 paragraph 2 and Article 97 CRR

For investment firms under Article 96(2) and Article 97 CRR

040

1.1. RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES

Points (a) and (f) of Article 92(3) CRR

050

1.1.1. Standardised Approach (SA)

CR SA and SEC SA templates at the level of total exposures

051

1.1.1* Of which: Additional stricter prudential requirements based on Article 124 CRR

Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements as communicated to the institutions after having been consulted with EBA, in accordance with paragraphs 2 and 5 of Article 124CRR.

060

1.1.1.1. SA exposure classes excluding securitisations positions

CR SA template at the level of total exposures. The SA exposure classes are those mentioned in Article 112 CRR, excluding securitisation positions.

070

1.1.1.1.01. Central governments or central banks

See CR SA template

080

1.1.1.1.02. Regional governments or local authorities

See CR SA template

090

1.1.1.1.03. Public sector entities

See CR SA template

100

1.1.1.1.04. Multilateral Development Banks

See CR SA template

110

1.1.1.1.05. International Organisations

See CR SA template

120

1.1.1.1.06. Institutions

See CR SA template

130

1.1.1.1.07. Corporates

See CR SA template

140

1.1.1.1.08. Retail

See CR SA template

150

1.1.1.1.09. Secured by mortgages on immovable property

See CR SA template

160

1.1.1.1.10. Exposures in default

See CR SA template

170

1.1.1.1.11. Items associated with particular high risk

See CR SA template

180

1.1.1.1.12. Covered bonds

See CR SA template

190

1.1.1.1.13. Claims on institutions and corporate with a short-term credit assessment

See CR SA template

200

1.1.1.1.14. Collective investments undertakings (CIU)

See CR SA template

210

1.1.1.1.15. Equity

See CR SA template

211

1.1.1.1.16. Other items

See CR SA template

240

1.1.2. Internal ratings based Approach (IRB)

241

1.1.2* Of which: Additional stricter prudential requirements based on Article 164 CRR

Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements as communicated to the institutions after having been notified to EBA, in accordance with paragraphs 5 and 7 of Article 164 CRR.

242

1.1.2** Of which: Additional stricter prudential requirements based on Article 124 CRR

Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements set by the competent authorities after having consulted EBA, as laid down in paragraphs 2 and 5 of Article 124 CRR and which are related to limits on the eligible market value of the collateral as laid down in point (d) of Article 125(2) and point (d) of Article 126(2) CRR.

250

1.1.2.1. IRB Approaches when neither own estimates of LGD nor Conversion Factors are used

CR IRB template at the level of total exposures (when own estimates of LGD or CCF are not used)

260

1.1.2.1.01. Central governments and central banks

See CR IRB template

270

1.1.2.1.02. Institutions

See CR IRB template

280

1.1.2.1.03. Corporates – SME

See CR IRB template

290

1.1.2.1.04. Corporates – Specialised Lending

See CR IRB template

300

1.1.2.1.05. Corporates – Other

See CR IRB template

310

1.1.2.2. IRB Approaches when own estimates of LGD and/or Conversion Factor are used

CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are used)

320

1.1.2.2.01. Central governments and central banks

See CR IRB template

330

1.1.2.2.02. Institutions

See CR IRB template

340

1.1.2.2.03. Corporates – SME

See CR IRB template

350

1.1.2.2.04. Corporates – Specialised Lending

See CR IRB template

360

1.1.2.2.05. Corporates – Other

See CR IRB template

370

1.1.2.2.06. Retail – secure by real estate SME

See CR IRB template

380

1.1.2.2.07. Retail – secure by real estate non-SME

See CR IRB template

390

1.1.2.2.08. Retail – Qualifying revolving

See CR IRB template

400

1.1.2.2.09. Retail – Other SME

See CR IRB template

410

1.1.2.2.10. Retail – Other non-SME

See CR IRB template

420

1.1.2.3. Equity IRB

See CR EQU IRB template

450

1.1.2.5. Other non credit-obligation assets

The amount to be reported is the risk weighted exposure amount as calculated in accordance with Article 156 CRR.

460

1.1.3. Risk exposure amount for contributions to the default fund of a CCP

Articles 307, 308 and 309 CRR

470

1.1.4. Securitisation positions

See CR SEC template

490

1.2. TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

Point (c)(ii) of Article 92(3) and point (b) of Article 92(4) CRR

500

1.2.1. Settlement/delivery risk in the non-Trading book

See CR SETT template

510

1.2.2. Settlement/delivery risk in the Trading book

See CR SETT template

520

1.3. TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS

Points (b)(i), (c)(i) and (c)(iii) of Article 92(3) and point (b) of Article 92(4) CRR

530

1.3.1. Risk exposure amount for position, foreign exchange and commodities risks under Standardised Approaches (SA)

540

1.3.1.1. Traded debt instruments

MKR SA TDI template at the level of total currencies.

550

1.3.1.2. Equity

MKR SA EQU template at the level of total national markets.

555

1.3.1.3. Particular approach for position risk in CIUs

Article 348(1), point (c) of Article 350(3) and point (a) of Article 364(2) CRR

Total risk exposure amount for positions in CIUs if capital requirements are calculated in accordance with Article 348(1) CRR either immediately or as a consequence of the cap laid down in point (c) of Article 350(3) CRR. CRR does not explicitly assign those positions to either the interest rate risk or the equity risk.

Where the particular approach laid down in the first sentence of Article 348(1) CRR is applied, the amount to be reported shall be 32 % of the net position of the CIU exposure in question, multiplied by 12,5 .

Where the particular approach laid down in the second sentence of Article 348(1) CRR is applied, the amount to be reported shall be the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure, multiplied by 12,5 respectively.

556

1.3.1.3.* Memo item: CIUs exclusively invested in traded debt instruments

Total risk exposure amount for positions in CIUs if the CIU is invested exclusively in instruments subject to interest rate risk.

557

1.3.1.3.** CIUs invested exclusively in equity instruments or in mixed instruments

Total risk exposure amount for positions in CIUs if the CIU is invested either exclusively in instruments subject to equity risk or in mixed instruments or if the constituents of the CIU are unknown.

560

1.3.1.4. Foreign Exchange

See MKR SA FX template

570

1.3.1.5. Commodities

See MKR SA COM template

580

1.3.2. Risk exposure amount for positions, foreign exchange and commodity risks under internal models (IM)

See MKR IM template

590

1.4. TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR)

Point (e) of Article 92(3) and point (b) of Article 92(4) CRR

For investment firms under Articles 95(2) and 96(2) and Article 98 CRR, this element shall be zero.

600

1.4.1. OpR Basic Indicator approach (BIA)

See OPR template

610

1.4.2. OpR Standardised (TSA)/Alternative Standardised (ASA) approaches

See OPR template

620

1.4.3. OpR Advanced measurement approaches (AMA)

See OPR template

630

1.5. ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

Articles 95(2) and 96(2), Article 97 and point (a) of Article 98(1) CRR

Only for investment firms under Article 95(2), Article 96(2) and Article 98 CRR. See also Article 97 CRR.

Investment firms under Article 96 CRR shall report the amount referred to in Article 97 multiplied by 12.5.

Investment firms under Article 95 CRR shall report as follows:

—

Where the amount referred to in point (a) of Article 95(2) CRR is greater than the amount referred to in point (b) of Article 95(2) CRR, the amount to be reported is zero.

—

Where the amount referred to in point (b) of Article 95(2) CRR is greater than the amount referred to in point (a) of Article 95(2) CRR, the amount to be reported is the result of subtracting the latter amount from the former.

640

1.6. TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

Point (d) of Article 92(3) CRR

See CVA template.

650

1.6.1. Advanced method

Own funds requirements for credit valuation adjustment risk in accordance with Article 383 CRR.

See CVA template.

660

1.6.2. Standardised method

Own funds requirements for credit valuation adjustment risk in accordance with Article 384 CRR.

See CVA template.

670

1.6.3. Based on OEM

Own funds requirements for credit valuation adjustment risk in accordance with Article 385 CRR.

See CVA template.

680

1.7. TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK

Point (b)(ii) of Article 92(3) and Articles 395 to 401 CRR

690

1.8. OTHER RISK EXPOSURE AMOUNTS

Articles 3, 458 and 459 CRR and risk exposure amounts which cannot be assigned to one of the items from 1.1 to 1.7.

Institutions shall report the amounts needed to comply with the following:

Stricter prudential requirements imposed by the Commission, in accordance with Articles 458 and 459 CRR.

Additional risk exposure amounts due to Article 3 CRR.

This item does not have a link to a details template.

710

1.8.2. Of which: Additional stricter prudential requirements based on Article 458 CRR

Article 458 CRR

720

1.8.2* Of which: requirements for large exposures

Article 458 CRR

730

1.8.2** Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property

Article 458 CRR

740

1.8.2*** Of which: due to intra financial sector exposures

Article 458 CRR

750

1.8.3. Of which: Additional stricter prudential requirements based on Article 459 CRR

Article 459 CRR

760

1.8.4. Of which: Additional risk exposure amount due to Article 3 CRR

Article 3 CRR

The additional risk exposure amount has to be reported. It shall only include the additional amounts (e.g. if an exposure of 100 has a risk-weight of 20 % and the institutions applies a risk weight of 50 % based on Article 3 CRR, the amount to be reported is 30).

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

1.4.1. Instructions concerning specific positions

Rows

010

CET1 Capital ratio

Point (a) of Article 92(2) CRR

The CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount.

020

Surplus(+)/Deficit(-) of CET1 capital

This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirement set in point (a) of Article 92(1) CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

030

T1 Capital ratio

Point (b) of Article 92(2) CRR

The T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount.

040

Surplus(+)/Deficit(-) of T1 capital

This item shows, in absolute figures, the amount of T1 capital surplus or deficit relating to the requirement set in point (b) of Article 92(1) CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

050

Total capital ratio

Point (c) of Article 92(2) CRR

The total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount.

060

Surplus(+)/Deficit(-) of total capital

This item shows, in absolute figures, the amount of own funds surplus or deficit relating to the requirement set in point (c) of Article 92(1) CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

130

Total SREP capital requirement (TSCR) ratio

The sum of (i) and (ii) as follows:

(i)

the total capital ratio (8 %) as specified in point (c) of Article 92(1) CRR;

(ii)

the additional own funds requirements (Pillar 2 Requirements – P2R) ratio determined in accordance with the criteria specified in the EBA Guidelines on common procedures and methodologies for the supervisory review and evaluation process and supervisory stress testing (EBA SREP GL).

This item shall reflect the total SREP capital requirement (TSCR) ratio as communicated to the institution by the competent authority. The TSCR is defined in Section 1.2 of the EBA SREP GL.

Where no additional own funds requirements were communicated by the competent authority, only point (i) shall be reported.

140

13* TSCR: to be made up of CET1 capital

The sum of (i) and (ii) as follows:

(i)

the CET1 capital ratio (4,5 %) as per point (a) of Article 92(1) CRR;

(ii)

the part of the P2R ratio, referred to in point (ii) of row 130, which is required by the competent authority to be held in the form of CET1 capital.

Where no additional own funds requirements, to be held in the form of CET1 capital, were communicated by the competent authority, only point (i) shall be reported.

150

13** TSCR: to be made up of Tier 1 capital

The sum of (i) and (ii) as follows:

(i)

the Tier 1 capital ratio (6 %) as per point (b) of Article 92(1) CRR;

(ii)

the part of P2R ratio, referred to in point (ii) of row 130, which is required by the competent authority to be held in the form of Tier 1 capital.

Where no additional own funds requirements, to be held in the form of Tier 1 capital, were communicated by the competent authority, then only point (i) shall be reported.

160

Overall capital requirement (OCR) ratio

The sum of (i) and (ii) as follows:

(i)

the TSCR ratio referred to in row 130;

(ii)

to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD.

This item shall reflect the Overall capital requirement (OCR) ratio as defined in Section 1.2 of the EBA SREP GL.

Where no buffer requirement is applicable, only point (i) shall be reported.

170

14* OCR: to be made up of CET1 capital

The sum of (i) and (ii) as follows:

(i)

the TSCR ratio to be made up of CET1 capital referred to in row 140;

(ii)

to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD.

Where no buffer requirement is applicable, only point (i) shall be reported.

180

14** OCR: to be made up of Tier 1 capital

The sum of (i) and (ii) as follows:

(i)

the TSCR ratio to be made up of Tier 1 capital referred to in row 150;

(ii)

to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD.

Where no buffer requirement is applicable, only point (i) shall be reported.

190

Overall capital requirement (OCR) and Pillar 2 Guidance (P2G) ratio

The sum of (i) and (ii) as follows:

(i)

the OCR ratio referred to in row 160;

(ii)

where applicable, the Pillar 2 Guidance (P2G) as defined in the EBA SREP GL. P2G shall be included only if communicated to the institution by the competent authority.

Where no P2G is communicated by the competent authority, only point (i) shall be reported.

200

15* OCR and P2G: to be made up of CET1 capital

The sum of (i) and (ii) as follows:

(i)

the OCR ratio to be made up of CET1 capital referred to in row 170;

(ii)

where applicable, the part of P2G, referred to in point (ii) in row 190, which is required by the competent authority to be held in the form of CET1 capital. P2G shall be included only if communicated to the institution by the competent authority.

Where no P2G is communicated by the competent authority, only point (i) shall be reported.

210

15** OCR and P2G: to be made up of Tier 1 capital

The sum of (i) and (ii) as follows:

(i)

the OCR ratio to be made up of Tier 1 capital referred to in row 180;

(ii)

where applicable, the part of P2G, referred to in point (ii) in row 190, which is required by the competent authority to be held in the form of Tier 1 capital. P2G shall be included only if communicated to the institution by the competent authority.

Where no P2G is communicated by the competent authority, only point (i) shall be reported.

1.5. C 04.00 – MEMORANDUM ITEMS (CA4)

1.5.1. Instructions concerning specific positions

Rows

010

Total deferred tax assets

The amount reported in this item shall be equal to the amount reported in the most recent verified/audited accounting balance sheet.

020

1.1. Deferred tax assets that do not rely on future profitability

Article 39(2) CRR

Deferred tax assets that do not rely on future profitability, and thus are subject to the application of a risk weight.

030

1.2. Deferred tax assets that rely on future profitability and do not arise from temporary differences

Point (c) of Article 36(1) and Article 38 CRR

Deferred tax assets that rely on future profitability, but do not arise from temporary differences, and thus are not subject to any threshold (i.e. are completely deducted from CET1).

040

1.3. Deferred tax assets that rely on future profitability and arise from temporary differences

Point (c) of Article 36(1); Article 38 and point (a) of Article 48(1) CRR

Deferred tax assets that rely on future profitability and arise from temporary differences, and thus, their deduction from CET1 is subject to 10 % and 17,65 % thresholds in Article 48 CRR.

050

Total deferred tax liabilities

The amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet.

060

2.1. Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability

Paragraphs 3 and 4 of Article 38 CRR

Deferred tax liabilities for which conditions in paragraphs 3 and 4 of Article 38 CRR are not met. Hence, this item shall include the deferred tax liabilities that reduce the amount of goodwill, other intangible assets or defined benefit pension fund assets required to be deducted, which are reported, respectively, in CA1 items 1.1.1.10.3, 1.1.1.11.2 and 1.1.1.14.2.

070

2.2. Deferred tax liabilities deductible from deferred tax assets that rely on future profitability

Article 38 CRR

080

2.2.1. Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences

Paragraphs 3, 4 and 5 of Article 38 CRR

Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, in accordance with paragraphs 3 and 4 of Article 38 CRR, and are not allocated to deferred tax assets that rely on future profitability and arise from temporary differences, as laid down in Article 38(5) CRR

090

2.2.2. Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences

Paragraphs 3, 4 and 5 of Article 38 CRR

Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, in accordance with paragraphs 3 and 4 of Article 38 CRR, and are allocated to deferred tax assets that rely on future profitability and arise from temporary differences, as laid down in Article 38(5) CRR

093

2A Tax overpayments and tax loss carry backs

Article 39(1) CRR

The amount of tax overpayments and tax loss carry backs which is not deducted from own funds in accordance with Article 39(1) CRR; the amount reported shall be the amount before the application of risk weights.

096

2B Deferred Tax Assets subject to a risk weight of 250 %

Article 48(4) CRR

The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to Article 48(1) CRR, but subject to a risk weight of 250 % in accordance with Article 48(4) CRR, taking into account the effect of Article 470 CRR. The amount reported shall be the amount of DTAs before the application of the risk weight.

097

2C Deferred Tax Assets subject to a risk weight of 0 %

Point (d) of Article 469(1), Article 470, Article 472(5) and Article 478 CRR

The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to point (d) of Article 469(1) and Article 470 CRR, but subject to a risk weight of 0 % in accordance with Article 472(5) CRR. The amount reported shall be the amount of DTAs before the application of the risk weight.

100

IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures

Point (d) of Article 36(1), point (d) of Article 62, Articles 158 and 159 CRR

This item shall only be reported by IRB institutions.

110

3.1. Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount

Article 159 CRR

This item shall only be reported by IRB institutions.

120

3.1.1. General credit risk adjustments

Article 159 CRR

This item shall only be reported by IRB institutions.

130

3.1.2. Specific credit risk adjustments

Article 159 CRR

This item shall only be reported by IRB institutions.

131

3.1.3. Additional value adjustments and other own funds reductions

Articles 34, 110 and 159 CRR

This item shall only be reported by IRB institutions.

140

3.2. Total expected losses eligible

Paragraphs 5, 6 and 10 of Article 158 and Article 159 CRR

This item shall only be reported by IRB institutions. Only the expected loss related to non-defaulted exposures shall be reported.

145

IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures

Point (d) of Article 36(1), point (d) of Article 62, Articles 158 and 159 CRR

This item shall only be reported by IRB institutions.

150

4.1. Specific credit risk adjustments and positions treated similarily

Article 159 CRR

This item shall only be reported by IRB institutions.

155

4.2. Total expected losses eligible

Paragraphs 5, 6 and 10 of Article 158, and Article 159 CRR

This item shall only be reported by IRB institutions. Only the expected loss related to defaulted exposures shall be reported.

160

Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2

Point (d) of Article 62 CRR

For IRB institutions, the excess amount of provisions (to expected losses) eligible for inclusion in Tier 2 capital is capped at 0,6 % of risk-weighted exposure amounts calculated with the IRB Approach, in accordance with point (d) of Article 62 CRR.

The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 0,6 %) which is the base for calculating the cap.

170

Total gross provisions eligible for inclusion in T2 capital

Point (c) of Article 62 CRR

This item includes the general credit risk adjustments that are eligible for inclusion in T2 capital, before cap.

The amount to be reported shall be gross of tax effects.

180

Risk weighted exposure amounts for calculating the cap to the provision eligible as T2

Point (c) of Article 62 CRR

According to point (c) of Article 62 CRR, the credit risk adjustments eligible for inclusion in Tier 2 capital is capped at 1,25 % of risk-weighted exposure amounts.

The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 1,25 %) which is the base for calculating the cap.

190

Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment

Point (a) of Article 46(1) CRR

This item contains the threshold up to which holdings in a financial sector entity where an institution does not have a significant investment are not deducted. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.

200

10 % CET1 threshold

Points (a) and (b) of Article 48(1) CRR

This item contains the 10 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences.

The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.

210

17,65 % CET1 threshold

Article 48(1) CRR

This item contains the 17,65 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences, to be applied after the 10 % threshold.

The threshold is to be calculated in such a way that the amount of the two items that is recognised does not exceed 15 % of the final Common Equity Tier 1 capital, i.e. the CET1 capital calculated after all deductions, not including any adjustment due to transitional provisions.

225

11.1. Eligible capital for the purposes of qualifying holdings outside the financial sector

Point (a) of point (71) of Article 4(1) CRR

226

11.2. Eligible capital for the purposes of large exposures

Point (b) of point (71) of Article 4(1) CRR

230

Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

Articles 44, 45, 46 and 49 CRR

240

12.1. Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

Articles 44, 45, 46 and 49 CRR

250

12.1.1. Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

Articles 44, 46 and 49 CRR

Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, excluding:

Underwriting positions held for 5 working days or fewer;

The amounts relating to the investments for which any alternative in Article 49 is applied; and

Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR

260

12.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 45 CRR

Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

270

12.2. Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

Point (114) of Article 4(1) and Articles 44 and 45 CRR

280

12.2.1. Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

Point (114) of Article 4(1) and Articles 44 and 45 CRR

The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.

Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR shall not be included

290

12.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

Point (114) of Article 4(1) and Article 45 CRR

Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

291

12.3.1. Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

Point (126) of Article 4(1) and Articles 44 and 45 CRR

292

12.3.2. Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

Point (126) of Article 4(1) and Articles 44 and 45 CRR

293

12.3.3. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

Point (126) of Article 4(1) and Article 45 CRR

300

Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

Articles 58, 59 and 60 CRR

310

13.1. Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

Articles 58, 59 and Article 60(2) CRR

320

13.1.1. Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

Article 58 and Article 60(2) CRR

Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, excluding:

Underwriting positions held for 5 working days or fewer; and

Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 56 CRR

330

13.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 59 CRR

Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

340

13.2. Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

Point (114) of Article 4(1) and Articles 58 and 59 CRR

350

13.2.1. Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

Point (114) of Article 4(1) and Articles 58 and 59 CRR

Holdings which are treated as reciprocal cross holdings according to point (b) of Article 56 CRR shall not be included.

360

13.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

Point (114) of Article 4(1) and Article 59 CRR

361

13.3. Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

Point (126) of Article 4(1) and Articles 58 and 59 CRR

362

13.3.1. Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

Point (126) of Article 4(1) and Articles 58 and 59 CRR

363

13.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

Point (126) of Article 4(1) and Article 59 CRR

370

Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions

Articles 68, 69 and 70 CRR

380

14.1. Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment

Articles 68 and 69 and Article 70(2) CRR

390

14.1.1. Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment

Article 68 and Article 70(2) CRR

Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment, excluding:

Underwriting positions held for 5 working days or fewer; and

Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 66 CRR

400

14.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 69 CRR

Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

410

14.2. Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment

Point (114) of Article 4(1) and Articles 68 and 69 CRR

420

14.2.1. Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment

Point (114) of Article 4(1) and Articles 68 and 69 CRR

Holdings which are treated as reciprocal cross holdings in accordance with Article 66 point (b) CRR shall not be included

430

14.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

Point (114) of Article 4(1) and Article 69 CRR

431

14.3. Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment

Point (126) of Article 4(1) and Articles 68 and 69 CRR

432

14.3.1. Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment

Point (126) of Article 4(1) and Articles 68 and 69 CRR

433

14.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

Point (126) of Article 4(1) and Article 69 CRR

440

Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions

Articles 44, 45, 47 and 49 CRR

450

15.1. Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment

Articles 44, 45, 47 and 49 CRR

460

15.1.1. Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment

Articles 44, 45, 47 and 49 CRR

Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment, excluding:

Underwriting positions held for 5 working days or fewer;

The amounts relating to the investments for which any alternative in Article 49 is applied; and

Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR

470

15.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 45 CRR

480

15.2. Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment

Point (114) of Article 4(1) and Articles 44 and 45 CRR

490

15.2.1. Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment

Point (114) of Article 4(1) and Articles 44 and 45 CRR

The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.

Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR shall not be included.

500

15.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

Point (114) of Article 4(1) and Article 45 CRR

501

15.3. Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment

Point (126) of Article 4(1) and Articles 44 and 45 CRR

502

15.3.1. Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment

Point (126) of Article 4(1) and Articles 44 and 45 CRR

503

15.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

Point (126) of Article 4(1) and Article 45 CRR

510

Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions

Articles 58 and 59 CRR

520

16.1. Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment

Articles 58 and 59 CRR

530

16.1.1. Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment

Article 58 CRR

Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment, excluding:

Underwriting positions held for 5 working days or fewer (point (d) of Article 56 CRR); and

Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 56 CRR.

540

16.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 59 CRR

550

16.2. Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment

Point (114) of Article 4(1) and Articles 58 and 59 CRR

560

16.2.1. Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment

Point (114) of Article 4(1) and Articles 58 and 59 CRR

Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 56 CRR shall not be included.

570

16.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

Point (114) of Article 4(1) and Article 59 CRR

571

16.3. Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment

Point (126) of Article 4(1) and Articles 58 and 59 CRR

572

16.3.1. Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment

Point (126) of Article 4(1) and Articles 58 and 59 CRR

573

16.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

Point (126) of Article 4(1) and Article 59 CRR

580

Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions

Articles 68 and 69 CRR

590

17.1. Direct holdings of T2 capital of financial sector entities where the institution has a significant investment

Articles 68 and 69 CRR

600

17.1.1. Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment

Article 68 CRR

Direct holdings of T2 capital of financial sector entities where the institution has a significant investment, excluding:

Underwriting positions held for 5 working days or fewer (point (d) of Article 66 CRR); and

Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 66 CRR

610

17.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 69 CRR

620

17.2. Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment

Point (114) of Article 4(1) and Articles 68 and 69 CRR

630

17.2.1. Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment

Point (114) of Article 4(1) and Articles 68 and 69 CRR

Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 66 CRR shall not be included

640

17.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

Point (114) of Article 4(1) and Article 69 CRR

641

17.3. Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment

Point (126) of Article 4(1) and Articles 68 and 69 CRR

642

17.3.1. Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment

Point (126) of Article 4(1) and Articles 68 and 69 CRR

643

17.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

Point (126) of Article 4(1) and Article 69 CRR

650

Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution’s CET1 capital

Articles 46(4), 48(4) and 49(4) CRR

660

Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution’s AT1 capital

Article 60(4) CRR

670

Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution’s T2 capital

Article 70(4) CRR

680

Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

Article 79 CRR

A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, where it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that those instruments shall also be reported on item 12.1.

690

Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

Article 79 CRR

A competent authority may waive the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that those instruments shall also be reported on item 15.1.

700

Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

Article 79 CRR

A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that these instruments shall also be reported on item 13.1.

710

Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

Article 79 CRR

Note that these instruments shall also be reported on item 16.1.

720

Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

Article 79 CRR

A competent authority may waive the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that those instruments shall also be reported on item 14.1.

730

Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

Article 79 CRR

Note that those instruments shall also be reported on item 17.1.

740

Combined buffer requirement

Point (6) of Article 128 CRD

750

Capital conservation buffer

Point (1) of Article 128 and Article 129 CRD

In accordance with Article 129(1) CRD, the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this row.

760

Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State

Point (d)(iv) of Article 458(2) CRR

In this row, the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested in accordance with Article 458 CRR in addition to the capital conservation buffer, shall be reported.

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

770

Institution specific countercyclical capital buffer

Point (2) of Article 128 and Articles 130, 135 to 140 CRD

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

780

Systemic risk buffer

Point (5) of Article 128, Articles 133 and 134 CRD

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

800

Global Systemically Important Institution buffer

Point (3) of Article 128 and Article 131 CRD

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

810

Other Systemically Important Institution buffer

Point (4) Article 128 and Article 131 CRD

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

820

Own funds requirements related to Pillar II adjustments

Article 104(2) CRD.

If a competent authority decides that an institution has to calculate additional own funds requirements for Pillar II reasons, those additional own funds requirements shall be reported in this row.

830

Initial capital

Articles 12 and 28 to 31 CRD and Article 93 CRR

840

Own funds based on Fixed Overheads

Point (b) of Article 96(2), Article 97 and point (a) of Article 98(1) CRR

850

Non-domestic original exposures

Information necessary to calculate the threshold for reporting of the CR GB template in accordance with point (4) of Article 5(a) of this Implementing Regulation. The calculation of the threshold shall be done at the basis of the original exposure pre-conversion factor.

Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.

860

Total original exposures

Information necessary to calculate the threshold for reporting of the CR GB template in accordance with point (4) of Article 5(a)of this Implementing Regulation. The calculation of the threshold shall be done at the basis of the original exposure pre-conversion factor

Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.

870

Adjustments to total own funds

Article 500(4) CRR

The difference between the amount reported in row 880 and the total own funds pursuant to CRR has to be reported in this row.

If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty.

880

Own funds fully adjusted for Basel I floor

Article 500(4) CRR

Total own funds pursuant to CRR adjusted as required by Article 500(4) CRR (i.e. fully adjusted to reflect differences in the calculation of own funds under Council Directive 93/6/EEC ( 6 ) and Directive 2000/12/EC of the European Parliament and of the Council ( 7 ) as those Directives stood prior to 1 January 2007 and the calculation of own funds under CRR deriving from the separate treatments of expected loss and unexpected loss under Chapter 3 of Title II of Part Three CRR) have to be reported in this position.

If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty.

890

Own funds requirements for Basel I floor

Point (b) of Article 500(1) CRR

The amount of own funds required by point (b) of Article 500(1) CRR to be held (i.e. 80 % of the total minimum amount of own funds that the institution would be required to hold under Article 4 of Directive 93/6/EEC and Directive 2000/12/EC has to be reported in this position.

900

Own funds requirements for Basel I floor – SA alternative

Paragraphs 2 and 3 of Article 500 CRR

The amount of own funds required by Article 500(2) CRR to be hold (i.e. 80 % of the own funds that the institution would be required to hold under Article 92 CRR calculating risk-weighted exposure amounts in accordance with Chapter 2 of Title II of Part Three and Chapters 2 and 3 of Title III of Part Three CRR, as applicable, instead of in accordance with Chapter 3 of Title II of Part Three, or Chapter 4 of Title III of Part Three CRR, as applicable) has to be reported in this position.

910

Deficit of total own funds as regards the own funds requirements of the Basel I floor or SA alternative

Point (b) of Article 500(1) and Article 500(2) CRR

This row has to be filled with:

—

where point (b) of Article 500(1) CRR is applied and row 880 < row 890: the difference between row 890 and row 880;

—

or where Article 500(2) CRR is applied and row 010 of C 01.00 < row 900 of C 04.00: the difference between row 900 of C 04.00 and row 010 of C 01.00.

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

1.6.1. General remarks

15.

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

16.

CA5 is structured as follows:

(a)

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

(b)

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

17.

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

18.

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

19.

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

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

20.

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

21.

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

22.

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

23.

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

24.

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

1.6.2.1. Instructions concerning specific positions

Columns

010

Adjustments to CET1

020

Adjustments to AT1

030

Adjustments to T2

040

Adjustments included in RWAs

Column 040 includes the relevant amounts adjusting the total risk exposure amount of Article 92(3) CRR due to transitional provisions. The amounts reported shall consider the application of provisions of Chapter 2 or 3 of Title II of Part Three or of Title IV of Part Three in accordance with Article 92(4) CRR. That means that transitional amounts subject to Chapter 2 or 3 of Title II of Part Three shall be reported as risk weighted exposure amounts, whereas transitional amounts subject to Title IV of Part Three shall represent the own funds requirements multiplied by 12,5 .

Whereas columns 010 to 030 have a direct link to the CA1 template, the adjustments to the total risk exposure amount do not have a direct link to the relevant templates for credit risk. If there are adjustments stemming from the transitional provisions to the total risk exposure amount, those adjustments shall be included directly in the CR SA, CR IRB, CR EQU IRB, MKR SA TDI, MKR SA EQU or MKR IM. Additionally, those effects shall be reported in column 040 of CA5.1. As a consequence, those amounts shall be memorandum items only.

050

Applicable percentage

060

Eligible amount without transitional provisions

Column 060 includes the amount of each instrument prior the application of transitional provisions, i.e. the basis amount relevant to calculate the adjustments.

Rows

010

Total adjustments

This row reflects the overall effect of transitional adjustments in the different types of capital, plus the risk weighted amounts arising from those adjustments

020

1.1. Grandfathered instruments

Articles 483 to 491 CRR

This row reflects the overall effect of instruments transitionally grandfathered in the different types of capital.

030

1.1.1. Grandfathered instruments: Instruments constituting state aid

Article 483 CRR

040

1.1.1.1. Instruments that qualified as own funds according to 2006/48/EC

Paragraphs 1, 2, 4 and 6 of Article 483 CRR

050

1.1.1.2. Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme

Paragraphs 1, 3, 5, 7 and 8 of Article 483CRR

060

1.1.2. Instruments not constituting state aid

The amounts to be reported shall be obtained from column 060 of CA5.2 template

070

1.2. Minority interests and equivalents

Articles 479 and 480 CRR

This row reflects the effects of transitional provisions in the minority interests eligible as CET1; the qualifying T1 instruments eligible as consolidated AT1; and the qualifying own funds eligible as consolidated T2.

080

1.2.1. Capital instruments and items that do not qualify as minority interests

Articles 479 CRR

The amount to be reported in column 060 of this row shall be the amount qualifying as consolidated reserves in accordance with prior regulation.

090

1.2.2. Transitional recognition in consolidated own funds of minority interests

Articles 84 and 480 CRR

The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.

091

1.2.3. Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital

Articles 85 and 480 CRR

The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.

092

1.2.4. Transitional recognition in consolidated own funds of qualifying Tier 2 capital

Articles 87 and 480 CRR

The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.

100

1.3. Other transitional adjustments

Articles 467 to 478 and Article 481 CRR

This row reflects the overall effect of transitional adjustments in the deduction to different types of capital, unrealised gains and losses, additional filters and deductions plus the risk weighted amounts arising from these adjustments.

110

1.3.1. Unrealised gains and losses

Articles 467 and 468 CRR

This row reflects the overall effect of transitional provisions on unrealised gains and losses measured at fair value.

120

1.3.1.1. Unrealised gains

Article 468(1) CRR

130

1.3.1.2. Unrealised losses

Article 467(1) CRR

133

1.3.1.3. Unrealised gains on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39

Article 468 CRR

136

1.3.1.4. Unrealised loss on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39

Article 467 CRR

138

1.3.1.5. Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities

Article 468 CRR

140

1.3.2. Deductions

Article 36(1) and Articles 469 to 478 CRR

This row reflects the overall effect of transitional provisions on deductions.

150

1.3.2.1. Losses for the current financial year

Point (a) of Article 36(1), Articles 469(1) and 472(3) and Article 478 CRR

The amount to be reported in column 060 of this row shall be the original deduction in accordance with point (a) of Article 36(1) CRR.

Where firms have only been required to deduct material losses:

—

where the total interim net loss was “material”, the full residual amount would be deducted from Tier 1, or

—

where the whole total interim net loss was not “material”, no deduction of residual amount would be made.

160

1.3.2.2. Intangible assets

Point (b) of Article 36(1), Articles 469(1) and 472(4) and Article 478 CRR

When determining the amount of intangible assets to be deducted, institutions shall take into account the provisions of Article 37 CRR.

The amount to be reported in column 060 of this row shall be the original deduction in accordance with point (b) of Article 36(1) CRR.

170

1.3.2.3. Deferred tax assets that rely on future profitability and do not arise from temporary differences

Point (c) of Article 36(1), Articles 469(1) and 472(5) and Article 478 CRR

When determining the amount of the above-mentioned deferred tax assets (DTA) to be deducted, institutions shall take into account the provisions of Article 38 CRR relating to the reduction of DTA by deferred tax liabilities.

The amount to be reported in column 060 of this row: Total amount in accordance with Article 469(1) CRR.

180

1.3.2.4. IRB shortfall of provisions to expected losses

Point (d) of Articles 36(1), Articles 469(1) and 472(6) and Article 478 CRR

When determining the amount of the above-mentioned IRB shortfall of provisions to expected losses to be deducted, institutions shall take into account the provisions of Article 40 CRR.

The amount to be reported in column 060 of this row: Original deduction in accordance with point (d) of Article 36(1) CRR

190

1.3.2.5. Defined benefit pension fund assets

Point (e) of Article 33(1), Articles 469(1) and 472(7), Articles 473 and 478 CRR

When determining the amount of the above-mentioned defined benefit pension fund assets to be deducted, institutions shall take into account the provisions of Article 41 CRR.

The amount to be reported in column 060 of this row: Original deduction in accordance with point (e) of Article 36(1)CRR

194

1.3.2.5.* of which: Introduction of amendments to IAS 19 – positive item

Article 473 CRR

198

1.3.2.5.** of which: Introduction of amendments to IAS 19 – negative item

Article 473 CRR

200

1.3.2.6. Own instruments

Point (f) of Article 36(1), Articles 469(1) and 472(8) and Article 478 CRR

The amount to be reported in column 060 of this row: Original deduction in accordance with point (f) of Article 36(1)CRR.

210

1.3.2.6.1. Own CET1 instruments

Point (f) of Article 36(1), Articles 469(1) and 472(8) and Article 478 CRR

When determining the amount of the above-mentioned Own Common Equity Tier 1 instruments to be deducted, institutions shall take into account Article 42 CRR.

Given that the treatment of the “residual amount” differs depending upon the nature of the instrument, institutions shall break down holdings in own Common Equity instruments into “direct” and “indirect” holdings.

The amount to be reported in column 060 of this row: Original deduction in accordance with point (f) of Article 36(1) CRR.

211

1.3.2.6.1** of which: Direct holdings

Point (b) of Article 469(1) and point (a) of Article 472(8) CRR

The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation.

212

1.3.2.6.1* of which: Indirect holdings

Point (b) of Article 469(1) and point (b) of Article 472(8) CRR

The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation.

220

1.3.2.6.2. Own AT1 instruments

Point (a) of Article 56, Article 474 and Article 475(2) and Article 478 CRR

When determining the amount of the above-mentioned holdings to be deducted, institutions shall take into account the provisions of Article 57 CRR.

Given that the treatment of the “residual amount” differs depending upon the nature of the instrument (Article 475(2) CRR), institutions shall break down the above-mentioned holdings into “direct” and “indirect” own Additional Tier 1 holdings.

The amount to be reported in column 060 of this row: Original deduction in accordance with point (a) of Article 56CRR.

221

1.3.2.6.2** of which: Direct holdings

222

1.3.2.6.2* of which: Indirect holdings

230

1.3.2.6.3. Own T2 instruments

Point (a) of Article 66, Article 476, Article 477(2) and Article 478 CRR

When determining the amount of the holdings to be deducted, institutions shall take into account the provisions of Article 67 CRR.

Given that the treatment of the “residual amount” differs depending upon the nature of the instrument (Article 477(2) CRR), institutions shall break down the above-mentioned holdings according to “direct” and “indirect” own Tier 2 holdings.

The amount to be reported in column 060 of this row: Original deduction in accordance with point (a) of Article 66 CRR.

231

of which: Direct holdings

232

of which: Indirect holdings

240

1.3.2.7. Reciprocal cross holdings

Given that the treatment of the “residual amount” differs depending whether the holding of Common Equity Tier 1, Additional Tier 1 or Tier 2 in the financial sector entity is to be considered being significant or not (Articles 472(9), 475(3) and 477(3) CRR), institutions shall break down reciprocal cross holdings according to significant investments and non-significant investments.

250

1.3.2.7.1. Reciprocal cross holdings in CET1 Capital

Point (g) of Article 36(1), Articles 469(1) and 472(9) and Article 478 CRR

The amount to be reported in column 060 of this row: Original deduction in accordance with point (g) of Article 36(1)CRR.

260

1.3.2.7.1.1. Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment

Point (g) of Article 36(1), Article 469(1), point (a) of Article 472(9) and Article 478 CRR

The amount to be reported in column 060 of this row: Residual amount in accordance with point (b) of Article 469(1) CRR.

270

1.3.2.7.1.2. Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment

Point (g) of Article 36(1), Article 469(1), point (b) of Article 472(9) and Article 478 CRR

The amount to be reported in column 060 of this row: Residual amount in accordance with point (b) of Article 469(1) CRR

280

1.3.2.7.2. Reciprocal cross holdings in AT1 Capital

Point (b) of Article 56, Article 474, Article 475(3) and Article 478 CRR

The amount to be reported in column 060 of this row: Original deduction in accordance with point (b) of Article 56 CRR

290

1.3.2.7.2.1. Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment

Point (b) of Article 56, Article 474, point (a) of Article 475(3) and Article 478 CRR

The amount to be reported in column 060 of this row: Residual amount in accordance with Article 475(3) CRR

300

1.3.2.7.2.2. Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment

Point (b) of Article 56, Article 474, point (b) of Article 475(3) and Article 478 CRR

The amount to be reported in column 060 of this row: Residual amount in accordance with Article 475(3) CRR.

310

1.3.2.7.3. Reciprocal cross holdings in T2 Capital

Point (b) of Article 66, Article 476, Article 477(3) and Article 478 CRR

The amount to be reported in column 060 of this row: Original deduction in accordance with point (b) of Article 66 CRR

320

1.3.2.7.3.1. Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment

Point (b) of Article 66, Article 476, point (a) of Article 477(3) and Article 478 CRR

The amount to be reported in column 060 of this row: Residual amount in accordance with Article 477(3) CRR.

330

1.3.2.7.3.2. Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment

Point (b) of Article 66, Article 476, point (a) of Article 477(3) and Article 478 CRR

The amount to be reported in column 060 of this row: Residual amount in accordance with Article 477(3) CRR.

340

1.3.2.8. Own funds instruments of financial sector entities where the institution does not have a significant investment

350

1.3.2.8.1. CET1 instruments of financial sector entities where the institution does not have a significant investment

Point (h) of Article 36(1), Articles 469(1) and 472(10) and Article 478 CRR

The amount to be reported in column 060 of this row: Original deduction in accordance with point (h) of Article 36(1) CRR.

360

1.3.2.8.2. AT1 instruments of financial sector entities where the institution does not have a significant investment

Point (c) of Article 56, Article 474, Article 475(4) and Article 478 CRR

The amount to be reported in column 060 of this row: Original deduction in accordance with point (c) of Article 56 CRR

370

1.3.2.8.3. T2 instruments of financial sector entities where the institution does not have a significant investment

Point (c) of Article 66, Article 476, Article 477(4) and Article 478 CRR

The amount to be reported in column 060 of this row: Original deduction in accordance with point (c) of Article 66 CRR.

380

1.3.2.9. Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment

Paragraphs 2 and 3 of Article 470 CRR

The amount to be reported in column 060 of this row: Article 470(1) CRR

385

Deferred tax assets that are dependent on future profitability and arise from temporary differences

Point (c) of Article 469(1), Article 472(5) and Article 478 CRR.

Part of deferred tax assets that rely in future profitability and arise from temporary differences which exceeds the 10 % threshold in point (a) of Article 470(2) CRR.

390

1.3.2.10. Own funds instruments of financial sector entities where the institution has a significant investment

400

1.3.2.10.1. CET1 instruments of financial sector entities where the institution has a significant investment

Point (i) of Article 36(1), Articles 469(1) and 472(11) and Article 478 CRR

The amount to be reported in column 060 of this row: Original deduction in accordance with point (i) of Article 36(1) CRR

410

1.3.2.10.2. AT1 instruments of financial sector entities where the institution has a significant investment

Point (d) of Article 56, Article 474, Article 475(4) and Article 478 CRR

The amount to be reported in column 060 of this row: Original deduction in accordance with point (d) of Article 56CRR.

420

1.3.2.10.2. T2 instruments of financial sector entities where the institution has a significant investment

Point (d) of Article 66, Article 476, Article 477(4) and Article 478 CRR

The amount to be reported in column 060 of this row: Original deduction in accordance with point (d) of Article 66 CRR

425

1.3.2.11. Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items

Article 471 CRR

430

1.3.3. Additional filters and deductions

Article 481 CRR

This row reflects the overall effect of transitional provisions on additional filters and deductions.

In accordance with Article 481 CRR, institutions shall report in item 1.3.3 information relating to the filters and deductions required under the national transposition measures for Articles 57 and 66 of Directive 2006/48/EC and for Articles 13 and 16 of Directive 2006/49/EC, and which are not required in accordance with Part Two.

440

1.3.4. Adjustments due to IFRS 9 transitional arrangements

Institutions shall report information in relation with the transitional arrangements due to IFRS 9 in accordance with the applicable legal provisions.

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

25.

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

1.6.3.1. Instructions concerning specific positions

Columns

010

Amount of instruments plus related share premium

Paragraphs 3, 4 and 5 of Article 484 CRR

Instruments which are eligible for each respective row, including their related share premiums.

020

Base for calculating the limit

Paragraphs 2, 3 and 4 of Article 486 CRR

030

Applicable percentage

Article 486(5) CRR

040

Limit

Paragraphs 2 to 5 of Article 486 CRR

050

(-) Amount that exceeds the limits for grandfathering

Paragraphs 2 to 5 of Article 486 CRR

060

Total grandfathered amount

The amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA5.1.

Rows

010

Instruments that qualified for point (a) of Article 57 of 2006/48/EC

Article 484(3) CRR

The amount to be reported shall include the related share premium accounts.

020

Instruments that qualified for point (ca) of Article 57 and Article 154(8) and (9) of Directive 2006/48/EC, subject to the limit of Article 489 CRR

Article 484(4) CRR

030

2.1. Total instruments without a call or an incentive to redeem

Article 484(4) and Article 489 CRR

The amount to be reported shall include the related share premium accounts.

040

2.2. Grandfathered instruments with a call and incentive to redeem

Article 489 CRR

050

2.2.1. Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 CRR after the date of effective maturity

Article 489(3) and point (a) of Article 491 CRR

The amount to be reported shall include the related share premium accounts.

060

2.2.2. Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 CRR after the date of effective maturity

Article 489(5) and point (a) of Article 491 CRR

The amount to be reported shall include the related share premium accounts.

070

2.2.3. Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 CRR after the date of effective maturity

Article 489(6) and point (c) of Article 491 CRR

The amount to be reported shall include the related share premium accounts

080

2.3. Excess on the limit of CET1 grandfathered instruments

Article 487(1) CRR

The excess on the limit of CET1 grandfathered instruments may be treated as instruments which can be grandfathered as AT1 instruments.

090

Items that qualified for points (e), (f), (g) or (h) of Article 57 of Directive 2006/48/EC, subject to the limit of Article 490 CRR

Article 484(5) CRR

100

3.1. Total items without an incentive to redeem

Article 490 CRR

110

3.2. Grandfathered items with an incentive to redeem

Article 490 CRR

120

3.2.1. Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 CRR after the date of effective maturity

Article 490(3) and point (a) of Article 491 CRR

The amount to be reported shall include the related share premium accounts.

130

3.2.2. Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 CRR after the date of effective maturity

Article 490(5) and point (a) of Article 491 CRR

The amount to be reported shall include the related share premium accounts.

140

3.2.3. Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 CRR after the date of effective maturity

Article 490(6) and point (c) of Article 491 CRR

The amount to be reported shall include the related share premium accounts.

150

3.3. Excess on the limit of AT1 grandfathered instruments

Article 487(2) CRR

The excess on the limit of AT1 grandfathered instruments may be treated as instruments which can be grandfathered as T2 instruments.

GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

2.1. GENERAL REMARKS

26.

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

(a)

Entities within the scope of consolidation;

(b)

Detailed group solvency information;

(c)

Information on the contribution of individual entities to group solvency;

(d)

Information on capital buffers;

27.

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

28.

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

2.2. DETAILED GROUP SOLVENCY INFORMATION

29.

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

30.

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

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

31.

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

32.

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

33.

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

34.

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

35.

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

36.

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

37.

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

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

Columns

Instructions

250-400

ENTITIES WITHIN SCOPE OF CONSOLIDATION

See instructions for C 06.02

410-480

CAPITAL BUFFERS

See instructions for C 06.02

Rows

Instructions

010

TOTAL

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

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

Columns

Instructions

010-060

ENTITIES WITHIN SCOPE OF CONSOLIDATION

This template is designed to gather information on all entities on an entity-by-entity-basis within the scope of consolidation in accordance with Chapter 2 of Title II of Part One CRR.

010

NAME

Name of the entity within the scope of consolidation.

020

CODE

This code is a row identifier and shall be unique for each row in the template.

Code assigned to the entity within the scope of consolidation.

The actual composition of the code depends on the national reporting system.

025

LEI CODE

LEI code stands for Legal Entity Identification code which is a reference code proposed by the Financial Stability Board (FSB) and endorsed by the G20, aimed at achieving a unique and worldwide identification of parties to financial transactions.

Until the global LEI system is fully operational, a Local Operational Unit that has been endorsed by Regulatory Oversight Committee (ROC, detailed information may be found at the following website: www.leiroc.org) assigns pre-LEI codes to counterparties.

Where a Legal Entity Identification code (LEI code) exists for a given counterparty, it shall be used to identify that counterparty.

030

INSTITUTION OR EQUIVALENT (YES/NO)

“YES” shall be reported where the entity is subject to own funds requirements pursuant to CRR and CRD or provisions at least equivalent to Basel provisions.

“NO” shall be reported otherwise.

[image in the official text: not reproduced here] Minority interests:

Point (a)(ii) of Article 81(1) and point (a)(ii) of Article 82(1) CRR

To the effects of minority interests and AT1 and T2 instruments issued by subsidiaries, the subsidiaries whose instruments can be eligible shall be institutions or undertakings subject to the requirements CRR by virtue of applicable national law.

035

TYPE OF ENTITY

The type of entity shall be reported based on the following categories:

(a)

credit institution

Point (1) of Article 4(1)CRR;

(b)

investment firm

Point (2) of Article 4(1) CRR;

(c)

financial institution (other)

Points (20), (21) and (26) of Article 4(1) CRR

Financial institutions within the meaning of Article 4(1)(26) CRR which are not included in any of the categories (d), (f) or (g);

(d)

(mixed) financial holding company

Points (20) and (21) of Article 4(1)CRR;

(e)

ancillary services undertaking

Point (18) of Article 4(1) CRR;

(f)

securitisation special purpose entity (SSPE),

Point (66) of Article 4(1)CRR;

(g)

covered bond company

Entity set up to issue covered bonds or to hold the collateral securing a covered bond, if not included in any of the categories (a), (b) or (d) to (f) above;

(h)

other type of entity

Entity other than those referred to in points (a) to (g).

Where an entity is not subject to CRR and CRD, but subject to provisions at least equivalent to Basel provisions, the relevant category shall be determined on a best effort basis.

040

SCOPE OF DATA: solo fully consolidated (SF) OR solo partially consolidated (SP)

“SF” shall be reported for individual subsidiaries fully consolidated.

“SP” shall be reported for individual subsidiaries partially consolidated.

050

COUNTRY CODE

Institutions shall report the two-letter country code referred to in ISO 3166-2.

060

SHARE OF HOLDING (%)

This percentage refers to the actual share of capital the parent undertaking holds in subsidiaries. In case of full consolidation of a direct subsidiary, the actual share is e.g. 70 %. In accordance with point 16 of Article 4(1) CRR, the share of holding of a subsidiary to be reported results from a multiplication of the shares between the subsidiaries concerned.

070-240

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT

The section of detailed information (i.e. columns 070 to 240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Chapter 2 of Title II of Part One CRR), are effectively subject to solvency requirements laid down in CRR or provisions at least equivalent to Basel provisions (i.e, reported yes in column 030).

Information shall be included about all individual institutions of a consolidated group that are subject to own funds requirements, regardless where they are located.

The information reported in this part shall reflect the local solvency rules of the jurisdiction in which the institution is operating (therefore, for this template, it is not necessary to do a double calculation on an individual basis on the basis of the parent institution’s rules). When local solvency rules differ from CRR and a comparable breakdown is not given, the information shall be completed where data are available in the respective granularity. Therefore, this part is a factual template that summarises the calculations that the individual institutions of a group shall carry out, bearing in mind that some of those institutions may be subject to different solvency rules.

Reporting of fixed overheads of investment firms:

Investment firms shall include own funds requirements related to fixed overheads in their calculation of capital ratio pursuant to Articles 95, 96, 97 and 98 CRR.

The part of the total risk exposure amount related to fixed overheads shall be reported in column 100 of part 2 of this template.

070

TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 080 to 110 shall be reported.

080

CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK

The amount to be reported in this column shall correspond to the sum of risk weighted exposure amounts that are equal or equivalent to the ones that must be reported in row 040 “RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES” and the amounts of own funds requirements that are equal or equivalent to the ones that must be reported in row 490 “TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS” of template CA2.

090

POSITION, FX AND COMMODITY RISKS

The amount to be reported in this column shall correspond to the amount of own funds requirements that are equal or equivalent to the ones that must be reported in row 520 “TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS” of template CA2.

100

OPERATIONAL RISK

The amount to be reported in this column shall correspond to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 590 “TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR)” of the template CA2.

Fixed overheads shall be included in this column including the row 630 “ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS” of template CA2.

110

OTHER RISK EXPOSURE AMOUNTS

The amount to be reported in this column shall correspond to the risk exposure amount not especially listed above. It shall be the sum of the amounts of rows 640, 680 and 690 of template CA2.

120-240

DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS

The information reported in the following columns shall reflect the local solvency rules of the Member State in which the entity or subgroup is operating.

120

OWN FUNDS

The amount to be reported in this column corresponds to the amount of own funds that are equal or equivalent to the ones that must be reported in row 010 “OWN FUNDS” of the template CA1.

130

OF WHICH: QUALIFYING OWN FUNDS

Article 82 CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated and that are institutions.

Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings, share premium accounts and other reserves) owned by persons other than the undertakings and included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting.

140

RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES

Point (b) of Article 87(1)CRR

150

TOTAL TIER 1 CAPITAL

Article 25 CRR

160

OF WHICH: QUALIFYING TIER 1 CAPITAL

Article 82 CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated and that are institutions.

Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

170

RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

Point (b) of Article 85(1) CRR

180

COMMON EQUITY TIER 1 CAPITAL

Article 50 CRR

190

OF WHICH: MINORITY INTERESTS

Article 81 CRR

This column shall only be reported for subsidiaries that are fully consolidated and that are institutions, except for the subsidiaries referred to in Article 84(3) CRR. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required by Article 84 CRR, where relevant, in accordance with Article 84(2), otherwise on a solo basis.

Minority interests are, for the subsidiaries specified above, the CET1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting.

200

RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES

Point (b) of Article 84(1) CRR

210

ADDITIONAL TIER 1 CAPITAL

Article 61 CRR

220

OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

Articles 82 and 83 CRR

This column shall only be provided for the subsidiaries that are fully consolidated and that are institutions, except for the subsidiaries referred to in Article 85(2) CRR. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required in Article 85 CRR, where relevant, in accordance with Article 85(2), otherwise on a solo basis.

Minority interests are, for the subsidiaries specified above, the AT1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting.

230

TIER 2 CAPITAL

Article 71 CRR

240

OF WHICH: QUALIFYING TIER 2 CAPITAL

Articles 82 and 83 CRR

This column shall only be provided for the subsidiaries that are fully consolidated and that are institutions, except for subsidiaries referred to in Article 87(2) CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in Article 87 CRR, if relevant, in accordance with Article 87(2) CRR, otherwise on a solo basis.

Minority interests are, for the subsidiaries specified above, the T2 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provisions, It shall be the eligible amount on the date of reporting.

250-400

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

250-290

CONTRIBUTION TO RISKS

The information reported in the following columns shall be in accordance with the solvency rules applicable to the reporting institution.

250

TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 260 to 290 shall be reported.

260

CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK

The amount to be reported shall be the risk weighted exposure amounts for credit risk and own funds requirements of settlement/delivery risk in accordance with the CRR, excluding any amount related to transactions with other entities included in the group consolidated solvency ratio computation.

270

POSITION, FX AND COMMODITY RISKS

Risk exposure amounts for market risks are to be computed at each entity level in accordance with the CRR. Entities shall report the contribution to the total risk exposure amounts for position, FX and commodity risk of the group. The sum of amounts reported here shall correspond to the amount reported in row 520 “TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS” of the consolidated report.

280

OPERATIONAL RISK

In case of AMA, the reported risk exposure amounts for operational risk shall include the effect of diversification.

Fixed overheads shall be included in this column.

290

OTHER RISK EXPOSURE AMOUNTS

The amount to be reported in this column shall correspond to the risk exposure amount for risks other than listed above.

300-400

CONTRIBUTION TO OWN FUNDS

This part of the template is not intended to impose on institutions a full computation of the total capital ratio at the level of each entity.

Columns 300 to 350 shall be reported for those consolidated entities which contribute to own funds by minority interest, qualifying Tier 1 capital or qualifying own funds. Subject to the threshold referred to in the last paragraph of chapter 2.3 of Part II above, columns 360 to 400 shall be reported for all consolidated entities which contribute to the consolidated own funds.

Own funds brought to an entity by the rest of entities included within the scope of the reporting entity shall not to be taken into account, only the net contribution to the group own funds shall be reported in this column (mainly the own funds raised from third parties and accumulated reserves).

The information reported in the following columns shall be in accordance with the solvency rules applicable to the reporting institution.

300-350

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

The amount to be reported as “QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS” shall be the amount as derived from Title II of Part Two CRR, excluding any fund brought in by other group entities.

300

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

Article 87 CRR

310

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

Article 85 CRR

320

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

Article 84 CRR

The amount to be reported shall the amount of minority interests of a subsidiary that is included in consolidated CET1 in accordance with the CRR.

330

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

Article 86 CRR

The amount to be reported shall the amount of qualifying T1 capital of a subsidiary that is included in consolidated AT1 in accordance with the CRR.

340

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

Article 88 CRR

The amount to be reported shall the amount of qualifying own funds of a subsidiary that is included in consolidated T2 in accordance with the CRR.

350

MEMORANDUM ITEM: GOODWILL (-)/(+) NEGATIVE GOODWILL

360-400

CONSOLIDATED OWN FUNDS

Article 18 CRR

The amount to be reported as “CONSOLIDATED OWN FUNDS” shall be the amount as derived from the balance sheet, excluding any fund brought in by other group entities.

360

CONSOLIDATED OWN FUNDS

370

OF WHICH: COMMON EQUITY TIER 1

380

OF WHICH: ADDITIONAL TIER 1

390

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

The contribution of each entity to the consolidated result (profit or loss (-)) shall be reported. That includes the results attributable to minority interests.

400

OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL

Goodwill or negative goodwill of the reporting entity on the subsidiary shall be reported here.

410-480

CAPITAL BUFFERS

The structure of the reporting of capital buffers for the GS template shall follow the general structure of the template CA4, using the same reporting concepts. When reporting the capital buffers for the GS template, the relevant amounts shall be reported in accordance with the provisions applicable to determine the buffer requirement for the consolidated situation of a group. Therefore, the reported amounts of capital buffers shall represent the contributions of each entity to group capital buffers. The amounts reported shall be based on the national provisions transposing CRD and on CRR, including any transitional provisions provided for therein.

410

COMBINED BUFFER REQUIREMENT

Point (6) of Article 128 CRD

420

CAPITAL CONSERVATION BUFFER

Point (1) of Article 128 and Article 129 CRD

430

INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER

Point (2) of Article 128, Article 130 and Articles 135 to 140 CRD

In this cell the concrete amount of the countercyclical buffer shall be reported.

440

CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE

Point (d)(iv) of Article 458(2) CRR

In this cell, the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested in accordance with Article 458 CRR in addition to the capital conservation buffer, shall be reported.

450

SYSTEMIC RISK BUFFER

Point (5) of Article 128, Articles 133 and 134 CRD

In this cell the amount of the systemic risk buffer shall be reported.

470

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Point (3) of Article 128 and Article 131 CRD

In this cell the amount of the Global Systemically Important Institution buffer shall be reported.

480

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Point (4) of Article 128 and Article 131 CRD

In this cell the amount of the Other Systemically Important Institution buffer shall be reported.

CREDIT RISK TEMPLATES

3.1. GENERAL REMARKS

38.

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

3.1.1. Reporting of CRM techniques with substitution effect

39.

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

40.

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

41.

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

42.

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

43.

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

44.

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

45.

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

3.1.2. Reporting of Counterparty Credit Risk

46.

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

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

3.2.1. General remarks

47.

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

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

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

3.2.2. Scope of the CR SA template

48.

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

49.

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

50.

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

(a)

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

(b)

Exposures deducted from own funds.

51.

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

(a)

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

(b)

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

(c)

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

52.

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

53.

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

54.

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

(a)

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

(b)

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

(c)

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

(d)

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

(e)

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

(f)

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

55.

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

56.

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

57.

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

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

58.

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

(a)

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

(b)

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

59.

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

60.

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

61.

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

62.

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

63.

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

64.

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

Securitisation positions;

Items associated with particular high risk;

Equity exposures

Exposures in default;

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

Exposures secured by mortgages on immovable property;

Other items;

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

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

65.

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

66.

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

67.

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

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

Original exposure pre-conversion factors

Does it fit for being assigned to the exposure class of point (m) of Article 112 CRR?

YES [image in the official text: not reproduced here]

Securitisation positions

NO [image in the official text: not reproduced here]

Does it fit for being assigned to the exposure class of point (k) of Article 112 CRR?

YES [image in the official text: not reproduced here]

Items associated with particular high risk (see also Article 128 CRR)

NO [image in the official text: not reproduced here]

Does it fit for being assigned to the exposure class of point (p) of Article 112 CRR?

YES [image in the official text: not reproduced here]

Equity exposures (see also Article 133 CRR)

NO [image in the official text: not reproduced here]

Does it fit for being assigned to the exposure class of point (j) of Article 112 CRR?

YES [image in the official text: not reproduced here]

Exposures in default

NO [image in the official text: not reproduced here]

Does it fit for being assigned to the exposure classes of points (l) and (o) of Article 112 CRR?

YES [image in the official text: not reproduced here]

Exposures in the form of units or shares in collective investment undertakings (CIU)

Exposures in the form of covered bonds (see also Article 129 CRR)

These two exposure classes are disjoint among themselves (see comments on the look-through approach in the answer above). Therefore the assignment to one of them is straightforward.

NO [image in the official text: not reproduced here]

Does it fit for being assigned to the exposure class of point (i) of Article 112 CRR?

YES [image in the official text: not reproduced here]

Exposures secured by mortgages on immovable property (see also Article 124 CRR)

NO [image in the official text: not reproduced here]

Does it fit for being assigned to the exposure class of point (q) of Article 112 CRR?

YES [image in the official text: not reproduced here]

Other items

NO [image in the official text: not reproduced here]

Does it fit for being assigned to the exposure class of point (n) of Article 112 CRR?

YES [image in the official text: not reproduced here]

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

NO [image in the official text: not reproduced here]

The exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward.

Exposures to central governments or central banks

Exposures to regional governments or local authorities

Exposures to public sector entities

Exposures to multilateral development banks

Exposures to international organisations

Exposures to institutions

Exposures to corporates

Retail exposures

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

3.2.4.1. Exposure Class “Institutions”

68.

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

69.

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

70.

According to paragraphs 6 and 7 of Article 113 CRR an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of that Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC. That means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings within the meaning of Article 12(1) of Council Directive 83/349/EEC ( 8 ) . Therefore intra-group exposures shall be reported in the corresponding exposure class.

3.2.4.2. Exposure Class “Covered Bonds”

71.

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

72.

Bonds referred to in Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council ( 9 ) shall fulfil the requirements of paragraphs 1 and 2 of Article 129 CRR to be classified in the exposure class “Covered Bonds”. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds referred to in Article 52(4) of Directive 2009/65/EC and issued before 31 December 2007 shall also be assigned to the exposure class “Covered Bonds” pursuant to Article 129(6) CRR.

3.2.4.3. Exposure class “Collective Investment Undertakings”

73.

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

3.2.5. Instructions concerning specific positions

Columns

010

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Exposure value calculated in accordance with Article 111 CRR without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) CRR:

For derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to Chapter 6 of Title II of Part Three CRR or subject to point (f) of Article 92(3) CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated in accordance with the methods laid down Chapter 6 of Title II of Part Three CRR.

Exposure values for leases shall be subject to Article 134(7) CRR.

In the case of on-balance sheet netting as laid down in Article 219 CRR, the exposure values shall be reported taking into account the amount of the received cash collateral.

In the case of master netting agreements covering repurchase transactions, securities, commodities lending, borrowing transactions or other capital market driven transactions subject to Chapter 6 of Title II of Part Three CRR, the effect of Funded Credit Protection in the form of master netting agreements referred to in Article 220(4) CRR shall be reflected in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to Chapter 6 of Title II of Part Three CRR, E* as calculated in accordance with Articles 220 and 221 CRR shall be reported in column 010 of the CR SA template.

030

(-) Value adjustments and provision associated with the original exposure

Article 24 and 111 CRR

Value adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject

040

Exposure net of value adjustments and provisions

Sum of columns 010 and 030

050 – 100

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

Credit risk mitigation techniques as defined in point (57) of Article 4(1) CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as described below in “Substitution of the exposure due to CRM”.

Collateral that has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value.

Items to be reported here:

—

collateral, incorporated in accordance with the Financial Collateral Simple Method;

—

eligible unfunded credit protection.

Please also see instructions of point 3.1.1.

050 – 060

Unfunded credit protection: adjusted values (G A )

Article 235 CRR

Article 239(3) CRR contains the formula for the calculation of the adjusted value G A of an unfunded credit protection.

050

Guarantees

Article 203 CRR

Unfunded Credit Protection as defined in point (59) of Article 4(1) CRR which does not include Credit Derivatives.

060

Credit derivatives

Article 204 CRR

070 – 080

Funded credit protection

These columns refer to funded credit protection as defined in point (58) of Article 4(1) CRR and subject to the rules laid down in Articles 196, 197 and 200 CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre-conversion factors).

Investments in credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral.

070

Financial collateral: simple method

Paragraphs 1 and 2 of Article 222 CRR.

080

Other funded credit protection

Article 232 CRR.

090 – 100

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Article 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR

Outflows shall correspond to the covered part of the Original Exposure pre-conversion factors that is deducted from the obligor’s exposure class and subsequently assigned to the protection provider’s exposure class. That amount shall be considered as an inflow into the protection provider’s exposure class.

Inflows and outflows within the same exposure classes shall also be reported.

Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.

110

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS

Amount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

120-140

CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD

Articles 223 to 228 CRR. They also include credit linked notes (Article 218 CRR)

Credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral.

The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, shall be calculated in accordance with Articles 223 to 228 CRR.

120

Volatility adjustment to the exposure

Paragraphs 2 and 3 of Article 223 CRR.

The amount to be reported is the impact of the volatility adjustment to the exposure (EVA-E) = E*He

130

(-) Financial collateral adjusted value (Cvam)

Article 239(2) CRR.

For trading book operations, financial collateral and commodities eligible for trading book exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included.

The amount to be reported corresponds to Cvam = C*(1-Hc-Hfx)(t-t)/(T-t*). For a definition of C, Hc, Hfx, t, T and t* see Sections 4 and 5 of Chapter 4 of Title II of Part Three CRR.

140

(-) Of which: Volatility and maturity adjustments

Article 223(1) CRR and Article 239(2) CRR.

The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)(t-t)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva) = C*(1-Hc-Hfx)[(t-t)/(T-t*)-1]

150

Fully adjusted exposure value (E*)

Article 220(4), Article 223(2) to (5) and Article 228(1) CRR.

160 – 190

Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors

Article 111(1) and point (56) of Article 4(1) CRR. See also Articles 222(3) and 228(1) CRR.

The figures reported shall be the fully adjusted exposure values before application of the conversion factor.

200

Exposure value

Article 111 CRR and Section 4 of Chapter 4 of Title II of Part Three CRR.

Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights in accordance with Article 113 and Section 2 of Chapter 2 of Title II of Part Three CRR.

210

Of which: Arising from Counterparty Credit Risk

For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to Chapter 6 of Title II of Part Three CRR, the exposure value for Counterparty Credit Risk calculated in accordance with the methods laid down in Sections 2 to 5 of Chapter 6 of Title II of Part Three CRR.

215

Risk weighted exposure amount pre SME-supporting factor

Paragraphs 1 to 5 of Article 113CRR, without taking into account the SME-supporting factor laid down in Article 501 CRR.

220

Risk weighted exposure amount after SME-supporting factor

Paragraphs 1 to 5 of Article 113CRR, taking into account the SME-supporting factor laid down in Article 501 CRR.

230

Of which: with a credit assessment by a nominated ECAI

Points (a) to (d), (f), (g), (l), (n), (o) and (q) of Article 112 CRR

240

Of which: with a credit assessment derived from central government

Points (b) to d), (f), (g), (l) and (o) of Article 112 CRR

Rows

Instructions

010

Total exposures

015

of which: Defaulted exposures in exposure classes “items associated with a particular high risk” and “equity exposures”

Article 127 CRR

This row shall only be reported in exposure classes “Items associated with a particular high risk” and “Equity exposures”.

An exposure that is either listed in Article 128(2) CRR or meets the criteria set in Article 128(3) or Article 133 CRR shall be assigned to the exposure class “Items associated with particular high risk” or “Equity exposures”. Consequently, there shall be no other allocation, even in case of an exposure in default as referred to in Article 127 CRR.

020

of which: SME

All exposures to SME shall be reported here.

030

of which: Exposures subject to the SME-supporting factor

Only exposures which meet the requirements of Article 501 CRR shall be reported here.

040

of which: Secured by mortgages on immovable property – Residential property

Article 125 CRR

Only reported in exposure class “Secured by mortgages on immovable property”

050

of which: Exposures under the permanent partial use of the Standardised Approach

Exposures to which the Standardised Approach has been applied in accordance with Article 150(1) CRR

060

of which: Exposures under the Standardised Approach with prior supervisory permission to carry out a sequential IRB implementation

Article 148(1) CRR

070-130

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES

Reporting institution’s “banking book” positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.

Exposures to counterparty credit risk arising from the trading book business of the institution as referred to in point (f) of Article 92(3) and Article 299(2) CRR shall be assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) CRR also break down their “trading book” positions following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.

070

On balance sheet exposures subject to credit risk

Assets referred to in Article 24 CRR not included in any other category.

Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 090, 110 and 130, and therefore shall not be reported in this row.

Free deliveries as referred to in Article 379(1) CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.

Exposures arising from assets posted to a CCP as defined in point (90) of Article 4(1)) CRR shall be included if not reported in row 080.

080

Off balance sheet exposures subject to credit risk

Off-balance sheet positions comprise the items listed in Annex I CRR.

Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 090, 110 and 130 and therefore not be reported in this row.

Exposures arising from assets posted to a CCP as defined in point (90) of Article 4(1) CRR shall be included if they are considered as off-balance sheet items.

090-130

Exposures/Transactions subject to counterparty credit risk

090

Securities Financing Transactions

Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document “The Application of Basel II to Trading Activities and the Treatment of Double Default Effects”, includes: (i) Repurchase and reverse repurchase agreements as defined in point (82) of Article 4(1) CRR as well as securities or commodities lending and borrowing transactions; (ii) margin lending transactions as defined in Article 272(3) CRR.

100

Of which: centrally cleared through a QCCP

Article 306 CRR for qualifying CCPs as defined in point (88) of Article 4(1) CRR in accordance with Article 301(2) CRR.

Trade exposures, as defined in point (91) of Article 4(1) CRR, to a CCP

110

Derivatives and Long Settlement Transactions

Derivatives comprise the contracts listed in Annex II to the CRR.

Long Settlement Transactions as defined in Article 272(2) CRR.

Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 130, shall not be reported in this row.

120

Of which: centrally cleared through a QCCP

Article 306 CRR for qualifying CCPs as defined in point (88) of Article 4(1) CRR in accordance with Article 301(2) CRR

Trade exposures, as defined in point (91) of Article 4(1) CRR, to a CCP

130

From Contractual Cross Product Netting

Exposures that due to the existence of a contractual cross product netting (as defined in Article 272(11) CRR) cannot be assigned to either Derivatives & Long Settlement Transactions or Securities Financing Transactions, shall be included in this row.

140-280

BREAKDOWN OF EXPOSURES BY RISK WEIGHTS

140

0 %

150

2 %

Article 306(1) CRR

160

4 %

Article 305(3) CRR

170

10 %

180

20 %

190

35 %

200

50 %

210

70 %

Point (c) of Article 232(3) CRR.

220

75 %

230

100 %

240

150 %

250

250 %

Articles 133(2) and 48(4) CRR

260

370 %

Article 471 CRR

270

1 250 %

Article 133(2) and Article 379 CRR

280

Other risk weights

This row is not available for exposure classes Government, Corporates, Institutions and Retail.

For reporting those exposures not subject to the risk weights listed in the template.

Paragraphs 1 to 5 of Article 113 CRR.

Unrated nth-to-default credit derivatives under the Standardised Approach (Article 134(6) CRR) shall be reported in this row under the exposure class “Other items”.

See also Article 124(2) and point (b) of Article 152(2) CRR.

290-320

Memorandum Items

See also the explanation of the purpose of the memorandum items in the general section of the CR SA.

290

Exposures secured by mortgages on commercial immovable property

Point (i) of Article 112 CRR

This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property as referred to in Article 124 and 126 CRR the exposures shall be broken down and reported in this row if the exposures are secured by commercial real estate.

300

Exposures in default subject to a risk weight of 100 %

Point (j) of Article 112 CRR

Exposures included in the exposure class “exposures in default” which shall be included in this exposure class if they were not in default.

310

Exposures secured by mortgages on residential property

Point (i) of Article 112 CRR

This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property in accordance with Article 124 and 125 CRR the exposures shall be broken down and reported in this row if the exposures are secured by real estate property.

320

Exposures in default subject to a risk weight of 150 %

Point (j) of Article 112 CRR

Exposures included in the exposure class “exposures in default” which shall be included in this exposure class if they were not in default.

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

3.3.1. Scope of the CR IRB template

74.

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

Credit risk in the banking book, among which:

—

Counterparty credit risk in the banking book;

—

Dilution risk for purchased receivables;

ii.

Counterparty credit risk in the trading book;

iii.

Free deliveries resulting from all business activities.

75.

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

76.

The CR IRB template does not cover the following data:

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

ii.

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

iii.

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

iv.

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

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

77.

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

“NO”

in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)

“YES”

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

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

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

3.3.2. Breakdown of the CR IRB template

78.

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

Total

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

Central banks and central governments

(point (a) of Article 147(2) CRR)

Institutions

(point (b) of Article 147(2) CRR)

4.1)

Corporate – SME

(point (c) of Article 147(2) CRR

4.2)

Corporate – Specialised lending

(Article 147(8) CRR)

4.3)

Corporate – Other

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

5.1)

Retail – Secured by immovable property SME

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

5.2)

Retail – Secured by immovable property non-SME

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

5.3)

Retail – Qualifying revolving

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

5.4)

Retail – Other SME

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

5.5)

Retail – Other non – SME

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

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

3.3.3.1. Instructions concerning specific positions

Columns

Instructions

010

INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 CRR. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures), the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the exposure-weighted average PD.

For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.

It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report in accordance with an internal master scale, that scale shall be used.

Otherwise, the different rating systems shall be merged and ordered in accordance with the following criteria: Obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.

Institutions shall contact their competent authority in advance if they want to report a different number of grades in comparison with the internal number of grades.

For the purposes of weighting the average PD, the exposure value reported in column 110 shall be used. All exposures, including defaulted exposures, are to be considered for the the calculation of the exposure weighted average PD (e.g. for “total exposure”). Defaulted exposures shall be those assigned to the last rating grade/s with a PD of 100 %.

020

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Institutions shall report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors.

The original exposure value shall be reported in accordance with Article 24 CRR and paragraphs 1, 2, 4, 5, 6 and 7 of Article 166 CRR.

The effect resulting from Article 166(3) CRR (effect of on balance sheet netting of loans and deposits) shall be reported separately as Funded Credit Protection and shall therefore not reduce the Original Exposure.

030

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the original exposure pre-conversion factor for all exposures of entities referred to in Article 142(4) and (5) CRR subject to the higher correlation determined in accordance with Article 153(2) CRR.

040-080

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

Credit risk mitigation as defined in point (57) of Article 4(1) CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in “SUBSTITUTION OF THE EXPOSURE DUE TO CRM”.

040-050

UNFUNDED CREDIT PROTECTION

Unfunded credit protection as defined in point (59) of Article 4(1) CRR.

Collateral that has an effect on the exposure (e.g. used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value.

040

GUARANTEES:

Where own estimates of LGD are not used, the Adjusted Value (G A ) as defined in Article 236(3) CRR shall be provided.

When own estimates of LGD are used in accordance with Article 183 CRR, the relevant value used in the internal model shall be reported.

Guarantees shall be reported in column 040 where the adjustment is not made in the LGD. Where the adjustment is made in the LGD, the amount of the guarantee shall be reported in column 150.

Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 220.

050

CREDIT DERIVATIVES:

Where own estimates of LGD are not used, the Adjusted Value (G A ) as defined in Article 236(3) CRR shall be provided.

Where own estimates of LGD are used in accordance with Article 183 CRR, the relevant value used in the internal modelling shall be reported.

Where the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 160.

Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 220.

060

OTHER FUNDED CREDIT PROTECTION

Collateral that has an effect on the exposure (e.g. where used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value.

Where own estimates of LGD are not used, Article 232 CRR shall be applied.

Where own estimates of LGD are used, those credit risk mitigation that complies with the conditions in Article 212 CRR shall be reported. The relevant value used in the internal model shall be reported.

The amount shall be reported in column 060 where the adjustment is not made in the LGD. Where an adjustment is made in the LGD, that amount shall be reported in column 170.

070-080

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Outflows shall correspond to the covered part of the original exposure pre-conversion factors, that is deducted from the obligor’s exposure class and, where relevant, obligor grade or pool, and subsequently assigned to the protection provider’s exposure class and, where relevant, obligor grade or pool. That amount shall be considered as an inflow into the protection provider’s exposure class and, where relevant, obligor grades or pools.

Inflows and outflows within the same exposure classes and, where relevant, obligor grades or pools, shall also be considered.

Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.

090

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS

Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure.

100, 120

Of which: Off Balance Sheet Items

See CR-SA instructions

110

EXPOSURE VALUE

The exposure value determined in accordance with Article 166 CRR and the second sentence of Article 230(1) CRR shall be reported.

For the instruments referred to in Annex I, the credit conversion factors (paragraphs 8, 9 and 10 of Article 166 CRR), irrespective of the approach chosen by the institution, shall be applied.

For rows 040-060 (securities financing transactions, derivatives and long settlement transactions and exposures from contractual cross-product netting), subject to Chapter 6 of Title II of Part Three CRR, the Exposure Value shall be the same as the value for Counterparty Credit Risk calculated in accordance with Sections 3 to 7 of Chapter 6 of Title II of Part Three CRR. Those values shall be reported in this column and not column 130 “Of which: arising from counterparty credit risk”.

130

Of which: Arising from counterparty Credit Risk

See CR SA instructions.

140

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the exposure value for all exposures to entities referred to in Article 142(4) and (5) CRR subject to the higher correlation determined in accordance with Article 153(2) CRR.

150-210

CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT

CRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques shall not be included in these columns.

Where own estimates of LGD are not used, Article 228(2), Article 230(1) and (2) and Article 231 CRR shall be taken into account.

Where own estimates of LGD are used:

—

Regarding unfunded credit protection, for exposures to central governments, central banks, institutions and corporates, Article 161(3) CRR shall be taken into account. For retail exposures, Article 164(2) CRR shall be taken into account.

—

Regarding funded credit protection, the collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR.

150

GUARANTEES

See instructions to column 040.

160

CREDIT DERIVATIVES

See instructions to column 050.

170

OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION

The relevant value used in the internal modelling of the institution.

Those credit risk mitigants that comply with the criteria in Article 212 CRR.

180

ELIGIBLE FINANCIAL COLLATERAL

For trading book operations, financial instruments and commodities eligible for trading book exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included. Credit linked notes and on -balance sheet netting in accordance with Section 4 of Chapter 4 of Title II of Part Three CRR shall be treated as cash collateral.

Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 1 to 4 of Article 193 and Article 194(1) CRR. The adjusted value (Cvam) as set out in Article 223(2) CRR shall be reported.

Where own estimates of LGD are used, the financial collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR. The amount to be reported shall be the estimated market value of the collateral.

190-210

OTHER ELIGIBLE COLLATERAL

Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 1 to 8 of Article 199 CRR and Article 229 CRR.

Where own estimates of LGD are used, other collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR.

190

REAL ESTATE

Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 2, 3 and 4 of Article 199 CRR and shall be reported in this column. Leasing of real estate property shall also be included (see Article 199(7) CRR). See also Article 229 CRR.

Where own estimates of LGD are used, the amount to be reported shall be the estimated market value.

200

OTHER PHYSICAL COLLATERAL

Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 6 and 8 of Article 199 CRR and shall be reported in this column. Leasing of property different from real estate shall also be included (see Article 199(7) CRR). See also Article 229(3) CRR.

Where own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.

210

RECEIVABLES

Where own estimates of LGD are not used, values shall be determined in accordance with Articles 199(5) and 229(2) CRR and shall be reported in this column.

Where own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.

220

SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION

Guarantees and credit derivatives covering exposures subject to the double default treatment taking into account Article 202 and Article 217(1) CRR. See also columns 040 “Guarantees” and 050 “Credit derivatives”.

230

EXPOSURE WEIGHTED AVERAGE LGD (%)

All the impact of CRM techniques on LGD values as specified in Chapters 3 and 4 of Title II of Part Three CRR shall be considered. In- case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) CRR.

For defaulted exposures, point (h) of Article 181(1) CRR shall be taken into account.

The exposure value referred to in column 110 shall be used for the calculation of the exposure-weighted averages.

All effects shall be considered (so the floor applicable to mortgages shall be included in the reporting).

For institutions applying the IRB Approach but not using their own estimates of LGD, the risk mitigation effects of financial collateral shall be reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* as referred to in Article 228(2) CRR.

The exposure weighted average LGD associated to each PD “obligor grade or pool” shall result from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, weighted by the respective exposure value of column 110.

Where own estimates of LGD are applied, Article 175 and paragraphs 1 and 2 of Article 181 CRR shall be taken into account.

In case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) CRR.

The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating system approved by the respective competent authority.

Data shall not be reported for specialised lending exposures referred to in Article 153(5).

Exposures and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, but only be included in the calculation of column 240.

240

EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Exposure weighted average LGD (%) for all exposures to large financial sector entities as defined in Article 142(4) CRR and to unregulated financial sector entities as defined in Article 142(5) CRR subject to the higher correlation determined in accordance with Article 153(2) CRR.

250

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

The value reported shall be determined in accordance with Article 162 CRR. The exposure value (column 110) shall be used for the calculation of the exposure-weighted averages. The average maturity shall be reported in days.

This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts. That means that this column shall not be filled in for the exposure class “retail”.

255

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

For central governments and central banks, corporate and institutions, see paragraphs 1 and 3 of Article 153 CRR. For retail, see Article 154(1) CRR.

The SME-supporting factor referred to in Article 501(1) CRR shall not be taken into account.

260

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

For central governments and central banks, corporate and institutions, see paragraphs 1 and 3 of Article 153 CRR. For retail, see Article 154(1) CRR.

The SME-supporting factor referred to in Article 501(1) CRR shall be taken into account.

270

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the risk weighted exposure amount after SME supporting factor for all exposures to large financial sectors entities as defined in Article 142(4) CRR and to unregulated financial sector entities as defined in Article 142(5) CRR, subject to the higher correlation determined in accordance with Article 153(2) CRR.

280

EXPECTED LOSS AMOUNT

For the definition of Expected Loss, see Article 5(3) CRR and, for the calculation of expected loss amounts, see Article 158 CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating system approved by the respective competent authority.

290

(-) VALUE ADJUSTMENTS AND PROVISIONS

Value Adjustments as well as specific and general credit risk adjustments in accordance with Article 159 CRR shall be reported. General credit risk adjustments shall be reported by assigning the amount pro rata on the basis of the expected loss of the different obligor grades.

300

NUMBER OF OBLIGORS

Paragraphs 1 and 2 of Article 172 CRR.

For all exposure classes, with the exception of the exposure class retail and the cases mentioned in the second sentence of point (e) of Article 172(1) CRR, the institution shall report the number of legal entities/obligors which were separately rated, regardless of the number of different loans or exposures granted.

Within the exposure class retail, or if separate exposures to the same obligor are assigned to different obligor grades in accordance with the second sentence of point (e) of Article 172(1) CRR in other exposure classes, the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172(2) CRR applies, an obligor may be considered in more than one grade.

As this column deals with an element of the structure of the rating systems, it relates to the original exposures pre-conversion factor assigned to each obligor grade or pool without taking into account the effect of CRM techniques (in particular redistribution effects).

Rows

Instructions

010

TOTAL EXPOSURES

015

of which: Exposures subject to SME-supporting factor

Only exposures which meet the requirements of Article 501(2) CRR shall be reported here.

020-060

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

020

On balance sheet items subject to credit risk

Assets referred to in Article 24 CRR shall not be included in any other category.

Free deliveries as referred to in Article 379(1) CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.

Exposures arising from assets posted to a CCP as defined in point (91) of Article 4(1) CRR shall be included if not reported in row 030.

030

Off balance sheet items subject to credit risk

Off-balance sheet items shall comprise those items that are listed in Annex I CRR.

Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting, shall be reported in rows 040-060 and, therefore, not in this row.

Exposures arising from assets posted to a CCP as defined in point (91) of Article 4(1) CRR shall be included if they are considered as off-balance sheet items.

040-060

Exposures/Transactions subject to counterparty credit risk

040

Securities Financing Transactions

Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document “The Application of Basel II to Trading Activities and the Treatment of Double Default Effects”, includes: (i) repurchase and reverse repurchase agreements as defined in point (82) of Article 4(1) CRR as well as securities or commodities lending and borrowing transactions and (ii) margin lending transactions as defined in Article 272(3) CRR.

Securities Financing Transactions, which are included in a Cross Product Netting and therefore reported in row 060, shall not be reported in this row.

050

Derivatives and Long Settlement Transactions

Derivatives comprise those contracts that are listed in Annex II CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 060 shall not be reported in this row.

060

From Contractual Cross Product Netting

See CR SA instructions

070

EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

For exposures to corporates, institutions and central governments and central banks, see point (6) of Article 142(1) and point (c) of Article 170(1) CRR.

For retail exposures see point (b) of Article 170(3) CRR. For exposures arising from purchased receivables, see Article 166(6) CRR.

Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 180.

Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.

A master scale is not used. Instead, institutions shall determine the scale to be used themselves.

080

SPECIALISED LENDING SLOTTING CRITERIA: TOTAL

Article 153(5) CRR. This shall only apply to the exposure classes corporates, institutions and central governments and central banks.

090-150

BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALISED LENDING SLOTTING CRITERIA:

120

Of which: In category 1

Table 1 of Article 153(5) CRR

160

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

Paragraphs 1 and 2 of Article 193, paragraphs 1 to 7 of Article 194 and Article 230(3) CRR

170

EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS

Exposures arising from free deliveries for which the alternative treatment referred to in the last sentence of the first subparagraph of Article 379(2) CRR is used, or for which a 100 % risk weight is applied in accordance with the last subparagraph of Article 379(2) CRR. Unrated nth-to-default credit derivatives in accordance with Article 153(8) CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row.

180

DILUTION RISK: TOTAL PURCHASED RECEIVABLES

See point (53) of Article 4(1) CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157(1) CRR.

In accordance with Article 166(6) CRR, the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation.

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

Column

Instructions

005

Obligor grade (row identifier)

This is a row identifier and shall be unique for each row on a particular sheet of the template. It shall follow the numerical order 1, 2, 3, etc.

010-300

Instructions for each of these columns are the same as for the corresponding numbered columns in CR IRB 1 template.

Row

Instructions

010-001 – 010-NNN

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

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

79.

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

80.

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

81.

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

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

3.4.1.1. Instructions concerning specific positions

Columns

010

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Same definition as for column 010 of CR SA template

020

Defaulted exposures

Original exposure pre-conversion factors for those exposures which have been classified as “exposures in default” and for defaulted exposures assigned to the exposure classes “exposures associated with particularly high risk” or “equity exposures”.

This “memorandum item” shall provide additional information about the obligor structure of defaulted exposures. Exposures classified as “exposures in default” as referred to in point (j) of Article 112 CRR shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes “exposures in default”.

This information is a “memorandum item” – hence does not affect the calculation of risk weighted exposure amounts of exposure classes “exposures in default”, “exposures associated with particularly high risk” or “equity exposures” as referred to in points (j), (k) and (p) of Article 112 CRR.

040

Observed new defaults for the period

The amount of original exposures which have moved into exposure class “Exposures in default” during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.

050

General credit risk adjustments

Credit risk adjustments as referred to in Article 110 CRR.

This item shall include the general credit risk adjustments that are eligible for inclusion in T2 capital, before the application of the cap referred to in point (c) of Article 62 CRR.

The amount to be reported shall be gross of tax effects.

055

Specific credit risk adjustments

Credit risk adjustments as referred to in Article 110 CRR.

060

Write-offs

Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].

070

Credit risk adjustments/write-offs for observed new defaults

Sum of credit risk adjustments and write-offs for those exposures which were classified as “defaulted exposures” during the 3-month period since the last data submission.

075

Exposure value

Same definition as for column 200 of CR SA template

080

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

Same definition as for column 215 of CR SA template

090

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

Same definition as for column 220 of CR SA template

Rows

010

Central governments or central banks

Point (a) of Article 112 CRR

020

Regional governments or local authorities

Point (b) of Article 112 CRR.

030

Public sector entities

Point (c) of Article 112 CRR

040

Multilateral developments banks

Point (d) of Article 112 CRR

050

International organisations

Point (e) of Article 112 CRR

060

Institutions

Point (f) of Article 112 CRR

070

Corporates

Point (g) of Article 112 CRR

075

of which: SME

Same definition as for row 020 of CR SA template

080

Retail

Point (h) of Article 112 CRR

085

of which: SME

Same definition as for row 020 of CR SA template

090

Secured by mortgages on immovable property

Point (i) of Article 112 CRR

095

of which: SME

Same definition as for row 020 of CR SA template

100

Exposures in default

Point (j) of Article 112 CRR

110

Items associated with particularly high risk

Point (k) of Article 112 CRR

120

Covered bonds

Point (l) of Article 112 CRR

130

Claims on institutions and corporates with a short-term credit assessment

Point (n) of Article 112 CRR

140

Collective investments undertakings (CIU)

Point (o) of Article 112 CRR

150

Equity exposures

Point (p) of Article 112 CRR

160

Other exposures

Point (q) of Article 112 CRR

170

Total exposures

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

3.4.2.1. Instructions concerning specific positions

Columns

010

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Same definition as for column 020 of CR IRB template

030

Of which defaulted

Original exposure value for those exposures which have been classified as defaulted exposures in accordance with Article 178 CRR.

040

Observed new defaults for the period

050

General credit risk adjustments

Credit risk adjustments as referred to in Article 110 CRR.

055

Specific credit risk adjustments

Credit risk adjustments as referred to in Article 110 CRR.

060

Write-offs

070

Credit risk adjustments/write-offs for observed new defaults

Sum of credit risk adjustments and write-offs for those exposures which were classified as “defaulted exposures” during the 3-month period since the last data submission.

080

INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

Same definition as for column 010 of CR IRB template

090

EXPOSURE WEIGHTED AVERAGE LGD (%)

Same definition as for columns 230 and 240 of CR IRB template: the exposure weighted average LGD (%) shall refer to all exposures, including exposures to large financial sector entities and unregulated financial entities. Point (h) of Article 181(1) CRR shall apply.

Data shall not be reported for specialised lending exposures referred to in Article 153(5) CRR.

100

Of which: defaulted

Exposure weighted LGD for those exposures which have been classified as defaulted exposures in accordance with Article 178 CRR.

105

Exposure value

Same definition as for column 110 of CR IRB template.

110

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

Same definition as for column 255 of CR IRB template

120

Of which defaulted

Risk weighted exposure amount for those exposures which have been classified as defaulted exposures in accordance with Article 178(1) CRR.

125

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

Same definition as for column 260 of CR IRB template

130

EXPECTED LOSS AMOUNT

Same definition as for column 280 of CR IRB template

Rows

010

Central banks and central governments

Point (a) of Article 147(2) CRR

020

Institutions

Point (b) of Article 147(2) CRR

030

Corporates

All exposures to corporates as referred to in point (c) of Article 147(2) CRR

042

Of which: Specialised lending (excl. SL subject to slotting criteria)

Point (a) of Article 147(8) CRR

Data shall not be reported for specialized lending exposures as referred to in Article 153(5) CRR.

045

Of which: Specialised lending subject to slotting criteria

Point (a) of Article 147(8) and Article 153(5) CRR

050

Of which: SME

Point (c) of Article 147(2) CRR

060

Retail

All retail exposures as referred to in point (d) of Article 147(2) CRR

070

Retail – Secured by real estate property

Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate

080

SME

Retail exposures as referred to in point (d) of Article 147(2) and Article 154(3) CRR which are secured by real estate

090

non-SME

Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate

100

Retail – Qualifying revolving

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

110

Other Retail

Other retail exposures as referred to in point (d) of Article 147(2) CRR which are not reported in rows 070 – 100

120

SME

Other retail exposures as referred to in point (d) of Article 147(2) CRR to SMEs

130

non-SME

Other retail exposures as referred to in point (d) of Article 147(2) CRR to non-SMEs

140

Equity

Equity exposures as referred to in point (e) of Article 147(2) CRR

150

Total exposures

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

3.4.3.1. General remarks

82.

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

83.

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

84.

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

85.

In order to determine the geographical location, the exposures shall be allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014 ( 10 ) . Therefore, CRM techniques shall not change the allocation of an exposure to its geographical location for the purpose of reporting information set out in this template.

3.4.3.2. Instructions concerning specific positions

Columns

010

Amount

The value of the relevant credit exposures and their associated own-funds requirements determined in accordance with the instructions for the respective row.

020

Percentage

030

Qualitative Information

This information shall only be reported for the country of residence of the institution (the jurisdiction corresponding to its home Member State) and the “Total” of all countries.

Institutions shall report either {y} or {n} in accordance with the instructions for the relevant row.

Rows

010-020

Relevant credit exposures – Credit risk

Relevant credit exposures as referred to in point (a) of Article 140(4) CRD.

010

Exposure value under the Standardised Approach

Exposure value calculated in accordance with Article 111 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD.

The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 055.

020

Exposure value under the IRB Approach

Exposure value calculated in accordance with Article 166 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD.

The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 055.

030-040

Relevant credit exposures – Market risk

Relevant credit exposures as referred to in point (b) of Article 140(4) CRD.

030

Sum of long and short positions of trading book exposures for Standardised Approach

Sum of net long and net short positions in accordance with Article 327 CRR of relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapter 2 of Title IV of Part Three CRR:

—

exposures to debt instruments other than securitisation;

—

exposures to securitisation positions in the trading book;

—

exposures to correlation trading portfolios;

—

exposures to equity securities;

—

exposures to CIUs where capital requirements are calculated in accordance with Article 348 CRR.

040

Value of trading book exposures under internal models

For relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapters 2 and 5 of Title IV of Part Three CRR, the sum of the following shall be reported:

—

Fair value of non-derivative positions, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD, determined in accordance with Article 104 CRR.

—

Notional value of derivatives, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD.

055

Relevant credit exposures – Securitisation positions in the banking book

Exposure value calculated in accordance with Article 248 CRR for relevant credit exposures as referred to in point (c) of Article 140(4) CRD.

070-110

Own funds requirements and weights

070

Total own funds requirements for CCB

The sum of rows 080, 090 and 100.

080

Own funds requirements for relevant credit exposures – Credit risk

Own funds requirements calculated in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD, in the country in question.

Own fund requirements for securitisation positions in the banking book shall be excluded from this row and reported in row 100.

The own-funds requirements are 8 % of the risk-weighted exposure amount determined in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR.

090

Own funds requirements for relevant credit exposures – Market risk

Own funds requirements calculated in accordance with Chapter 2 of Title IV of Part Three CRR for specific risk, or in accordance with Chapter 5 of Title IV of Part Three CRR for incremental default and migration risk for relevant credit exposures as referred to in point (b) of Article 140(4) CRD, in the country in question.

The own funds requirements for relevant credit exposures under the market risk framework shall include, among others, the own fund requirements for securitisation positions calculated in accordance with Chapter 2 of Title IV of Part Three, CRR and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 CRR.

100

Own funds requirements for relevant credit exposures – Securitisation positions in the banking book

Own funds requirements calculated in accordance with Chapter 5 of Title II of Part Three CRR for relevant credit exposures as referred to in point (c) of Article 140(4) CRD in the country in question.

The own-funds requirements are 8 % of the risk-weighted exposure amount calculated in accordance with Chapter 5 of Title II of Part Three, CRR.

110

Own funds requirements weights

The weight applied to the countercyclical buffer rate in each country shall be calculated as a ratio of own fund requirements, determined as follows:

Numerator: The total own funds requirements that relate to the relevant credit exposures in the country in question [r070; c010; country sheet],

Denominator: The total own funds requirements that relate to all credit exposures relevant for the calculation of the countercyclical buffer as referred to in Article 140(4) CRD [r070; c010; “Total”].

Information on the Own fund requirements weights shall not be reported for the “Total” of all countries.

120-140

Countercyclical buffer rates

120

Countercyclical capital buffer rate set by the Designated Authority

Countercyclical capital buffer rate set for the country in question by the Designated Authority of that country in accordance with Articles 136, 137, 139, points (a) and (c) of Article 140(2) and point (b) of Article 140(3) CRD.

This row shall be left empty when no countercyclical buffer rate was set for the country in question by the Designated Authority of that country.

Countercyclical capital buffer rates that were set by the Designated Authority but are not yet applicable in the country in question at the reporting reference date shall not be reported.

Information on the Countercyclical capital buffer rate set by the Designated Authority shall not be reported for the “Total” of all countries.

130

Countercyclical capital buffer rate applicable for the country of the institution

Countercyclical capital buffer rate applicable for the country in question which was set by the Designated Authority of the country of residence of the institution, in accordance with Articles 137, 138, 139 and point (b) of Article 140(2) and point (a) of Article 140(3) CRD. Countercyclical capital buffer rates that are not yet applicable at the reporting reference date shall not be reported.

Information on the Countercyclical capital buffer rate applicable in the country of the institution shall not be reported for the “Total” of all countries.

140

Institution-specific countercyclical capital buffer rate

Institution-specific countercyclical capital buffer rate, calculated in accordance with Article 140(1) CRD.

The institution-specific countercyclical capital buffer rate shall be calculated as the weighted average of the countercyclical buffer rates that apply in the jurisdictions where the relevant credit exposures of the institution are located or are applied for the purposes of Article 140 by virtue of paragraphs 2 or 3 of Article 139 CRD. The relevant countercyclical buffer rate shall reported in [r120; c020; country sheet], or [r130; c020; country sheet], as applicable.

The weight applied to the countercyclical buffer rate in each country shall be the share of own funds requirements in total own funds requirements, and shall be reported in [r110; c020; country sheet].

Information on the institution-specific countercyclical capital buffer rate shall only be reported for the “Total” of all countries and not for each country separately.

150 – 160

Use of the 2 % threshold

150

Use of 2 % threshold for general credit exposure

In accordance with point (b) of Article 2(5) of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, the aggregate of which does not exceed 2 % of the aggregate of the general credit, trading book and securitisation exposures of that institution, may be allocated to the institutions’ home Member State. The aggregate of the general credit, trading book and securitisation exposures shall be calculated by excluding the general credit exposures located in accordance with point (a) of Article 2(5) and Article 2(4) of Commission Delegated Regulation (EU) No 1152/2014.

If the institution makes use of this derogation, it shall indicate “y” in the template for the jurisdiction corresponding to its home Member State and for the “Total” of all countries.

If an institution does not make use of this derogation, it shall indicate “n” in the respective cell.

160

Use of 2 % threshold for trading book exposure

In accordance with Article 3(3) of Commission Delegated Regulation (EU) No 1152/2014, institutions may allocate trading book exposures to their home Member State where the total trading book exposures do not exceed 2 % of their total general credit, trading book and securitisation exposures.

If the institution makes use of this derogation, it shall indicate “y” in the template for the jurisdiction corresponding to its home Member State and for the “Total” of all countries.

If an institution does not make use of this derogation, it shall indicate “n” in the respective cell.

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

3.5.1. General remarks

86.

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

87.

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

88.

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

(a)

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

(b)

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

89.

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

90.

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

—

the Simple Risk Weight approach;

—

the PD/LGD approach;

—

the Internal Models approach.

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

91.

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

—

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

—

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

—

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

—

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

—

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

—

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

—

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

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

Columns

005

OBLIGOR GRADE (ROW IDENTIFIER)

The obligor grade shall be a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.

010

INTERNAL RATING SYSTEM

PD ASSIGNED TO THE OBLIGOR GRADE (%)

Institutions applying the PD/LGD approach shall report in column 010 the probability of default (PD) calculated in accordance with Article 165(1) CRR.

The PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements laid down in Section 6 of Chapter 3 of Title II of Part Three CRR. For each individual grade or pool, the PD assigned to that specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.

For figures corresponding to an aggregation of obligor grades or pools (e.g. “total exposures”), the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. All exposures, including defaulted exposures, are to be considered for the purpose of the calculation of the exposure weighted average PD. For the calculation of the exposure-weighted average PD, the exposure value taking into account unfunded credit protection (column 060) shall be used for weighting purposes.

020

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Institutions report in column 020 the original exposure value (pre-conversion factors). In accordance with Article 167 CRR, the exposure value for equity exposures shall be the accounting value remaining after specific credit risk adjustments. The exposure value of off-balance sheet equity exposures shall be its nominal value after specific credit risk adjustments.

Institutions shall also include in column 020 the off balance sheet items referred to in Annex I CRR assigned to the equity exposure class (e.g. “the unpaid portion of partly-paid shares”).

Institutions applying the Simple Risk Weight approach or the PD/LGD approach (as referred to in Article 165(1) CRR) shall also take into account the offsetting referred to in the second subparagraph of Article 155(2) CRR.

030-040

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

UNFUNDED CREDIT PROTECTION

GUARANTEES

CREDIT DERIVATIVES

Irrespective of the approach adopted for the calculation of risk weighted exposure amounts for equity exposures, institutions may recognise unfunded credit protection obtained on equity exposures (Paragraphs 2, 3 and 4 of Article 155 CRR). Institutions applying the Simple Risk Weight approach or the PD/LGD approach shall report in columns 030 and 040 the amount of unfunded credit protection under the form of guarantees (column 030) or credit derivatives (column 040) recognised in accordance with the methods set out in Chapter 4 of Title II of Part Three CRR.

050

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

(-) TOTAL OUTFLOWS

Institutions shall report in column 050 the part of the original exposure pre-conversion factors covered by unfunded credit protection recognised in accordance with the methods set out in Chapter 4 of Title II of Part Three CRR.

060

EXPOSURE VALUE

Institutions applying the Simple Risk Weight approach or the PD/LGD approach shall report in column 060 the exposure value, taking into account substitution effects stemming from unfunded credit protection (Paragraphs 2 and 3 of Article 155 and Article 167 CRR).

In the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 CRR).

070

EXPOSURE WEIGHTED AVERAGE LGD (%)

Institutions applying the PD/LGD approach shall report the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation.

The exposure value taking into account unfunded credit protection (column 060) shall be used for the calculation of the exposure-weighted average LGD.

Institutions shall take into account Article 165(2) CRR.

080

RISK WEIGHTED EXPOSURE AMOUNT

Institutions shall report risk-weighted exposure amounts for equity exposures calculated in accordance with Article 155 CRR.

Where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 CRR, a scaling factor of 1,5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) CRR).

With regard to the input parameter M (Maturity) to the risk-weight function, the maturity assigned to equity exposures equals 5 years (Article 165(3) CRR).

090

MEMORANDUM ITEM: EXPECTED LOSS AMOUNT

Institutions shall report in column 090 the expected loss amount for equity exposures calculated in accordance with paragraphs 4, 7, 8 and 9 of Article 158 CRR.

92.

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

Rows

CR EQU IRB 1 – row 020,

PD/LGD APRROACH: TOTAL

Institutions applying the PD/LGD approach (Article 155(3) CRR) shall report the required information in row 020 of the CR EQU IRB 1 template.

CR EQU IRB 1 – rows 050- 090

SIMPLE RISK WEIGHT APPROACH: TOTAL

BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APPROACH BY RISK WEIGHTS:

Institutions applying the Simple Risk Weight approach (Article 155(2) CRR) shall report the required information in accordance with the characteristics of the underlying exposures in rows 050 to 090.

CR EQU IRB 1 – row 100

INTERNAL MODELS APPROACH

Institutions applying the Internal Models approach (Article 155(4) CRR) shall report the required information in row 100.

CR EQU IRB 1 – row 110

EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS

Institutions applying the IRB Approach shall report risk weighted exposure amounts for those equity exposures which attract a fixed risk weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised Approach). As an example:

—

the risk weighted exposure amount of equity positions in financial sector entities treated in accordance with Article 48(4) CRR, as well as

—

equity positions risk-weighted with 370 % in accordance with Article 471(2) CRR

shall be reported in row 110.

CR EQU IRB 2

BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:

Institutions applying the PD/LGD approach (Article 155(3) CRR) shall report the required information in the CR EQU IRB 2 template.

Institutions using the PD/LGD approach that apply a unique rating system or that are able to report in accordance with an internal master scale shall report in CR EQU IRB 2 the rating grades or pools associated to this unique rating system/master scale. In any other case, the different rating systems shall be merged and ordered in accordance with the following criteria: Obligor grades or pools of the different rating systems shall be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher.

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

3.6.1. General remarks

93.

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

94.

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

95.

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

96.

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

97.

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

98.

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

99.

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

3.6.2. Instructions concerning specific positions

Columns

010

UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE

Institutions shall report the unsettled transactions after their due delivery date at the respective agreed settlement prices as referred to in Article 378 CRR.

All unsettled transactions shall be included in this column, irrespective of whether or not they are at a gain or at a loss after the due settlement date.

020

PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS

Institutions shall report the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution, as referred to in Article 378 CRR.

Only unsettled transactions at a loss after the due settlement date shall be reported in this column.

030

OWN FUNDS REQUIREMENTS

Institutions shall report the own funds requirements calculated in accordance with Article 378 CRR.

040

TOTAL SETTLEMENT RISK EXPOSURE AMOUNT

In accordance with point (b) of Article 92(4) CRR, institutions shall multiply their own funds requirements reported in column 030 by 12,5 in order to obtain the settlement risk exposure amount.

Rows

010

Total unsettled transactions in the Non-trading Book

Institutions shall report aggregated information about settlement/delivery risk for non-trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR).

Institutions shall report in {r010;c010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.

Institutions shall report in {r010;c020} the aggregated information for price difference exposure due to unsettled transactions at a loss.

Institutions shall report in {r010;c030] the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the “price difference” reported in column 020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 CRR).

020 to 060

Transactions unsettled up to 4 days (Factor 0 %)

Transactions unsettled between 5 and 15 days (Factor 8 %)

Transactions unsettled between 16 and 30 days (Factor 50 %)

Transactions unsettled between 31 and 45 days (Factor 75 %)

Transactions unsettled for 46 days or more (Factor 100 %)

Institutions shall report in rows 020 to 060 the information about settlement/delivery risk for non-trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR.

No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.

070

Total unsettled transactions in the Trading Book

Institutions shall report aggregated information about settlement/delivery risk for trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR).

Institutions shall report in {r070;c010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.

Institutions shall report in {r070;c020} the aggregated information for price difference exposure due to unsettled transactions at a loss.

Institutions shall report in {r070;c030} the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the “price difference” reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 CRR).

080 to 120

Transactions unsettled up to 4 days (Factor 0 %)

Transactions unsettled between 5 and 15 days (Factor 8 %)

Transactions unsettled between 16 and 30 days (Factor 50 %)

Transactions unsettled between 31 and 45 days (Factor 75 %)

Transactions unsettled for 46 days or more (Factor 100 %)

Institutions shall report in rows 080 to 120 the information about settlement/delivery risk for trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR.

No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.

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

3.7.1. General remarks

100.

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

101.

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

102.

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

3.7.2. Instructions concerning specific positions

Columns

0010

TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED

Originator institutions shall report the outstanding amount at the reporting date of all current securitisation exposures originated in the securitisation transaction, irrespective of who holds the positions. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, credit default swaps, etc.) that have been originated in the securitisation shall be reported.

In case of traditional securitisations where the originator does not hold any position, the originator shall not consider that securitisation in the reporting of this template. For that purpose, securitisation positions held by the originator shall include early amortisation provisions, as defined in Article 242(16) CRR, in a securitisation of revolving exposures.

0020-0040

SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

Articles 251 and 252 CRR.

Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure.

0020

(-) FUNDED CREDIT PROTECTION (C VA )

The detailed calculation procedure of the volatility-adjusted value of the collateral (C VA ) which shall be reported in this column is laid down in Article 223(2) CRR.

0030

(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

Following the general rule for “inflows” and “outflows”, the amounts reported under this column shall appear as “inflows” in the corresponding credit risk template (CR SA or CR IRB) and exposure class to which the reporting entity allocates the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection).

The calculation procedure of the “foreign exchange risk”- adjusted nominal amount of the credit protection (G*) is laid down in Article 233(3) CRR.

0040

NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount.

The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection.

0050

SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

This column shall include the exposure values of securitisation positions held by the reporting institution, calculated in accordance with paragraphs 1 and 2 of Article 248 CRR, without applying credit conversion factors, gross of value adjustments and provisions, and any non-refundable purchase price discounts on the securitised exposures as referred to in point (d) of Article 248(1) CRR, and gross of value adjustments and provisions on the securitisation position.

Netting shall only be relevant with respect to multiple derivative contracts provided to the same SSPE, covered by an eligible netting agreement.

In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest shall be the result of the aggregation of columns 0010 to 0040.

0060

(-) VALUE ADJUSTMENTS AND PROVISIONS

Article 248 CRR. Value adjustments and provisions to be reported in this column shall only refer to securitisation positions. Value adjustments of securitised exposures shall not be considered.

0070

EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

This column shall include the exposure values of securitisation positions calculated in accordance with paragraphs 1 and 2 of Article 248 CRR, net of value adjustments and provisions, without applying conversion factors and gross of any non-refundable purchase price discounts on the securitised exposures as referred to in point (d) of Article 248(1) CRR, and net of value adjustments and provisions on the securitisation position.

0080-0110

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

Point (57) of Article 4(1) CRR, Chapter 4 of Title II of Part Three, CRR and Article 249 CRR

Institutions shall report in these columns information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows).

Collateral that has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value.

Items to be reported here:

collateral, incorporated in accordance with Article 222 CRR (Financial Collateral Simple Method);

eligible unfunded credit protection.

0080

(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (G A )

Unfunded credit protection as defined in Article 4(1)(59), Articles 234 to 236 CRR.

0090

(-) FUNDED CREDIT PROTECTION

Funded credit protection as defined in Article 4(1)(58) CRR, as referred to in the first subparagraph of Article 249(2) CRR and as regulated in Articles 195, 197 and 200 CRR.

Credit linked notes and on-balance sheet netting as referred to in Articles 218 and 219 CRR shall be treated as cash collateral.

0100-0110

SUBSTITUTION OF THE EXPOSURE DUE TO CRM:

Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall be reported.

0100

(-) TOTAL OUTFLOWS

Article 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR.

Outflows shall correspond to the covered part of the “Exposure net of value adjustments and provisions” that is deducted from the obligor’s exposure class and, where relevant, risk weight or obligor grade, and subsequently assigned to the protection provider’s exposure class and, where relevant, risk weight or obligor grade.

That amount shall be considered as an Inflow into the protection provider’s exposure class and, where relevant, risk weights or obligor grades.

0110

TOTAL INFLOWS

Securitisation positions which are debt securities and are used as eligible financial collateral in accordance with Article 197(1) CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column.

0120

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS

This column shall include the exposures assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to “Credit risk mitigation (CRM) techniques with substitution effects on the exposure”.

0130

(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM)

Articles 223 to 228 CRR

The reported amount shall also include credit linked notes (Article 218 CRR).

0140

FULLY ADJUSTED EXPOSURE VALUE (E*)

The exposure value of securitisation positions calculated in accordance with Article 248 CRR, but without applying the conversion factors laid down in point (b) of Article 248(1) CRR

0150

OF WHICH: SUBJECT TO A CCF OF 0 %

Point (b) of Article 248(1) CRR

In this respect, point (56) of Article 4(1) CRR defines a conversion factor.

For reporting purposes, fully adjusted exposure values (E*) shall be reported for the 0 % conversion factor.

0160

(-)NON REFUNDABLE PURCHASE PRICE DISCOUNT

In accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from the exposure value of a securitisation position which is assigned a 1 250 % risk weight any non-refundable purchase price discounts connected with such underlying exposures to the extent that such discounts have caused the reduction of own funds.

0170

(-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES

In accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from the exposure value of a securitisation position, which is assigned a 1 250 % risk weight or is deducted from Common Equity Tier 1, the amount of the specific credit risk adjustments on the underlying exposures as determined in accordance with Article 110 CRR.

0180

EXPOSURE VALUE

The exposure value of securitisation positions calculated in accordance with Article 248 CRR

0190

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

In accordance with point (b) of Article 244(1), point (b) of Article 245(1) and Article 253(1) CRR, in case of a securitisation position to which a 1 250 % risk weight applies, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position.

0200

EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

Exposure value minus the exposure value deducted from own funds.

0210

SEC-IRBA

Point (a) of Article 254(1) CRR

0220-0260

BREAKDOWN BY RW BANDS

SEC-IRBA exposures broken down by risk-weight bands.

0270

OF WHICH: CALCULATED UNDER ARTICLE 255(4) (PURCHASED RECEIVABLES)

Article 255(4) CRR

For the purpose of this column, retail exposures shall be treated as purchased retail receivables and non-retail exposures as purchased corporate receivables.

0280

SEC-SA

Point (b) of Article 254(1) CRR

0290-0340

BREAKDOWN BY RW BANDS

SEC-SA exposures broken down by risk-weight bands.

For the RW = 1 250 % (W unknown), the fourth paragraph of point (b) of Article 261(2) CRR stipulates that the position in the securitisation shall be risk-weighted at 1 250 % where the institution does not know the delinquency status for more than 5 % of underlying exposures in the pool.

0350

SEC-ERBA

Point (c) of Article 254(1) CRR

0360-0570

BREAKDOWN BY CREDIT QUALITY STEPS (SHORT/LONG TERM CREDIT QUALITY STEPS)

Article 263 CRR

SEC-ERBA Securitisation positions with an inferred rating as referred to in Article 254(2) CRR shall be reported as positions with a rating.

Exposure values subject to risk weights shall be broken down by short and long-term and credit quality steps (CQS) as laid down in Tables 1 and 2 of Article 263 and Tables 3 and 4 of Article 264 CRR.

0580-0630

BREAKDOWN BY REASON FOR APPLICATION OF SEC-ERBA

For each securitisation position, institutions shall consider one of the following options in columns 0580-0620.

0580

AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES

Point (c) of Article 254(2) CRR

All auto loans, auto leases and equipment leases shall be reported in this column, even if they qualify for Article 254(2)(a) or (b) of CRR.

0590

SEC-ERBA OPTION

Article 254(3) CRR

0600

POSITIONS SUBJECT TO POINT (a) OF ARTICLE 254(2) CRR

Point (a) of Article 254(2) CRR

0610

POSITIONS SUBJECT TO POINT (b) OF ARTICLE 254(2) CRR

Point (b) of Article 254(2) CRR

0620

POSITIONS SUBJECT TO ARTICLES 254(4) OR 258(2) CRR

Securitisation positions subject to SEC-ERBA, where the application of SEC-IRBA or SEC-SA has been precluded by the competent authorities in accordance with Articles 254(4) or 258(2) CRR

0630

FOLLOWING THE HIERARCHY OF APPROACHES

Securitisation positions where SEC-ERBA is applied by following the hierarchy of approaches laid down in Article 254(1) CRR

0640

INTERNAL ASSESSMENT APPROACH

Article 254(5) CRR on the “Internal Assessment Approach” (IAA) for positions in ABCP programmes

0650-0690

BREAKDOWN BY RW BANDS

Internal Assessment Approach exposures broken down by risk-weight bands

0700

OTHER (RW = 1 250 %)

Where none of the previous approaches is applied, a risk weight of 1 250 % shall be assigned to securitisation positions in accordance with Article 254(7) CRR.

0710-0860

RISK-WEIGHTED EXPOSURE AMOUNT

Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template.

0840

IAA: AVERAGE RISK WEIGHT (%)

The exposure-weighted average risk weights of the securitisation positions shall be reported in this column.

0860

RWEA OF WHICH: SYNTHETIC SECURITISATIONS

For synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch.

0870

ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

Maturity mismatches in synthetic securitisations RW*-RW(SP), as calculated in accordance with Article 252 CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250 % where the amount to be reported shall be zero. RW(SP) shall not only include the risk weighted exposure amounts reported under column 0650, but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.

0880

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402

( 11 )

In accordance with Article 270a CRR, whenever certain requirements are not met by the institution, competent authorities shall impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1 250 %) which would apply to the relevant securitisation positions under Section 3 of Chapter 5 of Title II of Part Three CRR.

0890

BEFORE CAP

Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, before applying the limits specified in Articles 267 and 268 CRR.

0900

(-) REDUCTION DUE TO RISK WEIGHT CAP

In accordance with Article 267 CRR, an institution which has knowledge at all times of the composition of the underlying exposures may assign the senior securitisation position a maximum risk weight equal to the exposure-weighted-average risk weight that would be applicable to the underlying exposures as if the underlying exposures had not been securitised.

0910

(-) REDUCTION DUE TO OVERALL CAP

In accordance with Article 268 CRR, an originator institution, a sponsor institution or other institution using the SEC-IRBA or an originator institution or sponsor institution using the SEC-SA or the SEC-ERBA may apply a maximum capital requirement for the securitisation position it holds equal to the capital requirements that would be calculated under Chapter 2 or 3 of Title II of Part Three in respect of the underlying exposures had they not been securitised.

0920

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, considering the total risk weight as specified in Article 247(6) CRR.

0930

MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS TO OTHER EXPOSURE CLASSES

Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions.

103.

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

104.

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

Rows

0010

TOTAL EXPOSURES

Total exposures refer to the total amount of outstanding securitisations and re-securitisations. This row summarises all the information reported by originators, sponsors and investors in subsequent rows.

0020

SECURITISATION POSITIONS

Total amount of outstanding securitisation positions, as defined in point (62) of Article 4(1) CRR, which are not re-securitisations as defined in point (63) of Article 4(1) CRR.

0030

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Total amount of securitisation positions which fulfil the criteria of Article 243 or 270 CRR and therefore qualify for differentiated capital treatment.

0040

STS EXPOSURES

Total amount of STS securitisation positions that meet the requirements set out in Article 243 CRR.

0050

SENIOR POSITION IN SMEs SECURITISATIONS

Total amount of senior securitisation positions in SMEs which meet the conditions set out in Article 270 CRR.

0060, 0120, 0170, 0240, 0290, 0360 and 0410

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Paragraphs 1, 4, 5 and 6 of Article 254 and Articles 259, 261, 263, 265, 266 and 269 CRR

Total amount of securitisation positions which do not qualify for differentiated capital treatment.

0070, 0190, 0310 and 0430

RE-SECURITISATION POSITIONS

Total amount of outstanding re-securitisations positions as defined in point (64) of Article 4(1) CRR.

0080

ORIGINATOR: TOTAL EXPOSURES

This row summarises information on on-balance items and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of originator, as defined in point (13) of Article 4(1) CRR.

0090-0130, 0210-0250 and 0330-0370

SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS

In accordance with point (a) of Article 248(1) CRR, the exposure value of an on-balance sheet securitisation position shall be its accounting value remaining after any relevant specific credit risk adjustments on the securitisation position have been applied in accordance with Article 110 CRR.

On-balance sheet items shall be broken down to capture information regarding application of differentiated capital treatment, as referred to in Article 243 CRR, in rows 0100 and 0120 and on the total amount of senior securitisation positions, as defined in Article 242(6) CRR, in rows 0110 and 0130.

0100, 0220 and 0340

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Total amount of securitisation positions which fulfil the criteria of Article 243 CRR and therefore qualify for differentiated capital treatment.

0110, 0130, 0160, 0180, 0230, 0250, 0280, 0300, 0350, 0370, 400 and 420

OF WHICH: SENIOR EXPOSURES

Total amount of senior securitisation positions as defined in Article 242(6) CRR.

0140-0180, 0260-0300 and 0380-0420

SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

These rows shall gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion factor unless otherwise specified.

Off-balance sheet securitisation positions arising from a derivative instrument listed in Annex II to the CRR, shall be determined in accordance with Chapter 6 of Title II of Part Three CRR. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II to the CRR shall be determined in accordance with Chapter 6 of Title II of Part Three CRR.

For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount.

For interest rate and currency swaps, the exposure value (calculated in accordance with Article 248(1) CRR) shall be provided.

Off-balance sheet items and derivatives shall be broken down to capture information regarding the application of differentiated capital treatment, as referred to in Article 270 CRR, in rows 0150 and 0170 and on the total amount of senior securitisation positions, as defined in Article 242(6) CRR, in rows 0160 and 0180. The same legal references as for rows 0100 to 0130 shall apply.

0150, 0270 and 0390

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Total amount of securitisation positions which fulfil the criteria of Article 243 or Article 270 CRR and therefore qualify for differentiated capital treatment.

0200

INVESTOR: TOTAL EXPOSURES

For the purposes of this template, an investor shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.

0320

SPONSOR: TOTAL EXPOSURES

This row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of a sponsor, as defined in point (14) of Article 4(1) CRR. If a sponsor is also securitising its own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets.

0440-0670

BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION

These rows gather information on outstanding positions (at reporting date) for which a credit quality step (as laid down in Tables 1 and 2 of Article 263 and Tables 3 and 4 of Article 264 CRR) was determined at origination date (inception). For securitisations positions treated under IAA, the CQS shall be the one at the time an IAA rating was first assigned. In the absence of this information, the earliest CQS-equivalent data available shall be reported.

These rows are only to be reported for columns 0180-0210, 0280, 0350-0640, 0700-0720, 0740, 0760-0830 and 0850.

3.9. DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

3.9.1. Scope of the SEC DETAILS template

109.

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

110.

These template are to be reported for:

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

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

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

111.

These templates shall be reported by consolidated groups and stand-alone institutions ( 12 ) located in the same country where they are subject to own funds requirements. In case of securitisations involving more than one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided.

112.

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

113.

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

3.9.2. Breakdown of the SEC DETAILS template

113a.

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

113b.

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

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

Columns

005

ROW NUMBER

The row number is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.

010

INTERNAL CODE

Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation transaction.

020

IDENTIFIER OF THE SECURITISATION (Code/Name)

Code used for the legal registration of the securitisation transaction or, if not available, the name by which the securitisation transaction is known in the market, or within the institution in case of an internal or private securitisation. Where the International Securities Identification Number -ISIN- is available (i.e. for public transactions), the characters that are common to all tranches of the securitisation shall be reported in this column.

021

INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION?

This column identifies whether the securitisation is an intra-group, private or public securitisation,

Institutions shall report one of the following abbreviations:

—

“PRI” for Private

—

“INT” for Intra-group

—

“PUB” for Public.

110

ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR)

Institutions shall report the following abbreviations:

—

“O” for Originator;

—

“S” for Sponsor;

—

“I” for Investor.

—

“L” for Original Lender;

Originator as defined in point (13) of Article 4(1) CRR and Sponsor as defined in point (14) of Article 4(1) CRR. Investors are assumed to be those institutions to which Article 5 of Regulation (EU) 2017/2402 applies. In case Article 43(5) of Regulation (EU) 2017/2402 applies, Articles 406 and 407 CRR in the version applicable on 31 December 2018 shall apply.

030

IDENTIFIER OF THE ORIGINATOR (Code/Name)

The LEI code applicable to the originator, or, if not available, the code given by the supervisory authority to the originator or, if that is not available, the name of the institution itself shall be reported in this column.

In the case of multi-seller securitisations where the reporting institution is involved as originator, sponsor or original lender, the reporting institution shall provide the identifier of all the entities within its consolidated group that are involved (as originator, sponsor or original lender) in the transaction. If the code is not available or is not known by the reporting institution, the name of the institution shall be reported.

In the case of multi-seller securitisations where the reporting institution holds a position in the securitisation as an investor, the reporting institution shall provide the identifier of all the different originators involved in the securitisation, or, if not available, the names of the different originators. Where the names are not known by the reporting institution, the reporting institution shall report that the securitisation is “multi-seller”.

040

SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC/ABCP PROGRAMME/ABCP TRANSACTION)

Institutions shall report the following abbreviations:

—

“AP” for ABCP programme;

—

“AT” for ABCP transaction;

—

“T” for Traditional;

—

“S” for Synthetic.

The definitions of “Asset Backed Commercial Paper Programme”, “Asset Backed Commercial Paper Transaction”, “traditional securitisation” and “synthetic securitisation” are provided in points (11) to (14) of Article 242 CRR.

051

ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?

Institutions as originators, sponsors and original lenders shall report one of the following abbreviations:

—

“K” if entirely recognised;

—

“P” if partially derecognised;

—

“R” if entirely derecognised;

—

“N” if not applicable.

This column summarises the accounting treatment of the transaction. Significant risk transfer (SRT) under Articles 244 and 245 CRR shall not affect the accounting treatment of the transaction under the relevant accounting framework.

In the case of securitisations of liabilities, originators shall not report this column.

Option “P” (partially removed) shall be reported where the securitised assets are recognised in the balance sheet to the extent of the reporting entity’s continuing involvement in accordance with IFRS 9.3.2.16 – 3.2.21.

060

SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS?

Originators, only, shall report the following abbreviations:

—

“N” not subject to own funds requirements;

—

“B” banking book;

—

“T” trading book;

—

“A” partly in both books.

Articles 109, 244 and 245 CRR.

This column summarises the solvency treatment of the securitisation scheme by the originator. It indicates whether own funds requirements are calculated on the basis of securitised exposures or securitisation positions (banking book/trading book).

Where own funds requirements are based on securitised exposures (as no significant risk transfer was achieved) the calculation of own funds requirements for credit risk shall be reported in the CR SA template, for those securitised exposures for which the Standardised Approach is used, or in the CR IRB template for those securitised exposures for which the Internal Ratings Based Approach is used by the institution.

Conversely, where own funds requirements are based on securitisation positions held in the banking book (as a significant risk transfer was achieved), the information on the calculation of own funds requirements for credit risk shall be reported in the CR SEC template. In case of securitisation positions held in the trading book , the information on the calculation of own funds requirements for market risk shall be reported in the MKR SA TDI (standardised general position risk) and in the MKR SA SEC or MKR SA CTP (standardised specific position risk) or in the MKR IM (internal models) templates.

In the case of the securitisations of liabilities, originators shall not report this column.

061

SIGNIFICANT RISK TRANSFER

Originators, only, shall report the following abbreviations:

—

“N” Not applied for SRT and the reporting entity risk weights its securitised exposures

—

“A” Achieved SRT under point (a) of Article 244(2) or point (a) of Article 245(2) CRR;

—

“B” Achieved SRT under point (b) of Article 244(2) or point (b) of Article 245(2) CRR;

—

“C” Achieved SRT under point (a) of Article 244(3) or point (a) of Article 245(3) CRR;

—

“D” Applying a 1 250 % RW or deducting retained positions in accordance with point (b) of Article 244(1) or point (b) of Article 245(1) CRR.

This column summarises whether a significant transfer has been achieved and, if so, by which means. The achievement of SRT will determine the appropriate solvency treatment by the originator.

070

SECURITISATION OR RE-SECURITISATION?

In accordance with the definition of “securitisation” in point (61) of Article 4(1) CRR and the definition of “re-securitisation” in point (64) of Article 4(1)CRR, report the type of underlying using the following abbreviations:

—

“S” for securitisation;

—

“R” for re-securitisation.

075

STS SECURITISATION

Article 18 of Regulation (EU) 2017/2402

Report one of the following abbreviations

–

Yes

–

446

SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Articles 243 and 270 CRR.

Institutions shall report one of the following abbreviations

–

Yes

–

“Yes” shall be reported both in case of STS securitisations qualifying for the differentiated capital treatment in accordance with Article 243 CRR and in case of senior positions in (non-STS) SME securitisations eligible for this treatment in accordance with Article 270 CRR.

080-100

RETENTION

Article 6 of the Regulation (EU) 2017/2402. In case Article 43(6) of Regulation (EU) 2017/2402 applies, Article 405 CRR in the version applicable on 31 December 2018,

080

TYPE OF RETENTION APPLIED

For each securitisation scheme originated, the relevant type of retention of net economic interest as envisaged in Article 6 of Regulation (EU) 2017/2402 shall be reported:

A –

Vertical slice (securitisation positions): “ retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to the investors ”.

V –

Vertical slice (securitised exposures): retention of no less than 5 % of the credit risk of each of the securitised exposures, if the credit risk thus retained with respect to such securitised exposures always ranks pari passu with, or is subordinated to, the credit risk that has been securitised with respect to those same exposures.

B –

Revolving exposures: “ in the case of securitisations of revolving exposures, retention of the originator’s interest of no less than 5 % of the nominal value of the securitised exposures ”.

C –

On-balance sheet: “ retention of randomly selected exposures, equivalent to no less than 5 % of the nominal amount of the securitised exposures, where such exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is no less than 100 at origination ”.

D –

First loss: “ retention of the first loss tranche and, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, so that the retention equals in total no less than 5 % of the nominal value of the securitised exposures ”.

E –

Exempted. This code shall be reported for those securitisations affected by the application of Article 6(6) of Regulation (EU) 2017/2402.

U –

In breach or unknown. This code shall be reported where the reporting institution does not know with certainty which type of retention is being applied, or in case of non-compliance.

090

% OF RETENTION AT REPORTING DATE

The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be not less than 5 % (at origination date).

This column shall not be reported where codes “E” (exempted) or “N” (not applicable) are reported under column 080 (Type of retention applied).

100

COMPLIANCE WITH THE RETENTION REQUIREMENT?

Institutions shall report the following abbreviations:

–

Yes;

–

No.

This column shall not be reported where code “E” (exempted) is reported under column 080 (Type of retention applied).

120-130

NON ABCP PROGRAMMES

Because of the special character of ABCP programmes resulting from the fact that they comprise several single securitisation positions, ABCP programmes (as defined in Article 242(11) CRR) shall be exempted from reporting in columns 120, 121 and 130.

120

ORIGINATION DATE (mm/yyyy)

The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported in the following format: “mm/yyyy”.

For each securitisation scheme, the origination date cannot change between reporting dates. In the particular case of securitisation schemes backed by open pools, the origination date shall be the date of the first issuance of securities.

This piece of information shall be reported even where the reporting entity does not hold any positions in the securitisation.

121

DATE OF LATEST ISSUANCE (mm/yyyy)

The month and year of the date of the latest issuance of securities in the securitisation shall be reported in the following format: “mm/yyyy”.

Regulation (EU) 2017/2402 only applies to securitisations the securities of which are issued on or after 1 January 2019. The date of the latest issuance of securities determines whether each securitisation scheme falls under the scope of Regulation (EU) 2017/2402.

This information shall be reported even where the reporting entity does not hold any positions in the securitisation.

130

TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE

This column gathers the amount (calculated on the basis of original exposures pre-conversion factors) of the securitised portfolio at the origination date.

For securitisation schemes backed by open pools, the amount referring to the origination date of the first issuance of securities shall be reported. For traditional securitisations, no other assets of the securitisation pool shall be included. For multi-seller securitisation schemes (i.e. with more than one originator), only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. For securitisations of liabilities, only the amounts issued by the reporting entity shall be reported.

This information shall be reported even where the reporting entity does not hold any positions in the securitisation.

140-225

SECURITISED EXPOSURES

Columns 140 to 225 request information on several features of the securitised portfolio by the reporting entity.

140

TOTAL AMOUNT

Institutions shall report the value of the securitised portfolio at reporting date, i.e. the outstanding amount of the securitised exposures. In the case of traditional securitisations, no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator), only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. In the case of securitisation schemes backed by closed pools (i.e. the portfolio of securitised assets cannot be enlarged after the origination date), the amount will progressively be reduced.

This information shall be reported even where the reporting entity does not hold any positions in the securitisation.

150

INSTITUTION’S SHARE (%)

Institution’s share (percentage with two decimals) at reporting date in the securitised portfolio. The figure to be reported in this column is, by default, 100 %, except for multi-seller securitisation schemes. In that case, the reporting entity shall report its current contribution to the securitised portfolio (equivalent to column 140 in relative terms).

This information shall be reported even where the reporting entity does not hold any positions in the securitisation.

160

TYPE

This column gathers information on the type of assets (“Residential mortgages” to “Other wholesale exposures”) or liabilities (“Covered bonds” and “Other liabilities”) of the securitised portfolio. The institution shall report one of the following options, considering the highest EAD:

Retail:

Residential mortgages;

Credit card receivables;

Consumer loans;

Loans to SMEs (treated as retail);

Other retail exposures.

Wholesale:

Commercial mortgages;

Leasing;

Loans to corporates;

Loans to SMEs (treated as corporates);

Trade receivables;

Other wholesale exposures.

Liabilites:

Covered bonds;

Other liabilities.

Where the pool of securitised exposures is a mix of the types listed above, the institution shall indicate the most important type. In case of re-securitisations, the institution shall refer to the ultimate underlying pool of assets. Type “Other liabilities” includes treasury bonds and credit linked notes.

For securitisation schemes backed by closed pools the type cannot change between reporting dates.

171

% OF IRB IN APPROACH APPLIED

This column gathers information on the approach(es) that at the reporting date the institution would apply to the securitised exposures.

Institutions shall report the percentage of the securitised exposures, measured by exposure value, to which the Internal Ratings Based Approach applies at the reporting date.

This information shall be reported even where the reporting entity does not hold any positions in the securitisation. This column shall, however, not apply to securitisations of liabilities.

180

NUMBER OF EXPOSURES

Article 259(4) CRR.

This column shall be compulsory for those institutions using the SEC-IRBA approach to the securitisation positions (and, therefore, reporting more than 95 % in column 171). The institution shall report the effective number of exposures.

This column shall not be reported in case of a securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets). This column shall not be reported where the reporting institution does not hold any positions in the securitisation. This column shall not be reported by investors.

181

EXPOSURES IN DEFAULT “W” (%)

Article 261(2) CRR.

Even where the institution is not applying the SEC-SA approach to the securitisation positions, the institution shall report the “W” factor (relating to the underlying exposures in default) which is to be calculated as indicated in Article 261(2) CRR.

190

COUNTRY

Institutions shall report the code (ISO 3166-1 alpha-2) of the country of origin of the ultimate underlying of the transaction, i.e. the country of the immediate obligor of the original securitised exposures (look through). Where the pool of the securitisation consists of different countries, the institution shall indicate the most important country. Where no country exceeds a 20 % threshold based on the amount of assets/liabilities, then “other countries” shall be reported.

201

LGD (%)

The exposure-weighted average loss-given-default (LGD) shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 170). The LGD is to be calculated as indicated in Article 259(5) CRR.

This column shall not be reported in case of a securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets).

202

EL (%)

The exposure-weighted average expected loss (EL) of the securitised assets shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 171). In the case of SA securitised assets, the EL reported shall be the specific credit risk adjustments as referred to in Article 111 CRR. The EL shall be calculated as indicated in Section 3, Chapter 3 of Title II, Part Three CRR. This column shall not be reported in case of securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets).

203

UL (%)

The exposure-weighted average unexpected loss (UL) of the securitised assets shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 170). The UL of assets equals the risk-weighted exposure amount (RWEA) times 8 %. RWEA shall be calculated as indicated in Section 2, Chapter 3 of Title II, Part Three CRR. This column shall not be reported in case of securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in the case of a securitisation of assets).

204

EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS

The exposure-weighted average maturity (WAM) of the securitised assets at the reporting date shall be reported by all institutions regardless of the approach used for calculating capital requirements. Institutions shall calculate the maturity of each asset as indicated in points (a) and (f) of Article 162(2) CRR, without applying the 5 year cap.

210

(-) VALUE ADJUSTMENTS AND PROVISIONS

Value adjustments and provisions (Article 159 CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments shall include any amount recognised in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on assets purchased when in default as referred to in Article 166(1) CRR. Provisions shall include accumulated amounts of credit losses in off-balance sheet items.

This column gathers information on the value adjustments and provisions applied to the securitised exposures. This column shall not be reported in the case of a securitisation of liabilities.

This information shall be reported even where the reporting entity does not hold any positions in the securitisation.

221

OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) K IRB

This column shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 171) and gathers information on K IRB , as referred to in Article 255 CRR. K IRB shall be expressed as a percentage (with two decimals).

This column shall not be reported in case of a securitisation of liabilities. In case of a securitisation of assets, this information shall be reported even where the reporting entity does not hold any positions in the securitisation.

222

% OF RETAIL EXPOSURES IN IRB POOLS

IRB pools as defined in Article 242(7) CRR, provided that the institution is able to calculate K IRB in accordance with Section 3 of Chapter 6 of Title II of Part Three CRR on a minimum of 95 % of the underlying exposure amount (Article 259(2) CRR)

223

OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) K sa

Even where the institution does not apply the SEC-SA approach to the securitisation positions, the institution shall report this column. This column gathers information on K SA , as referred to in Article 255(6) CRR. K SA shall be expressed as a percentage (with two decimals).

225

MEMORANDUM ITEMS

225

CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD

Article 110 CRR

230-304

SECURITISATION STRUCTURE

This block of columns gathers information on the structure of the securitisation on the basis of on/off balance sheet positions, tranches (senior/mezzanine/first loss) and maturity at reporting date.

For multi-seller securitisations, only the amount corresponding or attributed to the reporting institution shall be reported.

230-252

ON-BALANCE SHEET ITEMS

This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss).

230-232

SENIOR

230

AMOUNT

The amount of senior securitisation positions as defined in Article 242(6) CRR.

231

ATTACHMENT POINT (%)

The attachment point (%) as referred to in Article 256(1) CRR

232 and 252

CQS

Credit quality steps (CQS) as envisaged for institutions applying SEC-ERBA (Table 1 and 2 in Article 263 and Tables 3 and 4 in Article 264 CRR). These columns shall be reported for all rated transactions irrespective of the approach applied.

240-242

MEZZANINE

240

AMOUNT

The amount to be reported includes:

—

mezzanine securitisation positions as defined in Article 242(18) CRR;

—

additional securitisation positions which are not those positions that are defined in Article 242(6), (17) or (18) CRR.

241

NUMBER OF TRANCHES

Number of mezzanine tranches.

242

CQS OF THE MOST SUBORDINATED ONE

CQS, as determined in accordance with Table 2 of Article 263 and Table 3 of Article 264 CRR, of the most subordinated mezzanine tranche.

250-252

FIRST LOSS

250

AMOUNT

The amount of first loss tranche as defined in Article 242(17) CRR

251

DETACHMENT POINT (%)

The detachment point (%) as referred to in Article 256(2) CRR

260-280

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

This block of columns gathers information on off-balance sheet items and derivatives broken down by tranches (senior/mezzanine/first loss).

The same criteria of classification among tranches used for on-balance sheet items shall be applied here.

290-300

MATURITY

290

FIRST FORESEEABLE TERMINATION DATE

The likely termination date of the whole securitisation in the light of its contractual clauses and the currently expected financial conditions. Generally, it would be the earliest of the following dates:

(i)

the date when a clean-up call option (as defined in Article 242(1) CRR) might first be exercised, taking into account the maturity of the underlying exposure(s) as well as their expected pre-payment rate or potential re-negotiation activities;

(ii)

the date on which the originator may first exercise any other call option embedded in the contractual clauses of the securitisation which would result in the total redemption of the securitisation.

The day, month and year of the first expected termination date shall be reported. The exact day shall be reported where that information is available, otherwise the first day of the month shall be reported.

291

ORIGINATOR’S CALL OPTIONS INCLUDED IN TRANSACTION

Type of call relevant for the first expected termination date:

—

Clean-up call option meeting the requirements of point (g) of Article 244(4) CRR;

—

Other clean-up call option;

—

Other type of call option.

300

LEGAL FINAL MATURITY DATE

The date upon which all principal and interest of the securitisation must be legally repaid (based on the transaction documentation).

The day, month and year of the legal final maturity date shall be reported. The exact day shall be reported where that information is available, otherwise the first day of the month shall be reported.

302-304

MEMORANDUM ITEMS

302

ATTACHMENT POINT OF RISK SOLD (%)

Originators, only, shall report the attachment point of the most subordinated tranche sold to, for traditional securitisations, or protected by, for synthetic securitisations, third parties.

303

DETACHMENT POINT OF RISK SOLD (%)

Originators, only, shall report the detachment point of the most senior tranche sold to, fortraditional securitisations, or protected by, for synthetic securitisations, third parties.

304

RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%)

Originators, only, shall report the Expected Loss (EL) plus the Unexpected loss (UL) of the securitised assets transferred to third parties as a percentage of the total EL plus UL. The EL and UL of the underlying exposures shall be reported, which shall then be allocated via the securitisation waterfall to the respective tranches of the securitisation. For SA banks, EL shall be the specific credit risk adjustment of the securitised assets and the UL shall be the capital requirement of the securitised exposures.

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

113c.

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

SEC-IRBA;

SEC-SA;

SEC-ERBA;

1 250 %.

Columns

005

ROW NUMBER

The row number is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.

010

INTERNAL CODE

Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation transaction.

020

IDENTIFIER OF THE SECURITISATION (Code/Name)

Code used for the legal registration of the securitisation position, or transaction in case of several positions that can be reported in the same row, or, if not available, the name by which the securitisation position or transaction is known in the market, or within the institution in the case of an internal or private securitisation. Where the International Securities Identification Number -ISIN- is available (i.e. for public transactions), the characters that are common to all tranches of the securitisation shall be reported in this column.

310-400

SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

This block of columns gathers information on the securitisation positions broken down by on/off balance sheet positions and the tranches (senior/mezzanine/first loss) at reporting date.

310-330

ON-BALANCE SHEET ITEMS

The same criteria of classification among tranches used for columns 230, 240 and 250 shall be applied here.

340-361

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among tranches used for columns 260 to 280 shall be applied here.

351 and 361

RW CORRESPONDING TO PROTECTION PROVIDER/INSTRUMENT

% RW of the eligible guarantor or % RW of the corresponding instrument that provides credit protection in accordance with Article 249 CRR.

370-400

MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE-CONVERSION FACTORS

This block of columns gathers additional information on the total off-balance sheet items and derivatives (which are already reported under a different breakdown in columns 340-361).

370

DIRECT CREDIT SUBSTITUTES (DCS)

This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS).

In accordance with Annex I to CRR, the following full risk off-balance sheet items shall be regarded as DCS:

—

Guarantees having the character of credit substitutes.

—

Irrevocable standby letters of credit having the character of credit substitutes.

380

IRS/CRS

IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. Those derivatives are listed in Annex II to the CRR.

390

LIQUIDITY FACILITIES

Liquidity facilities (LF) as defined in Article 242(3) CRR.

400

OTHER

Remaining off-balance sheet items.

411

EXPOSURE VALUE

This information is closely related to column 0180 in the CR SEC template.

420

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

This information is closely related to column 0190 in the CR SEC template.

A negative figure shall be reported in this column.

430

TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP

This column gathers information on the risk weighted exposure amount before cap applicable to the securitisation positions (i.e. for securitisation schemes with significant risk transfer). For securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount determined on the basis of securitised exposures), no data shall be reported in this column.

In the case of securitisations of liabilities, this column shall not be reported.

In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 570 of MKR SA SEC, or columns 410 and 420 (the relevant for the own funds requirement) of MKR SA CTP, respectively.

431

(-) REDUCTION DUE TO RISK WEIGHT CAP

Article 267 CRR

432

(-) REDUCTION DUE TO OVERALL CAP

Article 268 CRR

440

TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP

This column gathers information on the risk weighted exposure amount after caps applicable to the securitisation positions (i.e. for securitisation schemes with significant risk transfer). For securitisation schemes without significant risk transfer (i.e. own funds requirements determined on the basis of securitised exposures) no data shall be reported in this column.

In the case of securitisations of liabilities, this column shall not be reported.

In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 600 of MKR SA SEC, or column 450 of MKR SA CTP, respectively.

447-448

MEMORANDUM ITEMS

447

RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA

Articles 263 and 264 CRR. This column shall only be reported for rated transactions before cap and it shall not be reported for transactions under SEC-ERBA.

448

RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA

Articles 261 and 262 CRR. This column shall be reported before cap and it shall not be reported for transactions under SEC-SA.

450-470

SECURITISATION POSITIONS – TRADING BOOK

450

CTP OR NON-CTP?

Institutions shall report the following abbreviations:

C – Correlation Trading Portfolio (CTP);

N – Non-CTP

460-470

NET POSITIONS – LONG/SHORT

See columns 050/060 of MKR SA SEC or MKR SA CTP, respectively.

OPERATIONAL RISK TEMPLATES

4.1. C 16.00 – OPERATIONAL RISK (OPR)

4.1.1. General Remarks

114.

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

115.

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

116.

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

117.

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

118.

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

119.

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

4.1.2. Instructions concerning specific positions

Columns

010-030

RELEVANT INDICATOR

Institutions using the relevant indicator to calculate the own funds requirement for operational risk (BIA, TSA and ASA) shall report the relevant indicator for the respective years in columns 010 to 030. Moreover, in case of a combined use of different approaches as referred in Article 314 CRR, institutions shall also report, for information purposes, relevant the indicator for the activities subject to AMA. The same shall apply for all other AMA banks.

Hereafter, the term “relevant indicator” refers to “the sum of the elements” at the end of the financial year as referred to in point 1 in Table 1 of Article 316 CRR.

Where the institution has less than 3 years of data on “relevant indicator” available, the available historical data (audited figures) shall be assigned by priority to the corresponding columns in the template. Where, for instance, historical data for only one year is available, those data shall be reported in column 030. Where it seems reasonable, the forward looking estimates shall be included in column 020 (estimate of next year) and column 010 (estimate of year +2).

Furthermore, where there are no historical data on “relevant indicator” available, the institution may use forward-looking business estimates.

040-060

LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION)

These columns shall be used to report the amounts of the loans and advances, as referred to in point (b) of Article 319(1) CRR, for business lines “commercial banking” and “retail banking”. Those amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to the alternative standard approach (point (a) of Article 319(1) CRR).

For the “commercial banking” business line, securities held in the non-trading book shall also be included.

070

OWN FUND REQUIREMENT

The own fund requirement shall be calculated in accordance with the approaches used and in accordance withArticles 312 to 324 CRR The resulting amount shall be reported in column 070.

071

TOTAL OPERATIONAL RISK EXPOSURE AMOUNT

Article 92(4) CRR

Own funds requirements in column 070 multiplied by 12,5 .

080

OF WHICH: DUE TO AN ALLOCATION MECHANISM

Where a permission to use the AMA at consolidated level (Article 18(1) CRR) has been granted in accordance with Article 312(2) CRR, operational risk capital shall be allocated between the different entities of the group on the basis of the methodology applied by the institutions to consider diversification effects in the risk measurement system used by a EU parent credit institution and its subsidiaries or jointly by the subsidiaries of an EU parent financial holding company or an EU parent mixed financial holding company. The result of that allocation shall be reported in this column.

090-120

AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE

090

OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES

The own funds requirement reported in column 090 is the one of column 070 but calculated before taking into account the alleviation effects due to expected loss, diversification and risk mitigation techniques (see below).

100

(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES

In column 100, the alleviation of own funds requirements due to expected loss captured in internal business practices (as referred to in point (a) of Article 322(2) CRR) shall reported.

110

(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION

The diversification effect in column 110 shall be the difference between the sum of own funds requirements calculated separately for each operational risk class (i.e. a “perfect dependence” situation) and the diversified own funds requirement calculated by taking into account correlations and dependencies (i.e. assuming less than “perfect dependence” between the risk classes). The “perfect dependence” situation occurs in the “default case”, that is where the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is calculated as the sum of the individual operational risk measures of the chosen risk classes. In that case, the correlation between the risk classes is assumed to be 100 % and the value in the column has to be set to zero. Conversely, where the institution calculates an explicit correlations structure between risk classes, it has to include in this column the difference between the AMA capital as stemming from the “default case” and the AMA capital obtained after applying the correlations structure between the risk classes. The value reflects the “diversification capacity” of the AMA model, that is the ability of the model to capture the not simultaneous occurrence of severe operational risk loss events. In column 110, the amount by which the assumed correlation structure decreases the AMA capital relative to the assumption of 100 % correlation has to be reported.

120

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)

In column 120 the impact of insurance and other risk transfer mechanisms as referred to in Article 323 CRR shall be reported.

Rows

010

BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)

This row shall present the amounts corresponding to activities subject to the BIA to calculate the own funds requirement for operational risk (Articles 315 and 316 CRR).

020

BANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ALTERNATIVE STANDARDISED (ASA) APPROACHES

The own funds requirement calculated in accordance with the TSA and ASA (Articles 317, 318 and 319 CRR) shall be reported.

030-100

SUBJECT TO TSA

Where the TSA is used, the relevant indicator for each respective year shall be distributed in rows 030 to 100 amongst the business lines referred to in Table 2 of Article 317 CRR. The mapping of activities into business lines shall follow the principles described in Article 318 CRR.

110-120

SUBJECT TO ASA

Institutions using the ASA (Article 319 CRR) shall report for the respective years the relevant indicator separately for each business line in rows 030 to 050 and 080 to 100 and in rows 110 and 120 for business lines “commercial banking” and “retail banking”.

Rows 110 and 120 shall present the amount of the relevant indicator of activities subject to ASA, distinguishing between the amount corresponding to the business line “commercial banking” and the amounts corresponding to the business line “retail banking” (Article 319 CRR). There can be amounts for the rows corresponding to “commercial banking” and “retail banking” under the TSA (rows 060 and 070) as well as under the ASA rows 110 and 120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA).

130

BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA

The relevant data for AMA institutions (Article 312(2) and Articles 321, 322 and 323 CRR) shall be reported.

Where different approaches are combined as indicated in Article 314 CRR, information on relevant indicator for activities subject to AMA shall be reported. The same shall apply for all other AMA banks.

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

4.2.1. General Remarks

120.

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

121.

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

122.

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

123.

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

124.

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

125.

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

126.

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

127.

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

128.

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

129.

In order to verify compliance with the criterion laid down in point (i) of Article 5(b)(2)(b) of this Implementing Regulation, an institution shall use the latest statistics as available in the Supervisory Disclosure webpage of EBA to get “the sum of individual balance sheet totals of all institutions within the same Member State”. In order to verify the criterion laid down in point (iii) of Article 5(b)2(b) of this Implementing Regulation, the gross domestic product at market prices as defined in point 8.89 of Annex A to Regulation (EU) No 549/2013 of the European Parliament and of the Council (ESA 2010) ( 13 ) and published by Eurostat for the previous calendar year shall be used.

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

4.2.2.1. General Remarks

130.

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

131.

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

132.

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

133.

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

4.2.2.2. Instructions concerning specific positions

Columns

0010-0070

EVENT TYPES

Institutions shall report the losses in the respective columns 010 to 070 in accordance with the loss event types referred to in Article 324 CRR.

Institutions that calculate their own funds requirement in accordance with the BIA may report those losses for which the loss event type is not identified in column 080 only.

0080

TOTAL LOSS EVENT TYPES

In column 080, for each business line, institutions shall report the total “number of loss events (new loss events)”, the total of “gross loss amount (new loss events)”, the total “number of loss events subject to loss adjustments”, the total of “loss adjustments relating to previous reporting periods”, the “maximum single loss”, the “sum of the five largest losses”, the total of “total direct loss recovery” and the total of “total recovery from insurance and other risk transfer mechanisms”.

Provided that the institution has identified the loss event types for all losses, column 080 shall show the simple aggregation of the number of loss events, the total gross loss amounts, the total loss recovery amounts and the “loss adjustments relating to previous reporting periods” reported in columns 010 to 070.

The “maximum single loss” reported in column 080 shall be the maximum single loss within a business line and identical to the maximum of the “maximum single losses” reported in columns 010 to 070, provided that the institution has identified the loss event types for all losses.

For the sum of the five largest losses, in column 080 the sum of the five largest losses within one business line shall be reported.

0090-0100

MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION

Institutions shall report in columns 090 and 100 the minimum loss thresholds they are using for the internal loss data collection in accordance with the last sentence of point (c) of Article 322(3) CRR.

Where the institution applies only one threshold for in each business line, only column 090 shall be filled in.

Where there are different thresholds applied within the same regulatory business line, the highest applicable threshold (column 100) shall be filled in as well.

Rows

0010-0880

BUSINESS LINES: CORPORATE FINANCE, TRADING AND SALES, RETAIL BROKERAGE, COMMERCIAL BANKING, RETAIL BANKING, PAYMENT AND SETTLEMENT, AGENCY SERVICES, ASSET MANAGEMENT, CORPORATE ITEMS

For each business line referred to in Table 2 of Article 317(4) CRR, including the additional business line “Corporate items” as referred to in point (b) of Article 322(3) CRR, and for each loss event type, the institution shall report, in accordance with the internal thresholds, the following information: number of loss events (new loss events), gross loss amount (new loss events), the number of loss events subject to loss adjustments, loss adjustments relating to previous reporting periods, maximum single loss, sum of the five largest losses, total direct loss recovery and the total recovery from insurance and other risk transfer mechanisms.

For a loss event that affects more than one business line the “gross loss amount” shall be distributed amongst all the affected business lines.

Institutions that calculate their own funds requirement in accordance with the BIA can report those losses for which the business line is not identified in rows 910-980 only.

0010, 0110, 0210, 0310, 0410, 0510, 0610, 0710, 0810

Number of loss events (new loss events)

The number of loss events is the number of loss events for which gross losses were accounted for within the reporting reference period.

The number of loss events shall refer to “new events”, i.e. operational risk events:

(i)

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

(ii)

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

“New loss events” do not include loss events “accounted for the first time” within a previous reporting reference period, which were already included in previous supervisory reports.

0020, 0120, 0220, 0320, 0420, 0520, 0620, 0720, 0820

Gross loss amount (new loss events)

The gross loss amount shall be the gross loss amounts pertinent to operational risk loss events (e.g. direct charges, provisions, settlements). All losses related to a single loss event which are accounted for within the reporting reference period shall be summed up and considered as the gross loss for that loss event for that reporting reference period.

The reported gross loss amount shall refer to “new loss events” as referred to in the row above of this table. For loss events “accounted for the first time” within a previous reporting reference period which were not included in any previous supervisory report, the total loss accumulated until the reporting reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) shall be reported as the gross loss at the reporting reference date.

The amounts to be reported shall not take into account obtained recoveries.

0030, 0130, 0230, 0330, 0430, 0530, 0630, 0730, 0830

Number of loss events subject to loss adjustments

The number of loss events subject to loss adjustments shall be the number of operational risk loss events “accounted for the first time” in previous reporting reference periods and already included in previous reports, for which loss adjustments were made in the current reporting reference period.

Where more than one loss adjustment was made for a loss event within the reporting reference period, the sum of those loss adjustments shall be counted as one adjustment in the period.

0040, 0140, 0240, 0340, 0440, 0540, 0640, 0740, 0840

Loss adjustments relating to previous reporting periods

Loss adjustments relating to previous reporting reference periods shall the sum of the following elements (positive or negative):

(i)

the gross loss amounts pertinent to positive loss adjustments made within the reporting reference period (e.g. increase of provisions, linked loss events, additional settlements) of operational risk events “accounted for the first time” and reported in previous reporting reference periods;

(ii)

the gross loss amounts pertinent to negative loss adjustments made within the reporting reference period (e.g. due to decrease of provisions) of operational risk loss events “accounted for the first time” and reported in previous reporting reference periods.

Where more than one loss adjustment was made for a loss event within the reporting reference period, the amounts of all those loss adjustments shall be summed up, taking into account the sign of the adjustments (positive, negative). That sum shall be considered as the loss adjustment for that loss event for that reporting reference period.

Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that loss event accumulated until the last time when the event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign instead of the amount of the negative loss adjustment itself.

The amounts to be reported shall not take into account obtained recoveries.

0050, 0150, 0250, 0350, 0450, 0550, 0650, 0750, 0850

Maximum single loss

The maximum single loss is the larger of:

(i)

the largest gross loss amount related to a loss event reported for the first time within the reporting reference period; and

(ii)

the largest positive loss adjustment amount (as referred to in rows 0040, 0140, …, 0840 above) related to a loss event reported for the first time within a previous reporting reference period.

The amounts to be reported shall not take into account obtained recoveries.

0060, 0160, 0260, 0360, 0460, 0560, 0660, 0760, 0860

Sum of the five largest losses

The sum of the five largest losses shall be the sum of the five largest amounts amongst:

(i)

the gross loss amounts for loss events reported for the first time within the reporting reference period; and

(ii)

the positive loss adjustment amounts (as defined for rows 0040, 0140, …, 0840 above) relating to loss events reported for the first time within a previous reporting reference period. The amount which can qualify as one of the five largest ones shall be the amount of the loss adjustment itself, not the total loss associated with the respective loss event before or after the loss adjustment.

The amounts to be reported shall not take into account obtained recoveries.

0070, 0170, 0270, 0370, 0470, 0570, 0670, 0770, 0870

Total direct loss recovery

Direct loss recoveries shall be all loss recoveries obtained, except those which are subject to Article 323 CRR as referred to in the row of this table below.

The total direct loss recovery shall be the sum of all the direct recoveries and adjustments to direct recoveries accounted for within the reporting period and pertinent to operational risk loss events accounted for the first time within the reporting reference period or in previous reporting reference periods.

0080, 0180, 0280, 0380, 0480, 0580, 0680, 0780, 0880

Total recovery from insurance and other risk transfer mechanisms

Recoveries from insurance and other risk transfer mechanisms shall be those recoveries which are subject to Article 323 CRR.

The total recovery from insurance and other risk transfer mechanisms shall be the sum of all recoveries from insurance and other risk transfer mechanisms and adjustments to such recoveries accounted for within the reporting reference period and pertinent to operational risk loss events accounted for the first time within the reporting reference period or in previous reporting reference periods.

0910-0980

TOTAL BUSINESS LINES

For each loss event type (column 0010 to 0080), the information on total business lines has to be reported.

0910-0914

Number of loss events

In row 0910, the number of loss events above the internal threshold by loss event types for the total business lines shall be reported. This figure may be lower than the aggregation of the number of loss events by business lines since the loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the BIA cannot identify the business line(s) affected by the loss in every case.

In rows 0911 – 0914, the number of loss events with a gross loss amount within the ranges defined in the pertinent rows of the template shall be reported.

Provided that the institution has assigned all its losses to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” as referred to in point (b) of Article 322(3) CRR or that it has identified the loss event types for all losses, the following shall apply for column 080, as appropriate:

—

The total number of loss events reported in rows 0910 to 0914 shall be equal to the horizontal aggregation of the number of loss events in the corresponding row, because in those figures the loss events with impacts in different business lines shall already have been considered as one loss event.

—

The figure reported in column 0080, row 0910 shall not necessarily be equal to the vertical aggregation of the number of loss events which are included in column 080, because one loss event can have an impact in different business lines simultaneously.

0920-0924

Gross loss amount (new loss events)

Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR, the gross loss amount (new loss events) reported in row 0920 shall be the simple aggregation of the gross loss amounts of new loss events for each business line.

In rows 0921 – 0924, the gross loss amount for loss events with a gross loss amount within the ranges defined in the pertinent rows shall be reported.

0930, 0935, 0936

Number of loss events subject to loss adjustments

In row 0930, the total of the numbers of loss events subject to loss adjustments as reported in rows 0030, 0130, …, 0830 shall be reported. That figure may be lower than the aggregation of the number of loss events subject to loss adjustments by business lines since loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the BIA cannot identify the business line(s) affected by the loss in every case.

The number of loss events subject to loss adjustments shall be broken down into the number of loss events for which a positive loss adjustment was made within the reporting reference period and the number of loss events for which a negative loss adjustment was made within the reporting period (all reported with a positive sign).

0940, 0945, 0946

Loss adjustments relating to previous reporting periods

In row 0940, the total of the loss adjustment amounts relating to previous reporting periods per business lines (as reported in rows 0040, 0140, …, 0840) shall be reported. Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR, the amount reported in row 0940 shall be the simple aggregation of the loss adjustments relating to previous reporting periods reported for the different business lines.

The amount of loss adjustments shall be broken down into the amount related to loss events for which a positive loss adjustment was made in the reporting reference period (row 0945, reported with as positive figure) and the amount related to loss events for which a negative loss adjustment was made within the reporting period (row 0946, reported as negative figure). Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that loss event accumulated until the last time when the loss event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign in row 946 instead of the amount of the negative loss adjustment itself.

0950

Maximum single loss

Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR, the maximum single loss shall be the maximum loss over the internal threshold for each loss event type and amongst all business lines. Those figures may be higher than the highest single loss recorded in each business line where a loss event impacts different business lines.

—

The maximum single loss reported shall be equal to the highest of the values reported in columns 0010 – 0070 of this row.

—

Where there are loss events having an impact in different business lines, the amount reported in {r950, c080} may be higher than the amounts of “Maximum single loss” per business line reported in other rows of column 080.

0960

Sum of the five largest losses

The sum of the five largest gross losses for each loss event type and amongst all business lines shall be reported. That sum may be higher than the highest sum of the five largest losses recorded in each business line. That sum has to be reported regardless of the number of losses.

Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR and that it has identified the loss event types for all losses, for column 0080, the sum of the five largest losses shall be the sum of the five largest losses in the whole matrix, which means that it is not necessarily equal to either the maximum value of “sum of the five largest losses” in row 0960 or the maximum value of “sum of the five largest losses” in column 0080.

0970

Total direct loss recovery

Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR, the total direct loss recovery shall be the simple aggregation of the total direct loss recovery for each business line.

0980

Total recovery from insurance and other risk transfer mechanisms

Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR, the total recovery from insurance and other risk transfer mechanisms shall be the simple aggregation of the total loss recovery from insurance and other risk transfer mechanisms for each business line.

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

4.2.3.1. General Remarks

134.

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

135.

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

(a)

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

(b)

136.

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

Subject to that threshold:

(a)

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

(b)

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

(c)

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

(d)

A loss event shall only be considered once.

4.2.3.2. Instructions concerning specific positions

Columns

0010

Event ID

The event ID is a row identifier and shall be unique for each row in the template.

Where an internal ID is available, institutions shall provide the internal ID. Otherwise, the reported ID shall follow the numerical order 1, 2, 3, etc.

0020

Date of Accounting

Date of accounting means the date where a loss or reserve/provision against an operational risk loss was first recognised in the Profit and Loss statement.

0030

Date of occurrence

Date of occurrence shall be the date when the operational risk loss event happened or first began.

0040

Date of discovery

Date of discovery shall be the date on which the institution became aware of the operational risk loss event.

0050

Loss event type

Loss event types as referred to in Article 324 CRR.

0060

Gross loss

Gross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01

0070

Gross loss net of direct recoveries

Gross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01, net of direct recoveries pertinent to that loss event

0080 – 0160

Gross loss by business line

The gross loss as reported in column 0060 shall be allocated to the relevant business lines as referred to in Table 2 of Article 317(4) CRR and point (b) of Article 322(3) CRR.

0170

Legal Entity name

Name of the legal entity as reported in column 010 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.

0180

Legal Entity ID

LEI code of the legal entity as reported in column 025 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.

0190

Business Unit

Business unit or corporate division of the institution where the loss – or the greatest share of the loss if several business units or corporate divisions were affected – occurred.

0200

Description

Narrative description of the loss event, where necessary in a generalised or anonymised manner, which shall comprise at least information about the event itself and information about the drivers or causes of the loss event, where known.

MARKET RISK TEMPLATES

137.

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

138.

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

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

5.1.1. General Remarks

139.

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

140.

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

5.1.2. Instructions concerning specific positions

Columns

010-020

ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties in accordance with the second sentence of the first subparagraph of Article 345(1) CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) CRR.

030-040

NET POSITIONS (LONG AND SHORT)

Articles 327 to 329 and Article 334 CRR. Regarding the distinction between Long and Short positions, see Article 328(2) CRR.

050

POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, in accordance with the different approaches considered in Chapter 2 of Title IV of Part Three CRR, receive a capital charge.

060

OWN FUNDS REQUIREMENTS

The capital charge for any relevant position in accordance with Chapter 2 of Title IV of Part Three CRR.

070

TOTAL RISK EXPOSURE AMOUNT

Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5 .

Rows

010-350

TRADED DEBT INSTRUMENTS IN TRADING BOOK

Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk in accordance with point (b)(i) of Article 92(3) CRR and Chapter 2 of Title IV of Part Three CRR shall be reported depending on risk category, maturity and approach used.

011

GENERAL RISK.

012

Derivatives

Derivatives included in the calculation of interest rate risk of trading book positions, taking into account Articles 328 to 331 CRR, where applicable.

013

Other assets and liabilities

Instruments other than derivatives included in the calculation of interest rate risk of trading book positions.

020-200

MATURITY BASED APPROACH

Positions in traded debt instruments subject to the maturity-based approach referred to in paragraphs 1 to 8 of Article 339 CRR and the corresponding own funds requirements calculated in accordance with Article 339(9) CRR. The position shall be split by zones 1, 2 and 3 and those zones shall be split by the maturity of the instruments.

210-240

GENERAL RISK. DURATION BASED APPROACH

Positions in traded debt instruments subject to the duration-based approach referred to in paragraphs 1 to 6 of Article 340 CRR and the corresponding own funds requirements calculated in accordance with Article 340(7) CRR. The position shall be split by zones 1, 2 and 3.

250

SPECIFIC RISK

Sum of amounts reported in rows 251, 325 and 330.

Positions in traded debt instruments subject to the specific risk capital requirements and their corresponding capital requirements in accordance with point (b) of Article 92(3) and Article 335, paragraphs 1, 2 and 3 of Article 336 and Articles 337 and 338 CRR. Be also aware of the last sentence in Article 327(1) CRR.

251-321

Own funds requirement for non-securitisation debt instruments

Sum of the amounts reported in rows 260 to 321.

The own funds requirement of the n-th to default credit derivatives which are not rated externally shall be calculated by summing up the risk weights of the reference entities (point (e) of Article 332(1) CRR and the second subparagraph of Article 332(1) CRR – “look-through”). N-th-to-default credit derivatives which are rated externally (the third subparagraph of Article 332(1) CRR) shall be reported separately in line 321.

Reporting of positions subject to Article 336(3) CRR: There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book in accordance with Article 129(3) CRR (covered bonds). The specific own funds requirements shall be half of the percentage of the second category referred to in Table 1 of Article 336 CRR. Those positions have to be assigned to rows 280-300 in accordance with the residual term to final maturity.

Where the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 CRR shall be applied.

325

Own funds requirement for securitisation instruments

Total own funds requirements reported in column 610 of template MKR SA SEC. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI.

330

Own funds requirement for the correlation trading portfolio

Total own funds requirements reported in column 450 of template MKR SA CTP. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI.

350-390

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 329(3) CRR.

The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.

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

5.2.1. General Remarks

141.

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

142.

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

143.

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

5.2.2. Instructions concerning specific positions

Columns

010-020

ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) CRR in conjunction with Article 337 CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to those gross positions, see Article 328(2) CRR.

030-040

(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

Point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR

050-060

NET POSITIONS (LONG AND SHORT)

Articles 327, 328, 329 and 334 CRR. Regarding the distinction between long and short positions, see Article 328(2) CRR.

061-104

BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS

Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR.

The breakdown shall be done separately for long and short positions.

402-406

BREAKDOWN OF THE NET POSITIONS BY APPROACHES

Article 254 CRR

402

SEC-IRBA

Article 259 and 260 CRR

403

SEC-SA

Article 261 and 262 CRR

404

SEC-ERBA

Article 263 and 264 CRR

405

INTERNAL ASSESSMENT APPROACH

Articles 254 and 265 CRR and Article 266(5) CRR.

406

OTHER (RW = 1 250 %)

Article 254(7) CRR

530-540

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402

Article 270a CRR

570

BEFORE CAP

Article 337 CRR, without taking into account the discretion of Article 335 CRR which allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss.

601

AFTER CAP/TOTAL OWN FUND REQUIREMENTS

Article 337 CRR, taking into account the discretion of Article 335 CRR.

Rows

010

TOTAL EXPOSURES

Total amount of outstanding securitisations and re-securitisations (held in the trading book) reported by the institution playing the role/s of originator or investor or sponsor.

040, 070 and

100

SECURITISATION POSITIONS

Point 62 of Article 4(1) CRR.

020, 050,

080 and110

RE-SECURITISATIONS POSITIONS

Point 64 of Article 4(1) CRR

041, 071 and 101

OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Total amount of securitisation positions which fulfil the criteria of Article 243 CRR or Article 270 CRR and therefore qualify for differentiated capital treatment.

030-050

ORIGINATOR

Point (13) of Article 4(1) CRR

060-080

INVESTOR

Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender.

090-110

SPONSOR

Point (14) of Article 4(1) CRR.

A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets.

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

5.3.1. General Remarks

144.

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

145.

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

146.

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

147.

5.3.2. Instructions concerning specific positions

Columns

010-020

ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) CRR in conjunction paragraphs 2 and 3 of Article 338 CRR (positions assigned to the Correlation Trading Portfolio)

Regarding the distinction between long and short positions, also applicable to those gross positions, see Article 328(2) CRR.

030-040

(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

Article 253 CRR

050-060

NET POSITIONS (LONG AND SHORT)

Articles 327, 328, 329 and 334 CRR

Regarding the distinction between long and short positions, see Article 328(2) CRR.

071-097

BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS

Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR

402-406

BREAKDOWN OF THE NET POSITIONS BY APPROACHES

Article 254 CRR

402

SEC-IRBA

Articles 259 and 260 CRR

403

SEC-SA

Articles 261 and 262 CRR

404

SEC-ERBA

Articles 263 and 264 CRR

405

INTERNAL ASSESSMENT APPROACH

Articles 254 and 265 and Article 266(5) CRR.

406

OTHER (RW = 1 250 %)

Article 254(7) CRR

410-420

BEFORE CAP – WEIGHTED NET LONG/SHORT POSITIONS

Article 338 CRR, without taking into account the discretion of Article 335 CRR

430-440

AFTER CAP – WEIGHTED NET LONG/SHORT POSITIONS

Article 338 CRR, taking into account the discretion of Article 335 CRR

450

TOTAL OWN FUNDS REQUIREMENTS

The own funds requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (column 430) or (ii) the specific risk charge that would apply just to the net short positions (column 440).

Rows

010

TOTAL EXPOSURES

Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor.

020-040

ORIGINATOR

Point (13) of Article 4(1) CRR

050-070

INVESTOR

Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender

080-100

SPONSOR

Point (14) of Article 4(1) CRR

A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets.

030, 060 and 090

SECURITISATION POSITIONS

The correlation trading portfolio shall comprise securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set out in paragraphs 2 and 3 of Article 338 CRR.

Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row “Other CTP positions”.

110

N-TH-TO-DEFAULT CREDIT DERIVATIVES

N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives in accordance with Article 347 CRR shall both be reported here.

The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives.

040, 070, 100 and 120

OTHER CTP POSITIONS

The following positions are included:

—

Derivatives of securitisation exposures that provide a pro-rata share, as well as positions hedging CTP positions;

—

CTP positions hedged by credit derivatives in accordance with Article 346 CRR;

—

Other positions that satisfy Article 338(3) CRR.

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

5.4.1. General Remarks

148.

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

149.

The template has to be filled out separately for the “Total”, plus a static, pre-defined list of the following markets: Bulgaria, Croatia, Czech Republic, Denmark, Egypt, Hungary, Iceland, Liechtenstein, Norway, Poland, Romania, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA, Euro Area plus one residual template for all other markets. For the purpose of this reporting requirement, the term “market” shall be read as “country” (except for countries belonging to the Euro Area, see Commission Delegated Regulation (EU) No 525/2014 ( 14 ) .

5.4.2. Instructions concerning specific positions

Columns

010-020

ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) CRR.

These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties as referred to in the second sentence of the first subparagraph of Article 345(1) CRR.

030-040

NET POSITIONS (LONG AND SHORT)

Articles 327, 329, 332, 341 and 345 CRR.

050

POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, in accordance with the different approaches considered in Chapter 2 of Title IV of Part Three CRR receive a capital charge. The capital charge has to be calculated for each national market separately. Positions in stock-index futures as referred to in the second sentence of Article 344(4) CRR shall not be included in this column.

060

OWN FUNDS REQUIREMENTS

The own funds requirement in accordance with Chapter 2 of Title IV of Part Three CRR for any relevant position

070

TOTAL RISK EXPOSURE AMOUNT

Point (b) of Article 92(4) CRR.

Result of the multiplication of the own funds requirements by 12,5 .

Rows

010-130

EQUITIES IN TRADING BOOK

Own funds requirements for position risk as referred to in point (b)(i) of Article 92(3) CRR and Section 3 of Chapter 2 of Title IV of Part Three CRR.

020-040

GENERAL RISK

Positions in equities subject to general risk (Article 343 CRR) and their correspondent own funds requirement in accordance with Section 3 of Chapter 2 of Title IV of Part Three CRR

Both breakdowns (021/022 as well as 030/040) are a breakdown related to all positions subject to general risk.

Rows 021 and 022 request information on the breakdown by instruments.

Only the breakdown in rows 030 and 040 shall be used as a basis for the calculation of own funds requirements.

021

Derivatives

Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332 CRR, where applicable

022

Other assets and liabilities

Instruments other than derivatives included in the calculation of equity risk of trading book positions.

030

Exchange traded stock-index futures broadly diversified and subject to a particular approach

Exchange traded stock-index futures broadly diversified and subject to a particular approach in accordance with Commission Implementing Regulation (EU) No 945/2014 ( 15 )

Those positions shall be only subject to general risk and, accordingly, must not be reported in row 050.

040

Other equities than exchange traded stock-index futures broadly diversified

Other positions in equities subject to specific risk as well as the correspondent own funds requirements in accordance with Article 343 CRR, including positions in stock index futures treated in accordance with Article 344(3) CRR

050

SPECIFIC RISK

Positions in equities subject to specific risk and the correspondent own funds requirement in accordance with Article 342 CRR, excluding positions in stock-index futures treated in accordance with the second sentence of Article 344(4) CRR

090-130

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Paragraphs 2 and 3 of Article 329 CRR

The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

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

5.5.1. General Remarks

150.

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

151.

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

5.5.2. Instructions concerning specific positions

Columns

020-030

ALL POSITIONS (LONG AND SHORT)

Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) CRR

In accordance with Article 352(2) CRR and subject to permission from competent authorities, positions taken to hedge against the adverse effect of the exchange rate on their ratios in accordance with Article 92(1) CRR and positions related to items that are already deducted in the calculation of own funds shall not be reported.

040-050

NET POSITIONS (LONG AND SHORT)

Article 352(3), the first two sentences of Article 352(4), and Article 353 CRR

The net positions are calculated by each currency in accordance with Article 352(1) CRR. Consequently, both long and short positions may be reported at the same time.

060-080

POSITIONS SUBJECT TO CAPITAL CHARGE

The third sentence of Article 352(4) and Articles 353 and 354 CRR

060-070

POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT)

The long and short net positions for each currency shall be calculated by deducting the total of short positions from the total of long positions.

Long net positions for each operation in a currency shall be added to obtain the long net position in that currency.

Short net positions for each operation in a currency shall be added to obtain the short net position in that currency.

Unmatched positions in non-reporting currencies shall be added to positions subject to capital charges for other currencies (row 030) in column 060 or 070, depending on their short or long arrangement.

080

POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED)

Matched positions for closely correlated currencies.

090

OWN FUNDS REQUIREMENTS

The capital charge for any relevant position in accordance with Chapter 3 of Title IV of Part Three CRR

100

TOTAL RISK EXPOSURE AMOUNT

Point (b) of Article 92(4) CRR.

Result of the multiplication of the own funds requirements by 12,5 .

Rows

010

TOTAL POSITIONS

All positions in non-reporting currencies and those positions in the reporting currency that are considered for the purposes of Article 354 CRR as well as their correspondent own funds requirements for the foreign-exchange risk referred to in point (c)(i) of Article 92(3), taking into account paragraphs 2 and 4 of Article 352 CRR (for conversion into the reporting currency).

020

CURRENCIES CLOSELY CORRELATED

Positions and their correspondent own funds requirements for closely correlated currencies as referred to in Article 354 CRR.

025

Currencies closely correlated: of which : reporting currency

Positions in the reporting currency which contribute to the calculation of the capital requirements in accordance with Article 354 CRR.

030

ALL OTHER CURRENCIES (including CIU’s treated as different currencies)

Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRR.

Reporting of CIU’s treated as separate currencies in accordance with Article 353 CRR:

There are two different treatments of CIUs treated as separate currencies for calculating the capital requirements:

The modified gold method, where the direction of the CIUs investment is not available (those CIUs shall be added to an institution’s overall net foreign-exchange position);

Where the direction of the CIU’s investment is available, those CIUs shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU).

The reporting of those CIU’s shall follow the calculation of the capital requirements.

040

GOLD

Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRR

050 – 090

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Paragraphs 5 and 6 of Article 352 CRR

The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.

100-120

Breakdown of total positions (reporting currency included) by exposure types

Total positions shall be broken down into derivatives, other assets and liabilities, and off-balance sheet items.

100

Other assets and liabilities other than off-balance sheet items and derivatives

Positions not included in row 110 or 120 shall be included here.

110

Off-balance sheet items

Items within the scope of Article 352 CRR, irrespective of the currency of denomination, which are included in Annex I to CRR, except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.

120

Derivatives

Positions valued in accordance with Article 352 CRR.

130-480

MEMORANDUM ITEMS: CURRENCY POSITIONS

The memorandum items of the template shall be filled in separately for all currencies of the Member States of the Union, USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

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

5.6.1. General Remarks

152.

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

5.6.2. Instructions concerning specific positions

Columns

010-020

All POSITIONS (LONG AND SHORT)

Gross long/short positions considered positions in the same commodity in accordance with Article 357(4) CRR (see also Article 359(1) CRR)

030-040

NET POSITIONS (LONG AND SHORT)

As defined in Article 357(3) CRR

050

POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, in accordance with the different approaches considered in Chapter 4 of Title IV of Part Three CRR receive a capital charge

060

OWN FUNDS REQUIREMENTS

The own funds requirement calculated in accordance with Chapter 4 of Title IV of Part Three CRR for any relevant position

070

TOTAL RISK EXPOSURE AMOUNT

Point (b) of Article 92(4) CRR.

Result of the multiplication of the own funds requirements by 12,5

Rows

010

TOTAL POSITIONS IN COMMODITIES

Positions in commodities and their correspondent own funds requirements for market risk calculated in accordance with point (c)(iii) of Article 92(3) CRR and Chapter 4 of Title IV of Part Three CRR

020-060

POSITIONS BY CATEGORY OF COMMODITY

For reporting purposes, commodities shall be grouped in the four groups of commodities referred to in Table 2 of Article 361 CRR.

070

MATURITY LADDER APPROACH

Positions in commodities subject to the maturity ladder approach referred to in Article 359 CRR

080

EXTENDED MATURITY LADDER APPROACH

Positions in commodities subject to the extended maturity ladder approach referred to in Article 361 CRR

090

SIMPLIFIED APPROACH

Positions in commodities subject to the simplified approach referred to in Article 360 CRR

100-140

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 358(4) CRR

The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

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

5.7.1. General Remarks

153.

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

154.

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

5.7.2. Instructions concerning specific positions

Columns

030-040

Value at Risk (VaR)

VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon.

030

Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg)

Point (a)(ii) of Article 364(1) and Article 365(1) CRR

040

Previous day VaR (VaRt-1)

Point (a)(i) of Article 364(1) and Article 365(1) CRR

050-060

Stressed VaR

Stressed VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution’s portfolio.

050

Multiplication factor (ms) x Average of previous 60 working days (SVaRavg)

Point (b)(ii) of Article 364(1) and Article 365(1) CRR

060

Latest available (SVaRt-1)

Point (b)(i) of Article 364(1) and Article 365(1) CRR

070-080

INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

Incremental default and migration risk capital charge means the maximum potential loss that would result from a price change linked to default and migration risks calculated in accordance with point (b) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR.

070

12 weeks average measure

Point (b)(ii) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR

080

Last Measure

Point (b)(i) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR

090-110

ALL PRICE RISKS CAPITAL CHARGE FOR CTP

090

FLOOR

Point (c) of Article 364(3) CRR

= 8 % of the capital charge that would be calculated in accordance with Article 338(1) CRR for all positions in the “all price risks” capital charge.

100-110

12 WEEKS AVERAGE MEASURE AND LAST MEASURE

Point (b) of Article 364(3) CRR

110

LAST MEASURE

Point (a) of Article 364(3) CRR

120

OWN FUNDS REQUIREMENTS

Own funds requirements as referred to in Article 364 CRR of all risk factors, taking into account correlation effects, where applicable, plus incremental default and migration risk and all price of risks for CTP, but excluding the Securitization capital charges for Securitization and nth-to-default credit derivative according to Article 364(2) CRR

130

TOTAL RISK EXPOSURE AMOUNT

Point (b) of Article 92(4) CRR.

Result of the multiplication of the own funds requirements by 12,5

140

Number of overshootings (during previous 250 working days)

Referred to in Article 366 CRR

The number of overshootings based on which the addend is determined shall be reported.

150-160

VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)

As referred to in Article 366 CRR

170-180

ASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET LONG/SHORT POSITIONS AFTER CAP

The amount reported and serving as the basis to calculate the floor capital charge for all price risks in accordance with point (c) of Article 364(3) CRR, taking into account the discretion of Article 335 CRR which stipulates that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss.

Rows

010

TOTAL POSITIONS

Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) CRR linked to the risk factors specified in Article 367(2) CRR.

Concerning the columns 030 to 060 (VAR and Stress-VAR), the figures in the total row are not equal to the decomposition of the figures for the VaR/Stress-VaR of the relevant risk components.

020

TRADED DEBT INSTRUMENTS

Corresponds to the part of position risk referred to in Article 363(1) CRR, linked to the interest rates risk factors specified in point (a) of Article 367(2) CRR.

030

TDI – GENERAL RISK

General risk component as referred to in Article 362 CRR

040

TDI – SPECIFIC RISK

Specific risk component as referred to in Article 362 CRR

050

EQUITIES

Corresponds to the part of position risk referred to in Article 363(1) CRR linked to the equity risk factors as specified in point (c) of Article 367(2) CRR.

060

EQUITIES – GENERAL RISK

General risk component as referred to in Article 362 CRR

070

EQUITIES – SPECIFIC RISK

Specific risk component as referred to in Article 362 CRR

080

FOREIGN EXCHANGE RISK

Articles 363(1) and point (b) of Article 367(2) CRR

090

COMMODITY RISK

Articles 363(1) and point (d) of Article 367(2) CRR

100

TOTAL AMOUNT FOR GENERAL RISK

Market risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VaR for general risk of all risk factors (taking into account correlation effects where applicable)

110

TOTAL AMOUNT FOR SPECIFIC RISK

Specific risk component of traded debt instruments and equities. VaR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects where applicable)

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

5.8.1. Instructions concerning specific positions

Columns

010

Exposure value

Article 271 CRR in conjunction with Article 382 CRR.

Total EAD from all transactions subject to CVA charge.

020

Of which: OTC derivatives

Article 271 CRR in conjunction with Article 382(1) CRR.

The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set.

030

Of which: SFT

Article 271 CRR in conjunction with Article 382(2) CRR

The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set.

040

MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)

Article 383 CRR in conjunction with point (d) of Article 363(1) CRR.

VaR calculation based on internal models for market risk

050

PREVIOUS DAY (VaRt-1)

See instructions for column 040.

060

MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)

See instructions for column 040

070

LATEST AVAILABLE (SVaRt-1)

See instructions for column 040

080

OWN FUNDS REQUIREMENTS

Point (d) of Article 92(3) CRR.

Own funds requirements for CVA Risk calculated via the chosen method.

090

TOTAL RISK EXPOSURE AMOUNT

Point (b) of Article 92(4) CRR.

Own funds requirements multiplied by 12,5 .

Memorandum items

100

Number of counterparties

Article 382 CRR

Number of counterparties included in calculation of own funds for CVA risk.

Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are the other contracting party.

110

Of which: proxy was used to determine credit spread

Number of counterparties where the credit spread was determined using a proxy instead of directly observed market data.

120

INCURRED CVA

Accounting provisions due to decreased credit worthiness of derivatives counterparties.

130

SINGLE NAME CDS

Point (a) of Article 386(1) CRR

Total notional amounts of single name CDS used as hedge for CVA risk.

140

INDEX CDS

Point (b) of Article 386(1) CRR

Total notional amounts of index CDS used as hedge for CVA risk.

Rows

010

CVA risk total

Sum of rows 020-040

020

Advanced method

Advanced CVA risk method as prescribed by Article 383 CRR

030

Standardised method

Standardised CVA risk method as prescribed by Article 384 CRR

040

Based on OEM

Amounts subject to the application of Article 385 CRR

PRUDENT VALUATION (PRUVAL)

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

6.1.1. General remarks

154a.

This template shall be completed by all institutions, irrespective of whether they have adopted the simplified approach for the determination of Additional Valuation Adjustments (“AVAs”). This template is dedicated to the absolute value of fair-valued assets and liabilities used to determine whether the conditions set out in Article 4 of Commission Delegated Regulation (EU) 2016/101 ( 16 ) for using the simplified approach for the determination of AVAs are met.

154b.

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

6.1.2. Instructions concerning specific positions

Columns

0010

FAIR-VALUED ASSETS AND LIABILITIES

Absolute value of fair-valued assets and liabilities, as stated in the financial statements under the applicable accounting framework, as referred to in Article 4(1) of Delegated Regulation (EU) 2016/101, before any exclusion in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.

0020

OF WHICH: trading book

Absolute value of fair-valued assets and liabilities, as reported in 010, corresponding to positions held in the trading book.

0030-0070

FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1

Absolute value of fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.

0030

Exactly matching

Exactly matching, offsetting fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.

0040

Hedge accounting

For positions subject to hedge accounting under the applicable accounting framework, absolute value of fair-valued assets and liabilities excluded in proportion to the impact of the relevant valuation change on CET1 capital in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.

0050

PRUDENTIAL Filters

Absolute value of fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 due to the transitional application of the prudential filters referred to in Articles 467 and 468 CRR.

0060

Other

Any other positions excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 due to adjustments to their accounting value having only a proportional effect on CET1 capital.

This row shall only be populated in rare cases where elements excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 cannot be assigned to columns 0030, 0040 or 0050 of this template.

0070

Comment for other

The main reasons why the positions reported in column 0060 were excluded shall be provided.

0080

FAIR-VALUED Assets and Liabilities included in ARTICLE 4(1) threshold

Absolute value of fair-valued assets and liabilities actually included in the threshold computation in accordance with Article 4(1) of Delegated Regulation (EU) 2016/101.

0090

OF WHICH: trading book

Absolute value of fair-valued assets and liabilities, as reported in column 0080, corresponding to positions held in the trading book.

Rows

0010 – 0210

The definitions of these categories shall match those of the corresponding rows of FINREP templates 1.1 and 1.2.

0010

TOTAL FAIR-VALUED ASSETS AND LIABILITIES

Total of fair-valued assets and liabilities reported in rows 20 to 210.

0020

1.1. TOTAL FAIR-VALUED ASSETS

Total of fair-valued assets reported in rows 0030 to 0140.

Relevant cells of rows 0030 to 0130 shall be reported in line with FINREP template F 01.01 of Annexes III and IV to this Implementing Regulation, depending on the institution’s applicable standards:

—

IFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 of the European Parliament and of the Council (“EU IFRS”) ( 17 ) ;

—

National accounting standards compatible with EU IFRS (“National GAAP compatible IFRS”); or

—

National GAAP based on BAD (FINREP “National GAAP based on BAD”).

0030

1.1.1. FINANCIAL ASSETS HELD FOR TRADING

IFRS 9.Appendix A.

The information reported in this row shall correspond to row 050 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0040

1.1.2. TRADING FINANCIAL ASSETS

Articles 32 and 33 BAD; Part 1.17 of Annex V to this Implementing Regulation

The information reported in this row shall correspond to row 091 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0050

1.1.3. NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS

IFRS 7.8(a)(ii); IFRS 9.4.1.4.

The information reported in this row shall correspond to row 096 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0060

1.1.4. FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

IFRS 7.8(a)(i); IFRS 9.4.1.5; point (a) of Article 8(1) and Article 8(6) AD

The information reported in this row shall correspond to row 100 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0070

1.1.5. FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME

IFRS 7.8(h); IFRS 9.4.1.2 A.

The information reported in this row shall correspond to row 141 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0080

1.1.6. NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS

Article 36(2) BAD. The information reported in this row shall correspond to row 171 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0090

1.1.7. NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY

Point (a) of Article 8(1) and Article 8(8) AD

The information reported in this row shall correspond to row 175 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0100

1.1.8. OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS

Article 37 BAD; Article 12(7) AD; Part 1.20 of Annex V to this Implementing Regulation

The information reported in this row shall correspond to row 234 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0110

1.1.9. DERIVATIVES – HEDGE ACCOUNTING

IFRS 9.6.2.1; Part 1.22 of Annex V to this Implementing Regulation; point (a) of Article 8(1) and paragraphs 6 and 8 of Article 8 AD; IAS 39.9

The information reported in this row shall correspond to row 240 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0120

1.1.10. FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK

IAS 39.89 A(a); IFRS 9.6.5.8; Paragraphs 5 and 6 of Article 8 AD. The information reported in this row shall correspond to row 250 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0130

1.1.11. INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES

IAS 1.54(e); Parts 1.21 and 2.4 of Annex V to this Implementing Regulation; points (7) and (8) of Article 4 BAD; Article 2(2) AD

The information reported in this row shall correspond to row 260 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0140

1.1.12. (-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE

Part 1.29 of Annex V to this Implementing Regulation

The information reported in this row shall correspond to row 375 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0150

1.2. TOTAL FAIR-VALUED LIABILITIES

Total of fair-valued liabilities reported in rows 0160 to 0210.

Relevant cells of rows 0150 to 0190 shall be reported in line with FINREP template F 01.02 of Annexes III and IV to this Implementing Regulation depending on the institution’s applicable standards:

—

IFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 (“EU IFRS”)

—

National accounting standards compatible with EU IFRS (“National GAAP compatible IFRS”)

—

or National GAAP based on BAD (FINREP “National GAAP based on BAD”).

0160

1.2.1. FINANCIAL LIABILITIES HELD FOR TRADING

IFRS 7.8 (e) (ii); IFRS 9.BA.6.

The information reported in this row shall correspond to row 010 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

0170

1.2.2. TRADING FINANCIAL LIABILITIES

Point (a) of Article 8(1) and paragraphs 3 and 6 of Article 8 AD

The information reported in this row shall correspond to row 061 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

0180

1.2.3. FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

IFRS 7.8 (e)(i); IFRS 9.4.2.2; point (a) of Article 8(1) and Article 8(6) AD; IAS 39.9.

The information reported in this row shall correspond to row 070 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

0190

1.2.4. DERIVATIVES – HEDGE ACCOUNTING

IFRS 9.6.2.1; Part 1.26 of Annex V to this Implementing Regulation; point (a) of Article 8(1), Article 8(6) and point (a) of Article 8(8) AD

The information reported in this row shall correspond to row 150 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

0200

1.2.5. FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK

IAS 39.89 A(b), IFRS 9.6.5.8; Paragraphs 5 and 6 of Article 8 AD; Part 2.8 of Annex V to this Implementing Regulation

The information reported in this row shall correspond to row 160 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

0210

1.2.6. HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE

Part 1.29 of Annex V to this Implementing Regulation

The information reported in this row shall correspond to row 295 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

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

6.2.1. General remarks

154c.

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

154d.

This template shall be completed by all institutions that:

(a)

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

(b)

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

154e.

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

6.2.2. Instructions concerning specific positions

Columns

0010 – 0100

CATEGORY LEVEL AVA

The category level AVAs for market price uncertainty, close-out costs, model risk, concentrated positions, future administrative costs, early termination and operational risk are calculated as described in Articles 9, 10, 11 and 14 to 17 of Delegated Regulation (EU) 2016/101 respectively.

For the market price uncertainty, close-out cost and model risk categories, which are subject to diversification benefit as set out in Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101, respectively, category level AVAs shall be, unless indicated otherwise, reported as the straight sum of the individual AVAs before diversification benefit [since diversification benefits calculated using method 1 or method 2 of the Annex of Delegated Regulation (EU) 2016/101 are reported in items 1.1.2, 1.1.2.1 and 1.1.2.2 of the template].

For the market uncertainty, close-out cost and model risk categories, amounts calculated under the expert-based approach as referred to in point (b) of Article 9(5), point (b) of Article 10(6) and Article 11(4) of Delegated Regulation (EU) 2016/101 shall be separately reported in columns 0020, 0040 and 0060.

0010

MARKET PRICE UNCERTAINTY

Article 105(10) CRR.

Market price uncertainty AVAs calculated in accordance with Article 9 of Delegated Regulation (EU) 2016/101.

0020

OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH

Market price uncertainty AVAs calculated in accordance with point (b) of Article 9(5) of Delegated Regulation (EU) 2016/101.

0030

CLOSE-OUT COSTS

Article 105(10) CRR.

Close-out costs AVAs calculated in accordance with Article 10 of Delegated Regulation (EU) 2016/101.

0040

OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH

Close-out costs AVAs calculated in accordance with point (b) of Article 10(6) of Delegated Regulation (EU) 2016/101.

0050

MODEL RISK

Article 105(10) CRR

Model risk AVAs calculated in accordance with Article 11 of Delegated Regulation (EU) 2016/101.

0060

OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH

Model risk AVAs calculated in accordance with Article 11(4) of Delegated Regulation (EU) 2016/101.

0070

CONCENTRATED POSITIONS

Article 105(11) CRR

Concentrated positions AVAs calculated in accordance with Article 14 of Delegated Regulation (EU) 2016/101.

0080

FUTURE ADMINISTRATIVE COSTS

Article 105(10) CRR

Future administrative costs AVAs calculated in accordance with Article 15 of Delegated Regulation (EU) 2016/101.

0090

EARLY TERMINATION

Article 105(10) CRR

Early termination AVAs calculated in accordance with Article 16 of Delegated Regulation (EU) 2016/101.

0100

OPERATIONAL RISK

Article 105(10) CRR

Operational risk AVAs calculated in accordance with Article 17 of Delegated Regulation (EU) 2016/101.

0110

TOTAL AVA

Row 0010: total AVA to be deducted from own funds in accordance with Articles 34 and 105 CRR and reported accordingly in row 290 of C 01.00. The total AVA shall be the sum of rows 0030 and 0180.

Row 0020: Share of the total AVA reported in row 0010 stemming from trading book positions (absolute value).

Rows 0030 to 0160: Sum of columns 0010, 0030, 0050 and 0070 to 0100.

Rows 0180 to 0210: Total AVA stemming from portfolios under the fall-back approach.

0120

UPSIDE UNCERTAINTY

Article 8(2) of Delegated Regulation (EU) 2016/101.

The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA computed in column 0110, but substituting a 10 % level of certainty for the 90 % used when determining the total AVA.

0130 -0140

FAIR-VALUED ASSETS AND LIABILITIES

Absolute value of fair-valued assets and liabilities corresponding to the AVA amounts reported in rows 0010 to 0130 and row 0180. For some rows, in particular rows 0090 to 0130, these amounts may have to be approximated or allocated based on expert judgement.

Row 0010: Total absolute value of fair-valued assets and liabilities included in the threshold computation of Article 4(1) of Delegated Regulation (EU) 2016/101. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080.

Row 0010 is the sum of row 0030 and row 0180.

Row 0020: share of total absolute value of fair-valued assets and liabilities reported in row 0010 stemming from trading book positions (absolute value).

Row 0030: Absolute value of fair-valued assets and liabilities corresponding to the portfolios referred to in Articles 9 to 17 of Delegated Regulation (EU) 2016/101. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080. Row 0030 shall be the sum of rows 0090 to 0130.

Row 0050: Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101, may not be considered exactly matching, offsetting anymore.

Row 0060: Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101, may not be considered exactly matching, offsetting anymore.

Row 0070: Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value referred to in Article 9(2) of Delegated Regulation (EU) 2016/101.

Row 0080: Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value referred to in paragraphs 2 and 3 of Article 10 of Delegated Regulation (EU) 2016/101.

Rows 0090 to 0130: Absolute value of fair-valued assets and liabilities allocated as set out below (see corresponding row instructions) in accordance with the following risk categories: interest rates, foreign exchange, credit, equities, commodities. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080.

Row 0180: Absolute value of fair-valued assets and liabilities corresponding to the portfolios under the fall-back approach

0130

FAIR-VALUED ASSETS

Absolute value of fair-valued assets corresponding to the different rows as explained in the instructions on columns 0130-0140 above.

0140

FAIR-VALUED LIABILITIES

Absolute value of fair-valued liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above.

0150

QTD REVENUE

The quarter-to-date revenues (“QTD revenue”) since the last reporting date attributed to the fair valued assets and liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above, where relevant allocated or approximated based on expert judgment.

0160

IPV DIFFERENCE

The sum across all positions and risk factors of unadjusted difference amounts (“IPV difference”) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the relevant position or risk factor.

Unadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process.

No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.

0170 – 0250

FAIR VALUE ADJUSTMENTS

Adjustments, sometimes also referred to as “reserves”, potentially applied in the institution’s accounting fair value that are made outside of the valuation model used to generate carrying amounts (excluding deferral of day one gains and losses) and that can be identified as addressing the same source of valuation uncertainty as the relevant AVA. They could reflect risk factors not captured within the valuation technique that are in a form of a risk premium or exit cost and are compliant with the definition of fair value. They shall nevertheless be considered by market participants when setting a price. (IFRS 13.9 and IFRS13.88)

0170

MARKET PRICE UNCERTAINTY

Adjustment applied in the institution’s fair value to reflect the risk premium arising from the existence of a range of observed prices for equivalent instruments or, in respect of a market parameter input to a valuation model, the instruments from which the input has been calibrated, and thus that can be identified as addressing the same source of valuation uncertainty as the Market price uncertainty AVA.

0180

CLOSE-OUT COSTS

Adjustment applied in the institution’s fair value to adjust for the fact that the position level valuations do not reflect an exit price for the position or portfolio, in particular where such valuations are calibrated to a mid-market price, and thus that can be identified as addressing the same source of valuation uncertainty as the close-out costs AVA.

0190

MODEL RISK

Adjustment applied in the institution’s fair value to reflect market or product factors that are not captured by the model used to calculate daily position values and risks (“valuation model”) or to reflect an appropriate level of prudence given the uncertainty arising from the existence of a range of alternative valid models and model calibrations and thus that can be identified as addressing the same source of valuation uncertainty as the model risk AVA.

0200

CONCENTRATED POSITIONS

Adjustment applied in the institution’s fair value to reflect the fact that the aggregate position held by the institution is larger than normal traded volume or larger than the position sizes on which observable quotes or trades that are used to calibrate the price or inputs used by the valuation model are based and thus can be identified as addressing the same source of valuation uncertainty as the concentrated positions AVA.

0210

UNEARNED CREDIT SPREADS

Adjustment applied in the institution’s fair value to cover expected losses due to counterparty default on derivative positions (i.e. total Credit Valuation Adjustment “CVA” at institution level).

0220

INVESTING AND FUNDING COSTS

Adjustment applied in the institution’s fair value to compensate where valuation models do not fully reflect the funding cost that market participants would factor into the exit price for a position or portfolio (i.e. total Funding Valuation Adjustment at institution level where an institution computes such adjustment, or alternatively, equivalent adjustment).

0230

FUTURE ADMINISTRATION COSTS

Adjustment applied in the institution’s fair value to reflect administrative costs that are incurred by the portfolio or position but are not reflected in the valuation model or the prices used to calibrate inputs to that model, and thus that can be identified as addressing the same source of valuation uncertainty as the Future administrative costs AVA.

0240

EARLY TERMINATION

Adjustments applied in the institution’s fair value to reflect contractual or non-contractual early termination expectations that are not reflected in the valuation model and thus can be identified as addressing the same source of valuation uncertainty as the Early termination AVA.

0250

OPERATIONAL RISK

Adjustments applied in the institution’s fair value to reflect the risk premium that market participants would charge to compensate for operational risks arising from hedging, administration and settlement of contracts in the portfolio, and thus can be identified as addressing the same source of valuation uncertainty as the operational risk AVA.

0260

DAY 1 P&L

Adjustments to reflect instances where the valuation model plus all other relevant fair value adjustments applicable to a position or portfolio did not reflect the price paid or received at first day recognition, i.e. the deferral of day one gains and losses (IFRS 9.B5.1.2.A).

0270

EXPLANATION DESCRIPTION

Description of the positions treated in accordance with point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101 and the reason why it was not possible to apply Articles 9 to 17 thereof.

Rows

0010

TOTAL CORE APPROACH

Article 7(2) of Delegated Regulation (EU) 2016/101.

For each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs computed under the core approach as set out in Chapter 3 of Delegated Regulation (EU) 2016/101 o for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation. That includes the diversification benefits reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101.

0020

OF WHICH: TRADING BOOK

Article 7(2) of Delegated Regulation (EU) 2016/101.

For each relevant category of AVAs referred to in columns 0010 to 0110, share of total AVAs reported in row 0010 stemming from trading book positions (absolute value).

0030

1.1. PORTFOLIOS UNDER ARTICLES 9 TO 17 OF COMMISSION DELEGATED REGULATION (EU) 2016/101- TOTAL CATEGORY LEVEL POST-DIVERSIFICATION

Point (a) of Article 7(2) of Delegated Regulation (EU) 2016/101.

For each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs computed in accordance with Articles 9 to 17 of Delegated Regulation (EU) 2016/101 for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation, except fair-valued assets and liabilities subject to the treatment described in point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101.

That includes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) 2016/101 that are reported in rows 0050 and 0060 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of that Regulation.

That includes the diversification benefits reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101.

Row 0030 shall be the difference between rows 0040 and 0140.

0040 – 0130

1.1.1. TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION

For rows 0090 to 0130, institutions shall allocate their fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of Delegated Regulation (EU) 2016/101 (trading book and non-trading book) to the following risk categories: interest rates, foreign exchange, credit, equities, commodities.

To that end, institutions shall rely on their internal risk management structure and, following a mapping developed based on expert judgement, allocate their business lines or trading desks to the most appropriate risk category. AVAs, Fair Value Adjustments and other required information which correspond to the allocated business lines or trading desks, shall be allocated to the same relevant risk category to provide at row level for each risk category a consistent overview of the adjustments performed both for prudential purposes and accounting purposes, as well as an indication of the size of the positions concerned (in terms of fair-valued assets and liabilities). Where AVAs or other adjustments are computed at a different level of aggregation, in particular at firm level, institutions shall develop an allocation methodology of the AVAs to the relevant sets of positions. The allocation methodology shall lead to row 0040 being the sum of rows 0050 to 0130 for columns 0010 to 0100.

Regardless of the approach applied, the information reported shall, as much as possible, be consistent at row level, since the information provided will be compared at this level (AVA amounts, upside uncertainty, fair-value amounts and potential fair-value adjustments).

The breakdown in rows 0090 to 0130 excludes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) 2016/101 that are reported in rows 0050 and 0060 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of that Regulation.

Diversification benefits are reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101 and are therefore excluded from rows 0040 to 0130.

0050

OF WHICH: UNEARNED CREDIT SPREADS AVA

Article 105(10) CRR, Article 12 of Delegated Regulation (EU) 2016/101.

The total AVA calculated for unearned credit spreads (“AVA on CVA”) and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 12 of Delegated Regulation (EU) 2016/101.

Column 0110: The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs.

Columns 0130 and 0140: Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVAs. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore.

0060

OF WHICH: INVESTMENT AND FUNDING COSTS AVA

Article 105(10) CRR, Article 17 of Delegated Regulation (EU) 2016/101.

The total AVA calculated for investing and funding costs and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 13 of Delegated Regulation (EU) 2016/101.

Columns 0130 and 0140: Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore.

0070

OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF Delegated Regulation (EU) 2016/101

Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 9(2) of Delegated Regulation (EU) 2016/101.

0080

OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF Delegated Regulation (EU) 2016/101

Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 10(2) or 10(3) of Delegated Regulation (EU) 2016/101.

0090

1.1.1.1. INTEREST RATES

0100

1.1.1.2. FOREIGN EXCHANGE

0110

1.1.1.3. CREDIT

0120

1.1.1.4. EQUITIES

0130

1.1.1.5. COMMODITIES

0140

1.1.2. (-) Diversification BenefitS

Total diversification benefit. Sum of rows 0150 and 0160.

0150

1.1.2.1. (-) Diversification Benefit calculated using Method 1

For those categories of AVA aggregated under Method 1 in accordance with Articles 9(6), 10(7) and 11(6) of Delegated Regulation (EU) 2016/101, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation.

0160

1.1.2.2. (-) Diversification Benefit calculated using Method 2

For those categories of AVA aggregated under Method 2 in accordance with Articles 9(6), 10(7) and 11(6) of Delegated Regulation (EU) 2016/101, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation.

0170

1.1.2.2* Memorandum item: pre-diversification AVAs reduced by more than 90 % by diversification under Method 2

In the terminology of Method 2, the sum of FV – PV for all valuation exposures for which APVA < 10 % (FV – PV).

0180

1.2. Portfolios calculated under the fall-back approach

Point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101.

For portfolios subject to the fall-back approach under point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101, the total AVA shall be computed as a sum of rows 0190, 0200 and 0210.

Relevant balance sheet and other contextual information shall be provided in columns 0130 – 0260. A description of the positions and the reason why it was not possible to apply Articles 9 to 17 of Delegated Regulation (EU) 2016/101 shall be provided in column 0270.

0190

1.2.1. Fall-back approach; 100 % unrealised profit

Point (b)(i) of Article 7(2) of Delegated Regulation (EU) 2016/101.

0200

1.2.2. Fall-back approach; 10 % notional value

Point (b)(ii) of Article 7(2) of Delegated Regulation (EU) 2016/101.

0210

1.2.3. Fall-back approach; 25 % of inception value

Point (b)(iii) of Article 7(2) of Delegated Regulation (EU) 2016/101.

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

6.3.1. General remarks

154f.

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

154g.

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

154h.

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

154i.

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

154j.

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

6.3.2. Instructions concerning specific positions

Columns

0005

RANK

The rank is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc., with 1 being assigned to the highest individual model risk AVAs, 2 to the second highest and so on.

0010

MODEL

Internal name (alpha-numerical) of the model used by the institution to identify the model.

0020

RISK CATEGORY

The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the product or group of products that give rise to the model risk valuation adjustment.

Institutions shall report the following codes:

IR –

interest rates

FX –

foreign exchange

CR –

credit

EQ –

equities

CO –

commodities

0030

PRODUCT

Internal name (alpha-numerical) for the product or group of products, in line with the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101, that is valued using the model.

0040

OBSERVABILITY

Number of price observations for the product or group of products in the last 12 months that meet either of the following criteria:

—

The price observation is a price at which the institution has conducted a transaction;

—

It is a verifiable price for an actual transaction between third parties;

—

The price is obtained from a committed quote.

Institutions shall report one of the following values: “none”, “1-6”, “6-24”, “24-100”, “100+”.

0050

MODEL RISK AVA

Article 11(1) of Delegated Regulation (EU) 2016/101.

Individual model risk AVA before diversification benefit, but after portfolio netting where relevant.

0060

OF WHICH: USING EXPERT-BASED APPROACH

Amounts in column 0050 that have been calculated under the expert-based approach referred to in Article 11(4) of Delegated Regulation (EU) 2016/101.

0070

OF WHICH: AGGREGATED USING METHOD 2

Amounts in column 0050 that have been aggregated under Method 2 of the Annex to Delegated Regulation (EU) 2016/101. These amounts correspond to FV – PV in the terminology of that Annex.

0080

AGGREGATED AVA CALCULATED UNDER METHOD 2

The contribution towards the total category level AVA for model risk, as computed in accordance with Article 11(7) of the Delegated Regulation (EU) 2016/101 of individual model risk AVAs that are aggregated using Method 2 of the Annex to that Regulation (EU). That amount corresponds to APVA in the terminology of the Annex.

0090 -0100

FAIR-VALUED ASSETS AND LIABILITIES

Absolute value of fair-valued assets and liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.

0090

FAIR-VALUED ASSETS

Absolute value of fair-valued assets valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.

0100

FAIR-VALUED LIABILITIES

Absolute value of fair-valued liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.

0110

IPV DIFFERENCE (OUTPUT TESTING)

The sum of unadjusted difference amounts (“IPV difference”) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the corresponding product or group of products.

Unadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process.

No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.

Only results that have been calibrated from prices of instruments that would be mapped to the same product (output testing) shall be included here. Input testing results from market data inputs that are tested against levels that have been calibrated from different products shall not be included.

0120

IPV COVERAGE (OUTPUT TESTING)

The percentage of those positions mapped to the model weighted by model risk AVA that is covered by the output IPV testing results given in column 0110.

0130 – 0140

FAIR VALUE ADJUSTMENTS

Fair Value adjustments as referred to in columns 0190 and 0240 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.

0150

DAY 1 P&L

Adjustments as defined in column 0260 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.

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

6.4.1. General remarks

154k.

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

154l.

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

154m.

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

154n.

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

154o.

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

6.4.2. Instructions concerning specific positions

Columns

0005

RANK

The rank is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc., with 1 being assigned to the highest concentrated positions AVAs, 2 to the second highest and so on.

0010

RISK CATEGORY

The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the position.

Institutions shall report the following codes:

IR –

Interest Rates

FX –

Foreign exchange

CR –

Credit

EQ –

Equities

CO –

Commodities

0020

PRODUCT

Internal name for the product or group of products in line with the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101.

0030

UNDERLYING

Internal name of the underlying, or underlyings, in the case of derivatives or of the instruments in the case of non-derivatives.

0040

CONCENTRATED POSITION SIZE

Size of the individual concentrated valuation position identified in accordance with point (a) of Article 14(1) of Delegated Regulation (EU) 2016/101, expressed in the unit described in column 0050.

0050

SIZE MEASURE

Unit of size measure used internally as part of the identification of the concentrated valuation position to compute the concentrated position size referred in column 0040.

In the case of positions in bonds or equity, please report the unit used for internal risk management, such as “number of bonds”, “number of shares” or “market value”.

In the case of position in derivatives, please report the unit used for internal risk management, such as “PV01; EUR per 1 basis point parallel yield curve shift”.

0060

MARKET VALUE

Market value of the position.

0070

PRUDENT EXIT PERIOD

The prudent exit period in number of days estimated in accordance with point (b) of Article 14(1) of Delegated Regulation (EU) 2016/101.

0080

CONCENTRATED POSITIONS AVA

The concentrated positions AVA amount calculated in accordance with Article 14(1) of Delegated Regulation (EU) 2016/101 for the individual concentrated valuation position concerned.

0090

CONCENTRATED POSITION FAIR VALUE ADJUSTMENT

The amount of any fair value adjustments taken to reflect the fact that the aggregate position held by the institution is larger than the normal traded volume or larger than position sizes and on which quotes or trades, which are used to calibrate the price or inputs used by the valuation model, are based.

The amount reported shall correspond to the amount that has been applied to the individual concentrated valuation position concerned.

0100

IPV DIFFERENCE

Unadjusted difference amounts shall refer to unadjusted differences between the valuations generated by the trading system and the valuations assessed during the monthly IPV process.

No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.

C 33.00 – EXPOSURES TO GENERAL GOVERNMENTS (GOV)

7.1. GENERAL REMARKS

155.

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

156.

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

157.

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

158.

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

159.

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

160.

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

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

161.

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

162.

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

163.

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

7.3. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

Columns

Instructions

010-260

DIRECT EXPOSURES

010-140

ON-BALANCE SHEET EXPOSURES

010

Total gross carrying amount of non-derivative financial assets

Aggregate of gross carrying amount, as determined in accordance with paragraph 34 of Part 1 of Annex V to this Implementing Regulation, of non-derivative financial assets to General governments, for all accounting portfolios under IFRS or national GAAP based on BAD defined in paragraphs 15 to 22 of Part 1 of Annex V to this Implementing Regulation, and listed in columns 030 to 120

Prudent valuation adjustments shall not reduce the gross carrying amount of trading and non-trading exposures measured at fair value.

020

Total carrying amount of non-derivative financial assets (net of short positions)

Aggregate of the carrying amount, as referred to in paragraph 27 of Part 1 of Annex V to this Implementing Regulation, of non-derivative financial assets to General governments for all accounting portfolios under IFRS or national GAAP based on BAD defined in paragraphs 15 to 22 of Part 1 of Annex V to this Implementing Regulation and listed in columns 030 to 120, net of short positions.

Where the institution has a short position for the same residual maturity and the same immediate counterparty that is denominated in the same currency, the carrying amount of the short position shall be netted against the carrying amount of the direct position. That net amount shall be considered to be zero when it is a negative amount.

The sum of the columns 030 to 120 minus column 130 shall be reported. If that amount is lower than zero, the amount to be reported shall be zero.

030-120

NON-DERIVATIVE FINANCIAL ASSETS BY ACCOUNTING PORTFOLIOS

Aggregate carrying amount of non-derivative financial assets, as defined in the row above of this table, to General governments, broken down by accounting portfolio under the applicable accounting framework

030

Financial assets held for trading

IFRS 7.8(a)(ii); IFRS 9 Appendix A

040

Trading financial assets

Articles 32 and 33 BAD; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation; point (a) of Article 8(1) AD

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

050

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

IFRS 7.8(a)(ii); IFRS 9.4.1.4

060

Financial assets designated at fair value through profit or loss

IFRS 7.8(a)(i); IFRS 9.4.1.5 and point (a) of Article 8(1) and Article 8(6) AD

070

Non-trading non-derivative financial assets measured at fair value through profit or loss

Article 36(2) BAD; point (a) of Article 8(1) AD

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

080

Financial assets at fair value through other comprehensive income

IFRS 7.8(d); IFRS 9.4.1.2 A

090

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

Point (a) of Article 8(1) and Article 8(8) AD

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

100

Financial assets at amortised cost

IFRS 7.8(f); IFRS 9.4.1.2; Paragraph 15 of Part 1 of Annex V to this Implementing Regulation

110

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

Article 35 BAD; point (i) of Article 6(1) and Article 8(2) AD; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

120

Other non-trading non-derivative financial assets

Article 37 BAD; Article 12(7) AD; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

130

Short positions

Carrying amount of short positions, as defined in IFRS 9 BA.7(b) where the direct counterparty is a General government as defined in paragraphs 155 to 160 of this Annex.

Short positions arise where the institution sells securities acquired in a reverse repurchase loan or borrowed in a securities lending transaction.

The carrying amount is the fair value of the short positions.

Short positions shall be reported by residual maturity bucket, as listed in rows 170 to 230, and by immediate counterparty. Short positions shall be used for netting with positions for the same residual maturity and immediate counterparty for the computation of columns 030 to 120.

140

Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets

Carrying amount of short positions, as defined in IFRS 9 BA.7(b), that arise when the institution sells the securities acquired in reverse repurchase loans, where the direct counterparty of those securities is a General government and that are included in the held for trading or trading financial assets accounting portfolios (columns 030 or 040).

Short positions that arise when the sold securities were borrowed in a securities lending transition shall not be included in this column.

150

Accumulated impairment

Aggregate accumulated impairment related to non-derivative financial assets reported in columns 080 to 120 (paragraphs 70 and 71 of Part 2 of Annex V to this Implementing Regulation)

160

Accumulated impairment – of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity

Aggregate of accumulated impairment related to non-derivative financial assets reported in columns 080 and 090.

170

Accumulated negative changes in fair value due to credit risk

Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 050, 060, 070, 080 and 090 (paragraph 69 of Part 2 of Annex V to this Implementing Regulation)

180

Accumulated negative changes in fair value due to credit risk – of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss

Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 050, 060 and 070.

190

Accumulated negative changes in fair value due to credit risk – of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity

Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 080 and 090.

200-230

DERIVATIVES

Direct derivative positions shall be reported in columns 200 to 230.

For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges, see instructions for the row breakdown.

200-210

Derivatives with positive fair value

All derivative instruments with a General government counterparty with a positive fair value for the institution at the reporting date, regardless of whether those instruments are used in a qualifying hedging relationship, are held for trading, or are included in the trading portfolio under IFRS and national GAAP based on BAD.

Derivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (paragraphs 120, 124, 125 and 137 to 140 of Part 2 of Annex V to this Implementing Regulation).

200

Derivatives with positive fair value: Carrying amount

Carrying amount of the derivatives accounted for as financial assets at the reporting reference date.

Under GAAP based on BAD, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments.

210

Derivatives with positive fair value: Notional amount

Under IFRS and national GAAP based on BAD, notional amount, as defined in paragraphs 133 to 135 of Part 2 of Annex V to this Implementing Regulation, of all derivative contracts concluded and not yet settled at the reporting reference date, where the counterparty is a General government as defined in paragraphs 155 to 160 of this Annex and the fair value of the derivative is positive for the institution at the reference date.

220-230

Derivatives with negative fair value

All derivative instruments with a General government counterparty with a negative fair value for the institution at the reporting reference date, regardless of whether those instruments are used in a qualifying hedging relationship or are held for trading or included in the trading portfolio under IFRS and national GAAP based on BAD.

220

Derivatives with negative fair value: Carrying amount

Carrying amount of the derivatives accounted for as financial liabilities at the reporting reference date.

230

Derivatives with negative fair value: Notional amount

Under IFRS and national GAAP based on BAD, notional amount, as defined in paragraphs 133 to 135 of Part 2 of Annex V to this Implementing Regulation, of all derivative contracts concluded and not yet settled at the reference date, where the counterparty is a General government as defined in paragraphs 155 to 160 of this Annex and the fair value of the derivative is negative for the institution at the reference date.

240-260

OFF-BALANCE SHEET EXPOSURES

240

Nominal amount

Where the direct counterparty of the off-balance sheet item is a General government as defined in paragraphs 155 to 160 of this Annex, nominal amount of the commitments and financial guarantees that are not considered as a derivative in accordance with IFRS or under national GAAP based on BAD (paragraphs 102-119 of Part 2 of Annex V to this Implementing Regulation,).

In accordance with paragraphs 43 and 44 of Part 2 of Annex V to this Implementing Regulation, the General government is the direct counterparty: (a) in a financial guarantee given, when it is the direct counterparty of the guaranteed debt instrument, and (b) in a loan commitment and other commitment given, when it is the counterparty whose credit risk is assumed by the reporting institution.

250

Provisions

Point (6)(c) and “Off balance sheet items” of Article 4, Articles 27(11), 28(8) and Article 33 BAD+/; IFRS 9.4.2.1(c)(ii),(d)(ii), 9.5.5.20;IAS 37, IFRS 4, Part 2.11 of Annex V to this Implementing Regulation.

Provisions on all off-balance sheet exposures regardless of how they are measured, except those that are measured at fair value through profit or loss in accordance with IFRS 9.

Under IFRS, the impairment of a loan commitment given shall be reported in column 150 where the institution cannot separately identify the expected credit losses related to the drawn and undrawn amount of the debt instrument. In case the combined expected credit losses for that financial instrument exceed the gross carrying amount of the loan component of the instrument, the remaining balance of the expected credit losses shall be reported as a provision in column 250.

260

Accumulated negative changes in fair value due to credit risk

For off-balance sheet items measured at fair value through profit or loss under IFRS 9, accumulated negative changes in fair value due to credit risk (paragraph 110 of Part 2 of Annex V to this Implementing Regulation)

270-280

Memorandum item: credit derivatives sold on general government exposures

Credit derivatives that do not meet the definition of financial guarantees in Annex V, Part 2, paragraph 58 that the reporting institution has underwritten with counterparties other than General governments and whose reference exposure is a General government shall be reported.

These columns shall not be reported for exposures broken down by risk, regulatory approach and exposure class (rows 020 to 160).

The exposures reported in the section are not to be considered in the computation of exposure Value and Risk weighted amount (columns 290 and 300) which is based solely on direct exposures.

270

Derivatives with positive fair value – Carrying amount

Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a positive fair value for the institution at the reference reporting date, without considering prudent valuation adjustments.

For derivatives under IFRS, the amount to be reported in this column is the carrying amount of the derivatives that are financial assets at the reporting date.

For derivatives under GAAP based on BAD, the amount to be reported in this column shall be the fair value of the derivatives with a positive fair value at the reference reporting date, independently of how they are accounted for.

280

Derivatives with negative fair value – Carrying amount

Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a negative fair value for the institution at the reference reporting date, without considering prudent valuation adjustments.

For derivatives under IFRS, the amount to be reported in this column shall be the carrying amount of the derivatives that are financial liabilities at the reporting date.

For derivatives under GAAP based on BAD, the amount to be reported in this column is the fair value of the derivatives with a negative fair value at the reference reporting date, independently of how they are accounted for.

290

Exposure value

Exposure value for exposures subject to the credit risk framework.

For exposures under the Standardised Approach (SA): see Article 111 CRR. For exposures under the IRB Approach: see Article 166 and the second sentence of Article 230(1) CRR.

For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges, see instructions for the row breakdown.

300

Risk weighted exposure amount

Risk weighted exposure amount for exposures subject to the credit risk framework.

For exposures under the Standardised Approach (SA): see paragraphs 1 to 5 of Article 113 CRR. For exposures under the IRB Approach: see paragraphs 1 and 3 of Article 153 CRR.

For the reporting of direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk, see instructions for the row breakdown.

Rows

Instructions

BREAKDOWN OF EXPOSURES BY REGULATORY APPROACH

010

Total exposures

Aggregate of exposures to General governments, as defined in paragraphs 155 to 160 of this Annex.

020-155

Exposures under the credit risk framework

Aggregate of exposures to General governments that shall be risk-weighted in accordance with Title II of Part Three CRR. Exposures under the credit risk framework include exposures from both the non-trading book and the trading book subject to a capital charge for counterparty credit risk.

Direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (020 to 155) and the market risk row (row 160): the exposures due to counterparty credit risk shall be reported in the credit risk rows, while the exposures due to market risk shall be reported in the market risk row.

030

Standardised Approach

Exposures to General governments that shall be risk-weighted in accordance with Chapter 2 of Title II of Part Three CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.

040

Central governments

Exposures to General governments that are central governments. These exposures are allocated to the “Central governments or central banks” exposure class in accordance with Articles 112 and 114 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

050

Regional governments or local authorities

Exposures to General governments that are regional governments or local authorities. These exposures are allocated to the “Regional governments or local authorities” exposure class in accordance with Articles 112 and 115 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

060

Public sector entities

Exposures to General governments that are public sector entities. These exposures are allocated to the “Public sector entities” exposure class in accordance with Articles 112 and 116 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

070

International Organisations

Exposures to General governments that are international organisations. These exposures are allocated to the “International Organisations” exposure classes in accordance with Articles 112 and 118 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

075

Other general government exposures subject to Standardised Approach

Exposures to General governments other than those included in rows 040 to 070 above, which are allocated to SA exposure classes in accordance with Article 112 CRR for the purposes of calculating own funds requirements.

080

IRB Approach

Exposures to General governments that shall be risk-weighted in accordance with Chapter 3 of Title II of Part Three CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.

090

Central governments

Exposures to General governments that are central governments and that are allocated to the “Central governments and central banks” exposure class in accordance with point (a) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply..

100

Regional governments or local authorities [Central governments and central banks]

Exposures to General governments that are regional governments or local authorities and that are allocated to the “Central governments and central banks” exposure class in accordance with point (a) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

110

Regional governments or local authorities [Institutions]

Exposures to General governments that are regional governments or local authorities and that are allocated to the “Institutions” exposure class in accordance with point (a) of Article 147(4) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

120

Public sector entities [Central governments and central banks]

Exposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the “Central governments and central banks” exposure class in accordance with point (a) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

130

Public sector entities [Institutions]

Exposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the “Institutions” exposure class in accordance with point (b) of Article 147(4) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

140

International Organisations [Central governments and central banks]

Exposures to General governments that are International Organisations and that are allocated to the “Central governments and central banks” exposure class in accordance with point (c) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

155

Other general government exposures subject to IRB Approach

Exposures to General governments other than those included in rows 090 to 140 above which are allocated to IRB exposure classes in accordance with Article 147 CRR for the purposes of calculating own funds requirements.

160

Exposures subject to market risk

Market risk exposures cover positions for which own funds requirements are calculated in accordance with Title IV of Part Three CRR.

Direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (020 to 155) and the market risk row (row 160): the exposure due to counterparty credit risk shall be reported in the credit risk rows, while the exposure due to market risk shall be reported in the market risk row.

170-230

BREAKDOWN OF EXPOSURES BY RESIDUAL MATURITY

Residual maturity shall be computed in days between the contractual date of maturity and the reporting reference date for all positions.

Exposures to General governments shall be broken-down by residual maturity and allocated to the buckets provided as follows:

—

[0 – 3M [ : Less than 90 days

—

[3M – 1Y [ : Equal or greater than 90 days and less than 365 days

—

[1Y – 2Y [ : Equal or greater than 365 days and less than 730 days

—

[2Y – 3Y [ : Equal or greater than 730 days and less than 1 095 days

—

[3Y – 5Y [ : Equal or greater than 1 095 days and less than 1 825 days

—

[5Y – 10Y [ : Equal or greater than 1 825 days and less than 3 650 days

—

[10Y – more : Equal or greater than 3 650 days’

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

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

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

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

( 5 ) Commission Delegated Regulation (EU) No 241/2014 of 7 January 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for Own Funds requirements for institutions ( OJ L 74, 14.3.2014, p. 8 ).

( 6 ) Council Directive 93/6/EEC of 15 March 1993 on the capital adequacy of investments firms and credit institutions ( OJ L 141, 11.6.1993, p. 1 ).

( 7 ) Directive 2000/12/EC of the European Parliament and of the Council of 20 March 2000 relating to the taking up and pursuit of the business of credit institutions ( OJ L 126, 26.5.2000, p. 1 ).

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

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

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

( 11 ) Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 ( OJ L 347, 28.12.2017, p. 35 ).

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

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

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

( 15 ) Commission Implementing Regulation (EU) No 945/2014 of 4 September 2014 laying down implementing technical standards with regard to relevant appropriately diversified indices according to Regulation (EU) No 575/2013 of the European Parliament and of the Council

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

( 17 ) Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards ( OJ L 243, 11.9.2002, p. 1 ).

ANNEX III

‘ANNEX III

REPLACES ANNEX III – REPORTING FINANCIAL INFORMATION ACCORDING TO IFRS

FINREP TEMPLATES FOR IFRS

TEMPLATE NUMBER

TEMPLATE CODE

NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE

PART 1 [QUARTERLY FREQUENCY]

Balance Sheet Statement [Statement of Financial Position]

1.1

F 01.01

Balance Sheet Statement: assets

1.2

F 01.02

Balance Sheet Statement: liabilities

1.3

F 01.03

Balance Sheet Statement: equity

F 02.00

Statement of profit or loss

F 03.00

Statement of comprehensive income

Breakdown of financial assets by instrument and by counterparty sector

4.1

F 04.01

Breakdown of financial assets by instrument and by counterparty sector: financial assets held for trading

4.2.1

F 04.02.1

Breakdown of financial assets by instrument and by counterparty sector: non-trading financial assets mandatorily at fair value through profit or loss

4.2.2

F 04.02.2

Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss

4.3.1

F 04.03.1

Breakdown of financial assets by instrument and by counterparty sector: financial assets at fair value through other comprehensive income

4.4.1

F 04.04.1

Breakdown of financial assets by instrument and by counterparty sector: financial assets at amortised cost

4.5

F 04.05

Subordinated financial assets

5.1

F 05.01

Breakdown of non-trading loans and advances by product

6.1

F 06.01

Breakdown of loans and advances other than held for trading to non-financial corporations by NACE codes

Financial assets subject to impairment that are past due

7.1

F 07.01

Financial assets subject to impairment that are past due

Breakdown of financial liabilities

8.1

F 08.01

Breakdown of financial liabilities by product and by counterparty sector

8.2

F 08.02

Subordinated financial liabilities

Loan commitments, financial guarantees and other commitments

9.1.1

F 09.01.1

Off-balance sheet exposures: loan commitments, financial guarantees and other commitments given

9.2

F 09.02

Loan commitments, financial guarantees and other commitments received

F 10.00

Derivatives – Trading and economic hedges

Hedge accounting

11.1

F 11.01

Derivatives – Hedge accounting: Breakdown by type of risk and type of hedge

11.3

F 11.03

Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge

11.4

F 11.04

Hedged items in fair value hedges

Movements in allowances and provisions for credit losses

12.1

F 12.01

Movements in allowances and provisions for credit losses

12.2

F 12.02

Transfers between impairment stages (gross basis presentation)

Collateral and guarantees received

13.1

F 13.01

Breakdown of collateral and guarantees by loans and advances other than held for trading

13.2.1

F 13.02.1

Collateral obtained by taking possession during the period [held at the reference date]

13.3.1

F 13.03.1

Collateral obtained by taking possession accumulated

F 14.00

Fair value hierarchy: financial instruments at fair value

F 15.00

Derecognition and financial liabilities associated with transferred financial assets

Breakdown of selected statement of profit or loss items

16.1

F 16.01

Interest income and expenses by instrument and counterparty sector

16.2

F 16.02

Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument

16.3

F 16.03

Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument

16.4

F 16.04

Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk

16.4.1

F 16.04.1

Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument

16.5

F 16.05

Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument

16.6

F 16.06

Gains or losses from hedge accounting

16.7

F 16.07

Impairment on non-financial assets

16.8

F 16.08

Other administrative expenses

Reconciliation between accounting and CRR scope of consolidation: Balance Sheet

17.1

F 17.01

Reconciliation between accounting and CRR scope of consolidation: Assets

17.2

F 17.02

Reconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures – loan commitments, financial guarantees and other commitments given

17.3

F 17.03

Reconciliation between accounting and CRR scope of consolidation: Liabilities

Information on performing and non-performing exposures

F 18.00

Information on performing and non-performing exposures

18.1

F 18.01

Inflows and outflows of non-performing exposures – loans and advances by counterparty sector

18.2

F 18.02

Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property

F 19.00

Forborne exposures

PART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING]

Geographical breakdown

20.1

F 20.01

Geographical breakdown of assets by location of the activities

20.2

F 20.02

Geographical breakdown of liabilities by location of the activities

20.3

F 20.03

Geographical breakdown of main statement of profit or loss items by location of the activities

20.4

F 20.04

Geographical breakdown of assets by residence of the counterparty

20.5

F 20.05

Geographical breakdown of off-balance sheet exposures by residence of the counterparty

20.6

F 20.06

Geographical breakdown of liabilities by residence of the counterparty

20.7.1

F 20.07.1

Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes

F 21.00

Tangible and intangible assets: assets subject to operating lease

Asset management, custody and other service functions

22.1

F 22.01

Fee and commission income and expenses by activity

22.2

F 22.02

Assets involved in the services provided

Loans and advances: additional information

23.1

F 23.01

Loans and advances: Number of instruments

23.2

F 23.02

Loans and advances: Additional information on gross carrying amounts

23.3

F 23.03

Loans and advances collateralised by immovable property: Breakdown by LTV ratios

23.4

F 23.04

Loans and advances: Additional information on accumulated impairments and accumulated negative changes in fair value due to credit risk

23.5

F 23.05

Loans and advances: Collateral received and financial guarantees received

23.6

F 23.06

Loans and advances: Accumulated partial write-offs

Loans and advances: Flows of non performing exposures, impairment & write offs since the end of the last financial year

24.1

F 24.01

Loans and advances: Inflows and outflows of non-performing exposures

24.2

F 24.02

Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures

24.3

F 24.03

Loans and advances: Inflow of write-offs of non-performing exposures

Collateral obtained by taking possession and execution processes

25.1

F 25.01

Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Inflows and Outflows

25.2

F 25.02

Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Type of collateral obtained

25.3

F 25.03

Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)

F 26.00

Forbearance management and quality of forbearance

PART 3 [SEMI-ANNUAL]

Off-balance sheet activities: interests in unconsolidated structured entities

30.1

F 30.01

Interests in unconsolidated structured entities

30.2

F 30.02

Breakdown of interests in unconsolidated structured entities by nature of the activities

Related parties

31.1

F 31.01

Related parties: amounts payable to and amounts receivable from

31.2

F 31.02

Related parties: expenses and income generated by transactions with

PART 4 [ANNUAL]

Group structure

40.1

F 40.01

Group structure: “entity-by-entity”

40.2

F 40.02

Group structure: “instrument-by-instrument”

Fair value

41.1

F 41.01

Fair value hierarchy: financial instruments at amortised cost

41.2

F 41.02

Use of the Fair Value Option

F 42.00

Tangible and intangible assets: carrying amount by measurement method

F 43.00

Provisions

Defined benefit plans and employee benefits

44.1

F 44.01

Components of net defined benefit plan assets and liabilities

44.2

F 44.02

Movements in defined benefit plan obligations

44.3

F 44.03

Staff expenses by type of benefits

44.4

F 44.04

Staff expenses by structure and category of staff

Breakdown of selected items of statement of profit or loss

45.1

F 45.01

Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio

45.2

F 45.02

Gains or losses on derecognition of non-financial assets other than held for sale and investments in subsidiaries, joint ventures and associates

45.3

F 45.03

Other operating income and expenses

F 46.00

Statement of changes in equity

F 47.00

Average duration and recovery periods

Balance Sheet Statement [Statement of Financial Position]

1.1 Assets

References

Breakdown in table

Carrying amount

Annex V.Part 1.27

010

Cash, cash balances at central banks and other demand deposits

IAS 1.54 (i)

020

Cash on hand

Annex V.Part 2.1

030

Cash balances at central banks

Annex V.Part 2.2

040

Other demand deposits

Annex V.Part 2.3

050

Financial assets held for trading

IFRS 9.Appendix A

060

Derivatives

IFRS 9.Appendix A

070

Equity instruments

IAS 32.11

080

Debt securities

Annex V.Part 1.31

090

Loans and advances

Annex V.Part 1.32

096

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

IFRS 7.8(a)(ii); IFRS 9.4.1.4

097

Equity instruments

IAS 32.11

098

Debt securities

Annex V.Part 1.31

099

Loans and advances

Annex V.Part 1.32

100

Financial assets designated at fair value through profit or loss

IFRS 7.8(a)(i); IFRS 9.4.1.5

120

Debt securities

Annex V.Part 1.31

130

Loans and advances

Annex V.Part 1.32

141

Financial assets at fair value through other comprehensive income

IFRS 7.8(h); IFRS 9.4.1.2A

142

Equity instruments

IAS 32.11

143

Debt securities

Annex V.Part 1.31

144

Loans and advances

Annex V.Part 1.32

181

Financial assets at amortised cost

IFRS 7.8(f); IFRS 9.4.1.2

182

Debt securities

Annex V.Part 1.31

183

Loans and advances

Annex V.Part 1.32

240

Derivatives – Hedge accounting

IFRS 9.6.2.1; Annex V.Part 1.22

250

Fair value changes of the hedged items in portfolio hedge of interest rate risk

IAS 39.89A(a); IFRS 9.6.5.8

260

Investments in subsidiaries, joint ventures and associates

IAS 1.54(e); Annex V.Part 1.21, Part 2.4

270

Tangible assets

280

Property, Plant and Equipment

IAS 16.6; IAS 1.54(a); IFRS 16.47(a)

21, 42

290

Investment property

IAS 40.5; IAS 1.54(b); IFRS 16.48

21, 42

300

Intangible assets

IAS 1.54(c); CRR art 4(1)(115)

310

Goodwill

IFRS 3.B67(d); CRR art 4(1)(113)

320

Other intangible assets

IAS 38.8,118; IFRS 16.47 (a)

21, 42

330

Tax assets

IAS 1.54(n-o)

340

Current tax assets

IAS 1.54(n); IAS 12.5

350

Deferred tax assets

IAS 1.54(o); IAS 12.5; CRR art 4(1)(106)

360

Other assets

Annex V.Part 2.5

370

Non-current assets and disposal groups classified as held for sale

IAS 1.54(j); IFRS 5.38, Annex V.Part 2.7

380

TOTAL ASSETS

IAS 1.9(a), IG 6

1.2 Liabilities

References

Breakdown in table

Carrying amount

Annex V.Part 1.27

010

Financial liabilities held for trading

IFRS 7.8 (e) (ii); IFRS 9.BA.6

020

Derivatives

IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a)

030

Short positions

IFRS 9.BA7(b)

040

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

050

Debt securities issued

Annex V.Part 1.37

060

Other financial liabilities

Annex V.Part 1.38-41

070

Financial liabilities designated at fair value through profit or loss

IFRS 7.8 (e)(i); IFRS 9.4.2.2

080

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

090

Debt securities issued

Annex V.Part 1.37

100

Other financial liabilities

Annex V.Part 1.38-41

110

Financial liabilities measured at amortised cost

IFRS 7.8(g); IFRS 9.4.2.1

120

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

130

Debt securities issued

Annex V.Part 1.37

140

Other financial liabilities

Annex V.Part 1.38-41

150

Derivatives – Hedge accounting

IFRS 9.6.2.1; Annex V.Part 1.26

160

Fair value changes of the hedged items in portfolio hedge of interest rate risk

IAS 39.89A(b), IFRS 9.6.5.8

170

Provisions

IAS 37.10; IAS 1.54(l)

180

Pensions and other post employment defined benefit obligations

IAS 19.63; IAS 1.78(d); Annex V.Part 2.9

190

Other long term employee benefits

IAS 19.153; IAS 1.78(d); Annex V.Part 2.10

200

Restructuring

IAS 37.71, 84(a)

210

Pending legal issues and tax litigation

IAS 37.Appendix C. Examples 6 and 10

220

Commitments and guarantees given

IFRS 9.4.2.1(c),(d), 9.5.5, 9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.11

230

Other provisions

IAS 37.14

240

Tax liabilities

IAS 1.54(n-o)

250

Current tax liabilities

IAS 1.54(n); IAS 12.5

260

Deferred tax liabilities

IAS 1.54(o); IAS 12.5; CRR art 4(1)(108)

270

Share capital repayable on demand

IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12

280

Other liabilities

Annex V.Part 2.13

290

Liabilities included in disposal groups classified as held for sale

IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14

300

TOTAL LIABILITIES

IAS 1.9(b);IG 6

1.3 Equity

References

Breakdown in table

Carrying amount

010

Capital

IAS 1.54(r), BAD art 22

020

Paid up capital

IAS 1.78(e)

030

Unpaid capital which has been called up

Annex V.Part 2.14

040

Share premium

IAS 1.78(e); CRR art 4(1)(124)

050

Equity instruments issued other than capital

Annex V.Part 2.18-19

060

Equity component of compound financial instruments

IAS 32.28-29; Annex V.Part 2.18

070

Other equity instruments issued

Annex V.Part 2.19

080

Other equity

IFRS 2.10; Annex V.Part 2.20

090

Accumulated other comprehensive income

CRR art 4(1)(100)

095

Items that will not be reclassified to profit or loss

IAS 1.82A(a)

100

Tangible assets

IAS 16.39-41

110

Intangible assets

IAS 38.85-87

120

Actuarial gains or (-) losses on defined benefit pension plans

IAS 1.7, IG6; IAS 19.120(c)

122

Non-current assets and disposal groups classified as held for sale

IFRS 5.38, IG Example 12

124

Share of other recognised income and expense of investments in subsidaries, joint ventures and associates

IAS 1.IG6; IAS 28.10

320

Fair value changes of equity instruments measured at fair value through other comprehensive income

IAS 1.7(d); IFRS 9 5.7.5, B5.7.1; Annex V.Part 2.21

330

Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income

IAS 1.7(e);IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.22

340

Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item]

IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.22

350

Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument]

IAS 1.7(e);IFRS 9.5.7.5;.6.5.8(a); Annex V.Part 2.57

360

Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk

IAS 1.7(f); IFRS 9 5.7.7;Annex V.Part 2.23

128

Items that may be reclassified to profit or loss

IAS 1.82A(a) (ii)

130

Hedge of net investments in foreign operations [effective portion]

IFRS9.6.5.13(a); IFRS7.24B(b)(ii)(iii); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.24

140

Foreign currency translation

IAS 21.52(b); IAS 21.32, 38-49

150

Hedging derivatives. Cash flow hedges reserve [effective portion]

IAS 1.7 (e); IFRS 7.24B(b)(ii)(iii); IFRS 7.24C(b)(i);.24E; IFRS 9.6.5.11(b); Annex V.Part 2.25

155

Fair value changes of debt instruments measured at fair value through other comprehensive income

IAS 1.7(da); IFRS 9.4.1.2A; 5.7.10; Annex V.Part 2.26

165

Hedging instruments [not designated elements]

IAS 1.7(g)(h); IFRS 9.6.5.15, .6.5.16; IFRS 7.24 E (b)(c); Annex V.Part 2.60

170

Non-current assets and disposal groups classified as held for sale

IFRS 5.38, IG Example 12

180

Share of other recognised income and expense of investments in subsidaries, joint ventures and associates

IAS 1.IG6; IAS 28.10

190

Retained earnings

CRR art 4(1)(123)

200

Revaluation reserves

IFRS 1.30, D5-D8; Annex V.Part 2.28

210

Other reserves

IAS 1.54; IAS 1.78(e)

220

Reserves or accumulated losses of investments in subsidaries, joint ventures and associates accounted for using the equity method

IAS 28.11; Annex V.Part 2.29

230

Other

Annex V.Part 2.29

240

(-) Treasury shares

IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.30

250

Profit or loss attributable to owners of the parent

IAS 1.81B (b)(ii)

260

(-) Interim dividends

IAS 32.35

270

Minority interests [Non-controlling interests]

IAS 1.54(q)

280

Accumulated Other Comprehensive Income

CRR art 4(1)(100)

290

Other items

300

TOTAL EQUITY

IAS 1.9(c), IG 6

310

TOTAL EQUITY AND TOTAL LIABILITIES

IAS 1.IG6

Statement of profit or loss

References

Breakdown in table

Current period

010

Interest income

IAS 1.97; Annex V.Part 2.31

020

Financial assets held for trading

IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34

025

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

IFRS 7.20(a)(i), B5(e), IFRS 9.5.7.1

030

Financial assets designated at fair value through profit or loss

IFRS 7.20(a)(i), B5(e)

041

Financial assets at fair value through other comprehensive income

IFRS 7.20(b); IFRS 9.5.7.10-11; IFRS 9.4.1.2A

051

Financial assets at amortised cost

IFRS 7.20(b);IFRS 9.4.1.2; IFRS 9.5.7.2

070

Derivatives – Hedge accounting, interest rate risk

IFRS 9.Appendix A; .B6.6.16; Annex V.Part 2.35

080

Other assets

Annex V.Part 2.36

085

Interest income on liabilities

IFRS 9.5.7.1, Annex V.Part 2.37

090

(Interest expenses)

IAS 1.97; Annex V.Part 2.31

100

(Financial liabilities held for trading)

IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34

110

(Financial liabilities designated at fair value through profit or loss)

IFRS 7.20(a)(i), B5(e)

120

(Financial liabilities measured at amortised cost)

IFRS 7.20(b); IFRS 9.5.7.2

130

(Derivatives – Hedge accounting, interest rate risk)

IAS 39.9; Annex V.Part 2.35

140

(Other liabilities)

Annex V.Part 2.38

145

(Interest expense on assets)

IFRS 9.5.7.1, Annex V.Part 2.39

150

(Expenses on share capital repayable on demand)

IFRIC 2.11

160

Dividend income

Annex V.Part 2.40

170

Financial assets held for trading

IFRS 7.20(a)(i), B5(e); Annex V.Part 2.40

175

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

IFRS 7.20(a)(i), B5(e),IFRS 9.5.7.1A; Annex V.Part 2.40

191

Financial assets at fair value through other comprehensive income

IFRS 7.20(a)(ii); IFRS 9.4.1.2A; IFRS 9.5.7.1A; Annex V.Part 2.41

192

Investments in subsidiaries, joint ventures and associates accounted for using other than equity method

Annex V Part 2 .42

200

Fee and commission income

IFRS 7.20(c)

210

(Fee and commission expenses)

IFRS 7.20(c)

220

Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net

Annex V.Part 2.45

231

Financial assets at fair value through other comprehensive income

IFRS 9.4.12A; IFRS 9.5.7.10-11

241

Financial assets at amortised cost

IFRS 7.20(a)(v);IFRS 9.4.1.2; IFRS 9.5.7.2

260

Financial liabilities measured at amortised cost

IFRS 7.20(a)(v); IFRS 9.5.7.2

270

Other

280

Gains or (-) losses on financial assets and liabilities held for trading, net

IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 46

287

Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net

IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.46

290

Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net

IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.44

16, 45

300

Gains or (-) losses from hedge accounting, net

Annex V.Part 2.47

310

Exchange differences [gain or (-) loss], net

IAS 21.28, 52 (a)

330

Gains or (-) losses on derecognition of non-financial assets, net

IAS 1.34; Annex V. Part 2.48

340

Other operating income

Annex V.Part 2.314-316

350

(Other operating expenses)

Annex V.Part 2.314-316

355

TOTAL OPERATING INCOME, NET

360

(Administrative expenses)

370

(Staff expenses)

IAS 19.7; IAS 1.102, IG 6

380

(Other administrative expenses)

385

(Cash contributions to resolution funds and deposit guarantee schemes)

Annex V.Part 2.48i

390

(Depreciation)

IAS 1.102, 104

400

(Property, Plant and Equipment)

IAS 1.104; IAS 16.73(e)(vii)

410

(Investment Properties)

IAS 1.104; IAS 40.79(d)(iv)

420

(Other intangible assets)

IAS 1.104; IAS 38.118(e)(vi)

425

Modification gains or (-) losses, net

IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49

426

Financial assets at fair value through other comprehensive income

IFRS 7.35J

427

Financial assets at amortised cost

IFRS 7.35J

430

(Provisions or (-) reversal of provisions)

IAS 37.59, 84; IAS 1.98(b)(f)(g)

435

(payment commitments to resolution funds and deposit guarantee schemes)

Annex V.Part 2.48i

440

(Commitments and guarantees given)

IFRS 9.4.2.1(c),(d),9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.50

450

(Other provisions)

460

(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss)

IFRS 7.20(a)(viii); IFRS 9.5.4.4; Annex V Part 2.51, 53

481

(Financial assets at fair value through other comprehensive income)

IFRS 9.5.4.4, 9.5.5.1, 9.5.5.2, 9.5.5.8

491

(Financial assets at amortised cost)

IFRS 9.5.4.4, 9.5.5.1, 9.5.5.8

510

(Impairment or (-) reversal of impairment of investments in subsidiaries, joint ventures and associates)

IAS 28.40-43

520

(Impairment or (-) reversal of impairment on non-financial assets)

IAS 36.126(a)(b)

530

(Property, plant and equipment)

IAS 16.73(e)(v-vi)

540

(Investment properties)

IAS 40.79(d)(v)

550

(Goodwill)

IFRS 3.Appendix B67(d)(v); IAS 36.124

560

(Other intangible assets)

IAS 38.118 (e)(iv)(v)

570

(Other)

IAS 36.126 (a)(b)

580

Negative goodwill recognised in profit or loss

IFRS 3.Appendix B64(n)(i)

590

Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates accounted for using the equity method

Annex V.Part 2.54

600

Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations

IFRS 5.37; Annex V.Part 2.55

610

PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS

IAS 1.102, IG 6; IFRS 5.33 A

620

(Tax expense or (-) income related to profit or loss from continuing operations)

IAS 1.82(d); IAS 12.77

630

PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS

IAS 1, IG 6

640

Profit or (-) loss after tax from discontinued operations

IAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56

650

Profit or (-) loss before tax from discontinued operations

IFRS 5.33(b)(i)

660

(Tax expense or (-) income related to discontinued operations)

IFRS 5.33 (b)(ii),(iv)

670

PROFIT OR (-) LOSS FOR THE YEAR

IAS 1.81A(a)

680

Attributable to minority interest [non-controlling interests]

IAS 1.81B (b)(i)

690

Attributable to owners of the parent

IAS 1.81B (b)(ii)

Statement of comprehensive income

References

Current period

010

Profit or (-) loss for the year

IAS 1.7, IG6

020

Other comprehensive income

IAS 1.7, IG6

030

Items that will not be reclassified to profit or loss

IAS 1.82A(a)(i)

040

Tangible assets

IAS 1.7, IG6; IAS 16.39-40

050

Intangible assets

IAS 1.7; IAS 38.85-86

060

Actuarial gains or (-) losses on defined benefit pension plans

IAS 1.7, IG6; IAS 19.120(c)

070

Non-current assets and disposal groups held for sale

IFRS 5.38

080

Share of other recognised income and expense of entities accounted for using the equity method

IAS 1.IG6; IAS 28.10

081

Fair value changes of equity instruments measured at fair value through other comprehensive income

IAS 1.7(d)

083

Gains or (-) losses from hedge accounting of equity instruments at fair value through other comprehensive income, net

IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.57

084

Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item]

IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.57

085

Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument]

IFRS 9.5.7.5;.6.5.8(a); Annex V.Part 2.57

086

Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk

IAS 1.7(f)

090

Income tax relating to items that will not be reclassified

IAS 1.91(b); Annex V.Part 2.66

100

Items that may be reclassified to profit or loss

IAS 1.82A(a)(ii)

110

Hedge of net investments in foreign operations [effective portion]

IFRS 9.6.5.13(a); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.58

120

Valuation gains or (-) losses taken to equity

IAS 1.IG6;IFRS 9.6.5.13(a); IFRS 7.24C(b)(i);.24E(a); Annex V.Part 2.58

130

Transferred to profit or loss

IAS 1.7, 92-95; IAS 21.48-49; IFRS 9.6.5.14; Annex V.Part 2.59

140

Other reclassifications

Annex V.Part 2.65

150

Foreign currency translation

IAS 1.7, IG6; IAS 21.52(b)

160

Translation gains or (-) losses taken to equity

IAS 21.32, 38-47

170

Transferred to profit or loss

IAS 1.7, 92-95; IAS 21.48-49

180

Other reclassifications

Annex V.Part 2.65

190

Cash flow hedges [effective portion]

IAS 1.7, IG6; IAS 39.95(a)-96 IFRS 9.6.5.11(b); IFRS 7.24C(b)(i);.24E(a);

200

Valuation gains or (-) losses taken to equity

IAS 1.7(e),IG6; IFRS 9.6.5.11(a)(b)(d); IFRS 7.24C(b)(i), .24E(a)

210

Transferred to profit or loss

IAS 1.7, 92-95, IG6; IFRS 9.6.5.11(d)(ii)(iii);IFRS 7.24C(b)(iv),.24E(a) Annex V.Part 2.59

220

Transferred to initial carrying amount of hedged items

IAS 1.IG6;IFRS 9.6.5.11(d)(i)

230

Other reclassifications

Annex V.Part 2.65

231

Hedging instruments [not designated elements]

IAS 1.7(g)(h); IFRS 9.6.5.15, .6.5.16;IFRS 7.24E(b)(c); Annex V.Part 2.60

232

Valuation gains or (-) losses taken to equity

IAS 1.7(g)(h); IFRS 9.6.5.15, .6.5.16; IFRS 7.24E (b)(c)

233

Transferred to profit or loss

IAS 1.7(g)(h); IFRS 9.6.5.15, .6.5.16;IFRS 7.24E(b)(c); Annex V.Part 2.61

234

Other reclassifications

Annex V.Part 2.65

241

Debt instruments at fair value through other comprehensive income

IAS 1.7(da), IG 6; IAS 1.IG6; IFRS 9.5.6.4; Annex V.Part 2.62-63

251

Valuation gains or (-) losses taken to equity

IFRS 7.20(a)(ii); IAS 1.IG6; IFRS 9.5.6.4

261

Transferred to profit or loss

IAS 1.7, IAS 1.92-95, IAS 1.IG6; IFRS 9.5.6.7; Annex V.Part 2.64

270

Other reclassifications

IFRS 5.IG Example 12;IFRS 9.5.6.5; Annex V.Part 2.64-65

280

Non-current assets and disposal groups held for sale

IFRS 5.38

290

Valuation gains or (-) losses taken to equity

IFRS 5.38

300

Transferred to profit or loss

IAS 1.7, 92-95; IFRS 5.38

310

Other reclassifications

IFRS 5.IG Example 12

320

Share of other recognised income and expense of Investments in subsidaries, joint ventures and associates

IAS 1.IG6; IAS 28.10

330

Income tax relating to items that may be reclassified to profit or (-) loss

IAS 1.91(b), IG6; Annex V.Part 2.66

340

Total comprehensive income for the year

IAS 1.7, 81A(a), IG6

350

Attributable to minority interest [Non-controlling interest]

IAS 1.83(b)(i), IG6

360

Attributable to owners of the parent

IAS 1.83(b)(ii), IG6

Breakdown of financial assets by instrument and by counterparty sector

4.1 Financial assets held for trading

References

Carrying amount

Annex V.Part 1.27

010

005

Derivatives

010

Equity instruments

IAS 32.11, Annex V.Part 1.44(b)

030

of which: credit institutions

Annex V.Part 1.42(c)

040

of which: other financial corporations

Annex V.Part 1.42(d)

050

of which: non-financial corporations

Annex V.Part 1.42(e)

060

Debt securities

Annex V.Part 1.31, 44(b)

070

Central banks

Annex V.Part 1.42(a)

080

General governments

Annex V.Part 1.42(b)

090

Credit institutions

Annex V.Part 1.42(c)

100

Other financial corporations

Annex V.Part 1.42(d)

110

Non-financial corporations

Annex V.Part 1.42(e)

120

Loans and advances

Annex V.Part 1.32, 44(a)

130

Central banks

Annex V.Part 1.42(a)

140

General governments

Annex V.Part 1.42(b)

150

Credit institutions

Annex V.Part 1.42(c)

160

Other financial corporations

Annex V.Part 1.42(d)

170

Non-financial corporations

Annex V.Part 1.42(e)

180

Households

Annex V.Part 1.42(f)

190

FINANCIAL ASSETS HELD FOR TRADING

IFRS 9.Appendix A

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

References

Carrying amount

Accumulated negative changes in fair value due to credit risk on non-performing exposures

Annex V.Part 1.27

Annex V.Part 2.69

010

020

010

Equity instruments

IAS 32.11, Annex V.Part 1.44(b)

020

of which: credit institutions

Annex V.Part 1.42(c)

030

of which: other financial corporations

Annex V.Part 1.42(d)

040

of which: non-financial corporations

Annex V.Part 1.42(e)

050

Debt securities

Annex V.Part 1.31, 44(b)

060

Central banks

Annex V.Part 1.42(a)

070

General governments

Annex V.Part 1.42(b)

080

Credit institutions

Annex V.Part 1.42(c)

090

Other financial corporations

Annex V.Part 1.42(d)

100

Non-financial corporations

Annex V.Part 1.42(e)

110

Loans and advances

Annex V.Part 1.32, 44(a)

120

Central banks

Annex V.Part 1.42(a)

130

General governments

Annex V.Part 1.42(b)

140

Credit institutions

Annex V.Part 1.42(c)

150

Other financial corporations

Annex V.Part 1.42(d)

160

Non-financial corporations

Annex V.Part 1.42(e)

170

Households

Annex V.Part 1.42(f)

180

NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS

IFRS 7.8(a)(ii); IFRS 9.4.1.4

4.2.2 Financial assets designated at fair value through profit or loss

References

Carrying amount

Accumulated negative changes in fair value due to credit risk on non-performing exposures

Annex V.Part 1.27

Annex V.Part 2.69

010

020

060

Debt securities

Annex V.Part 1.31, 44(b)

070

Central banks

Annex V.Part 1.42(a)

080

General governments

Annex V.Part 1.42(b)

090

Credit institutions

Annex V.Part 1.42(c)

100

Other financial corporations

Annex V.Part 1.42(d)

110

Non-financial corporations

Annex V.Part 1.42(e)

120

Loans and advances

Annex V.Part 1.32, 44(a)

130

Central banks

Annex V.Part 1.42(a)

140

General governments

Annex V.Part 1.42(b)

150

Credit institutions

Annex V.Part 1.42(c)

160

Other financial corporations

Annex V.Part 1.42(d)

170

Non-financial corporations

Annex V.Part 1.42(e)

180

Households

Annex V.Part 1.42(f)

190

FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

IFRS 7.8(a)(i); IFRS 9.4.1.5

4.3.1. Financial assets at fair value through other comprehensive income

References

Carrying amount

Gross carrying amount

Annex V.Part 1.34(b)

Accumulated impairment

Annex V.Part 2.70(b), 71

Accumulated partial write-offs

Accumulated total write-offs

Assets without significant increase in credit risk since initial recognition (Stage 1)

Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)

Credit-impaired assets (Stage 3)

Assets without significant increase in credit risk since initial recognition (Stage 1)

Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)

Credit-impaired assets (Stage 3)

of which: instruments with low credit risk

Annex V.Part 1.27

IFRS 9.5.5.5; IFRS 7.35M(a)

IFRS 9.B5.5.22-24; Annex V.Part 2.75

IFRS 9.5.5.3, IFRS 7.35M(b)(i)

IFRS 9.5.5.1, 7.35M(b)(ii)

IFRS 9.5.5.5; IFRS7.35H(a), IFRS 7.16A

IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i), IFRS 7.16A

IFRS 9.5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii), IFRS 7.16A

IFRS 9.5.4.4 and B5.4.9 ; Annex V.Part 2.72-74

IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74

010

015

020

030

040

050

060

070

080

090

010

Equity instruments

IAS 32.11; Annex V.Part 1.44(b)

020

of which: credit institutions

Annex V.Part 1.42(c)

030

of which: other financial corporations

Annex V.Part 1.42(d)

040

of which: non-financial corporations

Annex V.Part 1.42(e)

050

Debt securities

Annex V.Part 1.31, 44(b)

060

Central banks

Annex V.Part 1.42(a)

070

General governments

Annex V.Part 1.42(b)

080

Credit institutions

Annex V.Part 1.42(c)

090

Other financial corporations

Annex V.Part 1.42(d)

100

Non-financial corporations

Annex V.Part 1.42(e)

110

Loans and advances

Annex V.Part 1.32, 44(a)

120

Central banks

Annex V.Part 1.42(a)

130

General governments

Annex V.Part 1.42(b)

140

Credit institutions

Annex V.Part 1.42(c)

150

Other financial corporations

Annex V.Part 1.42(d)

160

Non-financial corporations

Annex V.Part 1.42(e)

165

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

170

Households

Annex V.Part 1.42(f)

180

FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME

IFRS 7.8(h); IFRS 9.4.1.2A

190

of which: purchased credit-impaired financial assets

IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.77

4.4.1 Financial assets at amortised cost

References

Carrying amount

Gross carrying amount

Annex V.Part 1.34(b)

Accumulated impairment

Annex V.Part 2.70(a), 71

Accumulated partial write-offs

Accumulated total write-offs

Assets without significant increase in credit risk since initial recognition (Stage 1)

Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)

Credit-impaired assets (Stage 3)

Assets without significant increase in credit risk since initial recognition (Stage 1)

Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)

Credit-impaired assets (Stage 3)

of which: instruments with low credit risk

Annex V.Part 1.27

IFRS 9.5.5.5; IFRS 7.35M(a)

IFRS 9.B5.5.22-24; Annex V.Part 2.75

IFRS 9.5.5.3, IFRS 7.35M(b)(i)

IFRS 9.5.5.1, 7.35M(b)(ii)

IFRS 9.5.5.5; IFRS7.35H(a)

IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i)

IFRS 5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii)

IFRS 9.5.4.4 and B5.4.9 ; Annex V.Part 2.72-74

IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74

010

015

020

030

040

050

060

070

080

090

010

Debt securities

Annex V.Part 1.31, 44(b)

020

Central banks

Annex V.Part 1.42(a)

030

General governments

Annex V.Part 1.42(b)

040

Credit institutions

Annex V.Part 1.42(c)

050

Other financial corporations

Annex V.Part 1.42(d)

060

Non-financial corporations

Annex V.Part 1.42(e)

070

Loans and advances

Annex V.Part 1.32, 44(a)

080

Central banks

Annex V.Part 1.42(a)

090

General governments

Annex V.Part 1.42(b)

100

Credit institutions

Annex V.Part 1.42(c)

110

Other financial corporations

Annex V.Part 1.42(d)

120

Non-financial corporations

Annex V.Part 1.42(e)

125

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

130

Households

Annex V.Part 1.42(f)

140

FINANCIAL ASSETS AT AMORTISED COST

IFRS 7.8(f); IFRS 9.4.1.2

150

of which: purchased credit-impaired financial assets

IFRS 9.5.13 and IFRS 7.35M(c); Annex V.Part 2.77

4.5 Subordinated financial assets

References

Carrying amount

Annex V.Part 1.27

010

Loans and advances

Annex V.Part 1.32

020

Debt securities

Annex V.Part 1.31

030

SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS

Annex V.Part 2.78, 100

Breakdown of non-trading loans and advances by product

5.1 Loans and advances other than held for trading and trading assets by product

References

Gross carrying amount

Carrying amount

Annex V.Part 1.27

Central banks

General governments

Credit institutions

Other financial corporations

Non-financial corporations

Households

Annex V.Part 1.34

Annex V.Part 1.42(a)

Annex V.Part 1.42(b)

Annex V.Part 1.42(c)

Annex V.Part 1.42(d)

Annex V.Part 1.42(e)

Annex V.Part 1.42(f)

005

010

020

030

040

050

060

By product

010

On demand [call] and short notice [current account]

Annex V.Part 2.85(a)

020

Credit card debt

Annex V.Part 2.85(b)

030

Trade receivables

Annex V.Part 2.85(c)

040

Finance leases

Annex V.Part 2.85(d)

050

Reverse repurchase loans

Annex V.Part 2.85(e)

060

Other term loans

Annex V.Part 2.85(f)

070

Advances that are not loans

Annex V.Part 2.85(g)

080

LOANS AND ADVANCES

Annex V.Part 1.32, 44(a)

By collateral

090

of which: Loans collateralized by immovable property

Annex V.Part 2.86(a), 87

100

of which: other collateralized loans

Annex V.Part 2.86(b), 87

By purpose

110

of which: credit for consumption

Annex V.Part 2.88(a)

120

of which: lending for house purchase

Annex V.Part 2.88(b)

By subordination

130

of which: project finance loans

Lineage: No known changes

Timeline

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