Commission Implementing Regulation (EU) 2021/451 on supervisory reporting standards for institutions

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.

19.3.2021

Official Journal of the European Union

L 97/1

COMMISSION IMPLEMENTING REGULATION (EU) 2021/451

of 17 December 2020

laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014

(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 the first subparagraph of Article 415(3), the first subparagraph of Article 415(3a), the first subparagraph of Article 430(7) and the second subparagraph of Article 430(9) thereof,

Whereas:

(1)

Without prejudice to the powers of competent authorities under Article 104(1), point (j), of Directive 2013/36/EU of the European Parliament and of the Council ( 2 ) Commission Implementing Regulation (EU) No 680/2014 ( 3 ) lays down, on the basis of Article 430 of Regulation (EU) No 575/2013, a coherent reporting framework. Implementing Regulation (EU) No 680/2014 has been amended several times following the amendments of Regulation (EU) No 575/2013 adopted to introduce, further develop or adapt prudential elements.

(2)

The provisions in this Regulation are closely linked, since they deal with institutions’ reporting requirements. To ensure coherence between those provisions, which should enter into force at the same time, and to facilitate a comprehensive view and compact access to them by persons subject to those obligations, it is desirable to include all related implementing technical standards required by Regulation (EU) No 575/2013 in a single Regulation.

(3)

Taking into account the international standards of the Basel Committee on Banking Supervision, Regulation (EU) 2019/876 of the European Parliament and of the Council ( 4 ) amended Regulation (EU) No 575/2013 in a number of aspects, such as the leverage ratio, the net stable funding requirement, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, and reporting and disclosure requirements. The reporting framework laid down in Implementing Regulation (EU) No 680/2014 should therefore be revised and the set of templates for the collection of information for supervisory reporting purposes should be updated.

(4)

Regulation (EU) 2019/876 introduced in Regulation (EU) No 575/2013 a Tier 1 capital leverage ratio requirement calibrated at 3 %, a range of adjustments to the calculation of leverage ratio exposure, and a leverage ratio buffer requirement for institutions identified as global systemically important institutions (G-SIIs) in accordance with Directive 2013/36/EU. The leverage ratio reporting should therefore be updated to reflect those requirements and adjustments in the exposure calculation.

(5)

Regulation (EU) 2019/876 introduced in Regulation (EU) No 575/2013 net stable funding ratio (NSFR) reporting requirements, including simplified requirements. It is therefore necessary to lay down a new set of reporting templates and instructions.

(6)

Regulation (EU) 2019/876 introduced in Regulation (EU) No 575/2013 a new supporting factor to be applied to infrastructure projects’ exposures and updated approaches to calculating risk-weighted exposure amounts for collective investment undertakings. It is therefore necessary to lay down, also in accordance with the disclosures framework, new templates and instructions for reporting on credit risk and update the current instructions.

(7)

Regulation (EU) 2019/876 replaced in Regulation (EU) No 575/2013 the standardised approach with a more risk sensitive standardised approach for counterparty credit risk (SA-CCR) and a simplified version (the simplified SA-CCR) for institutions that meet predefined eligibility criteria. The original exposure method, though revised, remains available for institutions meeting predefined criteria. It is therefore necessary to add new templates and instructions for reporting on counterparty credit risk and update the current instructions.

(8)

Regulation (EU) 2019/876 replaced in Regulation (EU) No 575/2013 the references to ‘eligible capital’ in the calculation of large exposures with references to ‘Tier 1 capital’ and introduced another threshold for reporting of large exposures on a consolidated basis. The large exposures reporting should therefore be updated.

(9)

Regulation (EU) 2019/630 of the European Parliament and of the Council ( 5 ) introduced in Regulation (EU) No 575/2013 a prudential backstop for non-performing exposures (NPEs) imposing a deduction from institutions’ own funds where NPEs are not sufficiently covered by provisions or other adjustments, following a predefined calendar to build up a full coverage over time. That prudential backstop is based on the definitions of ‘non-performing exposure’ and ‘forbearance measures’ laid down in Implementing Regulation (EU) No 680/2014. It is therefore necessary to amend templates and instructions to ensure that there is a single definition of ‘non-performing exposure’ and ‘forbearance measures’ for both reporting and prudential backstop purposes. New templates are also necessary for the collection of information for the backstop calculation.

(10)

Regulation (EU) 2019/2033 of the European Parliament and of the Council ( 6 ) repeals with effect from 26 June 2026 Chapter 1 of Title I of Part Three, Section 2 (Articles 95 to 98), of Regulation (EU) No 575/2013. For this reason, provisions on reporting for groups that consist only of investment firms subject to Articles 95 and 96 of Regulation (EU) No 575/2013 on an individual basis or a consolidated basis should cease to apply on 26 June 2026.

(11)

In view of the scope of those amendments and for the sake of clarity, it is appropriate to repeal Implementing Regulation (EU) No 680/2014 and replace it with this Regulation.

(12)

Regulation (EU) 2020/873 of the European Parliament and of the Council ( 7 ) is part of a series of measures to mitigate the impact of the COVID-19 pandemic on institutions across the Union. That Regulation introduced certain amendments to Regulations (EU) No 575/2013 and (EU) 2019/876 that have an impact on supervisory reporting. Those amendments should therefore be reflected in the reporting framework.

(13)

Institutions should start supervisory reporting for the end of second quarter of 2021. However, reporting for the leverage ratio buffer should start from January 2023 as the application of the leverage buffer requirements was postponed to January 2023 by Regulation (EU) 2020/873.

(14)

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

(15)

The 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 advice 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 ) , with the exception of the provisions reflecting the amendments of Regulation (EU) No 575/2013 by Regulation (EU) 2020/873. The EBA decided that it would have been highly disproportionate to carry out public consultations or a cost-benefit analysis on those provisions as they concern very few rows in reporting templates on solvency and leverage and are not likely to materially affect the costs of reporting. In addition, such public consultation or a cost-benefit analysis would prevent supervisors from the timely collection of relevant data in a coherent and regular manner.

(16)

To provide institutions with sufficient time to prepare for reporting in accordance with this Regulation, it should enter into force on the day following the date of its publication in the Official Journal of the European Union ,

HAS ADOPTED THIS REGULATION:

Article 1

Subject matter and scope

This Regulation lays down uniform reporting formats and templates, instructions on and a methodology for how to use those templates, the frequency and dates of reporting, the definitions and the IT solutions for the reporting of institutions to their competent authorities in accordance with Article 415, paragraphs 3 and 3a, of Regulation (EU) No 575/2013, and Article 430, paragraphs 1 to 4 and paragraphs 7 and 9 of that Regulation.

Article 2

Reporting reference dates

Institutions shall submit information to competent authorities as this information stands on the following reporting reference dates:

(a)

monthly reporting: on the last day of each month;

(b)

quarterly reporting: 31 March, 30 June, 30 September and 31 December;

(c)

semi-annual reporting: 30 June and 31 December;

(d)

annual reporting: 31 December.

Information submitted pursuant to the templates set out in Annexes III and IV, in accordance with the instructions in Annex V and referring to a certain period, shall be reported cumulatively from the first day of the accounting year to the reference date.
Where institutions are permitted by national laws to report their financial information based on their accounting year-end, which deviates from the calendar year, reporting reference dates may be adjusted accordingly, so that reporting of financial information and of information for the purposes of identifying global systemically important institutions (G-SIIs) and assigning G-SII buffer rates is done every three, six or 12 months from their accounting year-end, respectively.

Article 3

Reporting remittance dates

Institutions shall submit information to competent authorities by close of business on the following remittance dates:

(a)

monthly reporting: 15th calendar day after the reporting reference date;

(b)

quarterly reporting: 12 May, 11 August, 11 November and 11 February;

(c)

semi-annual reporting: 11 August and 11 February;

(d)

annual reporting: 11 February.

If the remittance day is a public holiday in the Member State of the competent authority to which the report is to be provided, or a Saturday or a Sunday, data shall be submitted on the following working day.
Where institutions report their financial information or the information for the purposes of identifying G-SIIs and assigning G-SII buffer rates using adjusted reporting reference dates based on their accounting year-end as set out in paragraph 3 of Article 2, the remittance dates may also be adjusted accordingly so that the same remittance period from the adjusted reporting reference date is maintained.
Institutions may submit unaudited figures. Where audited figures deviate from submitted unaudited figures, the revised, audited figures shall be submitted without undue delay. Unaudited figures are figures that have not received an external auditor’s opinion whereas audited figures are figures audited by an external auditor expressing an audit opinion.
Other corrections to the submitted reports shall also be submitted to the competent authorities without undue delay.

Article 4

Reporting thresholds – entry and exit criteria

Institutions that meet the conditions set out in in Article 4(1), point (145), of Regulation (EU) No 575/2013 shall start reporting information as small and non-complex institutions on the first reporting reference date after those conditions have been met. Where institutions no longer meet those conditions, they shall stop reporting the information on the first reporting reference date thereafter.
Institutions that meet the conditions set out in Article 4(1), point (146), of Regulation (EU) No 575/2013 shall start reporting information as large institutions, on the first reporting reference date after those conditions have been met. Where institutions no longer meet those conditions, they shall stop reporting the information on the first reporting reference date thereafter.
Institutions shall start reporting information subject to the thresholds set out in this Regulation on the next reporting reference date after those thresholds have been exceeded on two consecutive reporting reference dates. Institutions may stop reporting information subject to the thresholds set out in this Regulation on the next reporting reference date where they have fallen below the relevant thresholds on three consecutive reporting reference dates.

Article 5

Reporting on own funds and own funds requirements on an individual basis – quarterly reporting

In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit information referred to in this Article with a quarterly frequency.
Institutions shall submit information on own funds and own funds requirements as specified in Annex I, templates 1 to 5, in accordance with the instructions in Annex II, Part II, point 1.
Institutions shall submit information on credit risk and counterparty credit risk exposures treated under the standardised approach as specified in Annex I, template 7, in accordance with the instructions in Annex II, Part II, point 3.2.
Institutions shall submit information on credit risk and counterparty credit risk exposures treated under the internal ratings-based approach as specified in Annex I, templates 8.1 and 8.2, in accordance with the instructions in Annex II, Part II, point 3.3.
Institutions shall submit information on the geographical distribution of exposures by country, as well as aggregated exposures at a total level, as specified in Annex I, template 9, in accordance with the instructions in Annex II, Part II, point 3.4.

Institutions shall submit information specified in templates 9.1 and 9.2, and in particular information on the geographical distribution of exposures by country, where non-domestic original exposures in all non-domestic countries in all exposure classes, as reported in accordance with Annex I, template 4, row 0850, are equal to or higher than 10 % of total domestic and non-domestic original exposures as reported in accordance with Annex I, template 4, row 0860. Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is established.

The entry and exit criteria set out in Article 4 shall apply.

Institutions shall submit information on counterparty credit risk as specified in Annex I, templates 34.01 to 34.05 and 34.08 to 34.10, in accordance with the instructions in Annex II, Part II, point 3.9.
Institutions applying the standardised approach or the internal model method for the calculation of counterparty credit risk exposures in accordance with Part Three, Title II, Chapter 6, Sections 3 and 6, of Regulation (EU) No 575/2013 shall submit information on counterparty credit risk as specified in Annex I, template 34.06, in accordance with the instructions in Annex II, Part II, point 3.9.7.
Institutions shall submit information on equity exposures treated under the internal ratings-based approach as specified in Annex I, template 10, in accordance with the instructions in Annex II, Part II, point 3.5.
Institutions shall submit information on settlement risk as specified in Annex I, template 11, in accordance with the instructions in Annex II, Part II, point 3.6.
Institutions shall submit information on securitisation exposures as specified in Annex I, template 13.01, in accordance with the instructions in Annex II, Part II, point 3.7.
Institutions shall submit information on own funds requirements and losses relating to operational risk as specified in Annex I, template 16, in accordance with the instructions in Annex II, Part II, point 4.1.
Institutions shall submit information on own funds requirements relating to market risk as specified in Annex I, templates 18 to 24, in accordance with the instructions in Annex II, Part II, points 5.1 to 5.7.
Institutions shall submit information on own funds requirements relating to credit valuation adjustment risk as specified in Annex I, template 25, in accordance with the instructions in Annex II, Part II, point 5.8.
Institutions shall submit information on prudent valuation as specified in Annex I, template 32, in accordance with the instructions in Annex II, Part II, point 6, as follows:

(a)

all institutions shall submit the information specified in Annex I, template 32.1, in accordance with the instructions in Annex II, Part II, point 6;

(b)

institutions that apply the core approach in accordance with Commission Delegated Regulation (EU) 2016/101 ( 9 ) shall, in addition to information referred in point (a) of this paragraph, report the information specified in Annex I, template 32.2, in accordance with the instructions in Annex II, Part II, point 6;

(c)

institutions that apply the core approach in accordance with Commission Delegated Regulation (EU) 2016/101 and which exceed the threshold referred to in Article 4(1) of that Regulation shall, in addition to information referred in points (a) and (b) of this paragraph, report the information specified in Annex I, templates 32.3 and 32.4, in accordance with the instructions in Annex II, Part II, point 6.

For the purposes of this paragraph, the entry and exit criteria set out in Article 4 shall not apply.

Institutions shall submit information on the prudential backstop for non-performing exposures (NPEs) as specified in Annex I, templates 35.01, 35.02 and 35.03, in accordance with the instructions in Annex II, Part II, point 8.

Article 6

Reporting on own funds and own funds requirements on an individual basis – semi-annual reporting

In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit information referred to in this Article with a semi-annual frequency.
Institutions shall submit information on all securitisation exposures as specified in Annex I, templates 14 and 14.01, in accordance with the instructions in Annex II, Part II, point 3.8; except where they are part of a group in the same country in which they are subject to own funds requirements.
Institutions shall submit information on sovereign exposures as follows:

(a)

where the aggregate carrying amount of financial assets from the counterparty sector ‘General governments’ is equal to or higher than 1 % of the sum of total carrying amount for ‘Debt securities’ and ‘Loans and advances’ institutions shall submit the information as specified in Annex I, template 33, in accordance with the instructions in Annex II, Part II, point 7, and shall follow the instructions in Annex V regarding template 4 in Annex III or Annex IV, as applicable, to calculate the relevant values;

(b)

where the value reported for domestic exposures of non-derivative financial assets as defined in row 0010, column 0010 in Annex I, template 33 is less than 90 % of the value reported for domestic and non-domestic exposures for the same data point institutions that meet the condition referred to in point (a) shall submit the information as specified in Annex I, template 33, in accordance with the instructions in Annex II, Part II, point 7, with a full country breakdown;

(c)

institutions that meet the conditions referred to in point (a) and do not meet the condition referred in point (b) shall submit the information specified in template 33, in accordance with the instructions in Annex II, Part II, point 7, with exposures aggregated at:

(i)

total level; and

(ii)

domestic level.

The entry and exit criteria of Article 4(3) shall apply.

Information on material losses regarding operational risk shall be reported as follows:

(a)

institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 4, of Regulation (EU) No 575/2013 shall report that information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2;

(b)

large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 3, of Regulation (EU) No 575/2013 shall report that information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2;

(c)

institutions other than large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 3, of Regulation (EU) No 575/2013 shall report, in accordance with the instructions in Annex II, Part II, point 4.2, the following information:

(i)

the information as specified in Annex I, template 17.01, column 0080 for the following rows:

—

number of events (new events) (row 0910),

—

gross loss amount (new events) (row 0920),

—

number of events subject to loss adjustments (row 0930),

—

loss adjustments relating to previous reporting periods (row 0940),

—

maximum single loss (row 0950),

—

sum of the five largest losses (row 0960),

—

total direct loss recovery (except insurance and other risk transfer mechanisms) (row 0970),

—

total recoveries from insurance and other risk transfer mechanisms (row 0980);

(ii)

the information as specified in Annex I, template 17.02.

(d)

the institutions referred to in point (c) may report the complete set of information specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2;

(e)

large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 2, of Regulation (EU) No 575/2013 shall report the information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2;

(f)

institutions other than large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 2, of Regulation (EU) No 575/2013 may report the information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2.

The entry and exit criteria of Article 4(3) shall apply.

Institutions applying the simplified standardised approach or the original exposure method for the calculation of counterparty credit risk exposures in accordance with Part Three, Title II, Chapter 6, Sections 4 and 5 Regulation (EU) No 575/2013 shall submit the information on counterparty credit risk as specified in Annex I, template 34.06, in accordance with the instructions in Annex II, Part II, point 3.9.7.

Article 7

Reporting on own funds and own funds requirements on a consolidated basis

In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in:

(a)

Articles 5 and 6 of this Implementing Regulation on a consolidated basis with the frequency specified therein; and

(b)

template 6 of Annex I, in accordance with the instructions provided in Annex II, Part II, point 2 regarding entities included in the scope of consolidation, with a semi-annual frequency.

Article 8

Reporting on own funds and own funds requirements – additional reporting requirements on individual and consolidated basis

Institutions subject to a requirement to disclose the information referred to in Article 438, points (e) or (h), or Article 452, points (b), (g) or (h), of Regulation (EU) No 575/2013 with the frequency set out in Article 433a or Article 433c, as applicable, on an individual basis in accordance with Article 6 or on a consolidated basis in accordance with Article 13, as applicable, of that Regulation, shall submit the information on credit risk and counterparty credit risk, as specified in Annex I, templates 8.3, 8.4, 8.5, 8.5.1, 8.6, 8.7 and 34.11, to this Regulation, with the same frequency and on the same basis, following the instructions in Annex II, Part II, points 3.3 and 3.9.12, to this Regulation.
Institutions subject to a requirement to disclose the information referred to in point (l) of Article 439 of Regulation (EU) No 575/2013 with the frequency set out in Article 433a or Article 433c, as applicable, on an individual basis in accordance with Article 6 or on a consolidated basis in accordance with Article 13, as applicable, of that Regulation, shall submit the information on counterparty credit risk, as specified in Annex I, template 34.07, to this Regulation, with the same frequency and on the same basis, following the instructions in Annex II, Part II, point 3.9.8, to this Regulation.

Article 9

Reporting on own funds and own funds requirements for investment firms subject to Articles 95 and 96 of Regulation (EU) No 575/2013 on an individual basis

Investment firms that apply the transitional provisions of Article 57(3) of Regulation (EU) 2019/2033 shall submit information as set out in this Article.
In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, with the exception of information on the leverage ratio, investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 95 of Regulation (EU) No 575/2013 shall submit the information specified in Annex I, templates 1 to 5, in accordance with the instructions in Annex II, Part II, point 1, with a quarterly frequency.
In order to report information on own funds and own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 96 of Regulation (EU) No 575/2013 shall submit the information referred to in Article 5, paragraphs (1) to (5) and paragraphs (8) to (13), and Article 6(2) of this Regulation with the frequency laid down in those Articles.

Article 10

Reporting on own funds and own funds requirements for groups that consist only of investment firms subject to Articles 95 and 96 of Regulation (EU) No 575/2013 on a consolidated basis

Investment firms that apply the transitional provisions of Article 57(3) of Regulation (EU) 2019/2033 shall submit information as set out in this Article.
In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, with the exception of information on the leverage ratio, investment firms of groups that consist only of investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 95 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:

(a)

the information on own funds and on own funds requirements as specified in Annex I, templates 1 to 5, in accordance with the instructions in Annex II, Part II, point 1, with a quarterly frequency;

(b)

the information on own funds and on own funds requirements regarding entities included in the scope of consolidation as specified in Annex I, template 6, in accordance with the instructions in Annex II, Part II, point 2, with a semi-annual frequency.

In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups that consist only of investment firms subject to Article 95 and investment firms subject to Article 96 or of groups that consist only of investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 96 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:

(a)

the information specified in Article 5, paragraphs (1) to (5) and paragraphs (8) to (13) Article 6(2) of this Regulation with the frequency laid down in those Articles;

(b)

the information regarding entities included in the scope of consolidation specified in Annex I, template 6, in accordance with the instructions in Annex II, Part II, point 2, with a semi-annual frequency.

Article 11

Reporting on financial information on a consolidated basis for institutions subject to Regulation (EC) No 1606/2002 of the European Parliament and of the Council ( 10 )

In order to report financial information on a consolidated basis in accordance with Article 430(3) or (4) of Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex III on a consolidated basis, in accordance with the instructions in Annex V.
The information referred to in paragraph 1 shall be submitted as follows:

(a)

the information specified in Annex III, Part 1, with a quarterly frequency;

(b)

the information specified in Annex III, Part 3, with a semi-annual frequency;

(c)

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

(d)

the information specified in Annex III, Part 2, template 20, with a quarterly frequency where the institution exceeds the threshold laid down in Article 5(5), the second subparagraph;

(e)

the information specified in Annex III, Part 2, template 21, with a quarterly frequency where tangible assets subject to operating leases are equal to or higher than 10 % of total tangible assets as reported in accordance with Annex III, Part 1,template 1.1;

(f)

the information specified in Annex III, Part 2, template 22, with a quarterly frequency where net fee and commission income is equal to or higher than 10 % of the sum of net fee and commission income and net interest income as reported in accordance with Annex III, Part 1, template 2;

(g)

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

(i)

the institution is not a small and non-complex institution;

(ii)

the ratio between the institution’s gross carrying amount of loans and advances that fall under Article 47a(3) of Regulation (EU) No 575/2013 and the total gross carrying amount of loans and advances that fall under Article 47a(1) of that Regulation is equal to or higher than 5 %;

(h)

the information specified in Annex III, Part 4, template 47, with an annual frequency where both of the conditions set out in point (g) of this paragraph are fulfilled.

For the purpose of point (g)(ii), the ratio shall not include loans and advances classified as held for sale, cash balances at central banks and other demand deposits in either the denominator or the numerator.

For the purposes of points (d) to (h) of this paragraph, the entry and exit criteria referred to in Article 4(3) shall apply.

Article 12

Reporting on financial information on a consolidated basis for institutions applying national accounting frameworks

Where a competent authority has extended the reporting requirements on financial information to institutions established in a Member State in accordance with Article 430(9) of Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex IV to this Regulation on a consolidated basis, in accordance with the instructions in Annex V to this Regulation.
The information referred to in paragraph 1 shall be submitted as follows:

(a)

the information specified in Annex IV, Part 1, with a quarterly frequency;

(b)

the information specified in Annex IV, Part 3, with a semi-annual frequency;

(c)

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

(d)

the information specified in Annex IV, Part 2, template 20, with a quarterly frequency where the institution exceeds the threshold laid down in Article 5(5), the second subparagraph;

(e)

the information specified in Annex IV, Part 2, template 21, with a quarterly frequency where tangible assets subject to operating leases are equal to or higher than 10 % of total tangible assets as reported in accordance with Annex IV, Part 1, template 1.1;

(f)

the information specified in Annex IV, Part 2, template 22, with a quarterly frequency where net fee and commission income is equal to or higher than 10 % of the sum of net fee and commission income and net interest income as reported in accordance with Annex IV, Part 1, template 2;

(g)

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

(i)

the institution is not a small and non-complex;

(ii)

the institution’s ratio as specified in Article 11(2), point (g)(ii) is equal to or higher than 5 %;

(h)

the information specified in Annex IV, Part 4, template 47, with an annual frequency where both of the conditions set out in point (g) of this paragraph are fulfilled.

For the purposes of points (d) to (h) of this paragraph, the entry and exit criteria referred to in Article 4(3) shall apply.

Article 13

Reporting on losses stemming from lending collateralised by immovable property in accordance with Article 430a(1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis

Institutions shall submit the information as specified in Annex VI, in accordance with the instructions in Annex VII, on a consolidated basis with an annual frequency.
Institutions shall submit the information as specified in Annex VI, in accordance with the instructions in Annex VII, on a individual basis with an annual frequency.
Where an institution has a branch in another Member State, that branch shall submit to the competent authority of the host Member State the information specified in Annex VI related to that branch, in accordance with the instructions in Annex VII, with an annual frequency.

Article 14

Reporting on large exposures on an individual and a consolidated basis

In order to report information on large exposures to clients and groups of connected clients in accordance with Article 394 of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information as specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.
In order to report information on the 20 largest exposures to clients or groups of connected clients in accordance with Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions subject to Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013 shall submit the information specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.
In order to report information on exposures of a value greater than or equal to EUR 300 million but less than 10 % of the institution’s Tier 1 capital in accordance with Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.
In order to report information on the 10 largest exposures to institutions on a consolidated basis, and on the 10 largest exposures to shadow banking entities that carry out banking activities outside the regulated framework on a consolidated basis, in accordance with Article 394(2) of Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.

Article 15

Reporting on leverage ratio on an individual and a consolidated basis

In order to report information on the leverage ratio in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information as specified in Annex X, in accordance with the instructions in Annex XI, with a quarterly frequency. Only large institutions shall submit template 48.00 of Annex X.
The information specified in Annex X, template 40.00, cell {r0410;c0010} shall be reported only by:

(a)

large institutions that either are G-SIIs or have issued securities that are admitted to trading on a regulated market with a semi-annual frequency;

(b)

large institutions other than G-SIIs that are not listed institutions with an annual frequency;

(c)

institutions other than large institutions and small and non-complex institutions that have issued securities that are admitted to trading on a regulated market with an annual frequency.

Institutions shall calculate the leverage ratio at the reporting reference date in accordance with Article 429 of Regulation (EU) No 575/2013.
Institutions shall report the information referred to in Annex XI, Part II, point 13, where at least one of the following conditions is met:

(a)

the derivatives share referred to in Annex XI, Part II, point 5, is more than 1,5 %;

(b)

the derivatives share referred to in Annex XI, Part II, point 5, exceeds 2 %.

If an institution meets only the point (a) condition, the entry and exit criteria of Article 4(3) shall apply.

If an institution meets both the point (a) and point (b) conditions, it shall start reporting that information for the reference date following the reporting reference date on which it exceeded the threshold.

Institutions for which the total notional value of derivatives as defined in Annex XI, Part II, point 8, exceeds EUR 10 000 million shall report the information referred to in Annex XI, Part II, point 13, even if their derivatives share does not fulfil the conditions set out in paragraph 4 of this Article.

For the purposes of this paragraph, the entry criteria of Article 4(3) shall not apply. Institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.

Institutions are required to report the information referred to in Annex XI, Part II, point 14, where at least one of the following conditions is met:

(a)

the credit derivatives volume referred to in Annex XI, Part II, point 9, is more than EUR 300 million;

(b)

the credit derivatives volume referred to in Annex XI, Part II, point 9, exceeds EUR 500 million.

If an institution meets only the point (a) condition, the entry and exit criteria of Article 4(3) shall apply. If an institution meets both the point (a) and point (b) conditions, it shall start reporting that information for the reference date following the reporting reference date on which it exceeded the threshold.

Article 16

Reporting on the liquidity coverage requirement on an individual and a consolidated basis

In order to report information on the liquidity coverage requirement in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XXIV to this Regulation, in accordance with the instructions in Annex XXV to this Regulation, with a monthly frequency;
The information set out in Annex XXIV shall take into account the information submitted for the reference date and the information on the cash-flows of the institution over the following 30 calendar days.

Article 17

Reporting on stable funding on an individual and a consolidated basis

In order to report information on stable funding in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XII, in accordance with the instructions in Annex XIII, with a quarterly frequency as follows:

(a)

small and non-complex institutions that have chosen to calculate their net stable funding ratio (NSFR) using the methodology set out in Part Six, Title IV, Chapters 6 and 7 of Regulation (EU) No 575/2013, with the prior permission of their competent authority in accordance with Article 428ai of that Regulation, shall submit templates 82 and 83 of Annex XII to this Regulation, in accordance with the instructions in Annex XIII to this Regulation;

(b)

institutions other than those referred to in point (a) shall submit templates 80 and 81 of Annex XII, in accordance with the instructions in Annex XIII;

(c)

all institutions shall submit template 84 of Annex XII, in accordance with the instructions in Annex XIII.

Article 18

Reporting on additional liquidity monitoring metrics on an individual and a consolidated basis

In order to report information on additional liquidity monitoring metrics in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit all of the following information with a monthly frequency:

(a)

the information specified in Annex XVIII in accordance with the instructions in Annex XIX;

(b)

the information specified in Annex XX in accordance with the instructions in Annex XXI;

(c)

the information specified in Annex XXII in accordance with the instructions in Annex XXIII.

By way of derogation from paragraph 1, an institution that meets all the conditions set out in Article 4(1), point (145), of Regulation (EU) No 575/2013 may report the information on additional liquidity monitoring metrics with a quarterly frequency.

Article 19

Reporting on asset encumbrance on an individual and a consolidated basis

In order to report information on asset encumbrance in accordance with Article 430(1), point (g), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XVI to this Regulation, in accordance with the instructions set out in Annex XVII to this Regulation.
The information referred to in paragraph 1 shall be submitted as follows:

(a)

the information specified in Annex XVI, Parts A, B and D, with a quarterly frequency;

(b)

the information specified in Annex XVI, Part C, with an annual frequency;

(c)

the information specified in Annex XVI, Part E, with a semi-annual frequency.

Institutions shall not be required to report the information specified in Annex XVI, Parts B, C and E, where both of the following conditions are met:

(a)

the institution is not considered a large institution;

(b)

the asset encumbrance level of the institution, as calculated in accordance with Annex XVII, point 1.6, sub-point 9, is below 15 %.

The entry and exit criteria of Article 4(3) shall apply.

Institutions shall report the information specified in Annex XVI, Part D, only where they issue bonds referred to in Article 52(4), the first subparagraph, of Directive 2009/65/EC of the European Parliament and of the Council ( 11 ) .

The entry and exit criteria of Article 4(3) shall apply.

Article 20

Supplementary reporting on a consolidated basis for the purposes of identifying G-SIIs and assigning G-SII buffer rates

In order to report supplementary information for the purposes of identifying G-SIIs and assigning G-SII buffer rates under Article 131 of Directive 2013/36/EU, EU parent institutions, EU parent financial holdings and EU parent mixed financial holdings shall submit the information as specified in Annex XXVI, in accordance with the instructions in Annex XXVII, on a consolidated basis with a quarterly frequency.
EU parent institutions, EU parent financial holdings and EU parent mixed financial holdings shall only submit the information referred to in paragraph 1, where both of the following conditions are met:

(a)

the total exposure measure of the group, including insurance subsidiaries, is equal to or exceeds EUR 125 000 million;

(b)

the EU parent or any of its subsidiaries or any branch operated by the parent or by a subsidiary is located in a participating Member State as referred to in Article 4 of Regulation (EU) No 806/2014 of the European Parliament and of the Council ( 12 ) .

By way of derogation from Article 3(1), point (b), the information referred to in paragraph 1 of this Article shall be submitted by close of business on the following remittance dates: 1 July, 1 October, 2 January and 1 April.
By way of derogation from Article 4, the following shall apply with regard to the threshold specified in paragraph 2, point (a), of this Article:

(a)

the EU parent institution, EU parent financial holding or EU parent mixed financial holding shall immediately start reporting the information in accordance with this Article where its leverage ratio exposure measure exceeds the specified threshold as of the end of the accounting year, and shall report this information at least for the end of that accounting year and the subsequent three quarterly reference dates;

(b)

the EU parent institution, EU parent financial holding or EU parent mixed financial holding shall immediately stop reporting the information in accordance with this Article where its leverage ratio exposure measure falls below the specified threshold as of the end of their accounting year.

Article 21

Data exchange formats and information accompanying submissions

Institutions shall submit the information in the data exchange formats and representations specified by the competent authorities and respecting the data point definition of the data point model referred to in Annex XIV and the validation formulae referred to in Annex XV as well as the following specifications:

(a)

information that is not required or not applicable shall not be included in a data submission;

(b)

numerical values shall be submitted as follows:

(i)

data points with the data type ‘Monetary’ shall be reported using a minimum precision equivalent to thousands of units;

(ii)

data points with the data type ‘Percentage’ shall be expressed as per unit with a minimum precision equivalent to four decimals;

(iii)

data points with the data type ‘Integer’ shall be reported using no decimals and a precision equivalent to units;

(c)

institutions and insurance undertakings shall be identified solely by their Legal Entity Identifier (LEI);

(d)

legal entities and counterparties other than institutions and insurance undertakings shall be identified by their LEI where available.

Institutions shall accompany the submitted data by the following information:

(a)

reporting reference date and reference period;

(b)

reporting currency;

(c)

accounting standard;

(d)

Legal Entity Identifier (LEI) of the reporting institution;

(e)

scope of consolidation.

Article 22

Repeal of Implementing Regulation (EU) No 680/2014

Implementing Regulation (EU) No 680/2014 is repealed.

References to the repealed Regulation shall be construed as references to this Regulation.

Article 23

Entry into force and application

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

It shall apply from 28 June 2021.

Notwithstanding the second paragraph of this Article, reporting on leverage ratio buffer requirement for institutions identified as G-SIIs provided for in template 47 of Annex X shall apply from 1 January 2023.

Articles 9 and 10 shall cease to apply on 26 June 2026.

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

Done at Brussels, 17 December 2020.

For the Commission

The President

Ursula VON DER LEYEN

( 1 )

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

( 4 ) Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012 ( OJ L 150, 7.6.2019, p. 1 ).

( 5 ) Regulation (EU) 2019/630 of the European Parliament and of the Council of 17 April 2019 amending Regulation (EU) No 575/2013 as regards minimum loss coverage for non-performing exposures ( OJ L 111, 25.4.2019, p. 4 ).

( 6 ) Regulation (EU) 2019/2033 of the European Parliament and of the Council of 27 November 2019 on the prudential requirements of investment firms and amending Regulations (EU) No 1093/2010, (EU) No 575/2013, (EU) No 600/2014 and (EU) No 806/2014 ( OJ L 314, 5.12.2019, p. 1 ).

( 7 ) Regulation (EU) 2020/873 of the European Parliament and of the Council of 24 June 2020 amending Regulations (EU) No 575/2013 and (EU) 2019/876 as regards certain adjustments in response to the COVID-19 pandemic ( OJ L 204, 26.6.2020, p. 4 ).

( 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 ).

( 9 ) 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 ).

( 10 ) 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 ).

( 11 ) 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 ).

( 12 ) Regulation (EU) No 806/2014 of the European Parliament and of the Council of 15 July 2014 establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund and amending Regulation (EU) No 1093/2010 ( OJ L 225, 30.7.2014, p. 1 ).

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

8.3

C 08.03

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY PD RANGES

CR IRB 3

8.4

C 08.04

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS

CR IRB 4

8.5

C 08.05

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD

CR IRB 5

8.5.1

C 08.05.1

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD ACCORDING TO POINT (f) OF ARTICLE 180(1) (CR IRB 5)

8.6

C 08.06

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH

CR IRB 6

8.7

C 08.07

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SCOPE OF USE OF IRB AND SA APPROACHES

CR IRB 7

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

COUNTERPARTY CREDIT RISK

CCR

34.01

C 34.01

COUNTERPARTY CREDIT RISK: SIZE OF THE DERIVATIVE BUSINESS

CCR 1

34.02

C 34.02

COUNTERPARTY CREDIT RISK: CCR EXPOSURES BY APPROACH

CCR 2

34.03

C 34.03

COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR or SIMPLIFIED SA-CCR

CCR 3

34.04

C 34.04

COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE THE ORIGINAL EXPOSURE METHOD (OEM)

CCR 4

34.05

C 34.05

COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM)

CCR 5

34.06

C 34.06

COUNTERPARTY CREDIT RISK: TOP TWENTY COUNTERPARTIES

CCR 6

34.07

C 34.07

COUNTERPARTY CREDIT RISK: IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE

CCR 7

34.08

C 34.08

COUNTERPARTY CREDIT RISK: COMPOSITION OF COLLATERAL FOR CCR EXPOSURES

CCR 8

34.09

C 34.09

COUNTERPARTY CREDIT RISK: CREDIT DERIVATIVES EXPOSURES

CCR 9

34.10

C 34.10

COUNTERPARTY CREDIT RISK: EXPOSURES TO CCPs

CCR 10

34.11

C 34.11

COUNTERPARTY CREDIT RISK: RWEA FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM

CCR 11

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 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

NPE LOSS COVERAGE

NPE LC

35.1

C 35.01

NPE LOSS COVERAGE: THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES

NPE LC1

35.2

C 35.02

NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF THE CRR

NPE LC2

35.3

C 35.03

NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF THE CRR

NPE LC3

C 01.00 - OWN FUNDS (CA1)

Rows

Item

Amount

0010

OWN FUNDS

0015

1.1

TIER 1 CAPITAL

0020

1.1.1

COMMON EQUITY TIER 1 CAPITAL

0030

1.1.1.1

Capital instruments eligible as CET1 Capital

0040

1.1.1.1.1

Fully paid up capital instruments

0045

1.1.1.1.1*

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

0050

1.1.1.1.2*

Memorandum item: Capital instruments not eligible

0060

1.1.1.1.3

Share premium

0070

1.1.1.1.4

(-) Own CET1 instruments

0080

1.1.1.1.4.1

(-) Direct holdings of CET1 instruments

0090

1.1.1.1.4.2

(-) Indirect holdings of CET1 instruments

0091

1.1.1.1.4.3

(-) Synthetic holdings of CET1 instruments

0092

1.1.1.1.5

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

0130

1.1.1.2

Retained earnings

0140

1.1.1.2.1

Previous years retained earnings

0150

1.1.1.2.2

Profit or loss eligible

0160

1.1.1.2.2.1

Profit or loss attributable to owners of the parent

0170

1.1.1.2.2.2

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

0180

1.1.1.3

Accumulated other comprehensive income

0200

1.1.1.4

Other reserves

0210

1.1.1.5

Funds for general banking risk

0220

1.1.1.6

Transitional adjustments due to grandfathered CET1 Capital instruments

0230

1.1.1.7

Minority interest given recognition in CET1 capital

0240

1.1.1.8

Transitional adjustments due to additional minority interests

0250

1.1.1.9

Adjustments to CET1 due to prudential filters

0260

1.1.1.9.1

(-) Increases in equity resulting from securitised assets

0270

1.1.1.9.2

Cash flow hedge reserve

0280

1.1.1.9.3

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

0285

1.1.1.9.4

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

0290

1.1.1.9.5

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

0300

1.1.1.10

(-) Goodwill

0310

1.1.1.10.1

(-) Goodwill accounted for as intangible asset

0320

1.1.1.10.2

(-) Goodwill included in the valuation of significant investments

0330

1.1.1.10.3

Deferred tax liabilities associated to goodwill

0335

1.1.1.10.4

Accounting revaluation of subsidiaries' goodwill derived from the consolidation of subsidiaries attributable to third persons

0340

1.1.1.11

(-) Other intangible assets

0350

1.1.1.11.1

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

0360

1.1.1.11.2

Deferred tax liabilities associated to other intangible assets

0365

1.1.1.11.3

Accounting revaluation of subsidiaries' other intangible assets derived from the consolidation of subsidiaries attributable to third persons

0370

1.1.1.12

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

0380

1.1.1.13

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

0390

1.1.1.14

(-) Defined benefit pension fund assets

0400

1.1.1.14.1

(-) Defined benefit pension fund assets

0410

1.1.1.14.2

Deferred tax liabilities associated to defined benefit pension fund assets

0420

1.1.1.14.3

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

0430

1.1.1.15

(-) Reciprocal cross holdings in CET1 Capital

0440

1.1.1.16

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

0450

1.1.1.17

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

0460

1.1.1.18

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

0470

1.1.1.19

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

0471

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

0472

1.1.1.21

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

0480

1.1.1.22

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

0490

1.1.1.23

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

0500

1.1.1.24

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

0510

1.1.1.25

(-) Amount exceeding the 17.65 % threshold

0511

1.1.1.25.1

(-) Amount exceeding the 17.65 % threshold related to CET1 instruments of financial sector entities where the institution has a significant investment

0512

1.1.1.25.2

(-) Amount exceeding the 17.65 % threshold related to deferred tax assets arising from temporary differences

0513

1.1.1.25A

(-) Insufficient coverage for non-performing exposures

0514

1.1.1.25B

(-) Minimum value commitment shortfalls

0515

1.1.1.25C

(-) Other foreseeable tax charges

0520

1.1.1.26

Other transitional adjustments to CET1 Capital

0524

1.1.1.27

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

0529

1.1.1.28

CET1 capital elements or deductions - other

0530

1.1.2

ADDITIONAL TIER 1 CAPITAL

0540

1.1.2.1

Capital instruments eligible as AT1 Capital

0551

1.1.2.1.1

Fully paid up, directly issued capital instruments

0560

1.1.2.1.2*

Memorandum item: Capital instruments not eligible

0571

1.1.2.1.3

Share premium

0580

1.1.2.1.4

(-) Own AT1 instruments

0590

1.1.2.1.4.1

(-) Direct holdings of AT1 instruments

0620

1.1.2.1.4.2

(-) Indirect holdings of AT1 instruments

0621

1.1.2.1.4.3

(-) Synthetic holdings of AT1 instruments

0622

1.1.2.1.5

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

0660

1.1.2.2

Transitional adjustments due to grandfathered AT1 Capital instruments

0670

1.1.2.3

Instruments issued by subsidiaries that are given recognition in AT1 Capital

0680

1.1.2.4

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

0690

1.1.2.5

(-) Reciprocal cross holdings in AT1 Capital

0700

1.1.2.6

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

0710

1.1.2.7

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

0720

1.1.2.8

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

0730

1.1.2.9

Other transitional adjustments to AT1 Capital

0740

1.1.2.10

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

0744

1.1.2.11

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

0748

1.1.2.12

AT1 capital elements or deductions - other

0750

1.2

TIER 2 CAPITAL

0760

1.2.1

Capital instruments eligible as T2 Capital

0771

1.2.1.1

Fully paid up, directly issued capital instruments

0780

1.2.1.2*

Memorandum item: Capital instruments not eligible

0791

1.2.1.3

Share premium

0800

1.2.1.4

(-) Own T2 instruments

0810

1.2.1.4.1

(-) Direct holdings of T2 instruments

0840

1.2.1.4.2

(-) Indirect holdings of T2 instruments

0841

1.2.1.4.3

(-) Synthetic holdings of T2 instruments

0842

1.2.1.5

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

0880

1.2.2

Transitional adjustments due to grandfathered T2 Capital instruments

0890

1.2.3

Instruments issued by subsidiaries that are given recognition in T2 Capital

0900

1.2.4

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

0910

1.2.5

IRB Excess of provisions over expected losses eligible

0920

1.2.6

SA General credit risk adjustments

0930

1.2.7

(-) Reciprocal cross holdings in T2 Capital

0940

1.2.8

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

0950

1.2.9

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

0955

1.2.9A

(-) Excess of deductions from eligible liabilities over eligible liabilities

0960

1.2.10

Other transitional adjustments to T2 Capital

0970

1.2.11

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

0974

1.2.12

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

0978

1.2.13

T2 capital elements or deductions - other

C 02.00 - OWN FUNDS REQUIREMENTS (CA2)

Rows

Item

Label

Amount

0010

TOTAL RISK EXPOSURE AMOUNT

0020

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

0030

1**

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

0040

1.1

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

0050

1.1.1

Standardised approach (SA)

0051

1.1.1*

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

0060

1.1.1.1

SA exposure classes excluding securitisation positions

0070

1.1.1.1.01

Central governments or central banks

0080

1.1.1.1.02

Regional governments or local authorities

0090

1.1.1.1.03

Public sector entities

0100

1.1.1.1.04

Multilateral Development Banks

0110

1.1.1.1.05

International Organisations

0120

1.1.1.1.06

Institutions

0130

1.1.1.1.07

Corporates

0140

1.1.1.1.08

Retail

0150

1.1.1.1.09

Secured by mortgages on immovable property

0160

1.1.1.1.10

Exposures in default

0170

1.1.1.1.11

Items associated with particular high risk

0180

1.1.1.1.12

Covered bonds

0190

1.1.1.1.13

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

0200

1.1.1.1.14

Collective investments undertakings (CIU)

0210

1.1.1.1.15

Equity

0211

1.1.1.1.16

Other items

0240

1.1.2

Internal ratings based Approach (IRB)

0241

1.1.2*

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

0242

1.1.2**

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

0250

1.1.2.1

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

0260

1.1.2.1.01

Central governments and central banks

0270

1.1.2.1.02

Institutions

0280

1.1.2.1.03

Corporates - SME

0290

1.1.2.1.04

Corporates - Specialised Lending

0300

1.1.2.1.05

Corporates - Other

0310

1.1.2.2

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

0320

1.1.2.2.01

Central governments and central banks

0330

1.1.2.2.02

Institutions

0340

1.1.2.2.03

Corporates - SME

0350

1.1.2.2.04

Corporates - Specialised Lending

0360

1.1.2.2.05

Corporates - Other

0370

1.1.2.2.06

Retail - Secured by real estate SME

0380

1.1.2.2.07

Retail - Secured by real estate non-SME

0390

1.1.2.2.08

Retail - Qualifying revolving

0400

1.1.2.2.09

Retail - Other SME

0410

1.1.2.2.10

Retail - Other non-SME

0420

1.1.2.3

Equity IRB

0450

1.1.2.5

Other non credit-obligation assets

0460

1.1.3

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

0470

1.1.4

Securitisation positions

0490

1.2

TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

0500

1.2.1

Settlement/delivery risk in the non-Trading book

0510

1.2.2

Settlement/delivery risk in the Trading book

0520

1.3

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

0530

1.3.1

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

0540

1.3.1.1

Traded debt instruments

0550

1.3.1.2

Equity

0555

1.3.1.3

Particular approach for position risk in CIUs

0556

1.3.1.3*

Memo item: CIUs exclusively invested in traded debt instruments

0557

1.3.1.3**

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

0560

1.3.1.4

Foreign Exchange

0570

1.3.1.5

Commodities

0580

1.3.2

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

0590

1.4

TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )

0600

1.4.1

OpR Basic indicator approach (BIA)

0610

1.4.2

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

0620

1.4.3

OpR Advanced measurement approaches (AMA)

0630

1.5

ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

0640

1.6

TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

0650

1.6.1

Advanced method

0660

1.6.2

Standardised method

0670

1.6.3

Based on OEM

0680

1.7

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

0690

1.8

OTHER RISK EXPOSURE AMOUNTS

0710

1.8.2

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

0720

1.8.2*

Of which: requirements for large exposures

0730

1.8.2**

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

0740

1.8.2***

Of which: due to intra financial sector exposures

0750

1.8.3

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

0760

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

0010

CET1 Capital ratio

0020

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

0030

T1 Capital ratio

0040

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

0050

Total capital ratio

0060

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

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

0130

Total SREP capital requirement (TSCR) ratio

0140

13*

TSCR: to be made up of CET1 capital

0150

13**

TSCR: to be made up of Tier 1 capital

0160

Overall capital requirement (OCR) ratio

0170

14*

OCR: to be made up of CET1 capital

0180

14**

OCR: to be made up of Tier 1 capital

0190

OCR and Pillar 2 Guidance (P2G)

0200

15*

OCR and P2G: to be made up of CET1 capital

0210

15**

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

0220

Surplus(+)/Deficit(-) of CET1 capital considering the requirements of Article 92 CRR and 104a CRD

Memorandum Items: Capital ratios without application of the transitional provisions on IFRS 9

0300

CET1 Capital ratio without application of the transitional provisions on IFRS 9

0310

T1 Capital ratio without application of the transitional provisions on IFRS 9

0320

Total capital ratio without application of the transitional provisions on IFRS 9

C 04.00 - MEMORANDUM ITEMS (CA4)

Row

Item

Column

Deferred tax assest and liabilities

0010

Total deferred tax assets

0020

1.1

Deferred tax assets that do not rely on future profitability

0030

1.2

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

0040

1.3

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

0050

Total deferred tax liabilities

0060

2.1

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

0070

2.2

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

0080

2.2.1

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

0090

2.2.2

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

0093

Tax overpayments and tax loss carry backs

0096

Deferred Tax Assets subject to a risk weight of 250%

0097

Deferred Tax Assets subject to a risk weight of 0%

Exception from deductions from CET1

0901

Exception from deduction of intangible assets from CET1

Accounting classification of AT1 instruments

0905

Capital instruments and the related share premium accounts classified as equity under applicable accounting standards

0906

Capital instruments and the related share premium accounts classified as liabilities under applicable accounting standards

Credit risk adjustments and expected losses

0100

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

0110

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

0120

3.1.1

General credit risk adjustments

0130

3.1.2

Specific credit risk adjustments

0131

3.1.3

Additional value adjustments and other own funds reductions

0140

3.2

Total expected losses eligible

0145

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

0150

4.1

Specific credit risk adjustments and positions treated similarily

0155

4.2

Total expected losses eligible

0160

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

0170

Total gross provisions eligible for inclusion in T2 capital

0180

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

Thresholds for Common Equity Tier 1 deductions

0190

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

0200

10% CET1 threshold

0210

17.65% CET1 threshold

0225

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

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

0230

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

0240

12.1

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

0250

12.1.1

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

0260

12.1.2

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

0270

12.2

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

0280

12.2.1

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

0290

12.2.2

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

0291

12.3

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

0292

12.3.1

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

0293

12.3.2

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

0300

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

0310

13.1

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

0320

13.1.1

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

0330

13.1.2

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

0340

13.2

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

0350

13.2.1

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

0360

13.2.2

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

0361

13.3

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

0362

13.3.1

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

0363

13.3.2

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

0370

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

0380

14.1

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

0390

14.1.1

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

0400

14.1.2

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

0410

14.2

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

0420

14.2.1

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

0430

14.2.2

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

0431

14.3

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

0432

14.3.1

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

0433

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

0440

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

0450

15.1

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

0460

15.1.1

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

0470

15.1.2

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

0480

15.2

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

0490

15.2.1

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

0500

15.2.2

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

0501

15.3

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

0502

15.3.1

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

0503

15.3.2

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

0504

15A

Investments in CET1 capital of financial sector entities where the institution has a significant investment - subject to a risk weight of 250%

0510

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

0520

16.1

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

0530

16.1.1

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

0540

16.1.2

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

0550

16.2

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

0560

16.2.1

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

0570

16.2.2

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

0571

16.3

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

0572

16.3.1

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

0573

16.3.2

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

0580

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

0590

17.1

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

0600

17.1.1

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

0610

17.1.2

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

0620

17.2

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

0630

17.2.1

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

0640

17.2.2

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

0641

17.3

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

0642

17.3.1

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

0643

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:

0650

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

0660

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

0670

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

0680

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

0690

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

0700

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

0710

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

0720

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

0730

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

Capital buffers

0740

Combined buffer requirement

0750

Capital conservation buffer

0760

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

0770

Institution specific countercyclical capital buffer

0780

Systemic risk buffer

0800

Global Systemically Important Institution buffer

0810

Other Systemically Important Institution buffer

Pillar II requirements

0820

Own funds requirements related to Pillar II adjustments

Additional information for investment firms

0830

Initial capital

0840

Own funds based on Fixed Overheads

Additional information for calculation of reporting thresholds

0850

Non-domestic original exposures

0860

Total original exposures

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

0010

0020

0030

0040

0050

0060

0010

TOTAL ADJUSTMENTS

0020

1.1

GRANDFATHERED INSTRUMENTS

link to {CA1;r0220}

link to {CA1;r0660}

link to {CA1;r0880}

0060

1.1.2

Instruments not constituting state aid

0061

1.1.3

Instruments issued through special purpose vehicles

0062

1.1.4

Instruments issued before 27 June 2019 that do not meet the eligibility criteria related to write-down and conversion powers pursuant to Article 59 BRRD or are subject to set-off or netting arrangements

0063

1.1.4.1*

of which: Instruments without legally or contractually mandatory write-down or conversion upon exercise of Article 59 BRRD powers

0064

1.1.4.2*

of which: Instruments governed by third-country law without effective and enforceable exercise of Article 59 BRRD powers

0065

1.1.4.3*

of which: Instruments subject to set-off or netting arrangements

0070

1.2

MINORITY INTERESTS AND EQUIVALENTS

link to {CA1;r0240}

link to {CA1;r0680}

link to {CA1;r0900}

0080

1.2.1

Capital instruments and items that do not qualify as minority interests

0090

1.2.2

Transitional recognition in consolidated own funds of minority interests

0091

1.2.3

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

0092

1.2.4

Transitional recognition in consolidated own funds of qualifying Tier 2 capital

0100

1.3

OTHER TRANSITIONAL ADJUSTMENTS

link to {CA1;r0520}

link to {CA1;r0730}

link to {CA1;r0960}

0111

1.3.1.6

Unrealised gains and losses from certain debt exposures to central governments, regional governments, local authorities and PSEs

0112

1.3.1.6.1

of which: amount A

0140

1.3.2

Deductions

0170

1.3.2.3

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

0380

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

0385

1.3.2.9a

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

0425

1.3.2.11

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

0430

1.3.3

Additional filters and deductions

0440

1.3.4

Adjustments due to IFRS 9 transitional arrangements

0441

1.3.4.1

Memorandum item: ECL impact of the static component

0442

1.3.4.2

Memorandum item: ECL impact of the dynamic component for the period 1.1.2018 – 31.12.2019

0443

1.3.4.3

Memorandum item: ECL impact of the dynamic component for the period starting on 1.1.2020

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

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

0010

0020

0030

0040

0050

0060

0010

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

link to {CA5.1;r060;c010)

0020

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 CRR

link to {CA5.1;r060;c020)

0030

2.1

Total instruments without a call or an incentive to redeem

0040

2.2.

Grandfathered instruments with a call and incentive to redeem

0050

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

0060

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

0070

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

0080

2.3

Excess on the limit of CET1 grandfathered instruments

0090

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

link to {CA5.1;r060;c030)

0100

3.1

Total items without an incentive to redeem

0110

3.2

Grandfathered items with an incentive to redeem

0120

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

0130

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

0140

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

0150

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

0250

0260

0270

0280

0290

0300

0310

0320

0330

0340

0350

0360

0370

0380

0390

0400

0410

0420

0430

0440

0450

0470

0480

0010

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

TYPE OF CODE

NATIONAL CODE

INSTITUTION OR EQUIVALENT (YES/NO)

TYPE OF ENTITY

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

COUNTRY CODE

SHARE OF HOLDING (%)

OWN FUNDS

TOTAL RISK EXPOSURE AMOUNT

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

CONSOLIDATED OWN FUNDS

COMBINED BUFFER REQUIREMENT

TOTAL RISK EXPOSURE AMOUNT

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

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED 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

0011

0021

0026

0027

0030

0035

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

0470

0480

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 SUPPORTING FACTORS

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

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

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK EXCLUDING EXPOSURES CLEARED THROUGH A CCP

0010

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0211

0215

0216

0217

0220

0230

0240

0010

TOTAL EXPOSURES

Cell linked to CA

0015

of which: Defaulted exposures

0020

of which: SME

0030

of which: Exposures subject to SME-supporting factor

0035

of which: Exposures subject to the Infrastructure supporting factor

0040

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

0050

of which: Exposures under the permanent partial use of the standardised approach

0060

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:

0070

On balance sheet exposures subject to credit risk

0080

Off balance sheet exposures subject to credit risk

Exposures / Transactions subject to counterparty credit risk

0090

Securities Financing Transactions netting sets

0100

of which: centrally cleared through a QCCP

0110

Derivatives & Long Settlement Transactions netting sets

0120

of which: centrally cleared through a QCCP

0130

From Contractual Cross Product netting sets

BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:

0140

0 %

0150

2 %

0160

4 %

0170

10 %

0180

20 %

0190

35 %

0200

50 %

0210

70 %

0220

75 %

0230

100 %

0240

150 %

0250

250 %

0260

370 %

0270

1 250 %

0280

Other risk weights

BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU):

0281

Look-through approach

0282

Mandate-based approach

0283

Fall-back approach

MEMORANDUM ITEMS

0290

Exposures secured by mortgages on commercial immovable property

0300

Exposures in default subject to a risk weight of 100 %

0310

Exposures secured by mortgages on residential property

0320

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 SCALE

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 SUPPORTING FACTORS

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

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

PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT

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

CASH ON DEPOSIT

LIFE INSURANCE POLICIES

INSTRUMENTS HELD BY A THIRD PARTY

REAL ESTATE

OTHER PHYSICAL COLLATERAL

RECEIVABLES

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0171

0172

0173

0180

0190

0200

0210

0220

0230

0240

0250

0255

0256

0257

0260

0270

0280

0290

0300

0310

0010

TOTAL EXPOSURES

Cell linked to CA

0015

of which: Exposures subject to SME-supporting factor

0016

of which: Exposures subject to the Infrastructure supporting factor

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

0020

On balance sheet items subject to credit risk

0030

Off balance sheet items subject to credit risk

Exposures / Transactions subject to counterparty credit risk

0040

Securities Financing Transactions netting sets

0050

Derivatives & Long Settlement Transactions netting sets

0060

From Contractual Cross Product netting sets

0070

EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

0080

SPECIALIZED LENDING SLOTTING APPROACH: TOTAL

0160

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

0170

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

0180

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 SCALE

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 SUPPORTING FACTORS

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

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

PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT

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

CASH ON DEPOSIT

LIFE INSURANCE POLICIES

INSTRUMENTS HELD BY A THIRD PARTY

REAL ESTATE

OTHER PHYSICAL COLLATERAL

RECEIVABLES

0005

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0171

0172

0173

0180

0190

0200

0210

0220

0230

0240

0250

0255

0256

0257

0260

0270

0280

0290

0300

0310

C 08.03 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY PD RANGES (CR IRB 3)

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

PD RANGE

ON-BALANCE SHEET EXPOSURES

OFF-BALANCE-SHEET EXPOSURES PRE-CONVERSION FACTORS

EXPOSURE WEIGHTED AVERAGE CONVERSION FACTORS

EXPOSURE VALUE POST CONVERSION FACTORS AND POST CRM

EXPOSURE WEIGHTED AVERAGE PD (%)

NUMBER OF OBLIGORS

EXPOSURE WEIGHTED AVERAGE LGD (%)

EXPOSURE WEIGHTED AVERAGE MATURITY (YEARS)

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

EXPECTED LOSS AMOUNT

VALUE ADJUST-MENTS AND PROVISIONS

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0010

0.00 to <0.15

0020

0.00 to <0.10

0030

0.10 to <0.15

0040

0.15 to <0.25

0050

0.25 to <0.50

0060

0.50 to <0.75

0070

0.75 to <2.5

0080

0.75 to <1.75

0090

1.75 to <2.5

0100

2.5 to <10

0110

2.5 to <5

0120

5 to <10

0130

10 to <100

0140

10 to <20

0150

20 to <30

0160

30 to <100

0170

100 (Default)

C 08.04 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS (CR IRB 4)

RISK WEIGHTED EXPOSURE AMOUNT

0010

RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING PERIOD

0020

ASSET SIZE (+/-)

0030

ASSET QUALITY (+/-)

0040

MODEL UPDATES (+/-)

0050

METHODOLOGY AND POLICY (+/-)

0060

ACQUISITIONS AND DISPOSALS (+/-)

0070

FOREIGN EXCHANGE MOVEMENTS (+/-)

0080

OTHER (+/-)

0090

RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIOD

C 08.05 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD (CR IRB 5)

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

PD RANGE

ARITHMETIC AVERAGE PD (%)

NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR

OBSERVED AVERAGE DEFAULT RATE (%)

AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%)

OF WHICH: DEFAULTED DURING THE YEAR

0010

0020

0030

0040

0050

0010

0.00 to <0.15

0020

0.00 to <0.10

0030

0.10 to <0.15

0040

0.15 to <0.25

0050

0.25 to <0.50

0060

0.50 to <0.75

0070

0.75 to <2.5

0080

0.75 to <1.75

0090

1.75 to <2.5

0100

2.5 to <10

0110

2.5 to <5

0120

5 to <10

0130

10 to <100

0140

10 to <20

0150

20 to <30

0160

30 to <100

0170

100 (Default)

C 08.05.1 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD ACCORDING TO POINT (f) OF ARTICLE 180(1) (CR IRB 5)

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

PD RANGE

EXTERNAL RATING EQUIVALENT

ARITHMETIC AVERAGE PD (%)

NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR

OBSERVED AVERAGE DEFAULT RATE (%)

AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%)

OF WHICH: DEFAULTED DURING THE YEAR

0005

0006

0010

0020

0030

0040

0050

C 08.06 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH (CR IRB 6)

Type of specialised lending:

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

EXPOSURE VALUE

RISK WEIGHT

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

MEMORANDUM ITEMS:

EXPECTED LOSS AMOUNT

(-) VALUE ADJUSTMENTS AND PROVISIONS

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0010

CATEGORY 1

LESS THAN 2.5 YEARS

50 %

0020

EQUAL TO OR MORE THAN 2.5 YEARS

70 %

0030

CATEGORY 2

LESS THAN 2.5 YEARS

70 %

0040

EQUAL TO OR MORE THAN 2.5 YEARS

90 %

0050

CATEGORY 3

LESS THAN 2.5 YEARS

115 %

0060

EQUAL TO OR MORE THAN 2.5 YEARS

115 %

0070

CATEGORY 4

LESS THAN 2.5 YEARS

250 %

0080

EQUAL TO OR MORE THAN 2.5 YEARS

250 %

0090

CATEGORY 5

LESS THAN 2.5 YEARS

—

0100

EQUAL TO OR MORE THAN 2.5 YEARS

—

0110

TOTAL

LESS THAN 2.5 YEARS

0120

EQUAL TO OR MORE THAN 2.5 YEARS

C 08.07 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SCOPE OF USE OF IRB AND SA APPROACHES (CR IRB 7)

TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRR

TOTAL EXPOSURE VALUE SUBJECT TO SA AND IRB

PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO PERMANENT PARTIAL USE OF SA (%)

PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO A ROLL-OUT PLAN (%)

PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO IRB APPROACH (%)

0010

0020

0030

0040

0050

0010

CENTRAL GOVERNMENTS OR CENTRAL BANKS

0020

OF WHICH: REGIONAL GOVERNMENTS OR LOCAL AUTHORITIES

0030

OF WHICH: PUBLIC SECTOR ENTITIES

0040

INSTITUTIONS

0050

CORPORATES

0060

OF WHICH: CORPORATES - SPECIALISED LENDING, EXCLUDING SLOTTING APPROACH

0070

OF WHICH: CORPORATES - SPECIALISED LENDING, INCLUDING SLOTTING APPROACH

0080

OF WHICH: CORPORATES - SMES

0090

RETAIL

0100

OF WHICH RETAIL – SECURED BY REAL ESTATE SMES

0110

OF WHICH RETAIL – SECURED BY REAL ESTATE NON-SMES

0120

OF WHICH RETAIL – QUALIFYING REVOLVING

0130

OF WHICH RETAIL – OTHER SMES

0140

OF WHICH RETAIL – OTHER NON-SMES

0150

EQUITY

0160

OTHER NON-CREDIT OBLIGATION ASSETS

0170

TOTAL

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

Additional value adjustments and other own funds reductions

Credit risk adjustments/write-offs for observed new defaults

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

Defaulted exposures

0010

0020

0040

0050

0055

0060

0061

0070

0075

0080

0081

0082

0090

0010

Central governments or central banks

0020

Regional governments or local authorities

0030

Public sector entities

0040

Multilateral Development Banks

0050

International Organisations

0060

Institutions

0070

Corporates

0075

of which: SME

0080

Retail

0085

of which: SME

0090

Secured by mortgages on immovable property

0095

of which: SME

0100

Exposures in default

0110

Items associated with particularly high risk

0120

Covered bonds

0130

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

0140

Collective investments undertakings (CIU)

0141

Look-through approach

0142

Mandate-based approach

0143

Fall-back approach

0150

Equity exposures

0160

Other exposures

0170

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 SUPPORTING FACTORS

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

EXPECTED LOSS AMOUNT

Of which: defaulted

0010

0030

0040

0050

0055

0060

0070

0080

0090

0100

0105

0110

0120

0121

0122

0125

0130

0010

Central governments or central banks

0020

Institutions

0030

Corporates

0042

Of Which: Specialised Lending (excl. SL under the slotting approach)

0045

Of Which: Specialised Lending under the slotting approach

0050

Of Which: SME

0060

Retail

0070

Secured by immovable property

0080

SME

0090

Non-SME

0100

Qualifying Revolving

0110

Other Retail

0120

SME

0130

Non-SME

0140

Equity

0150

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

0010

0020

0030

Relevant credit exposures - Credit Risk

0010

Exposure value under the Standardised Approach

0020

Exposure value under the IRB Approach

Relevant credit exposures – Market risk

0030

Sum of long and short positions of trading book exposures for standardised approaches

0040

Value of trading book exposures for internal models

Relevant credit exposures – Securitisation

0055

Exposure value of securitisation positions in the banking book

Own funds requirements and weights

0070

Total own funds requirements for CCB

0080

Own funds requirements for relevant credit exposures – Credit risk

0090

Own funds requirements for relevant credit exposures – Market risk

0100

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

0110

Own funds requirements weights

Countercyclical capital buffer rates

0120

Countercyclical capital buffer rate set by the Designated Authority

0130

Countercyclical capital buffer rate applicable for the country of the institution

0140

Institution-specific countercyclical capital buffer rate

Use of 2 % threshold

0150

Use of 2 % threshold for general credit exposure

0160

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 SCALE

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

OF WHICH: OFF BALANCE SHEET ITEMS

EXPECTED LOSS AMOUNT

PD ASSIGNED TO THE OBLIGOR GRADE

(%)

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

0010

0020

0030

0040

0050

0060

0061

0070

0080

0090

0010

TOTAL IRB EQUITY EXPOSURES

Cell linked to CA

0020

PD/LGD APRROACH: TOTAL

0050

SIMPLE RISK WEIGHT APPROACH: TOTAL

0060

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

0070

RISK WEIGHT: 190 %

0080

290 %

0090

370 %

0100

INTERNAL MODELS APPROACH

0110

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 SCALE

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

0005

0010

0020

0030

0040

0050

0060

0070

0080

0090

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

0010

0020

0030

0040

0010

Total unsettled transactions in the Non-trading Book

Cell linked to CA

0020

Transactions unsettled up to 4 days (Factor 0%)

0030

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

0040

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

0050

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

0060

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

0070

Total unsettled transactions in the Trading Book

Cell linked to CA

0080

Transactions unsettled up to 4 days (Factor 0%)

0090

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

0100

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

0110

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

0120

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

SECURITISATIONS

0030

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0040

STS EXPOSURES

0050

SENIOR POSITION IN SMEs SECURITISATIONS

0060

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0070

RE-SECURITISATIONS

0080

ORIGINATOR: TOTAL EXPOSURES

0090

SECURITISATIONS: 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

SECURITISATIONS: 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-SECURITISATIONS

0200

INVESTOR: TOTAL EXPOSURES

0210

SECURITISATIONS: 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

SECURITISATIONS: 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-SECURITISATIONS

0320

SPONSOR: TOTAL EXPOSURES

0330

SECURITISATIONS: 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

SECURITISATIONS: 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-SECURITISATIONS

0440

BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO 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 ACCORDING TO 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)

INTERNAL CODE

IDENTIFIER OF THE SECURITISATION

INTRA-GROUP, PRIVATE OR PUBLIC SECURITISA-TION?

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

(yyyy-mm-dd)

DATE OF LATEST ISSUANCE

(yyyy-mm-dd)

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

0010

0020

0021

0110

0030

0040

0051

0060

0061

0070

0075

0446

0080

0090

0100

0120

0121

0130

0140

0150

0160

0171

0180

0181

0190

0201

0202

0203

0204

0210

0221

0222

0223

0225

0230

0231

0232

0240

0241

0242

0250

0251

0252

0260

0270

0280

0290

0291

0300

0302

0303

0304

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

Approach:

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

0010

0020

0310

0320

0330

0340

0350

0351

0360

0361

0370

0380

0390

0400

0411

0420

0430

0431

0432

0440

0447

0448

0450

0460

0470

C 34.01 COUNTERPARTY CREDIT RISK: SIZE OF THE DERIVATIVE BUSINESS (CCR 1)

MONTH 1

MONTH 2

MONTH 3

QUALITATIVE INFORMATION

LONG DERIVATIVE POSITIONS

SHORT DERIVATIVE POSITIONS

TOTAL

LONG DERIVATIVE POSITIONS

SHORT DERIVATIVE POSITIONS

TOTAL

LONG DERIVATIVE POSITIONS

SHORT DERIVATIVE POSITIONS

TOTAL

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0010

Size of the derivative business

0020

On- and off-balance sheet derivatives

0030

(-) Credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures

0040

Total assets

0050

Percentage of total assets

DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) CRR

0060

Are the conditions of Article 273a (4) CRR met, including the approval from the competent authority?

0070

Method for calculating exposure values at consolidated level

C 34.02 COUNTERPARTY CREDIT RISK: CCR EXPOSURES BY APPROACH (CCR 2)

Exposures

APPROACH

NUMBER OF COUNTERPARTIES

NUMBER OF TRANSACTIONS

NOTIONAL

AMOUNTS

CURRENT MARKET VALUE (CMV), POSITIVE

CURRENT MARKET VALUE (CMV), NEGATIVE

VARIATION MARGIN (VM), RECEIVED

VARIATION MARGIN (VM), POSTED

NET INDEPENDENT COLLATERAL AMOUNT (NICA), RECEIVED

NET INDEPENDENT COLLATERAL AMOUNT (NICA), POSTED

REPLACE-MENT COST (RC)

POTENTIAL FUTURE EXPOSURE (PFE)

CURRENT EXPOSURE

EEPE

ALPHA USED FOR COMPUTING REGULATORY EXPOSURE VALUE

EXPOSURE VALUE

PRE-CRM

EXPOSURE VALUE POST-CRM

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNTS

Positions treated with the CR Standardised Approach

Positions treated with the CR IRB Approach

Positions treated with the CR Standardised Approach

Positions treated with the CR IRB Approach

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0220

0010

ORIGINAL EXPOSURE METHOD (FOR DERIVATIVES)

1,4

0020

SIMPLIFIED SA-CCR (FOR DERIVATIVES)

1,4

0030

SA-CCR (FOR DERIVATIVES)

1,4

0040

IMM (FOR DERIVATIVES AND SFTS)

0050

Securities financing transactions netting sets

0060

Derivatives and long settlement transactions netting sets

0070

From contractual cross-product netting sets

0080

FINANCIAL COLLATERAL SIMPLE METHOD (FOR SFTS)

0090

FINANCIAL COLLATERAL COMPREHENSIVE METHOD (FOR SFTS)

0100

VAR FOR SFTS

0110

TOTAL

0120

of which: SWWR positions

0130

Margined business

0140

Unmargined business

C 34.03 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR or SIMPLIFIED SA-CCR (CCR 3)

CCR approach

RISK CATEGORIES

CURRENCY

SECOND CURRENCY IN PAIR

NUMBER OF TRANSACTIONS

NOTIONAL AMOUNTS

CURRENT MARKET VALUE (CMV), POSITIVE

CURRENT MARKET VALUE (CMV), NEGATIVE

ADD-ON

0010

0020

0030

0040

0050

0060

0070

0010

TOTAL

0020

of which: Mapped to 2 risk categories

0030

of which: Mapped to 3 risk categories

0040

of which: Mapped to more than 3 risk categories

0050

INTEREST RATE RISK

0060

of which: Mapped exclusively to Interest rate risk category

0070

of which: Largest currency

0080

of which: 2nd largest currency

0090

of which: 3rd largest currency

0100

of which: 4th largest currency

0110

of which: 5th largest currency

0120

FOREIGN EXCHANGE RISK

0130

of which: Mapped exclusively to Foreign Exchange risk category

0140

of which: Largest currency pair

0150

of which: 2nd largest currency pair

0160

of which: 3rd largest currency pair

0170

of which: 4th largest currency pair

0180

of which: 5th largest currency pair

0190

CREDIT RISK

0200

of which: Mapped exclusively to Credit risk category

0210

Single-name transactions

0220

Multi-names transactions

0230

EQUITY RISK

0240

of which: Mapped exclusively to Equity risk category

0250

Single-name transactions

0260

Multi-names transactions

0270

COMMODITY RISK

0280

of which: Mapped exclusively to Commodity risk category

0290

Energy

0300

Metals

0310

Agricultural goods

0320

Climatic conditions

0330

Other commodities

0340

OTHER RISKS

C 34.04 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE ORIGINAL EXPOSURE METHOD (OEM) (CCR 4)

RISK CATEGORIES

NUMBER OF TRANSACTIONS

NOTIONAL AMOUNTS

CURRENT MARKET VALUE (CMV), POSITIVE

CURRENT MARKET VALUE (CMV), NEGATIVE

POTENTIAL FUTURE EXPOSURE (PFE)

0010

0020

0030

0040

0050

0010

TOTAL

0020

INTEREST RATE RISK

0030

FOREIGN EXCHANGE RISK

0040

CREDIT RISK

0050

EQUITY RISK

0060

COMMODITY RISK

0070

of which: electricity

C 34.05 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM) (CCR 5)

INSTRUMENTS

MARGINED

UNMARGINED

EXPOSURE VALUE

NUMBER OF TRANSACTIONS

NOTIONAL AMOUNTS

CURRENT MARKET VALUE (CMV), POSITIVE

CURRENT MARKET VALUE (CMV), NEGATIVE

CURRENT EXPOSURE

EEPE

Stress EEPE

EXPOSURE VALUE

NUMBER OF TRANSACTIONS

NOTIONAL AMOUNTS

CURRENT MARKET VALUE (CMV), POSITIVE

CURRENT MARKET VALUE (CMV), NEGATIVE

CURRENT EXPOSURE

EEPE

Stress EEPE

EXPOSURE VALUE

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0010

TOTAL

0020

of which: SWWR positions

0030

Netting sets treated with the CR Standardised Approach

0040

Netting sets treated with the CR IRB Approach

0050

OTC DERIVATIVES

INTEREST RATE

0060

FOREIGN EXCHANGE

0070

CREDIT

0080

EQUITY

0090

COMMODITY

0100

OTHER

0110

TOTAL

0120

EXCHANGE TRADED DERIVATIVES

INTEREST RATE

0130

FOREIGN EXCHANGE

0140

CREDIT

0150

EQUITY

0160

COMMODITY

0170

OTHER

0180

TOTAL

0190

SECURITIES FINANCING TRANSACTIONS

BOND UNDERLYING

0200

EQUITY UNDERLYING

0210

OTHER UNDERLYING

0220

TOTAL

0230

CONTRACTUAL CROSS-PRODUCT NETTING SETS

C 34.06 COUNTERPARTY CREDIT RISK: TOP TWENTY COUNTERPARTIES (CCR 6)

NAME

CODE

TYPE OF CODE

NATIONAL CODE

SECTOR OF THE COUN-TERPARTY

COUNTERPARTY TYPE

RESIDENCY OF THE COUNTERPARTY

NUMBER OF TRANSACTIONS

NOTIONAL AMOUNTS

CURRENT MARKET VALUE (CMV), POSITIVE

CURRENT MARKET VALUE (CMV), NEGATIVE

EXPOSURE VALUE POST-CRM

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNTS

0010

0020

0030

0035

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

C 34.07 COUNTERPARTY CREDIT RISK: IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE (CCR 7)

IRB Exposure class

Own estimates of LGD and/or conversion factors:

PD scale

Exposure value

Exposure weighted average PD (%)

Number of obligors

Exposure weighted average LGD (%)

Exposure weighted average maturity (years)

Risk weighted exposure amounts

Density of risk weighted exposure amounts

0010

0020

0030

0040

0050

0060

0070

0010

0.00 to <0.15

0020

0.00 to <0.10

0030

0.10 to <0.15

0040

0.15 to <0.25

0050

0.25 to <0.50

0060

0.50 to <0.75

0070

0.75 to <2.50

0080

0.75 to <1.75

0090

1.75 to <2.5

0100

2.50 to <10.00

0110

2.50 to <5.00

0120

5.00 to <10.00

0130

10.00 to <100.00

0140

10.00 to <20.00

0150

20.00 to <30.00

0160

30.00 to <100.00

0170

100.00 (Default)

0180

Total

C 34.08 COUNTERPARTY CREDIT RISK: COMPOSITION OF COLLATERAL FOR CCR EXPOSURES (CCR 8)

Collateral type

Collateral used in derivative transactions

Collateral used in SFTs

Fair value of collateral received

Fair value of posted collateral

Fair value of collateral received

Fair value of posted collateral

Segregated

Unsegregated

Segregated

Unsegregated

Segregated

Unsegregated

Segregated

Unsegregated

Initial margin

Variation margin

Initial margin

Variation margin

Initial margin

Variation margin

Initial margin

Variation margin

Initial margin

Variation margin

Initial margin

Variation margin

SFT security

Initial margin

Variation margin

Initial margin

Variation margin

SFT security

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0010

Cash – domestic currency

0020

Cash – other currencies

0030

Domestic sovereign debt

0040

Other sovereign debt

0050

Government agency debt

0060

Corporate bonds

0070

Equity securities

0080

Other collateral

0090

Total

C 34.09 COUNTERPARTY CREDIT RISK: CREDIT DERIVATIVES EXPOSURES (CCR 9)

Product type

NOTIONAL AMOUNTS

FAIR VALUES

PROTECTION BOUGHT

PROTECTION SOLD

PROTECTION BOUGHT

PROTECTION SOLD

0010

0020

0030

0040

0010

Single-name credit default swaps

0020

Index credit default swaps

0030

Total return swaps

0040

Credit options

0050

Other credit derivatives

0060

Total

FAIR VALUE BREAKDOWN

0070

Positive fair value (asset)

0080

Negative fair value (liability)

C 34.10 COUNTERPARTY CREDIT RISK: EXPOSURES TO CCPs (CCR 10)

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNTS

0010

0020

0010

Exposures to QCCPs (total)

0020

Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which

0030

(i)

OTC derivatives

0040

(ii)

Exchange-traded derivatives

0050

(iii)

SFTs

0060

(iv)

Netting sets where cross-product netting has been approved

0070

Segregated initial margin

0080

Non-segregated initial margin

0090

Prefunded default fund contributions

0100

Unfunded default fund contributions

0110

Exposures to non-QCCPs (total)

0120

Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which

0130

(i)

OTC derivatives

0140

(ii)

Exchange-traded derivatives

0150

(iii)

SFTs

0160

(iv)

Netting sets where cross-product netting has been approved

0170

Segregated initial margin

0180

Non-segregated initial margin

0190

Prefunded default fund contributions

0200

Unfunded default fund contributions

C 34.11 COUNTERPARTY CREDIT RISK: RWEA FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM (CCR 11)

RISK WEIGHTED EXPOSURE AMOUNTS

QUARTERLY FLOWS

ANNUAL FLOWS

0010

0020

0010

Risk Weighted Exposure Amounts as at the end of the previous reporting period

0020

Asset size

0030

Credit quality of counterparties

0040

Model updates (IMM only)

0050

Methodology and policy (IMM only)

0060

Acquisitions and disposals

0070

Foreign exchange movements

0080

Other

0090

Risk Weighted Exposure Amounts as at the end of the current reporting period

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)

0010

0020

0030

0040

0050

0060

0070

0071

0080

0090

0100

0110

0120

0010

BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)

Cell linked to CA2

0020

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

Cell linked to CA2

SUBJECT TO TSA:

0030

CORPORATE FINANCE (CF)

0040

TRADING AND SALES (TS)

0050

RETAIL BROKERAGE (RBr)

0060

COMMERCIAL BANKING (CB)

0070

RETAIL BANKING (RB)

0080

PAYMENT AND SETTLEMENT (PS)

0090

AGENCY SERVICES (AS)

0100

ASSET MANAGEMENT (AM)

SUBJECT TO ASA:

0110

COMMERCIAL BANKING (CB)

0120

RETAIL BANKING (RB)

0130

BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA

Cell linked to CA2

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

MAPPING OF LOSSES TO BUSINESS LINES

EVENT TYPES

TOTAL 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 events (new events)

0020

Gross loss amount (new events)

0030

Number of 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 events (new events)

0120

Gross loss amount (new events)

0130

Number of 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 events (new events)

0220

Gross loss amount (new events)

0230

Number of 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 events)

0320

Gross loss amount (new events)

0330

Number of 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 events (new events)

0420

Gross loss amount (new events)

0430

Number of 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 events (new events)

0520

Gross loss amount (new events)

0530

Number of 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 events (new events)

0620

Gross loss amount (new events)

0630

Number of 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 events (new events)

0720

Gross loss amount (new events)

0730

Number of 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 events (new events)

0820

Gross loss amount (new events)

0830

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

0935

of which: number of events with a positive loss adjustment

0936

of which: number of 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

Event Type

Gross loss

Gross loss net of direct recoveries

GROSS LOSS BY BUSINESS LINE

Legal Entity name

Code

Type of code

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

0185

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

0010

0020

0030

0040

0050

0060

0070

0010

TRADED DEBT INSTRUMENTS IN TRADING BOOK

Cell linked to CA2

0011

General risk

0012

Derivatives

0013

Other assets and liabilities

0020

Maturity-based approach

0030

Zone 1

0040

0 ≤ 1 month

0050

1 ≤ 3 months

0060

3 ≤ 6 months

0070

6 ≤ 12 months

0080

Zone 2

0090

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

0100

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

0110

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

0120

Zone 3

0130

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

0140

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

0150

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

0160

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

0170

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

0180

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

0190

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

0200

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

0210

Duration-based approach

0220

Zone 1

0230

Zone 2

0240

Zone 3

0250

Specific risk

0251

Own funds requirement for non-securitisation debt instruments

0260

Debt securities under the first category in Table 1

0270

Debt securities under the second category in Table 1

0280

With residual term ≤ 6 months

0290

With a residual term > 6 months and ≤ 24 months

0300

With a residual term > 24 months

0310

Debt securities under the third category in Table 1

0320

Debt securities under the fourth category in Table 1

0321

Rated nth-to default credit derivatives

0325

Own funds requirement for securitisation instruments

0330

Own funds requirement for the correlation trading portfolio

0350

Additional requirements for options (non-delta risks)

0360

Simplified method

0370

Delta plus approach - additional requirements for gamma risk

0380

Delta plus approach - additional requirements for vega risk

0385

Delta plus approach - non-continuous options and warrants

0390

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) ACCORDING TO RISK WEIGHTS

BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS

BREAKDOWN OF THE NET POSITION ACCORDING TO 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

0010

0020

0030

0040

0050

0060

0061

0062

0063

0064

0065

0066

0071

0072

0073

0074

0075

0076

0077

0078

0079

0081

0082

0083

0085

0086

0087

0088

0089

0091

0092

0093

0094

0095

0096

0097

0098

0099

0101

0102

0103

0104

0402

0403

0404

0405

0406

0530

0540

0570

0601

0010

TOTAL EXPOSURES

Cell linked to MKR SA TDI {325:060}

0020

Of which: RE-SECURITISATIONS

0030

ORIGINATOR: TOTAL EXPOSURES

0040

SECURITISATIONS

0041

OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0050

RE-SECURITISATIONS

0060

INVESTOR: TOTAL EXPOSURES

0070

SECURITISATIONS

0071

OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0080

RE-SECURITISATIONS

0090

SPONSOR: TOTAL EXPOSURES

0100

SECURITISATIONS

0101

OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0110

RE-SECURITISATIONS

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) ACCORDING TO RISK WEIGHTS

BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS

BREAKDOWN OF THE NET POSITION ACCORDING TO 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

0010

0020

0030

0040

0050

0060

0071

0072

0073

0074

0075

0076

0077

0078

0079

0081

0082

0086

0087

0088

0089

0091

0092

0093

0094

0095

0096

0097

0402

0403

0404

0405

0406

0410

0420

0430

0440

0450

0010

TOTAL EXPOSURES

Cell linked to MKR SA TDI {330:060}

SECURITISATION POSITIONS:

0020

ORIGINATOR: TOTAL EXPOSURES

0030

SECURITISATIONS

0040

OTHER CTP POSITIONS

0050

INVESTOR: TOTAL EXPOSURES

0060

SECURITISATIONS

0070

OTHER CTP POSITIONS

0080

SPONSOR: TOTAL EXPOSURES

0090

SECURITISATIONS

0100

OTHER CTP POSITIONS

N-TH-TO-DEFAULT CREDIT DERIVATIVES:

0110

N-TH-TO-DEFAULT CREDIT DERIVATIVES

0120

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

0010

0020

0030

0040

0050

0060

0070

0010

EQUITIES IN TRADING BOOK

Cell linked to CA

0020

General risk

0021

Derivatives

0022

Other assets and liabilities

0030

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

0040

Other equities than exchange traded stock-index futures broadly diversified

0050

Specific risk

0090

Additional requirements for options (non-delta risks)

0100

Simplified method

0110

Delta plus approach - additional requirements for gamma risk

0120

Delta plus approach - additional requirements for vega risk

0125

Delta plus approach - non-continuous options and warrants

0130

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

0020

0030

0040

0050

0060

0070

0080

0090

0100

0010

TOTAL POSITIONS

Cell linked to CA

0020

Currencies closely correlated

0025

of which: reporting currency

0030

All other currencies (including CIUs treated as different currencies)

0040

Gold

0050

Additional requirements for options (non-delta risks)

0060

Simplified method

0070

Delta plus approach - additional requirements for gamma risk

0080

Delta plus approach - additional requirements for vega risk

0085

Delta plus approach - non-continuous options and warrants

0090

Scenario matrix approach

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

0100

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

0110

Off-balance sheet items

0120

Derivatives

Memorandum items: CURRENCY POSITIONS

0130

Euro

0140

Lek

0150

Argentine Peso

0160

Australian Dollar

0170

Brazilian Real

0180

Bulgarian Lev

0190

Canadian Dollar

0200

Czech Koruna

0210

Danish Krone

0220

Egyptian Pound

0230

Pound Sterling

0240

Forint

0250

Yen

0270

Lithuanian Litas

0280

Denar

0290

Mexican Peso

0300

Zloty

0310

Rumanian Leu

0320

Russian Ruble

0330

Serbian Dinar

0340

Swedish Krona

0350

Swiss Franc

0360

Turkish Lira

0370

Hryvnia

0380

US Dollar

0390

Iceland Krona

0400

Norwegian Krone

0410

Hong Kong Dollar

0420

New Taiwan Dollar

0430

New Zealand Dollar

0440

Singapore Dollar

0450

Won

0460

Yuan Renminbi

0470

Other

0480

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

0010

0020

0030

0040

0050

0060

0070

0010

TOTAL POSITIONS IN COMMODITIES

Cell linked to CA

0020

Precious metals (except gold)

0030

Base metals

0040

Agricultural products (softs)

0050

Others

0060

Of which energy products (oil, gas)

0070

Maturity ladder approach

0080

Extended maturity ladder approach

0090

Simplified approach: All positions

0100

Additional requirements for options (non-delta risks)

0110

Simplified method

0120

Delta plus approach - additional requirements for gamma risk

0130

Delta plus approach - additional requirements for vega risk

0135

Delta plus approach - non-continuous options and warrants

0140

Scenario matrix approach

C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM)

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

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0010

TOTAL POSITIONS

Cell linked to CA

Memorandum items: BREAKDOWN OF MARKET RISK

0020

Traded debt instruments

0030

TDI - General risk

0040

TDI - Specific Risk

0050

Equities

0060

Equities - General risk

0070

Equities - Specific Risk

0080

Foreign Exchange risk

0090

Commodities risk

0100

Total amount for general risk

0110

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

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0010

CVA risk total

Link to {CA2;r640;c010}

0020

According to Advanced method

Link to {CA2;r650;c010}

0030

According to Standardised method

Link to {CA2;r660;c010}

0040

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 ART. 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

ÍNVESTMENTS 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 - 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 THE EXPERT BASED APPROACH

OF WHICH: AGGRE-GATED USING METHOD 2

FAIR VALUED ASSETS

FAIR VALUED 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

CONCEN-TRATED POSITION SIZE

SIZE MEASURE

MARKET VALUE

PRUDENT EXIT PERIOD

CONCEN-TRATED POSITIONS AVA

CONCEN-TRATED 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

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

0010

Total exposures

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

0020

Exposures under the credit risk framework

0030

Standardised Approach

0040

Central governments

0050

Regional governments or local authorities

0060

Public sector entities

0070

International Organisations

0075

Other general government exposures subject to Standardised Approach

0080

IRB Approach

0090

Central governments

0100

Regional governments or local authorities [Central governments]

0110

Regional governments or local authorities [Institutions]

0120

Public sector entities [Central governments]

0130

Public sector entities [Institutions]

0140

International Organisations [Central governments]

0155

Other general government exposures subject to IRB approach

0160

Exposures under the market risk framework

BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:

0170

[ 0 - 3M [

0180

[ 3M - 1Y [

0190

[ 1Y - 2Y [

0200

[ 2Y - 3Y [

0210

[3Y - 5Y [

0220

[5Y - 10Y [

0230

[10Y - more

C 35.01 - NPE LOSS COVERAGE: THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1)

Time passed since exposures classified as non-performing

Total

<= 1 year

1 year

<= 2 years

2 years

<= 3 years

3 years

<= 4 years

4 years

<= 5 years

5 years

<= 6 years

6 years

<= 7 years

7 years

<= 8 years

8 years

<= 9 years

9 years

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0010

Applicable amount of insufficient coverage

MINIMUM COVERAGE REQUIREMENT

0020

Total minimum coverage requirement

0030

Unsecured part of NPEs

0040

Secured part of NPEs

0050

Exposure value

0060

Unsecured part of NPEs

0070

Secured part of NPEs

AVAILABLE COVERAGE

0080

Total provisions and adjustments or deductions (capped)

0090

Total provisions and adjustments or deductions (uncapped)

0100

Specific credit risk adjustments

0110

Additional valuation adjustments

0120

Other own funds reductions

0130

IRB shortfall

0140

Difference between the purchase price and the amount owed by the debtor

0150

Amounts written-off by the institution since the exposure was classified as non-performing

C 35.02 - NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC2)

Time passed since exposures classified as non-performing

Total

<= 1 year

1 year

<= 2 years

2 years

<= 3 years

3 years

<= 4 years

4 years

<= 5 years

5 years

<= 6 years

6 years

<= 7 years

7 years

<= 8 years

8 years

<= 9 years

9 years

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0010

TOTAL MINIMUM COVERAGE REQUIREMENT

0020

Unsecured part of NPEs

0030

Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider

0040

Part of NPEs secured by other funded or unfunded credit protection

0050

Part of NPEs guaranteed or insured by an official export credit agency

0060

EXPOSURE VALUE

0070

Unsecured part of NPEs

Factor

0,35

0080

Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider

Factor

0,25

0,35

0,55

0,7

0,8

0,85

0090

Part of NPEs secured by other funded or unfunded credit protection

Factor

0,25

0,35

0,55

0,8

0100

Part of NPEs guaranteed or insured by an official export credit agency

Factor

C 35.03 - NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC3)

Time passed since exposures classified as non-performing

TOTAL

<= 1 year

1 year

<= 2 years

2 years

<= 3 years

3 years

<= 4 years

4 years

<= 5 years

5 years

<= 6 years

6 years

<= 7 years

7 years

<= 8 years

8 years

<= 9 years

9 years

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0010

TOTAL MINIMUM COVERAGE REQUIREMENT

0020

Unsecured part of NPEs

0030

Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider

0040

Part of NPEs secured by other funded or unfunded credit protection

0050

EXPOSURE VALUE

0060

Unsecured part of NPEs

First forbearance measure applied between 1 year and 2 years after classification as non-performing (>1 year; <=2 years)

Factor

0070

Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider

Breakdown by point in time of granting the first forbearance measure

0080

2 and <= 3 years after classification as NPE

Factor

0,35

0,55

0,7

0,8

0,85

0090

3 and <= 4 years after classification as NPE

Factor

0,25

0,55

0,7

0,8

0,85

0100

4 and <= 5 years after classification as NPE

Factor

0,35

0,7

0,8

0,85

0110

5 and <= 6 years after classification as NPE

Factor

0,55

0,8

0,85

0120

Part of NPEs secured by other funded or unfunded credit protection

Breakdown by point in time of granting the first forbearance measure

0130

2 and <= 3 years after classification as NPE

Factor

0,35

0,55

0,8

0140

3 and <= 4 years after classification as NPE

Factor

0,25

0,55

0,8

0150

4 and <= 5 years after classification as NPE

Factor

0,35

0,8

0160

5 and <= 6 years after classification as NPE

Factor

0,55

ANNEX II

INSTRUCTIONS FOR REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

Table of Contents

PART I: GENERAL INSTRUCTIONS

258

STRUCTURE AND CONVENTIONS

258

1.1.

STRUCTURE

258

1.2.

NUMBERING CONVENTION

258

1.3.

SIGN CONVENTION

258

1.4.

ABBREVIATIONS

259

PART II: TEMPLATE RELATED INSTRUCTIONS

259

CAPITAL ADEQUACY OVERVIEW (‘CA’)

259

1.1.

GENERAL REMARKS

259

1.2.

C 01.00 – OWN FUNDS (CA1)

260

1.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

260

1.3.

C 02.00 – OWN FUNDS REQUIREMENTS (CA2)

273

1.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

273

1.4.

C 03.00 – CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

279

1.4.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

279

1.5.

C 04.00 – MEMORANDUM ITEMS (CA4)

282

1.5.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

282

1.6.

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

296

1.6.1.

GENERAL REMARKS

296

1.6.2.

C 05.01 – TRANSITIONAL PROVISIONS (CA5.1)

297

1.6.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

297

1.6.3.

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

301

1.6.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

301

GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

303

2.1.

GENERAL REMARKS

303

2.2.

DETAILED GROUP SOLVENCY INFORMATION

303

2.3.

INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY

303

2.4.

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

304

2.5.

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

304

CREDIT RISK TEMPLATES

312

3.1.

GENERAL REMARKS

312

3.1.1.

REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT

312

3.1.2.

REPORTING OF COUNTERPARTY CREDIT RISK

312

3.2.

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

312

3.2.1.

GENERAL REMARKS

312

3.2.2.

SCOPE OF THE CR SA TEMPLATE

312

3.2.3.

ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES UNDER THE STANDARDISED APPROACH

314

3.2.4.

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

317

3.2.4.1.

EXPOSURE CLASS ‘INSTITUTIONS’

317

3.2.4.2.

EXPOSURE CLASS ‘COVERED BONDS’

317

3.2.4.3.

EXPOSURE CLASS ‘COLLECTIVE INVESTMENT UNDERTAKINGS’

318

3.2.5.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

318

3.3.

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

326

3.3.1.

SCOPE OF THE CR IRB TEMPLATE

326

3.3.2.

BREAKDOWN OF THE CR IRB TEMPLATE

327

3.3.3.

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

328

3.3.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

328

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)

337

3.3.1.

C 08.03 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (BREAKDOWN BY PD RANGES (CR IRB 3))

337

3.3.1.1.

GENERAL REMARKS

337

3.3.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

337

3.3.2.

C 08.04 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (RWEA FLOW STATEMENTS (CR IRB 4))

339

3.3.2.1.

GENERAL REMARKS

339

3.3.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

340

3.3.3.

C 08.05 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (BACK-TESTING OF PD (CR IRB 5))

341

3.3.3.1.

GENERAL REMARKS

341

3.3.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

341

3.3.4.

C 08.05.1 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD (CR IRB 5B)

342

3.3.4.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

342

3.3.5.

C 08.06 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (SPECIALISED LENDING SLOTTING APPROACH (CR IRB 6))

343

3.3.5.1.

GENERAL REMARKS

343

3.3.5.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

343

3.3.6.

C 08.07 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (SCOPE OF USE OF IRB AND SA APPROACHES (CR IRB 7))

344

3.3.6.1.

GENERAL REMARKS

344

3.3.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

344

3.4.

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

345

3.4.1.

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

346

3.4.1.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

346

3.4.2.

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

349

3.4.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

349

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)

352

3.4.3.1.

GENERAL REMARKS

352

3.4.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

352

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)

356

3.5.1.

GENERAL REMARKS

356

3.5.2.

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

357

3.6.

C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)

359

3.6.1.

GENERAL REMARKS

359

3.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

360

3.7.

C 13.01 – CREDIT RISK – SECURITISATIONS (CR SEC)

362

3.7.1.

GENERAL REMARKS

362

3.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

362

3.8.

DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

371

3.8.1.

SCOPE OF THE SEC DETAILS TEMPLATE

371

3.8.2.

BREAKDOWN OF THE SEC DETAILS TEMPLATE

371

3.8.3.

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

372

3.8.4.

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

383

3.9.

COUNTERPARTY CREDIT RISK

385

3.9.1.

SCOPE OF THE COUNTERPARTY CREDIT RISK TEMPLATES

385

3.9.2.

C 34.01 – SIZE OF THE DERIVATIVE BUSINESS

386

3.9.2.1.

GENERAL REMARKS

386

3.9.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

386

3.9.3.

C 34.02 – CCR EXPOSURES BY APPROACH

387

3.9.3.1.

GENERAL REMARKS

387

3.9.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

387

3.9.4.

C 34.03 – CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR AND SIMPLIFIED SA-CCR

393

3.9.4.1.

GENERAL REMARKS

393

3.9.4.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

393

3.9.5.

C 34.04 – CCR EXPOSURES TREATED WITH THE ORIGINAL EXPOSURE METHOD (OEM)

395

3.9.5.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

395

3.9.6.

C 34.05 – CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM)

396

3.9.6.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

396

3.9.7.

C 34.06 – TOP TWENTY COUNTERPARTIES

397

3.9.7.1.

GENERAL REMARKS

397

3.9.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

397

3.9.8.

C 34.07 – IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE

399

3.9.8.1.

GENERAL REMARKS

399

3.9.8.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

399

3.9.9.

C 34.08 – COMPOSITION OF COLLATERAL FOR CCR EXPOSURES

401

3.9.9.1.

GENERAL REMARKS

401

3.9.9.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

401

3.9.10.

C 34.09 – CREDIT DERIVATIVES EXPOSURES

402

3.9.10.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

402

3.9.11.

C 34.10 – EXPOSURES TO CCPS

403

3.9.11.1.

GENERAL REMARKS

403

3.9.11.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

403

3.9.12.

C 34.11 – RISK WEIGHTED EXPOSURE AMOUNTS (RWEA) FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM

404

3.9.12.1.

GENERAL REMARKS

404

3.9.12.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

404

OPERATIONAL RISK TEMPLATES

405

4.1.

C 16.00 – OPERATIONAL RISK (OPR)

405

4.1.1.

GENERAL REMARKS

405

4.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

406

4.2.

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

408

4.2.1.

GENERAL REMARKS

408

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)

409

4.2.2.1.

GENERAL REMARKS

409

4.2.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

410

4.2.3.

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

415

4.2.3.1.

GENERAL REMARKS

415

4.2.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

416

MARKET RISK TEMPLATES

417

5.1.

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

417

5.1.1.

GENERAL REMARKS

417

5.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

418

5.2.

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

419

5.2.1.

GENERAL REMARKS

420

5.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

420

5.3.

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

421

5.3.1.

GENERAL REMARKS

422

5.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

422

5.4.

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

424

5.4.1.

GENERAL REMARKS

424

5.4.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

424

5.5.

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

426

5.5.1.

GENERAL REMARKS

426

5.5.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

426

5.6.

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

428

5.6.1.

GENERAL REMARKS

428

5.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

428

5.7.

C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM)

429

5.7.1.

GENERAL REMARKS

429

5.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

429

5.8.

C 25.00 – CREDIT VALUATION ADJUSTMENT RISK (CVA)

432

5.8.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

432

PRUDENT VALUATION (PRUVAL)

434

6.1.

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

434

6.1.1.

GENERAL REMARKS

434

6.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

435

6.2.

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

439

6.2.1.

GENERAL REMARKS

439

6.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

439

6.3.

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

447

6.3.1.

GENERAL REMARKS

447

6.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

448

6.4.

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

450

6.4.1.

GENERAL REMARKS

450

6.4.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

450

C 33.00 – EXPOSURES TO GENERAL GOVERNMENTS (GOV)

452

7.1.

GENERAL REMARKS

452

7.2.

SCOPE OF THE TEMPLATE ON EXPOSURES TO ‘GENERAL GOVERNMENTS’

453

7.3.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

453

NPE LOSS COVERAGE (NPE LC)

462

8.1.

GENERAL REMARKS

462

8.2.

C 35.01 – THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1)

463

8.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

463

8.3.

C 35.02 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC2)

466

8.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

466

8.4.

C 35.03 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC3)

467

8.4.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

467

PART I: GENERAL INSTRUCTIONS

STRUCTURE AND CONVENTIONS

1.1. STRUCTURE

Overall, the framework covers six topics:

(a)

capital adequacy, an overview of regulatory capital; total risk exposure amount; prudent valuation; NPE loss coverage;

(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;

(f)

general governments exposures

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

10.

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’, Council Directive 86/635/EEC ( 4 ) is referred to as ‘BAD’ and Directive 2014/59/EU of the European Parliament and of the Council ( 5 ) is reffered to as ‘BRRD’.

PART II: TEMPLATE RELATED INSTRUCTIONS

CAPITAL ADEQUACY OVERVIEW (‘CA’)

1.1. GENERAL REMARKS

11.

The 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)

Template CA1 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)

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

(c)

Template CA3 contains the ratios for which CRR states a minimum level, Pillar 2 ratios and some other related data;

(d)

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

(e)

Template CA5 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.

12.

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.

13.

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).

14.

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.

15.

The treatment of Pillar II requirements can be different within the Union (Article 104a(1) 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.

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. It mainly focuses on the target ratios themselves. There is no 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 104a(1) 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

0010

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.

0015

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

0020

1.1.1. Common Equity Tier 1 capital

Article 50 CRR

0030

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

0040

1.1.1.1.1. Fully 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.

0045

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.

0050

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

0060

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 ‘Fully paid up capital instruments’.

0070

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.

0080

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.

0090

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

0091

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

0092

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.

0130

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

0140

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’.

0150

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.

0160

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.

0170

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.

0180

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 ( 6 ) .

0200

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.

0210

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.

0220

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.

0230

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.

0240

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.

0250

1.1.1.9. Adjustments to CET1 due to prudential filters

Articles 32 to 35 CRR

0260

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.

0270

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.

0280

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.

0285

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.

0290

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

0300

1.1.1.10. (-) Goodwill

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

0310

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.

0320

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

Point (b) of Article 37 and Article 43 CRR

0330

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.

0335

1.1.1.10.4. Accounting revaluation of subsidiaries’ goodwill derived from the consolidation of subsidiaries attributable to third persons

Point (c) of Article 37 CRR

The amount of the accounting revaluation of the subsidiaries’ goodwill derived from the consolidation of subsidiaries attributable to persons other than the undertakings included in the consolidation pursuant to Chapter 2 of Title II of Part One.

0340

1.1.1.11. (-) Other intangible assets

Point (115) of Article 4(1), point (b) of Article 36(1) and point (a) and (c) 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.

0350

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.

0360

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.

0365

1.1.1.11.3. Accounting revaluation of subsidiaries’ other intangible assets derived from the consolidation of subsidiaries attributable to third persons

Point (c) of Article 37 CRR

The amount of the accounting revaluation of the subsidiaries’ intangibles assets other than goodwill derived from the consolidation of subsidiaries attributable to persons other than the undertakings included in the consolidation pursuant to Chapter 2 of Title II of Part One.

0370

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

0380

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).

0390

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

0400

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).

0410

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.

0420

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.

0430

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.

0440

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.

0450

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 %.

0460

1.1.1.18. (-) Securitisation positions which can alternatively be subject to a 1 250 % 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.

0470

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.

0471

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 %.

0472

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 %.

0480

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).

0490

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.

0500

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).

0510

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.

0511

1.1.1.25.1. (-) Amount exceeding the 17,65 % threshold related to CET1 instruments of financial sector entities where the institution has a significant investment

0512

1.1.1.25.2. (-) Amount exceeding the 17,65 % threshold related to deferred tax assets arising from temporary differences

0513

1.1.1.25 A (-) Insufficient coverage for non-performing exposures

Point (m) of Article 36(1) and Article 47c CRR

0514

1.1.1.25B (-) Minimum value commitment shortfalls

Point (n) of Article 36(1) and Article 132c(2) CRR

0515

1.1.1.25C (-) Other foreseeable tax charges

Point (l) of Article 36(1) CRR

Tax charges relating to CET1 items foreseeable at the moment of the calculation other than tax charges that have been considered already in any of the other rows reflecting CET1 items by reducing the amount of the CET1 item in question.

0520

1.1.1.26. Other transitional adjustments to CET1 Capital

Articles 469 to 478 and 481 CRR

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

0524

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

Article 3 CRR

0529

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).

0530

1.1.2. ADDITIONAL TIER 1 CAPITAL

Article 61 CRR

0540

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

0551

1.1.2.1.1. Fully paid up, directly issued 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

0560

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

0571

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 ‘fully paid up and directly issued capital instruments’.

0580

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.

0590

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.

0620

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

0621

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

0622

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.

0660

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.

0670

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.

0680

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.

0690

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.

0700

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

0710

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

0720

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).

0730

1.1.2.9. Other transitional adjustments to AT1 Capital

Articles 472, 473a, 474, 475, 478 and 481 CRR

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

0740

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.

0744

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

Article 3 CRR

0748

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.

0750

1.2. TIER 2 CAPITAL

Article 71 CRR

0760

1.2.1. Capital instruments eligible as T2 Capital

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

0771

1.2.1.1. Fully paid up, directly issued capital instruments

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.

The capital instruments may consist of equity or liabilities, including subordinated loans that fulfil the eligibility criteria.

0780

1.2.1.2 (*) Memorandum item: Capital instruments 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.

The capital instruments may consist of equity or liabilities, including subordinated loans.

0791

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 ‘fully paid up and directly issued capital instruments’.

0800

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.

0810

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.

0840

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

0841

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

0842

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.

0880

1.2.2. Transitional adjustments due to grandfathered T2 Capital instruments

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.

0890

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.

0900

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.

0910

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.

0920

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.

0930

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.

0940

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

0950

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.

0955

1.2.9 A (-) Excess of deductions from eligible liabilities over eligible liabilities

Article 66 (e) CRR.

0960

1.2.10. Other transitional adjustments to T2 Capital

Articles 472, 473a, 476, 477, 478 and 481 CRR

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

0970

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.

0974

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

Article 3 CRR

0978

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

0010

TOTAL RISK EXPOSURE AMOUNT

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

0020

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

0030

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

0040

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

0050

1.1.1. Standardised Approach (SA)

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

0051

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.

0060

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.

0070

1.1.1.1.01. Central governments or central banks

See CR SA template

0080

1.1.1.1.02. Regional governments or local authorities

See CR SA template

0090

1.1.1.1.03. Public sector entities

See CR SA template

0100

1.1.1.1.04. Multilateral Development Banks

See CR SA template

0110

1.1.1.1.05. International Organisations

See CR SA template

0120

1.1.1.1.06. Institutions

See CR SA template

0130

1.1.1.1.07. Corporates

See CR SA template

0140

1.1.1.1.08. Retail

See CR SA template

0150

1.1.1.1.09. Secured by mortgages on immovable property

See CR SA template

0160

1.1.1.1.10. Exposures in default

See CR SA template

0170

1.1.1.1.11. Items associated with particular high risk

See CR SA template

0180

1.1.1.1.12. Covered bonds

See CR SA template

0190

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

See CR SA template

0200

1.1.1.1.14. Collective investments undertakings (CIU)

See CR SA template

0210

1.1.1.1.15. Equity

See CR SA template

0211

1.1.1.1.16. Other items

See CR SA template

0240

1.1.2. Internal ratings based Approach (IRB)

0241

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.

0242

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.

0250

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)

0260

1.1.2.1.01. Central governments and central banks

See CR IRB template

0270

1.1.2.1.02. Institutions

See CR IRB template

0280

1.1.2.1.03. Corporates – SME

See CR IRB template

0290

1.1.2.1.04. Corporates – Specialised Lending

See CR IRB template

0300

1.1.2.1.05. Corporates – Other

See CR IRB template

0310

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)

0320

1.1.2.2.01. Central governments and central banks

See CR IRB template

0330

1.1.2.2.02. Institutions

See CR IRB template

0340

1.1.2.2.03. Corporates – SME

See CR IRB template

0350

1.1.2.2.04. Corporates – Specialised Lending

See CR IRB template

0360

1.1.2.2.05. Corporates – Other

See CR IRB template

0370

1.1.2.2.06. Retail – secure by real estate SME

See CR IRB template

0380

1.1.2.2.07. Retail – secure by real estate non-SME

See CR IRB template

0390

1.1.2.2.08. Retail – Qualifying revolving

See CR IRB template

0400

1.1.2.2.09. Retail – Other SME

See CR IRB template

0410

1.1.2.2.10. Retail – Other non-SME

See CR IRB template

0420

1.1.2.3. Equity IRB

See CR EQU IRB template

0450

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.

0460

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

Articles 307, 308 and 309 CRR

0470

1.1.4 Securitisation positions

See CR SEC template

0490

1.2. TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

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

0500

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

See CR SETT template

0510

1.2.2. Settlement/delivery risk in the Trading book

See CR SETT template

0520

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

0530

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

0540

1.3.1.1. Traded debt instruments

MKR SA TDI template at the level of total currencies.

0550

1.3.1.2. Equity

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

0555

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.

0556

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.

0557

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.

0560

1.3.1.4. Foreign Exchange

See MKR SA FX template

0570

1.3.1.5. Commodities

See MKR SA COM template

0580

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

See MKR IM template

0590

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.

0600

1.4.1. OpR Basic Indicator approach (BIA)

See OPR template

0610

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

See OPR template

0620

1.4.3. OpR Advanced measurement approaches (AMA)

See OPR template

0630

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.

0640

1.6. TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

Point (d) of Article 92(3) CRR

See CVA template.

0650

1.6.1. Advanced method

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

See CVA template.

0660

1.6.2. Standardised method

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

See CVA template.

0670

1.6.3. Based on OEM

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

See CVA template.

0680

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

0690

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.

0710

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

Article 458 CRR

0720

1.8.2* Of which: requirements for large exposures

Article 458 CRR

0730

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

Article 458 CRR

0740

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

Article 458 CRR

0750

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

Article 459 CRR

0760

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

0010

1 CET1 Capital ratio

Point (a) of Article 92(2) CRR

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

0020

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

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

0030

3 T1 Capital ratio

Point (b) of Article 92(2) CRR

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

0040

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

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

0050

5 Total capital ratio

Point (c) of Article 92(2) CRR

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

0060

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

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

0130

13 Total SREP capital requirement (TSCR) ratio

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

(i)

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

(ii)

the additional own funds requirements (Pillar 2 Requirements – P2R) as referred to in point (a) of Article 104(1) CRD, presented as ratio. They shall be 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 7.4 and 7.5 of the EBA SREP GL.

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

0140

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 0130, 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.

0150

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 0130, 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.

0160

14 Overall capital requirement (OCR) ratio

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

(i)

the TSCR ratio referred to in row 0130;

(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 7.5 of the EBA SREP GL.

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

0170

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 0140;

(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.

0180

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 0150;

(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.

0190

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

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

(i)

the OCR ratio referred to in row 160;

(ii)

where applicable, the guidance on additional own funds communicated by the competent authority (Pillar 2 Guidance – P2G) as referred to in Article 104b(3) CRD, presented as ratio. They shall be defined in accordance with section 7.7.1 of 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.

0200

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 0170;

(ii)

where applicable, the part of P2G, referred to in point (ii) in row 0190, 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.

0210

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 0180;

(ii)

where applicable, the part of P2G, referred to in point (ii) in row 0190, 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.

0220

Surplus(+)/Deficit(-) of CET1 capital considering the requirements of Article 92 CRR and 104a CRD

This item shows, in absolute figures, the amount of CET1 capital surplus or defi-cit relating to the requirements set in point (a) of Article 92(1) CRR (4,5 %) and Article 104a CRD, to the extent that the requirement of Article 104a CRD has to be met with CET1 capital. Where an institution has to use its CET1 to meet its requirements of Article 92(1) point (b) and/or (c) CRR and/or Article 104a CRD beyond the extent to which the latter has to be met with CET1 capital, the reported surplus or deficit shall take this into account.

This amount reflects the CET1 capital available to meet the combined buffer requirement and other requirements.

0300

CET1 Capital ratio without application of the transitional provisions on IFRS 9

Point (a) of Article 92(2) CRR, Article 473a(8) CRR

0310

T1 Capital ratio without application of the transitional provisions on IFRS 9

Point (b) of Article 92(2) CRR, Article 473a(8) CRR

0320

Total capital ratio without application of the transitional provisions on IFRS 9

Point (c) of Article 92(2) CRR, Article 473a(8) CRR

1.5. C 04.00 – MEMORANDUM ITEMS (CA4)

1.5.1. Instructions concerning specific positions

Rows

0010

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.

0020

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

Article 39(2) CRR

Deferred tax assets that were created before 23 November 2016 and do not rely on future profitability, and thus are subject to the application of a risk weight.

0030

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).

0040

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.

0050

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.

0060

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.

0070

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

Article 38 CRR

0080

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

0090

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

0093

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.

0096

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, Article 478(2) and point (a) of Article 473a(7) CRR. The amount reported shall be the amount of DTAs before the application of the risk weight.

0097

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), Article 470 CRR, Article 478(2) and point a of Article 473a(7) 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.

0901

2W Exception from deduction of intangible assets from CET1

Point (b) of Article 36(1) CRR

Institutions shall report the amount of prudently valued software assets exempted from the deduction.

0905

2Y AT1 Capital instruments and the related share premium accounts classified as equity under applicable accounting standards

The amount of AT1 instruments including their related share premium accounts that are classified as equity under the applicable accounting standard

0906

2Z AT1 Capital instruments and the related share premium accounts classified as liabilities under applicable accounting standards

The amount of AT1 instruments including their related share premium accounts that are classified as liabilities under the applicable accounting standard

0100

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.

0110

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.

0120

3.1.1. General credit risk adjustments

Article 159 CRR

This item shall only be reported by IRB institutions.

0130

3.1.2. Specific credit risk adjustments

Article 159 CRR

This item shall only be reported by IRB institutions.

0131

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.

0140

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.

0145

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.

0150

4.1. Specific credit risk adjustments and positions treated similarly

Article 159 CRR

This item shall only be reported by IRB institutions.

0155

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.

0160

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.

0170

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.

0180

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.

0190

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 %.

0200

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 %.

0210

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.

0225

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

Point (a) of point (71) of Article 4(1) CRR

0230

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

0240

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

0250

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

0260

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

Article 45 CRR

Point a of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0270

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

0280

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

0290

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 date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0291

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

0292

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

0293

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.

Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0300

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

0310

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

0320

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

0330

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 date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0340

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

0350

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.

0360

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

0361

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

0362

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

0363

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.

Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0370

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

0380

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

0390

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

0400

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 date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0410

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

0420

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

0430

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

0431

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

0432

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

0433

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.

Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0440

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

0450

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

0460

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

0470

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

Article 45 CRR

0480

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

0490

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.

0500

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

0501

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

0502

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

0503

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.

0504

Investments in CET1 capital of financial sector entities where the institution has a significant investment – subject to a risk weight of 250 %

Article 48(4) CRR

The amount of significant investments in CET1 capital of financial sector entities 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.

The amount reported shall be the amount of significant investments before the application of the risk weight.

0510

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

Articles 58 and 59 CRR

0520

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

Articles 58 and 59 CRR

0530

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.

0540

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

Article 59 CRR

0550

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

0560

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.

0570

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

0571

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

0572

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

0573

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.

0580

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

Articles 68 and 69 CRR

0590

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

Articles 68 and 69 CRR

0600

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

0610

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

Article 69 CRR

0620

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

0630

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

0640

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

0641

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

0642

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

0643

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.

0650

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

0660

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

Article 60(4) CRR

0670

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

Article 70(4) CRR

0680

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.

0690

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.

0700

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.

0710

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.

0720

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.

0730

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.

0740

Combined buffer requirement

Point (6) of Article 128 CRD

0750

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.

0760

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.

0770

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.

0780

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.

0800

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.

0810

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.

0820

Own funds requirements related to Pillar II adjustments

Article 104a(1) 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.

0830

Initial capital

Articles 12 and 28 to 31 CRD and Article 93 CRR

0840

Own funds based on Fixed Overheads

Point (b) of Article 96(2), Article 97 and point (a) of Article 98(1) CRR

0850

Non-domestic original exposures

Information necessary to calculate the threshold for reporting of the CR GB template in accordance with Article 5(5) 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.

0860

Total original exposures

Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.

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

1.6.1. General remarks

16.

CA5 summarises the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491, 494a and 494b CRR.

17.

CA5 is structured as follows:

(a)

Template CA5.1 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.

18.

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 0050 and the eligible amount without the recognition of transitional provisions in column 0060.

19.

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

20.

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)

21.

Institutions shall report in CA5.1 template the transitional provisions to own funds components as laid down in Articles 465 to 491, 494a and 494b CRR, compared to applying the final provisions laid down in Title II of Part Two CRR.

22.

Institutions shall report in rows 0060 to 0065 information about the transitional provisions of grandfathered instruments. The figures to be reported in row 0060 of CA5.1 reflect the transitional provisions included in the CRR in the version applicable until 26 June 2019 and can be derived from the respective sections of CA5.2. Rows 0061 to 0065 capture the effect of the transitional provisions of Articles 494a and 494b CRR.

23.

Institutions shall report in rows 0070 to 0092 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).

24.

In rows 0100 onwards institutions shall report information about the effect of the transitional provisions regarding unrealised gains and losses, deductions, additional filters and deductions and IFRS 9.

25.

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

0010

Adjustments to CET1

0020

Adjustments to AT1

0030

Adjustments to T2

0040

Adjustments included in RWAs

Column 0040 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 0010 to 0030 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 0040 of CA5.1. As a consequence, those amounts shall be memorandum items only.

0050

Applicable percentage

0060

Eligible amount without transitional provisions

This column includes the amount of each instrument prior the application of transitional provisions, i.e. the basis amount relevant to calculate the adjustments.

Rows

0010

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

0020

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.

0060

1.1.2. Instruments not constituting state aid

The amounts to be reported shall be obtained from column 060 of CA5.2 template

0061

1.1.3. Instruments issued through special purpose vehicles

Article 494a CRR

0062

1.1.4. Instruments issued before 27 June 2019 that do not meet the eligibility criteria related to write-down and conversion powers pursuant to Article 59 BRRD or are subject to set-off or netting arrangements

Article 494b CRR

Institutions shall report the amount of instruments within the scope of Article 494b CRR that do not meet one or several eligibility criteria of points (p), (q) and (r) of Article 52(1) CRR or points (n), (o) and (p) of Article 63 CRR, as applicable.

In case of Tier 2 instruments eligible in accordance with Article 494b(2) CRR, the amortisation provisions of Article 64 CRR shall be observed.

0063

1.1.4.1* of which: Instruments without legally or contractually mandatory write-down or conversion upon exercise of Article 59 BRRD powers

Article 494b, point (p) of Article 52(1) and point (n) of Article 63 CRR

Institutions shall report the amount of instruments within the scope of Article 494b CRR that do not meet the eligibility criteria of point (p) of Article 52(1) or point (n) of Article 63 CRR, as applicable.

This shall also include instruments that additionally do not meet the eligibility criteria of points (q) or (r) of Article 52(1) CRR or points (o) or (p) of Article 63 CRR, as applicable.

0064

1.1.4.2* of which: Instruments governed by third-country law without effective and enforceable exercise of Article 59 BRRD powers

Article 494b, point (q) of Article 52(1) and point (o) of Article 63 CRR

Institutions shall report the amount of instruments within the scope of Article 494b CRR that do not meet the eligibility criteria of point (q) of Article 52(1) or point (o) of Article 63 CRR, as applicable.

This shall include also instruments that additionally do not meet the eligibility criteria of points (p) or (r) of Article 52(1) CRR or points (n) or (p) of Article 63 CRR, as applicable.

0065

1.1.4.3* of which: Instruments subject to set-off or netting arrangements

Article 494b, point (r) of Article 52(1) and point (p) of Article 63 CRR

Institutions shall report the amount of instruments within the scope of Article 494b CRR that do not meet the eligibility criteria of point (r) of Article 52(1) CRR or point (p) of Article 63 CRR, as applicable.

This shall also include instruments that additionally do not meet the eligibility criteria of point (p) or (q) of Article 52(1) CRR or points (n) or (o) of Article 63 CRR, as applicable.

0070

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.

0080

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.

0090

1.2.2. Transitional recognition in consolidated own funds of minority interests

Articles 84 and 480 CRR

The amount to be reported in column 0060 of this row shall be the eligible amount without transitional provisions.

0091

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 0060 of this row shall be the eligible amount without transitional provisions.

0092

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 0060 of this row shall be the eligible amount without transitional provisions.

0100

1.3. Other transitional adjustments

Articles 468 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.

0111

1.3.1.6. Unrealised gains and losses from certain debt exposures to central governments, regional governments, local authorities and PSEs

Article 468 CRR

0112

1.3.1.6.1. of which: amount A

The amount A, as calculated in accordance with the formula referred to in Article 468(1) CRR

0140

1.3.2. Deductions

Article 36(1) and Articles 469 to 478 CRR

This row reflects the overall effect of transitional provisions on deductions.

0170

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 0060 of this row: Total amount in accordance with Article 469(1) CRR.

0380

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 0060 of this row: Article 470(1) CRR

0385

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.

0425

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

Article 471 CRR

0430

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.

0440

1.3.4. Adjustments due to IFRS 9 transitional arrangements

Article 473a CRR

Institutions shall report information in relation with the transitional arrangements due to IFRS 9 in accordance with the applicable legal provisions.

0441

Memorandum item: ECL impact of the static component

The sum of A 2,SA and A 2, IRB as referred to in Article 473a(1) CRR

In case of A 2, IRB the amount reported is the amount net of expected lossess as required by point (a) of Article 473a(5) CRR.

0442

Memorandum item: ECL impact of the dynamic component for the period 01/01/2018 – 31/12/2019

The sum of [image in the official text: not reproduced here] and [image in the official text: not reproduced here] as referred to in Article 473a(1) CRR

0443

Memorandum item: ECL impact of the dynamic component for the period starting on 01/01/2020

The sum of A 4,SA and A 4, IRB as referred to in Article 473a(1) CRR

In case of A 4, IRB the amount reported is the amount net of expected losses as required by points (b) and (c) of Article 473a(5) CRR.

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

26.

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

0010

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.

0020

Base for calculating the limit

Paragraphs 2, 3 and 4 of Article 486 CRR

0030

Applicable percentage

Article 486(5) CRR

0040

Limit

Paragraphs 2 to 5 of Article 486 CRR

0050

(-) Amount that exceeds the limits for grandfathering

Paragraphs 2 to 5 of Article 486 CRR

0060

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

0010

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.

0020

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

0030

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.

0040

2.2. Grandfathered instruments with a call and incentive to redeem

Article 489 CRR

0050

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.

0060

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.

0070

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

0080

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.

0090

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

0100

3.1. Total items without an incentive to redeem

Article 490 CRR

0110

3.2. Grandfathered items with an incentive to redeem

Article 490 CRR

0120

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.

0130

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.

0140

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.

0150

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

27.

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;

28.

Institutions that obtained a waiver in accordance with Article 7 CRR shall only report the columns 0010 to 0060 and 0250 to 0400.

29.

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

30.

The second part of template C 06.02 (detailed group solvency information) in columns 0070 to 0210 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.

31.

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

32.

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 0250 to 0400, 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.

33.

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

34.

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.

35.

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.

36.

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.

37.

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.

38.

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

0250-0400

ENTITIES WITHIN SCOPE OF CONSOLIDATION

See instructions for C 06.02

0410-0480

CAPITAL BUFFERS

See instructions for C 06.02

Rows

Instructions

0010

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

0010-0060

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.

0011

NAME

Name of the entity within the scope of consolidation.

0021

CODE

The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.

0026

TYPE OF CODE

The institutions shall identify the type of code reported in column 0021 as a ‘LEI code’ or ‘Non-LEI code’. The type of code shall always be reported.

0027

NATIONAL CODE

Institutions may additionally report the national code when they report LEI code as identifier in the ‘Code’ column.

0030

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.

0035

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 point (26) of Article 4(1) 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.

0040

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.

0050

COUNTRY CODE

Institutions shall report the two-letter country code referred to in ISO 3166-2.

0060

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.

0070-0240

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT

The section of detailed information (i.e. columns 0070 to 0240) 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 0030).

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 0100 of this template.

0070

TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 0080 to 0110 shall be reported.

0080

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 0040 ‘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 0490 ‘TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS’ of template CA2.

0090

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 0520 ‘TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS’ of template CA2.

0100

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 0590 ‘TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR)’ of the template CA2.

Fixed overheads shall be included in this column including the row 0630 ‘ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS’ of template CA2.

0110

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 0640, 0680 and 0690 of template CA2.

0120-0240

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.

0120

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 0010 ‘OWN FUNDS’ of the template CA1.

0130

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.

0140

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

Point (b) of Article 87(1)CRR

0150

TOTAL TIER 1 CAPITAL

Article 25 CRR

0160

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.

0170

RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

Point (b) of Article 85(1) CRR

0180

COMMON EQUITY TIER 1 CAPITAL

Article 50 CRR

0190

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.

0200

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

Point (b) of Article 84(1) CRR

0210

ADDITIONAL TIER 1 CAPITAL

Article 61 CRR

0220

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.

0230

TIER 2 CAPITAL

Article 71 CRR

0240

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 reference date.

0250-0400

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

0250-0290

CONTRIBUTION TO RISKS

The information reported in the following columns shall be in accordance with the solvency rules applicable to the reporting institution.

0250

TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 0260 to 0290 shall be reported.

0260

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.

0270

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 0520 ‘TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS’ of the consolidated report.

0280

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.

0290

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.

0300-0400

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 0300 to 0350 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 0360 to 0400 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.

0300-0350

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.

0300

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

Article 87 CRR

0310

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

Article 85 CRR

0320

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.

0330

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.

0340

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.

0350

MEMORANDUM ITEM: GOODWILL (-)/(+) NEGATIVE GOODWILL

0360-0400

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.

0360

CONSOLIDATED OWN FUNDS

0370

OF WHICH: COMMON EQUITY TIER 1

0380

OF WHICH: ADDITIONAL TIER 1

0390

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.

0400

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

Goodwill or negative goodwill of the reporting entity on the subsidiary shall be reported here.

0410-0480

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.

0410

COMBINED BUFFER REQUIREMENT

Point (6) of Article 128 CRD

0420

CAPITAL CONSERVATION BUFFER

Point (1) of Article 128 and Article 129 CRD

0430

INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER

Point (2) of Article 128, Article 130 and Articles 135 to 140 CRD

The concrete amount of the countercyclical buffer shall be reported in this cell.

0440

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

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 in this cell.

0450

SYSTEMIC RISK BUFFER

Point (5) of Article 128, Articles 133 and 134 CRD

The amount of the systemic risk buffer shall be reported in this cell.

0470

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Point (3) of Article 128 and Article 131 CRD

The amount of the Global Systemically Important Institution buffer shall be reported in this cell.

0480

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Point (4) of Article 128 and Article 131 CRD

The amount of the Other Systemically Important Institution buffer shall be reported in this cell.

CREDIT RISK TEMPLATES

3.1. GENERAL REMARKS

39.

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 Article 5(5) of this Implementing Regulation is exceeded.

3.1.1. Reporting of CRM techniques with substitution effect

40.

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

41.

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

42.

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 guarantor. However, the type of the exposure shall not change due to the change of the exposure class.

43.

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

44.

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

45.

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

46.

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.

47.

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.

48.

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.

49.

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 Chapters 4 and 6 (Counterparty credit risk) of Title II of Part Three CRR in the banking book;

(b)

Counterparty credit risk in accordance with Chapters 4 and 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.

50.

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 referred to in point (b) of Article 92(3) CRR 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.

51.

In addition, CR SA includes memorandum items in rows 0290 to 0320 to collect further information about exposures secured by mortgages on immovable property and exposures in default.

52.

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).

53.

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.

54.

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’.

55.

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 0320 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 0320 of exposure class ‘institutions’.

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

56.

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.

57.

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.

58.

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).

59.

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.

60.

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.

61.

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.

62.

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.

63.

In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach or the mandate-based approach (points (1) and (2) of Article 132a CRR) is used, the underlying individual (in the case of the look through approach) and individual group of (in the case of the mandate-based approach) exposures shall be considered and classified into their corresponding risk weight line according to their treatment. However, 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’).

64.

‘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.

65.

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’

66.

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

67.

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.

68.

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 ( 7 ) . Therefore intra-group exposures shall be reported in the corresponding exposure class.

3.2.4.2. Exposure Class ‘Covered Bonds’

69.

SA exposures shall be assigned to the exposure class ‘covered bonds’ as follows:

70.

Bonds referred to in Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council ( 8 ) 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’

71.

Where the possibility referred to in Article 132a(2) 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

0010

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Exposure value calculated in accordance with Article 111 CRR without taking into account value adjustments and provisions, deductions, 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 counterparty credit risk (Chapter 4 or Chapter 6 of Title II of Part Three CRR) the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk (see instructions to column 0210).

Exposure values for leases shall be subject to Article 134(7) CRR. In particular, the residual value shall be included at its accounting value (i.e. the discounted estimated residual value at the end of the lease term).

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.

Where institutions make use of the derogation of Article 473a(7a) CRR, they shall report the amount AB SA that is risk weighted at 100 % in the exposure class ‘other items’ in this column.

0030

(-) Value adjustments and provisions associated with the original exposure

Article 24 and 111 CRR

Value adjustments and provisions for credit losses (credit risk adjustments in accordance with Article 110) made in accordance with the accounting framework to which the reporting entity is subject, as well as prudential value adjustments (additional value adjustments in accordance with Article 34 and 105, amounts deducted in accordance with point (m) Article 36(1) and other own funds reductions related to the asset item).

0040

Exposure net of value adjustments and provisions

Sum of columns 0010 and 0030

0050 – 0100

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.

0050 – 0060

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.

0050

Guarantees

Article 203 CRR

Unfunded Credit Protection as defined in point (59) of Article 4(1) CRR which does not include Credit Derivatives.

0060

Credit derivatives

Article 204 CRR

0070 – 0080

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.

0070

Financial collateral: simple method

Paragraphs 1 and 2 of Article 222 CRR.

0080

Other funded credit protection

Article 232 CRR.

0090 – 0100

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.

0110

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

0120-0140

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.

0120

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

0130

(-) 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.

0140

(-) 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]

0150

Fully adjusted exposure value (E*)

Article 220(4), Article 223(2) to (5) and Article 228(1) CRR.

0160 – 0190

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.

0200

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.

Exposure values for leases are subject to Article 134(7) CRR. In particular, the residual value shall be included at its discounted residual value after taking into account value adjustments, all credit risk mitigants and credit conversion factors.

Exposure values for CCR business shall be the same as reported in column 0210.

0210

Of which: Arising from Counterparty Credit Risk

Exposure value for CCR business calculated in accordance with the methods laid down in Chapter 4 and Chapter 6 of Title II of Part Three CRR, which is the relevant amount for the calculation of risk weighted exposure amounts, i.e. having applied CRM techniques as applicable in accordance with Chapter 4 and Chapter 6 of Title II of Part Three CRR and considering the deduction of the incurred CVA loss as referred to in Article 273(6) CRR.

The exposure value for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 CRR.

For cases in which more than one CCR approach is used for a single counterparty, the incurred CVA loss, which is deducted at counterparty level, shall be assigned to the exposure value of the different netting sets in rows 0090 – 0130 reflecting the proportion of the exposure value post-CRM of the respective netting sets to the total exposure value post-CRM of the counterparty. For this purpose, the exposure value post-CRM as per the instructions to column 0160 of template C 34.02 shall be used.

0211

Of which: Arising from Counterparty Credit Risk excluding exposures cleared through a CCP

Exposures reported in column 0210 excluding those arising from contracts and transactions listed in Article 301(1) CRR as long as they are outstanding with a central counterparty (CCP), including CCP-related transactions defined in point (2) of Article 300 CRR.

0215

Risk weighted exposure amount pre supporting factors

Paragraphs 1 to 5 of Article 113 CRR, without taking into account the SME and infrastructure supporting factors laid down in Article 501 and Article 501a CRR

The risk weighted exposure amount of the residual value of leasing assets shall be subject to sentence 5 of Article 134(7) and shall be calculated according to the formula ‘1/t * 100 % * residual value’. In particular, residual value is undiscounted estimated residual value at the end of the lease term which is reassessed periodically to ensure continued appropriateness.

0216

(-) Adjustment to the risk-weighted exposure amount due to SME supporting factor

Deduction of the difference of the risk-weighted exposure amounts for non-defaulted exposures to an SME (RWEA), which are calculated in accordance with Chapter 2 of Title II of Part Three CRR, as applicable and RWEA* in accordance with point (1) of Article 501 CRR

0217

(-) Adjustment to the risk-weighted exposure amount due to the infrastructure supporting factor

Deduction of the difference of the risk weighted exposure amounts calculated in accordance with Title II of Part Three CRR and the adjusted RWEA for credit risk for exposures to entities that operate or finance physical structures or facilities, systems and networks that provide or support essential public services in accordance with Article 501a CRR.

0220

Risk weighted exposure amount after supporting factors

Paragraphs 1 to 5 of Article 113 CRR, taking into account the SME and infrastructure supporting factors laid down in Article 501 and Article 501a CRR

The risk weighted exposure amount of the residual value of leasing assets is subject to sentence 5 of Article 134(7) and shall be calculated according to the formula ‘1/t * 100 % * residual value’. In particular, residual value is undiscounted estimated residual value at the end of the lease term which is reassessed periodically to ensure continued appropriateness.

0230

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

0240

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

0010

Total exposures

0015

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.

0020

of which: SME

All exposures to SME shall be reported here.

0030

of which: Exposures subject to the SME supporting factor

Only exposures which meet the requirements of Article 501 CRR shall be reported here.

0035

of which: Exposures subject to the infrastructure supporting factor

Only exposures which meet the requirements of Article 501a CRR shall be reported here.

0040

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

Article 125 CRR

Only reported in exposure class ‘Secured by mortgages on immovable property’

0050

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

0060

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

Article 148(1) CRR

0070-0130

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 referred to in point (b) of Article 92(3) CRR 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.

0070

On balance sheet exposures subject to credit risk

Assets referred to in Article 24 CRR not included in any other category.

Exposures that are subject to counterparty credit risk shall be reported in rows 0090-0130-, 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.

0080

Off balance sheet exposures subject to credit risk

Off-balance sheet positions comprise the items listed in Annex I CRR.

Exposures that are subject to counterparty credit risk shall be reported in rows 0090 – 0130 and therefore shall not be reported in this row.

0090-0130

Exposures/Transactions subject to counterparty credit risk

Transactions subject to counterparty credit risk, i.e. derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions.

0090

Securities Financing Transactions netting sets

Netting sets containing only SFTs, as defined in point (139) of Article 4(1) CRR.

SFTs that are included in a contractual cross product netting set and therefore reported in row 0130 shall not be reported in this row.

0100

Of which: centrally cleared through a QCCP

Contracts and transactions listed in Article 301(1) CRR as long as they are outstanding with a qualifying central counterparty (QCCP) as defined in point (88) of Article 4(1) CRR, including QCCP-related transactions, for which the risk weighted exposure amounts are calculated in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR. QCCP-related transaction has the same meaning as CCP-related transaction in Article 300(2) CRR, when the CCP is a QCCP.

0110

Derivatives and Long Settlement Transactions netting sets

Netting sets containing only derivatives listed in Annex II CRR and long settlement transactions as defined in Article 272(2) CRR.

Derivatives and Long Settlement Transactions that are included in a contractual Cross Product Netting set and therefore reported in row 0130, shall not be reported in this row.

0120

Of which: centrally cleared through a QCCP

See instructions to row 0100.

0130

From Contractual Cross Product netting sets

0140-0280

BREAKDOWN OF EXPOSURES BY RISK WEIGHTS

0140

0 %

0150

2 %

Article 306(1) CRR

0160

4 %

Article 305(3) CRR

0170

10 %

0180

20 %

0190

35 %

0200

50 %

0210

70 %

Point (c) of Article 232(3) CRR.

0220

75 %

0230

100 %

0240

150 %

0250

250 %

Articles 133(2) and 48(4) CRR

0260

370 %

Article 471 CRR

0270

1 250 %

Article 133(2) and Article 379 CRR

0280

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.

0281-0284

BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU)

These rows shall only be reported for the exposure class Collective investments undertakings (CIU), in line with Articles 132, 132a, 132b and 132c CRR.

0281

Look-through approach

Article 132a(1) CRR.

0282

Mandate-based approach

Article 132a(2) CRR.

0283

Fall-back approach

Article 132(2) CRR.

0290-0320

Memorandum Items

For rows 0290 to 0320, see also the explanation of the purpose of the memorandum items in the general section of the CR SA.

0290

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.

0300

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.

0310

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.

0320

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

72.

The scope of the CR IRB template covers:

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.

73.

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 CRR (IRB approach).

74.

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.

Items i) and iii) do not apply to template CR IRB 7.

75.

In order to clarify whether the institution uses its own estimates for LGD and/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). This includes all retail portfolios.

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

76.

The CR IRB consists of seven templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate risk weighted 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 (exposures reported under row 0070 of CR IRB 1). CR IRB 3 provides all relevant parameters used for the calculation of credit risk capital requirements for IRB models. CR IRB 4 presents a flow statement explaining changes in risk weighted exposure amounts determined under the IRB approach for credit risk. CR IRB 5 provides information on the results of backtesting of PDs for the models reported. CR IRB 6 provides all relevant parameters used for the calculation of credit risk capital requirements under the slotting criteria for specialised lending. CR IRB 7 provides an overview of percentage of exposure value subject to SA or IRB approaches for each relevant exposure class. The templates CR IRB 1, CR IRB 2, CR IRB 3 and CR IRB 5 shall be reported separately for the following exposure and sub-exposure classes:

Total

(The Total template must be reported for the Foundation IRB approach 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). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes.

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). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes.

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).

Under 5.1 and 5.2, retail exposures secured by immovable property shall be considered any retail exposures secured by immovable property recognised as collateral, regardless of the ratio of the value of collateral to the exposure or of the purpose of the loan.

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). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes.

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

0010

INTERNAL RATING SCALE/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 0110) 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 scale 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 scale or is able to report in accordance with an internal master scale, that scale shall be used.

Otherwise, the different rating scales shall be merged and ordered in accordance with the following criteria: Obligor grades of the different rating scales 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. The same applies for continuous rating scales: a reduced number of grades to be reported shall 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.

The last rating grade or grades shall be dedicated for defaulted exposures with PD of 100 %.

For the purposes of weighting the average PD, the exposure value reported in column 110 shall be used. The exposure weighted average PD shall be computed taking into account all exposures reported in a given row. In the row where only defaulted exposures are reported the average PD shall be of 100 %.

0020

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.

For derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to counterparty credit risk (Chapter 4 or Chapter 6 of Title II of Part Three CRR), the original exposure shall correspond to the exposure value arising from counterparty credit risk (see instructions to column 0130).

0030

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 points (4) and (5) of Article 142(1) CRR subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR.

0040-0080

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’.

0040-0050

UNFUNDED CREDIT PROTECTION

Unfunded credit protection as defined in point (59) of Article 4(1) CRR.

Unfunded credit protection 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.

0040

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 (except for paragraph 3), the relevant value used in the internal model shall be reported.

Guarantees shall be reported in column 0040 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 0150.

Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 0220.

0050

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 paragraph 3 of 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 0160.

Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 0220.

0060

OTHER FUNDED CREDIT PROTECTION

Collateral that has an effect on the PD of the exposure shall be capped at the value of the original exposure pre conversion factors.

Where own estimates of LGD are not used, Article 232(1) CRR applies.

Where own estimates of LGD are used, those credit risk mitigation techniques that have effects on PD shall be reported. The relevant nominal or market value shall be reported.

Where an adjustment is made in the LGD, that amount shall be reported in column 170.

0070-0080

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 guarantor’s exposure class and, where relevant, obligor grade or pool. That amount shall be considered as an inflow into the guarantor’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.

These columns shall only be used where institutions have obtained permission from their competent authority to treat these secured exposures under the permanent partial use of the Standardised approach in accordance with Article 150 CRR or to classify the exposures to exposure classes in accordance with the characteristic of the guarantor.

0090

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.

0100, 0120

Of which: Off Balance Sheet Items

See CR-SA instructions

0110

EXPOSURE VALUE

The exposure values 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, credit conversion factors and percentages in accordance with paragraphs 8, 9 and 10 of Article 166 CRR are applied, irrespective of the approach chosen by the institution.

Exposure values for CCR business shall be the same as reported in column 0130.

0130

Of which: Arising from counterparty Credit Risk

See the corresponding CR SA instructions in column 0210.

0140

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the exposure value for all exposures to entities referred to in points (4) and (5) of Article 142(1) CRR subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR.

0150-0210

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

CRM techniques that have an impact on LGD estimates 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 and 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.

0150

GUARANTEES

See instructions to column 0040.

0160

CREDIT DERIVATIVES

See instructions to column 0050.

0170

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.

0171

CASH ON DEPOSIT

Point (a) of Article 200 CRR

Cash on deposit with, or cash assimilated instruments held by third party institution in a non-custodial arrangement and pledged to the lending institution. The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure.

0172

LIFE INSURANCE POLICIES

Point (b) of Article 200 CRR

The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure.

0173

INSTRUMENTS HELD BY A THIRD PARTY

Point (c) of Article 200 CRR

This includes instruments issued by a third party institution, which will be repurchased by that institution on request. The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure. This column shall exclude those exposures covered by instruments held by a third party where, in accordance with Article 232(4) CRR, institutions treat instruments repurchased on request that are eligible under point (c) of Article 200 CRR as a guarantee by the issuing institution.

0180

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, for eligible financial collateral in accordance with Article 197 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.

0190-0210

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.

0190

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.

0200

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.

0210

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.

0220

SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION

Guarantees and credit derivatives covering exposures subject to the double default treatment in accordance with Article 153(3) CRR and taking into account Article 202 and Article 217(1) CRR.

The values to be reported shall not exceed the value of the corresponding exposures.

0230

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 0110 shall be used for the calculation of the exposure-weighted averages.

All effects shall be considered (so the effects of the floor applicable to exposures secured by immovable property in accordance with Article 164(4) CRR 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 0110.

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 scale approved by the respective competent authority.

Data shall not be reported for specialised lending exposures referred to in Article 153(5) CRR. Where PD is estimated for specialised lending exposures, data shall be reported based on own estimates of LGDs or regulatory LGDs.

Exposures and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 0230, but only be included in the calculation of column 0240.

0240

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 point (4) of Article 142(1) CRR and to unregulated financial sector entities as defined in point (5) of Article 142(1) CRR subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR

0250

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

The value reported shall be determined in accordance with Article 162 CRR. The exposure value (column 0110) 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’.

0255

RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

For central governments and central banks, corporate and institutions, see paragraphs 1, 2, 3 and 4 of Article 153 CRR; For retail, see Article 154(1) CRR

The SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR shall not be taken into account.

0256

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

Deduction of the difference of the risk-weighted exposure amounts for non-defaulted exposures to an SME (RWEA), which are calculated in accordance with Chapter 3 of Title II of Part Three CRR, as applicable and RWEA* in accordance with Article 501 CRR.

0257

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

0260

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

For central governments and central banks, corporate and institutions, see paragraphs 1, 2, 3 and 4 of Article 153 CRR. For retail, see Article 154(1) CRR.

The SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR shall be taken into account.

0270

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 point (4) of Article 142(1) CRR and to unregulated financial sector entities as defined in point (5) of Article 142(1) CRR, subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR.

0280

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. For defaulted exposures, see point (h) of Article 181(1) CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating scale approved by the respective competent authority.

0290

(-) 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.

0300

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 scales, 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).

0310

PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT

Institutions shall report hypothetical risk weighted exposure amount to be calculated as the RWEA without the recognition of the eligible credit derivative as a CRM technique as specified in Article 204 CRR. The amounts shall be presented in the exposure classes relevant for the exposures to the original obligor.

Rows

Instructions

0010

TOTAL EXPOSURES

0015

of which: Exposures subject to the SME supporting factor

Only exposures which meet the requirements of Article 501 CRR shall be reported here.

0016

of which: Exposures subject to the infrastructure supporting factor

Only exposures which meet the requirements of Article 501a CRR shall be reported here.

0020-0060

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

0020

On balance sheet items subject to credit risk

Assets referred to in Article 24 CRR shall not be included in any other category.

Exposures that are subject to counterparty credit risk shall be reported in rows 0040-0060 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.

0030

Off balance sheet items subject to credit risk

Off-balance sheet items shall comprise items in accordance with Article 166(8) CRR, as well as those items that are listed in Annex I CRR.

Exposures that are subject to counterparty credit risk shall be reported in rows 0040-0060 and, therefore, shall not be in this row.

0040-0060

Exposures/Transactions subject to counterparty credit risk

See the corresponding CR SA instructions in rows 0090-0130.

0040

Securities Financing Transactions netting sets

See the corresponding CR SA instructions in row 0090.

0050

Derivatives and Long Settlement Transactions netting sets

See the corresponding CR SA instructions in row 0110.

0060

From Contractual Cross Product netting sets

See the corresponding CR SA instructions in row 0130.

0070

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 0180.

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 supervisory master scale is not used. Instead, institutions shall determine the scale to be used themselves.

0080

SPECIALISED LENDING SLOTTING APPROACH: TOTAL

Article 153(5) CRR. This shall only apply to the exposure classe corporate – specialised lending.

0160

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.

This alternative is available only for institutions using Foundation-IRB approach.

0170

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.

0180

DILUTION RISK: TOTAL PURCHASED RECEIVABLES

See point (53) of Article 4(1) CRR for a definition of dilution risk. For calculation of risk weighted exposure amounts for dilution risk see Article 157 CRR. Dilution risk shall be reported for corporate and retail purchased receivables.

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

0005

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.

The first grade (or pool) to be reported is the best, then the second-best and so on. The last reported grade or grades (or pool) shall be that of exposures in default.

0010-0300

Instructions for each of these columns are the same as for the corresponding numbered columns in CR IRB 1 template.

Row

Instructions

0010-0001 – 0010-NNNN

Values reported in these rows must be filled in in the order corresponding to 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 shall not be reported in this template.

3.3.1. C 08.03 – Credit risk and free deliveries: IRB approach to Capital Requirements (breakdown by PD ranges (CR IRB 3))

3.3.1.1. General remarks

77.

Institutions shall report the information included in this template in application of points (i) to (v) of Article 452(g) CRR, in order to provide information on the main parameters used for the calculation of capital requirements for IRB approach. Information reported in this template shall not include data on specialised lending referred to in article 153(5) CRR, which is included in template C 08.06. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR).

3.3.1.2. Instructions concerning specific positions

Columns

Instructions

0010

ON-BALANCE SHEET EXPOSURES

Exposure value calculated in accordance with Article 166(1) to (7) CRR without taking into account any credit risk adjustments

0020

OFF-BALANCE SHEET EXPOSURES PRE-CONVERSION FACTORS

Exposure value in accordance with paragraphs (1) to (7) of Article 166 CRR, without taking into account any credit risk adjustments and any conversion factors, neither own estimates nor conversion factors specified in Article 166(8) CRR, or any percentages specified in Article 166(10) CRR

Off balance sheet exposures shall comprise all committed but undrawn amounts and all off-balance sheet items, as listed in Annex I CRR.

0030

EXPOSURE WEIGHTED AVERAGE CONVERSION FACTORS

For all exposures included in each bucket of the fixed PD range, the average conversion factor used by institutions in their calculation of risk-weighted exposure amounts, weighted by the off-balance sheet exposure pre-CCF as reported in column 0020

0040

EXPOSURE VALUE POST CONVERSION FACTORS AND POST CRM

Exposure value in accordance with Article 166 CRR

This column shall include the sum of exposure value of on-balance sheet exposures and off-balance sheet exposures post conversion factors in accordance with paragraphs (8) to (10) of Article 166 CRR and after CRM techniques.

0050

EXPOSURE WEIGHTED AVERAGE PD (%)

For all exposures included in each bucket of the fixed PD range, the average PD estimate of each obligor, weighted by the exposure value post-CCF and CRM as reported in column 0040

0060

NUMBER OF OBLIGORS

The number of legal entities or obligors allocated to each bucket of the fixed PD range

The number of obligors shall be counted in accordance with the instructions in column 0300 of template C 08.01. Joint obligors shall be treated the same as for the purpose of PD calibration.

0070

EXPOSURE WEIGHTED AVERAGE LGD (%)

For all exposures included in each bucket of the fixed PD range, the average of the LGD estimates for each exposure, weighted by the exposure value post-CCF and post-CRM as reported in column 0040

The LGD reported shall correspond to the final LGD estimate used in the calculation of risk weighted amounts obtained after considering any CRM effects and downturn conditions where relevant. For retail exposures secured by immovable properties the LGD reported shall take into account the floors specified in Article 164(4) CRR.

In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected in accordance with Article 161(4) CRR.

For defaulted exposures under A-IRB approach, provisions laid down in point (h) of Article 181(1) CRR shall be considered. The LGD reported shall correspond to the estimate of LGD in-default in accordance with the applicable estimation methodologies.

0080

EXPOSURE-WEIGHTED AVERAGE MATURITY (YEARS)

For all exposures included in each bucket of the fixed PD range, the average maturity of each exposure, weighted by the exposure value post-CCF as reported in column 0040

The maturity value reported shall be determined in accordance with Article 162 CRR.

The average maturity shall be reported in years.

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 in accordance with Chapter 3 of Title II of Part Three CRR. This means that this column shall not be filled in for the exposure class ‘retail’.

0090

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

For exposures to central governments and central banks, institutions and corporates, the risk weighted exposure amount calculated in accordance with paragraphs (1) to (4) of Article 153; for retail exposures, the risk weighted exposure amount calculated in accordance with Article 154 CRR

The SME and infrastructure supporting factors laid down in Articles 501 and Article 501a CRR shall be taken into account.

0100

EXPECTED LOSS AMOUNT

The expected loss amount calculated in accordance with Article 158 CRR

The expected loss amount to be reported shall be based on the actual risk parameters used in the internal rating scale approved by the respective competent authority.

0110

VALUE ADJUSTMENTS AND PROVISIONS

Specific and general credit risk adjustments in accordance with the Commission Delegated Regulation (EU) No 183/2014, additional value adjustments in accordance with Articles 34 and 110 CRR, as well as other own funds reductions related to the exposures allocated to each bucket on the fixed PD range

These value adjustments and provisions shall be those considered for the implementation of Article 159 CRR.

General provisions shall be reported by assigning the amount pro rata – in accordance with the expected loss of different obligor grades.

Rows

Instructions

PD RANGE

Exposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution effects due to CRM). Institutions shall map exposure by exposure to the PD range provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %.

3.3.2. C 08.04 – Credit risk and free deliveries: IRB approach to Capital Requirements (RWEA flow statements (CR IRB 4))

3.3.2.1. General remarks

78.

Institutions shall report the information included in this template in application of point (h) of Article 438 CRR. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR).

79.

Institutions shall report the flows of RWEA as the changes between the risk-weighted exposure amounts at the reference date and the risk-weighted exposure amounts at the prior reference date. In the case of quarterly reporting, end-of-quarter prior to the quarter of the reporting reference date shall be reported.

3.3.2.2. Instructions concerning specific positions

Column

Instructions

0010

RISK WEIGHTED EXPOSURE AMOUNT

Total risk weighted exposure amount for credit risk calculated under the IRB approach, taking into account supporting factors in accordance with Article 501 and 501a CRR.

Rows

Instructions

0010

RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING PERIOD

Risk weighted exposure amount at the end of the previous reporting period after the application of the SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR

0020

ASSET SIZE (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to asset size, i.e. organic changes in book size and composition (including the origination of new businesses and maturing loans) but excluding changes in book size due to acquisitions and disposal of entities

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.

0030

ASSET QUALITY (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to asset quality, i.e. changes in the assessed quality of the institution’s assets due to changes in borrower risk, such as rating grade migration or similar effects

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.

0040

MODEL UPDATES (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to model updates, i.e changes due to implementation of new models, changes in the models, changes in model scope, or any other changes intended to address model weaknesses

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.

0050

METHODOLOGY AND POLICY (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to methodology and policy i.e. changes due to methodological changes in calculations driven by regulatory policy changes, including both revisions to existing regulations and new regulations, excluding changes in models, which are included in row 0040

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.

0060

ACQUISITIONS AND DISPOSALS (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to acquisitions and disposals, i.e. changes in book sizes due to acquisitions and disposal of entities

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.

0070

FOREIGN EXCHANGE MOVEMENTS (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to foreign exchange movements, i.e. changes arising from foreign currency translation movements

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.

0080

OTHER (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to other drivers

This category shall be used to capture changes that cannot be attributed to any other category.

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.

0090

RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIOD

Risk weighted exposure amount in the reporting period after the application of the SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR

3.3.3. C 08.05 – Credit risk and free deliveries: IRB approach to Capital Requirements (Back-testing of PD (CR IRB 5))

3.3.3.1. General remarks

80.

Institutions shall report the information included in this template in application of point (h) of Article 452 CRR. Institution shall consider the models used within each exposure class and they shall explain the percentage of risk weighted exposure amount of the relevant exposure class covered by the models for which back-testing results are reported here. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR).

3.3.3.2. Instructions concerning specific positions

Columns

Instructions

0010

ARITHMETIC AVERAGE PD (%)

Arithmetic average of PD at the beginning of the reporting period of the obligors that fall within the bucket of the fixed PD range and counted in column 0020 (average weighted by the number of obligors)

0020

NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR

Number of obligors at the end of the previous year subject to reporting

All obligors carrying a credit obligation at the relevant point in time shall be included.

The number of obligors shall be counted in accordance with the instructions in column 0300 of template C 08.01. Joint obligors shall be treated the same as for the purpose of PD calibration.

0030

OF WHICH: DEFAULTED DURING THE YEAR

Number of obligors which defaulted during the year (i.e. the observation period of the default rate calculation)

Defaults shall be determined in accordance with Article 178 CRR.

Each defaulted obligor is counted only once in the numerator and denominator of the one-year default rate calculation, even if the obligor defaulted more than once during the relevant one-year period.

0040

OBSERVED AVERAGE DEFAULT RATE (%)

One-year default rate referred to in point (78) Article 4(1) CRR

Institutions shall ensure:

(a)

that the denominator consists of the number of non-defaulted obligors with any credit obligation observed at the beginning of the one-year observation period (i.e. beginning of the year prior to the reporting reference date); in this context a credit obligation refers to both of the following: (i) any on-balance sheet item, including any amount of principal, interest and fees; (ii) any off-balance sheet items, including guarantees issued by the institution as a guarantor.

(b)

that the numerator includes all those obligors considered in the denominator that had at least one default event during the one-year observation period (year prior to the reporting reference date).

Regarding the calculation of the number of obligors see column 0300 of template C 08.01.

0050

AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%)

The simple average of the annual default rate of the five most recent years (obligors at the beginning of each year that are defaulted during that year/total obligors at the beginning of the year) is a minimum. The institution may use a longer historical period that is consistent with the institution’s actual risk management practices.

Rows

Instructions

PD RANGE

Exposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD estimated at the beginning of the reporting period for each obligor assigned to this exposure class (without considering any substitution effects due to CRM). Institutions shall map exposure by exposure to the PD range provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %.

3.3.4. C 08.05.1 – Credit risk and free deliveries: IRB approach to Capital Requirements: Back-testing of PD (CR IRB 5B)

3.3.4.1. Instructions concerning specific positions

81.

In addition to template C 08.05, institutions shall report information included in template C 08.05.1 in case that they apply point (f) of Article 180(1) CRR for PD estimation and only for PD estimates in accordance with the same Article. Instructions are the same than for template C 08.05, with the following exceptions:

Columns

Instructions

0005

PD RANGE

Institutions shall report the PD ranges in accordance with their internal grades that they map to the scale used by the external ECAI, instead of a fixed external PD range.

0006

EXTERNAL RATING EQUIVALENT

Institutions shall report one column for each ECAI considered following point (f) of Article 180(1) CRR. Institutions shall include in these columns the external rating to which their internal PD ranges are mapped.

3.3.5. C 08.06 – Credit risk and free deliveries: IRB approach to Capital Requirements (Specialised lending slotting approach (CR IRB 6))

3.3.5.1. General remarks

82.

Institutions shall report the information included in this template in application of point (e) of Article 438 CRR. Institutions shall report information on the following types of specialised lending exposures referred to in Table 1 of Article 153(5):

(a)

Project finance

(b)

Income-producing real estate and high volatility commercial real estate

(c)

Object finance

(d)

Commodities finance

3.3.5.2. Instructions concerning specific positions

Columns

Instructions

0010

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

See CR-IRB instructions.

0020

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

See CR-IRB instructions.

0030, 0050

OF WHICH: OFF-BALANCE SHEET ITEMS

See CR-SA instructions.

0040

EXPOSURE VALUE

See CR-IRB instructions.

0060

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

See CR SA instructions.

0070

RISK WEIGHT

Article 153(5) CRR

This is a fixed column for information purposes. It shall not be altered.

0080

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

See CR-IRB instructions.

0090

EXPECTED LOSS AMOUNT

See CR-IRB instructions.

0100

(-) VALUE ADJUSTMENTS AND PROVISIONS

See CR-IRB instructions.

Rows

Instructions

0010-0120

Exposures shall be allocated to the appropriate category and maturity in accordance with table 1 of Article 153(5) CRR.

3.3.6. C 08.07 – Credit risk and free deliveries: IRB approach to Capital Requirements (Scope of use of IRB and SA approaches (CR IRB 7))

3.3.6.1. General remarks

83.

For the purpose of this template, institutions calculating the risk-weighted exposure amounts under the IRB approach to credit risk shall allocate their exposures subject to Standardised approach laid down in Chapter 2 of Title II of Part Three CRR or to the IRB approach laid down in Chapter 3 of Title II of Part Three CRR, as well as the part of each exposure class subject to a roll-out plan. Institutions shall include the information in this template by exposure classes, in accordance with the breakdown of exposure classes included in the rows of the template.

84.

Columns 0020 to 0040 should cover the full spectrum of exposures, so the sum of each row for those three columns should be 100 % of all exposure classes except of securitisation positions and deducted positions.

3.3.6.2. Instructions concerning specific positions

Columns

Instructions

0010

TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRR

Institutions shall use the exposure value before CRM in accordance with Article 166 CRR.

0020

TOTAL EXPOSURE VALUE SUBJECT TO SA AND IRB

Institutions shall use the exposure value before CRM in accordance with Article 429(4) CRR to report the total exposure value, including both the exposures under the standardized approach and the exposures under the IRB approach.

0030

PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO PERMANENT PARTIAL USE OF SA (%)

Part of exposure for each exposure class subject to the Standardised approach (exposure subject to the Standardised approach before CRM over the total exposure in that exposure class in column 0020), respecting the scope of permission for permanent partial use of the Standardised approach received from a competent authority in accordance with Article 150 CRR.

0040

PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO A ROLL-OUT PLAN (%)

Part of exposure for each exposure class subject to the sequential implementation of IRB approach pursuant to Article 148 CRR. This shall include:

—

both exposures where institutions plan to apply IRB approach with or without their own estimation of LGD and conversion factors (F-IRB and A-IRB);

—

immaterial equity exposures not included in columns 0020 or 0040;

—

exposures already under F-IRB where an institution is planning to apply A-IRB in the future;

—

specialised lending exposures under the supervisory slotting approach not included in column 0040.

0050

PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO IRB APPROACH (%)

Part of exposure for each exposure class subject to the IRB approach (exposure subject to the IRB approach before CRM over the total exposure in that exposure class), respecting the scope of permission received from a competent authority to use the IRB Approach in accordance with Article 143 CRR. This shall include both exposures where institutions have the permission to use their own estimation of LGD and conversion factors or not (F-IRB and A-IRB), including supervisory slotting approach for specialised lending exposures and equity exposures under the simple risk weight approach, as well as those exposures reported in row 0170 of template C 08.01.

Rows

Instructions

EXPOSURE CLASSES

Institutions shall include the information in this template by exposure classes, in accordance with the breakdown of exposure classes included in the rows of the template.

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

85.

All institutions shall submit information aggregated at a total level. Additionally, institutions fulfilling the threshold set in Article 5(5) 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’.

86.

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.

87.

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

0010

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Same definition as for column 0010 of CR SA template

0020

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.

0040

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.

0050

General credit risk adjustments

Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 183/2014.

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.

0055

Specific credit risk adjustments

Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 183/2014.

0060

Write-offs

Write-offs as referred to in IFRS 9.5.4.4 and B5.4.9.

0061

Additional value adjustments and other own funds reductions

In line with Article 111 CRR.

0070

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.

0075

Exposure value

Same definition as for column 0200 of CR SA template

0080

RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

Same definition as for column 0215 of CR SA template

0081

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE SME SUPPORTING FACTOR

Same definition as for column 0216 of CR SA template

0082

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

Same definition as for column 0217 of CR SA template

0090

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

Same definition as for column 0220 of CR SA template

Rows

0010

Central governments or central banks

Point (a) of Article 112 CRR

0020

Regional governments or local authorities

Point (b) of Article 112 CRR

0030

Public sector entities

Point (c) of Article 112 CRR

0040

Multilateral developments banks

Point (d) of Article 112 CRR

0050

International organisations

Point (e) of Article 112 CRR

0060

Institutions

Point (f) of Article 112 CRR

0070

Corporates

Point (g) of Article 112 CRR

0075

of which: SME

Same definition as for row 0020 of CR SA template

0080

Retail

Point (h) of Article 112 CRR

0085

of which: SME

Same definition as for row 0020 of CR SA template

0090

Secured by mortgages on immovable property

Point (i) of Article 112 CRR

0095

of which: SME

Same definition as for row 0020 of CR SA template

0100

Exposures in default

Point (j) of Article 112 CRR

0110

Items associated with particularly high risk

Point (k) of Article 112 CRR

0120

Covered bonds

Point (l) of Article 112 CRR

0130

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

Point (n) of Article 112 CRR

0140

Collective investments undertakings (CIU)

Point (o) of Article 112 CRR

Sum of rows 0141 to 0143

0141

Look-through approach

Same definition as for row 0281 of CR SA template

0142

Mandate-based approach

Same definition as for row 0282 of CR SA template

0143

Fall-back approach

Same definition as for row 0283 of CR SA template

0150

Equity exposures

Point (p) of Article 112 CRR

0160

Other exposures

Point (q) of Article 112 CRR

0170

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

0010

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Same definition as for column 0020 of CR IRB template

0030

Of which defaulted

Original exposure value for those exposures which have been classified as defaulted exposures in accordance with Article 178 CRR

0040

Observed new defaults for the period

Original exposure value for those exposures, which have been classified as defaulted defaulted exposures in accordance with Article 178 CRR during the 3-month period since the last reporting reference date, shall be reported against the exposure class to which the obligor belongs.

0050

General credit risk adjustments

Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 183/2014

0055

Specific credit risk adjustments

Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 183/2014

0060

Write-offs

Write-offs as referred to in IFRS 9.5.4.4 and B5.4.9

0070

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

0080

INTERNAL RATING SCALE/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

Same definition as for column 0010 of CR IRB template

0090

EXPOSURE WEIGHTED AVERAGE LGD (%)

Same definition as for columns 0230 and 0240 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.

For specialised lending exposures where the PD is estimated, the reported value should be either the estimated or the regulatory LGD. For specialised lending exposures referred to in Article 153(5) CRR, data cannot be reported as it is not available.

0100

Of which: defaulted

Exposure weighted LGD for those exposures which have been classified as defaulted exposures in accordance with Article 178 CRR

0105

Exposure value

Same definition as for column 0110 of CR IRB template

0110

RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

Same definition as for column 0255 of CR IRB template

0120

Of which defaulted

Risk weighted exposure amount for those exposures which have been classified as defaulted exposures in accordance with Article 178(1) CRR

0121

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

Same definition as for column 0256 of CR IRB template

0122

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

Same definition as for column 0257 of CR IRB template

0125

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

Same definition as for column 0260 of CR IRB template

0130

EXPECTED LOSS AMOUNT

Same definition as for column 0280 of CR IRB template

Rows

0010

Central banks and central governments

Point (a) of Article 147(2) CRR

0020

Institutions

Point (b) of Article 147(2) CRR

0030

Corporates

All exposures to corporates as referred to in point (c) of Article 147(2) CRR

0042

Of which: Specialised lending (excl. SL subject under the slotting approach)

Point (a) of Article 147(8) CRR

Data shall not be reported for specialised lending exposures as referred to in Article 153(5) CRR.

0045

Of which: Specialised lending under the slotting approach

Point (a) of Article 147(8) and Article 153(5) CRR

0050

Of which: SME

Point (c) of Article 147(2) CRR

Under the IRB approach, the reporting entities shall use their internal definition of SME, as applied in internal risk management processes.

0060

Retail

All retail exposures as referred to in point (d) of Article 147(2) CRR

0070

Retail – Secured by immovable property

Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate

Retail exposures secured by immovable property will be considered any retail exposures secured by immovable property recognised as collateral, regardless of the ratio of the value of collateral to the exposure or of the purpose of the loan.

0080

SME

Retail exposures as referred to in point (d) of Article 147(2) and Article 154(3) CRR which are secured by real estate

0090

non-SME

Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate

0100

Retail – Qualifying revolving

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

0110

Other Retail

Other retail exposures as referred to in point (d) of Article 147(2) CRR which are not reported in rows 0070 – 0100

0120

SME

Other retail exposures to SMEs as referred to in point (d) of Article 147(2) CRR

0130

non-SME

Other retail exposures to individuals as referred to in point (d) of Article 147(2) CRR

0140

Equity

Equity exposures as referred to in point (e) of Article 147(2) CRR

0150

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

88.

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).

89.

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.

90.

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

91.

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 ( 9 ) . 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

0010

Amount

The value of the relevant credit exposures and their associated own-funds requirements determined in accordance with the instructions for the respective row.

0020

Percentage

0030

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

0010-0020

Relevant credit exposures – Credit risk

Relevant credit exposures as referred to in point (a) of Article 140(4) CRD.

0010

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 0055.

0020

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 0055.

0030-0040

Relevant credit exposures – Market risk

Relevant credit exposures as referred to in point (b) of Article 140(4) CRD.

0030

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.

0040

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.

0055

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.

0070-0110

Own funds requirements and weights

0070

Total own funds requirements for CCB

The sum of rows 0080, 0090 and 0100.

0080

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 0100.

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.

0090

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.

0100

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.

0110

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 [r0070; c0010; 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 [r0070; c0010; ‘Total’].

Information on the Own fund requirements weights shall not be reported for the ‘Total’ of all countries.

0120-0140

Countercyclical buffer rates

0120

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.

0130

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.

0140

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 [r0120; c0020; country sheet], or [r0130; c0020; 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 [r0110; c0020; 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.

0150 – 0160

Use of the 2 % threshold

0150

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.

0160

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

92.

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.

93.

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.

94.

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).

95.

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.

96.

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.

97.

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

0005

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.

0010

INTERNAL RATING SCALE

PD ASSIGNED TO THE OBLIGOR GRADE (%)

Institutions applying the PD/LGD approach shall report in column 0010 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 scale 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 0060) shall be used for weighting purposes.

0020

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Institutions report in column 0020 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 0020 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.

0030-0040

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 0030 and 0040 the amount of unfunded credit protection under the form of guarantees (column 0030) or credit derivatives (column 0040) recognised in accordance with the methods set out in Chapter 4 of Title II of Part Three CRR.

0050

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 0050 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.

0060

EXPOSURE VALUE

Institutions applying the Simple Risk Weight approach or the PD/LGD approach shall report in column 0060 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).

0061

OF WHICH: OFF BALANCE SHEET ITEMS

See CR-SA instructions

0070

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 0060) shall be used for the calculation of the exposure-weighted average LGD.

Institutions shall take into account Article 165(2) CRR.

0080

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).

0090

MEMORANDUM ITEM: EXPECTED LOSS AMOUNT

Institutions shall report in column 0090 the expected loss amount for equity exposures calculated in accordance with paragraphs 4, 7, 8 and 9 of Article 158 CRR.

98.

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 0020,

PD/LGD APRROACH: TOTAL

Institutions applying the PD/LGD approach (Article 155(3) CRR) shall report the required information in row 0020 of the CR EQU IRB 1 template.

CR EQU IRB 1 – rows 0050- 0090

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 0050 to 0090.

CR EQU IRB 1 – row 0100

INTERNAL MODELS APPROACH

Institutions applying the Internal Models approach (Article 155(4) CRR) shall report the required information in row 0100.

CR EQU IRB 1 – row 0110

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 0110.

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 scale 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 scale/master scale. In any other case, the different rating scales shall be merged and ordered in accordance with the following criteria: Obligor grades or pools of the different rating scales 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

99.

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.

100.

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.

101.

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.

102.

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.

103.

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

104.

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.

105.

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

0010

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.

0020

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.

0030

OWN FUNDS REQUIREMENTS

Institutions shall report the own funds requirements calculated in accordance with Article 378 CRR.

0040

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 0030 by 12.5 in order to obtain the settlement risk exposure amount.

Rows

0010

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 {r0010;c0010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.

Institutions shall report in {r0010;c0020} the aggregated information for price difference exposure due to unsettled transactions at a loss.

Institutions shall report in {r0010;c0030] the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 0020 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).

0020 to 0060

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 0020 to 0060 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.

0070

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 {r0070;c0010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.

Institutions shall report in {r0070;c0020} the aggregated information for price difference exposure due to unsettled transactions at a loss.

Institutions shall report in {r0070;c0030} the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 0020 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).

0080 to 0120

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 0080 to 0120 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

106.

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.

107.

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.

108.

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 point (a) or (b) of Article 254(2) 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

( 10 )

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 CRR 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.

109.

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.

110.

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.

3.8. DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

3.8.1. Scope of the SEC DETAILS template

111.

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.

112.

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 0160.

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

113.

These templates shall be reported by consolidated groups and stand-alone institutions ( 11 ) 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.

114.

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 0010-0040; 0070-0110; 0160; 0190; 0290-0300; 0310-0470.

115.

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.

3.8.2 Breakdown of the SEC DETAILS template

116.

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.

117.

Securitisation positions in the trading book shall only be reported in columns 0005-0020, 0420, 0430, 0431, 0432, 0440 and 0450-0470. For columns 0420, 0430 and 0440, institutions shall take into account the RW corresponding to the own funds requirement of the net position.

3.8.3 C 14.00 – Detailed information on securitisations (SEC DETAILS)

Columns

0010

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.

0020

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.

0021

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.

0110

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.

0030

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’.

0040

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.

0051

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.

0060

SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS?

Articles 109, 244 and 245 CRR

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.

This column shall summarise the solvency treatment of the securitisation scheme by the originator. It shall indicate 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.

0061

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 shall summariss 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.

0070

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 (63) of Article 4(1) CRR, the type of securitisation using the following abbreviations shall be reported:

—

‘S’ for securitisation;

—

‘R’ for re-securitisation.

0075

STS SECURITISATION

Article 18 of Regulation (EU) 2017/2402

Institutions shall report one of the following abbreviations:

Y – Yes;

N – No.

0446

SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Articles 243 and 270 CRR

Institutions shall report one of the following abbreviations:

– Yes;

– No.

‘Yes’ shall be reported both in case of STS securitisations qualifying for the differentiated capital treatment in accordance with Article 243 CRR and in case of senior positions in (non-STS) SME securitisations eligible for this treatment in accordance with Article 270 CRR.

0080-0100

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 of that Regulation applicable on 31 December 2018.

0080

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.

0090

% 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 0080 (Type of retention applied).

0100

COMPLIANCE WITH THE RETENTION REQUIREMENT?

Institutions shall report the following abbreviations:

Yes;

This column shall not be reported where code ‘E’ (exempted) is reported under column 0080 (Type of retention applied).

0120-0130

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 0120, 0121 and 0130.

0120

ORIGINATION DATE (yyyy-mm-dd)

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.

0121

DATE OF LATEST ISSUANCE (yyyy-mm-dd)

The month and year of the date of the latest issuance of securities in the securitisation shall be reported in the following format: ‘yyyy-mm-dd’.

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.

0130

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.

0140-0225

SECURITISED EXPOSURES

Columns 0140 to 0225 request information on several features of the securitised portfolio by the reporting entity.

0140

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.

0150

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 0140 in relative terms).

This information shall be reported even where the reporting entity does not hold any positions in the securitisation.

0160

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.

0171

% 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.

0180

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.

0181

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.

0190

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.

0201

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 0170). 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).

0202

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 0171). 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).

0203

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 0170). 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).

0204

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 in accordance with points (a) and (f) of Article 162(2) CRR, without applying the 5 year cap.

0210

(-) 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.

0221

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.

0222

% 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)

0223

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).

0225

MEMORANDUM ITEMS

0225

CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD

Article 110 CRR

0230-0304

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.

0230-0252

ON-BALANCE SHEET ITEMS

This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss).

0230-0232

SENIOR

0230

AMOUNT

The amount of senior securitisation positions as defined in Article 242(6) CRR.

0231

ATTACHMENT POINT (%)

The attachment point (%) as referred to in Article 256(1) CRR

0232 and 0252

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.

0240-0242

MEZZANINE

0240

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.

0241

NUMBER OF TRANCHES

Number of mezzanine tranches.

0242

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.

0250-0252

FIRST LOSS

0250

AMOUNT

The amount of first loss tranche as defined in Article 242(17) CRR

0251

DETACHMENT POINT (%)

The detachment point (%) as referred to in Article 256(2) CRR

0260-0280

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.

0290-0300

MATURITY

0290

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.

0291

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.

0300

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.

0302-0304

MEMORANDUM ITEMS

0302

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.

0303

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.

0304

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.

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

118.

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

SEC-IRBA;

SEC-SA;

SEC-ERBA;

1 250 %.

Columns

0010

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.

0020

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.

0310-0400

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.

0310-0330

ON-BALANCE SHEET ITEMS

The same criteria of classification among tranches used for columns 0230, 0240 and 0250 shall be applied here.

0340-0361

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among tranches used for columns 0260 to 0280 shall be applied here.

0351 and 0361

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.

0370-0400

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 0340-0361).

0370

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.

0380

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.

0390

LIQUIDITY FACILITIES

Liquidity facilities (LF) as defined in Article 242(3) CRR.

0400

OTHER

Remaining off-balance sheet items.

0411

EXPOSURE VALUE

This information is closely related to column 0180 in the CR SEC template.

0420

(-) 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.

0430

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 0570 of MKR SA SEC, or columns 0410 and 0420 (the relevant for the own funds requirement) of MKR SA CTP, respectively.

0431

(-) REDUCTION DUE TO RISK WEIGHT CAP

Article 267 CRR

0432

(-) REDUCTION DUE TO OVERALL CAP

Article 268 CRR

0440

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 0600 of MKR SA SEC, or column 0450 of MKR SA CTP, respectively.

0447-0448

MEMORANDUM ITEMS

0447

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.

0448

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.

0450-0470

SECURITISATION POSITIONS – TRADING BOOK

0450

CTP OR NON-CTP?

Institutions shall report the following abbreviations:

C – Correlation Trading Portfolio (CTP);

N – Non-CTP

0460-0470

NET POSITIONS – LONG/SHORT

See columns 0050/0060 of MKR SA SEC or MKR SA CTP, respectively.

3.9. COUNTERPARTY CREDIT RISK

3.9.1. Scope of the counterparty credit risk templates

119.

The counterparty credit risk templates cover information on exposures subject to counterparty credit risk in application of Chapters 4 and 6 of Title II of Part Three CRR.

120.

The templates exclude the own funds requirements for CVA risk (point (d) of Article 92(3) and Title VI of Part Three CRR), which are reported in the CVA risk template.

121.

Counterparty credit risk exposures to central counterparties (Chapter 4 and Section 9 of Chapter 6 of Title II of Part Three CRR) should be included in the CCR figures, unless otherwise stated. However, default fund contributions calculated in accordance with Articles 307 to 310 CRR shall not be reported in the counterparty credit risk templates, with the exception of template C 34.10, in particular the corresponding rows. Generally, the risk weighted exposure amounts of default fund contributions are directly reported in template C 02.00 row 0460.

3.9.2. C 34.01 – Size of the derivative business

3.9.2.1. General remarks

122.

In accordance with Article 273a CRR an institution may calculate the exposure value of its derivative positions in accordance with the method set out in Section 4 or 5 of Chapter 6 of Title II of Part Three CRR, provided that the size of its on- and off-balance-sheet derivative business is equal to or less than pre-defined thresholds, respectively. The corresponding assessment is to be carried out on a monthly basis using the data as of the last day of the month. This template provides the information on the compliance with those thresholds and, more generally, important information on the size of the derivative business.

123.

Month 1, Month 2 and Month 3 refer to the first, second and last month, respectively, of the quarter that is being reported. Information shall be reported only for month-ends after the 28 June 2021.

3.9.2.2. Instructions concerning specific positions

Columns

0010,0040, 0070

LONG DERIVATIVE POSITIONS

Article 273a(3) CRR

The sum of the absolute market values of long derivative positions on the last date of the month shall be reported.

0020,0050,

0080

SHORT DERIVATIVE POSITIONS

Article 273a(3) CRR

The sum of the absolute market values of short derivative positions on the last date of the month shall be reported.

0030,0060,

0090

TOTAL

Point (b) of Article 273a(3) CRR

The sum of the absolute value of long derivative positions and the absolute value of short derivative positions.

Rows

0010

Size of the derivative business

Article 273a(3) CRR

All on- and off-balance sheet derivatives shall be included, except credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures.

0020

On- and off-balance sheet derivatives

Point (a) and (b) Article 273a(3) CRR

The total market value of the on- and off-balance sheet derivative positions as of the last day of the month shall be reported. Where the market value of a position is not available on that date, institutions shall take a fair value for the position on that date; where the market value and fair value of a position are not available on that date, institutions shall take the most recent of the market value or fair value for that position.

0030

(-) Credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures

Point (c) of Article 273a(3) CRR

The total market value of the credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures.

0040

Total assets

The total assets in accordance with the applicable accounting standards.

For consolidated reporting the institution shall report the total assets following the prudential scope of consolidation in accordance with Section 2 of Chapter 2 of Title II of Part One CRR.

0050

Percentage of total assets

Ratio to be calculated taking the size of the derivative business (row 0010) divided by total assets (row 0040).

DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) CRR

0060

Are the conditions of Article 273a(4) crr met, including the approval from the competent authority?

Article 273a(4) CRR

Institutions that exceed the thresholds to use a simplified approach for counterparty credit risk but which are still using one of them on the basis of Article 273a(4) CRR, shall indicate (with Yes/No) whether they meet all the conditions of that article.

This item shall be reported only by those institutions applying the derogation in accordance with Article 273a(4) CRR.

0070

Method for calculating exposure values at consolidated level

Article 273a(4) CRR

The method for calculating the exposure values of derivative positions on consolidated basis which is also used on solo entity level in accordance with Article 273a(4) CRR:

—

OEM: Original Exposure Method

—

Simplified SA-CCR: Simplified standardised approach for counterparty credit risk

This item shall be reported only by those institutions applying the derogation in accordance with Article 273a(4) CRR.

3.9.3. C 34.02 – CCR exposures by approach

3.9.3.1. General remarks

124.

Institutions shall report the template separately for all CCR exposures and for all CCR exposures excluding exposures to central counterparties (CCPs) as defined for the purpose of template C 34.10.

3.9.3.2. Instructions concerning specific positions

Columns

0010

NUMBER OF COUNTERPARTIES

Number of individual counterparties towards which the institution has CCR exposures.

0020

NUMBER OF TRANSACTIONS

Number of transactions subject to counterparty credit risk at the reporting date. Note that for CCP business numbers should not comprise in or outflows but the overall positions in the CCR portfolio at the reporting date. Furthermore, a derivative instrument or SFT that is split into two or more legs (at least) for the sake of modelling shall still be considered as one single transaction.

0030

NOTIONAL AMOUNTS

Sum of the notional amounts for derivatives and for SFTs before any netting and without any adjustments in accordance with Article 279b CRR.

0040

CURRENT MARKET VALUE (CMV), POSITIVE

Article 272(12) CRR

Sum of the current market values (CMV) of all the netting sets with positive CMV as defined in Article 272(12) CRR.

0050

CURRENT MARKET VALUE (CMV), NEGATIVE

Article 272(12) CRR

Sum of the absolute current market values (CMV) of all the netting sets with negative CMV as defined in Article 272(12) CRR.

0060

VARIATION MARGIN (VM), RECEIVED

Article 275(2), 275(3) and 276 CRR

Sum of the variation margin amounts (VM) of all the margin agreements for which the VM is received, computed in accordance with Article 276 CRR.

0070

VARIATION MARGIN (VM), POSTED

Article 275(2), 275(3) and 276 CRR

Sum of the variation margin amounts (VM) of all the margin agreements for which the VM is posted, computed in accordance with Article 276 CRR.

0080

NET INDEPENDENT COLLATERAL AMOUNT (NICA), RECEIVED

Article 272(12a), 275(3) and 276 CRR

Sum of the net independent collateral amounts (NICA) of all the margin agreements for which the NICA is received, computed in accordance with Article 276 CRR.

0090

NET INDEPENDENT COLLATERAL AMOUNT (NICA), POSTED

Article 272(12a), 275(3) and 276 CRR

Sum of the net independent collateral amounts (NICA) of all the margin agreements for which the NICA is posted, computed in accordance with Article 276 CRR.

0100

REPLACEMENT COST (RC)

Articles 275, 281 and 282 CRR

The replacement cost (RC) per netting set shall be calculated in accordance with:

—

Article 282(3) CRR for the Original Exposure Method,

—

Article 281 CRR for the Simplified SA-CCR,

—

Article 275 CRR for the SA-CCR.

The institution shall report the sum of the replacement costs of the netting sets in the respective row.

0110

POTENTIAL FUTURE EXPOSURE (PFE)

Articles 278, 281 and 282 CRR

The potential future exposure (PFE) per netting set shall be calculated in accordance with:

—

Article 282(4) CRR for the Original Exposure Method,

—

Article 281 CRR for the Simplified SA-CCR,

—

Article 278 CRR for the SA-CCR.

The institution shall report the sum of all potential future exposures of the netting sets in the respective row.

0120

CURRENT EXPOSURE

Article 272(17) CRR

The current exposure per netting set shall be the value as defined under Article 272(17) CRR.

The institution shall report the sum of all current exposures of the netting sets in the respective row.

0130

EFFECTIVE EXPECTED POSITIVE EXPOSURE (EEPE)

Articles 272(22) and 284(3) and 284(6) CRR

The EEPE per netting set is defined in Article 272(22) CRR and shall be calculated in accordance with Article 284(6) CRR.

The institution shall report the sum of all EEPEs applied for the determination of own funds requirements in accordance with Article 284(3) CRR, i.e. either the EEPE calculated using current market data, or the EEPE calculated using a stress calibration, whichever leads to a higher own funds requirement.

0140

ALPHA USED FOR COMPUTING REGULATORY EXPOSURE VALUE

Articles 274(2), 282(2), 281(1), 284(4) and (9) CRR

The value of α is fixed as 1.4 in the rows for OEM, Simplified SA-CCR and SA-CCR in accordance with Articles 282(2), 281(1) and 274(2) CRR. For IMM purposes, the value of α can either be the default of 1.4 or different when competent authorities require a higher α in accordance with Article 284(4) CRR or permit institutions to use their own estimates in accordance with Article 284(9) CRR.

0150

EXPOSURE VALUE PRE-CRM

The exposure value pre-CRM for CCR netting sets shall be calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR taking into account the effect of netting, but disregarding any other credit risk mitigation techniques (e.g. margin collateral).

In the case of SFTs the security leg shall not be considered in the determination of the exposure value pre-CRM when collateral is received and therefore shall not decrease the exposure value. On the contrary, the SFTs security leg shall be considered in the determination of the exposure value pre-CRM in the regular way when collateral is posted.

Furthermore, collateralised business shall be handled as uncollateralised, i.e. no margining effects apply.

The exposure value pre-CRM for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 CRR.

The exposure value pre-CRM shall not consider the deduction of the incurred CVA loss in accordance with Article 273(6) CRR.

The institution shall report the sum of all exposure values pre-CRM in the respective row.

0160

EXPOSURE VALUE POST-CRM

The exposure value post-CRM for CCR netting sets shall be calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR, having applied CRM techniques as applicable in accordance with Chapters 4 and 6 of Title II of Part Three CRR.

The exposure value post-CRM for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 CRR.

The exposure value post-CRM shall not consider the deduction of the incurred CVA loss in accordance with Article 273(6) CRR.

The institution shall report the sum of all exposure values post-CRM in the respective row.

0170

EXPOSURE VALUE

Exposure value for CCR netting sets calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR, which is the amount relevant for the calculation of risk weighted exposure amounts, i.e. having applied CRM techniques as applicable in accordance with Chapters 4 and 6 of Title II of Part Three CRR and considering the deduction of the incurred CVA loss in accordance with Article 273(6) CRR.

The exposure value for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 CRR.

For cases in which more than one CCR approach is used for a single counterparty, the incurred CVA loss, which is deducted at counterparty level, shall be assigned to the exposure value of the different netting sets in each CCR approach reflecting the proportion of the exposure value post-CRM of the respective netting sets to the total exposure value post-CRM of the counterparty.

The institution shall report the sum of all exposure values in the respective row.

0180

Positions treated with the CR Standardised Approach

Exposure value for CCR of positions that are treated with the standardised approach for credit risk in accordance with Chapter 2 of Title II of Part Three CRR.

0190

Positions treated with the CR IRB Approach

Exposure value for CCR of positions that are treated with the IRB approach for credit risk in accordance with Chapter 3 of Title II of Part Three CRR.

0200

RISK WEIGHTED EXPOSURE AMOUNTS

Risk weighted exposure amounts for CCR as defined in Article 92(3) and (4) CRR, calculated in accordance with the methods laid down in Chapters 2 and 3 of Title II of Part Three.

The SME and infrastructure supporting factors laid down in Article 501 and in Article 501a CRR shall be taken into account.

0210

Positions treated with the CR Standardised Approach

Risk weighted exposure amounts for CCR exposures that are treated with the standardised approach for credit risk in accordance with Chapter 2 of Title II of Part Three CRR.

The amount corresponds to the amount that shall be included in column 0220 of template C 07.00 for CCR positions.

0220

Positions treated with the CR IRB Approach

Risk weighted exposure amounts for CCR exposures that are treated with the IRB approach for credit risk in accordance with Chapter 3 of Title II of Part Three CRR.

The amount corresponds to the amount that shall be included in column 0260 of template C 08.01 for CCR positions.

Row

0010

ORIGINAL EXPOSURE METHOD (FOR DERIVATIVES)

Derivatives and long settlement transactions for which the institution calculates the exposure value in accordance with Section 5 of Chapter 6 of Title II of Part Three CRR. This simplified method for calculating the exposure value can only be used by institutions meeting the conditions laid down in Article 273a(2) or 273a(4) CRR.

0020

SIMPLIFIED STANDARDISED APPROACH FOR CCR (SIMPLIFIED SA-CCR FOR DERIVATIVES)

Derivatives and long settlement transactions for which the institution calculates the exposure value in accordance with Section 4 Chapter 6 of Title II of Part Three CRR. This simplified standardised approach for calculating the exposure value can only be used by institutions meeting the conditions laid down in Article 273a(1) or 273a(4) CRR.

0030

STANDARDISED APPROACH FOR CCR (SA-CCR FOR DERIVATIVES)

Derivatives and long settlement transactions for which the institution calculates the exposure value in accordance with Section 3 Chapter 6 of Title II of Part Three CRR.

0040

IMM (FOR DERIVATIVES AND SFTS)

Derivatives, long settlement transactions and SFTs for which the institution has been permitted to calculate the exposure value using the Internal Model Method (IMM) in accordance with Section 6 of Chapter 6 of Title II of Part Three CRR.

0050

Securities financing transactions netting sets

Netting sets containing only SFTs as defined in Article 4(139) CRR, for which the institution has been permitted to determine the exposure value using the IMM.

SFTs that are included in a contractual cross product netting set and therefore reported in row 0070, shall not be reported in this row.

0060

Derivatives and long settlement transactions netting sets

Netting sets containing only derivative instruments listed in Annex II CRR and long settlement transactions as defined in Article 272(2) CRR, for which the institution has been permitted to determine the exposure value using the IMM.

Derivatives and Long Settlement Transactions that are included in a contractual Cross Product Netting set and therefore reported in row 0070, shall not be reported in this row.

0070

From contractual cross-product netting sets

Article 272(11) and (25) CRR

Netting sets containing transactions of different product categories (Article 272(11) CRR), i.e. derivatives and SFTs, for which a contractual cross product netting agreement as defined in Article 272(25) CRR exists and for which the institution has been permitted to determine the exposure value using the IMM.

0080

FINANCIAL COLLATERAL SIMPLE METHOD (FOR SFTS)

Article 222 CRR

Repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions for which the institution has chosen to determine the exposure value in accordance with Article 222 CRR as opposed to Chapter 6 of Title II of Part Three CRR in accordance with Article 271(2) of the same regulation.

0090

FINANCIAL COLLATERAL COMPREHENSIVE METHOD (FOR SFTS)

Article 220 and 223 CRR

Repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions for which the institution has chosen to determine the exposure value in accordance with Article 223 CRR, as opposed to Chapter 6 of Title II of Part Three CRR in accordance with Article 271(2) of the same regulation.

0100

VAR FOR SFTS

Article 221 CRR

Repurchase transactions, securities or commodities lending or borrowing transactions or margin lending transactions, or other capital market-driven transactions other than derivative transactions for which, in accordance with Article 221 CRR and subject to the permission of the competent authority, the exposure value is calculated using an internal model approach that takes into account correlation effects between security positions subject to the master netting agreement, as well as the liquidity of the instruments concerned.

0110

TOTAL

0120

Of which: SWWR positions

Article 291 CRR

CCR exposures for which specific wrong way risk (SWWR) has been identified in accordance with Article 291 CRR.

0130

Margined business

Article 272(7) CRR

CCR exposures that are margined, i.e. netting sets subject to a margin agreement in accordance with Article 272(7) CRR.

0140

Unmargined business

CCR exposures not covered in 0130.

3.9.4. C 34.03 – CCR exposures treated with standardised approaches: SA-CCR and Simplified SA-CCR

3.9.4.1. General remarks

125.

The template shall be used separately for reporting the CCR exposures calculated with the SA-CCR or the Simplified SA-CCR, as applicable.

3.9.4.2. Instructions concerning specific positions

Columns

0010

CURRENCY

For transactions mapped to the interest rate risk category, the currency of denomination of the transaction shall be reported.

For transactions mapped to the foreign exchange risk category, the currency of denomination of one of the two legs of the transaction shall be reported. Institutions shall insert the currencies in the currency pair in alphabetical order, e.g. for US Dollar/Euro please fill this column with EUR and column 0020 with USD.

Currency ISO codes shall be used.

0020

SECOND CURRENCY IN PAIR

For transactions mapped to the foreign exchange risk category, the currency of denomination of the other leg of the transaction (with respect to the one considered in column 0010) shall be reported. Institutions shall insert the currencies in the currency pair in alphabetical order, e.g. for US Dollar/Euro please fill this column with USD and column 0010 with EUR.

Currency ISO codes shall be used.

0030

NUMBER OF TRANSACTIONS

See instructions to column 0020 in template C 34.02.

0040

NOTIONAL AMOUNTS

See instructions to column 0030 in template C 34.02.

0050

CURRENT MARKET VALUE (CMV), POSITIVE

Sum of the current market values (CMV) of all hedging sets with positive CMV in the respective risk category.

The CMV on hedging set level shall be determined by netting positive and negative market values of the transactions within one hedging set gross of any collateral held or posted.

0060

CURRENT MARKET VALUE (CMV), NEGATIVE

Sum of the absolute current market values (CMV) of all hedging sets with negative CMV in the respective risk category.

The CMV on hedging set level shall be determined by netting positive and negative market values of the transactions within one hedging set gross of any collateral held or posted.

0070

ADD-ON

Article 280a to 280f and 281 (2) CRR

The institution shall report the sum of all the add-ons in the respective hedging set/risk category.

The add-on per risk category that is used to determine the potential future exposure of a netting set in accordance with Article 278(1) or point (f) of Article 281(2) CRR shall be calculated in accordance with Articles 280a to 280f CRR. For the Simplified SA-CCR the provisions set out in Article 281(2) CRR apply.

Rows

0050,0120, 0190, 0230, 0270, 0340

RISK CATEGORIES

Article 277 and 277a CRR

Transactions shall be classified according to the risk category they belong to in accordance with Article 277(1) to (4) CRR.

The assignment to hedging sets according to the risk category shall be performed in accordance with Article 277a CRR.

For the Simplified SA-CCR the provisions set out in Article 281(2) CRR apply.

0020-0040

Of which mapped to more than one risk category

Article 277(3) CRR

Derivative transactions with more than one material risk driver mapped to two (0020), three (0030) or more than three (0040) risk categories on the basis of the most material of the risk drivers in each risk category, in accordance with Article 277(3) CRR and the EBA RTS referred to in Article 277(5) CRR.

0070-0110 and 0140-0180

Largest currency and currency pair

This classification shall be done on the basis of the CMV of the institution’s portfolio under the scope of the SA-CCR or the Simplified SA-CCR, as applicable, for transactions mapped to interest rate risk and foreign exchange risk category, respectively.

For the purpose of the classification, the absolute value of the CMV of positions shall be summed.

0060,0130, 0200,0240, 0280

Exclusive mapping

Article 277(1) and (2) CRR

Derivative transactions mapped exclusively to one risk category in accordance with Article 277(1) and (2) CRR.

Transactions that are mapped to different risk categories in accordance with Article 277(3) CRR shall be excluded.

0210, 0250

Single-name transactions

Single-name transactions that are mapped to the credit risk and equity risk category, respectively.

0220, 0260

Multi-names transactions

Multi-name transactions that are mapped to the credit risk and equity risk category, respectively.

0290-0330

Commodity risk category hedging sets

Derivative transactions assigned to the commodity risk category hedging sets as listed in point (e) Article 277a(1) CRR.

3.9.5. C 34.04 – CCR exposures treated with the Original Exposure Method (OEM)

3.9.5.1. Instructions concerning specific positions

Columns

0010 – 0020

Instructions for the columns 0010 and 0020 shall be those provided for template C 34.02.

0030

CURRENT MARKET VALUE (CMV), POSITIVE

Sum of the current market values (CMV) of all transactions with positive CMV in the respective risk category.

0040

CURRENT MARKET VALUE (CMV), NEGATIVE

Sum of the absolute current market values (CMV) of all transactions with negative CMV in the respective risk category.

0050

POTENTIAL FUTURE EXPOSURE (PFE)

The institution shall report the sum of PFEs for all the transactions belonging to the same risk category.

Rows

0020 – 0070

RISK CATEGORIES

Derivative transactions mapped to the risk categories as listed in point (b) of Article 282(4) CRR

3.9.6. C 34.05 – CCR exposures treated with the Internal Model Method (IMM)

3.9.6.1. Instructions concerning specific positions

Columns

00010 – 0080

MARGINED

See instructions to row 0130 in template C 34.02.

0090 – 0160

UNMARGINED

See instructions to row 0140 in template C 34.02.

0010,0090

NUMBER OF TRANSACTIONS

See instructions to column 0020 in template C 34.02.

0020,0100

NOTIONAL AMOUNTS

See instructions to column 0030 in template C 34.02.

0030,0110

CURRENT MARKET VALUE (CMV), POSITIVE

Sum of the current market values (CMV) of all transactions with positive CMV belonging to the same asset class.

0040,0120

CURRENT MARKET VALUE (CMV), NEGATIVE

Sum of the absolute current market values (CMV) of all transactions with negative CMV belonging to the same asset class.

0050,0130

CURRENT EXPOSURE

See instructions to column 0120 in template C 34.02.

0060,0140

EFFECTIVE EXPECTED POSITIVE EXPOSURE (EEPE)

See instructions to column 0130 in template C 34.02.

0070,0150

STRESS EEPE

Article 284(6) and Article 292(2) CRR

The Stress EEPE is calculated in analogy to the EEPE (Article 284(6) CRR), but using a stress calibration in accordance with Article 292(2) CRR.

0080, 0160,0170

EXPOSURE VALUE

See instructions to column 0170 in template C 34.02.

Row

Explanation

0010

TOTAL

Article 283 CRR

The institution shall report the relevant information regarding derivatives, long settlement transactions and SFTs for which it has been permitted to determine the exposure value calculated using the Internal Model Method (IMM) in accordance with Article 283 CRR.

0020

Of which: SWWR positions

See instructions to row 0120 in C 34.02.

0030

Netting sets treated with the CR Standardised Approach

See instructions to column 0180 in C 34.02.

0040

Netting sets treated with the CR IRB Approach

See instructions to column 0190 in C 34.02.

0050 – 0110

OTC DERIVATIVES

The institution shall report the relevant information regarding netting sets containing only OTC derivatives or long settlement transactions for which it has been permitted to determine the exposure value using the IMM broken down by the different asset classes with respect to the underlying (interest rate, foreign exchange, credit, equity, commodity or other).

0120 – 0180

EXCHANGE TRADED DERIVATIVES

The institution shall report the relevant information regarding netting sets containing only exchange traded derivatives or long settlement transactions for which it has been permitted to determine the exposure value using the IMM broken down by the different asset classes with respect to the underlying (interest rate, foreign exchange, credit, equity, commodity or other).

0190 – 0220

SECURITIES FINANCING TRANSACTIONS

The institution shall report the relevant information regarding netting sets containing only SFTs for which it has been permitted to determine the exposure value using the IMM broken down by the type of underlying in the SFT security leg (bond, equity or other).

0230

CONTRACTUAL CROSS-PRODUCT NETTING SETS

See instructions to row 0070 in C 34.02.

3.9.7. C 34.06 – Top twenty counterparties

3.9.7.1. General remarks

126.

Institutions shall report information on the top 20 counterparties with whom they have the highest CCR exposures. The ranking shall be done using the CCR exposure values, as reported in column 0120 of this template, of all netting sets with the respective counterparties. Intra-group exposures or other exposures that give raise to counterparty credit risk but for which the institutions assign a risk weight of zero for the own funds requirements calculation, in accordance with Article 113(6) and 113(7) CRR, shall still be considered when determining the list of top 20 counterparties.

127.

Institutions applying the standardised approach (SA-CCR) or the Internal Model Method (IMM) for the calculation of CCR exposures following Sections 3 and 6 of Chapter 6 of Title II of Part Three CRR shall report this template on a quarterly basis. Institutions applying the simplified standardised approach or the original exposure method (OEM) for the calculation of CCR exposures following Sections 4 and 5 of Chapter 6 of Title II of Part Three CRR shall report this template on a semi-annual basis. Instructions concerning specific positions.

3.9.7.2. Instructions concerning specific positions

Columns

0011

NAME

Name of the counterparty

0020

CODE

The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a non-LEI code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.

0030

TYPE OF CODE

The institution shall identify the type of code reported in column 0020 as a ‘LEI code’ or ‘National code’.

The type of code shall always be reported.

0035

NATIONAL CODE

The institution may additionally report the national code when it reports LEI code as identifier in the ‘Code’ column 0020.

0040

SECTOR OF THE COUNTERPARTY

One sector shall be chosen for every counterparty on the basis of the following FINREP economic sector classes (see Part 3 Annex V to this Implementing Regulation):

(i)

Central Banks;

(ii)

General Governments;

(iii)

Credit institutions;

(iv)

Investment firms as defined in point (2) of Article 4(1) CRR;

(v)

Other financial corporations (excluding investment firms);

(vi)

Non-financial corporations.

0050

COUNTERPARTY TYPE

The institution shall indicate the counterparty type which can be:

—

QCCP: when the counterparty is a qualified CCP;

—

NON-QCCP: when the counterparty is a non-qualified CCP;

—

No CCP: when the counterparty is not a CCP.

0060

RESIDENCY OF THE COUNTERPARTY

The ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used (including pseudo-ISO codes for international organisations, available in the Eurostat’s ‘Balance of Payments Vademecum’, as amended).

0070

NUMBER OF TRANSACTIONS

See instructions to column 0020 in template C 34.02.

0080

NOTIONAL AMOUNTS

See instructions to column 0030 in template C 34.02.

0090

CURRENT MARKET VALUE (CMV), positive

See instructions to column 0040 in template C 34.02.

The institution shall report the sum of netting sets with positive CMV if there are several netting sets for the same counterparty.

0100

CURRENT MARKET VALUE (CMV), negative

See instructions to column 0040 in template C 34.02.

The institution shall report the absolute sum of netting sets with negative CMV if there are several netting sets for the same counterparty.

0110

EXPOSURE VALUE POST-CRM

See instructions to column 0160 in template C 34.02.

The institution shall report the sum of netting set exposure values post-CRM if there are several netting sets for the same counterparty.

0120

EXPOSURE VALUE

See instructions to column 0170 in template C 34.02.

0130

RISK WEIGHTED EXPOSURE AMOUNTS

See instructions to column 0200 in template C 34.02.

3.9.8. C 34.07 – IRB approach – CCR exposures by exposure class and PD scale

3.9.8.1. General remarks

128.

This template shall be reported by institutions using either the advanced or the foundation IRB approach to compute risk weighted exposure amounts for all or part of their CCR exposures in accordance with Article 107 CRR, irrespective of the CCR approach used to determine exposure values in accordance with Chapters 4 and 6 of Title II of Part Three CRR.

129.

The template shall be reported separately for the total of all exposure classes as well as separately for each of the exposure classes listed in Article 147 CRR. This template excludes exposures cleared through a CCP.

130.

In order to clarify whether the institution uses its own estimates for LGD and/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)

3.9.8.2. Instructions concerning specific positions

Columns

0010

Exposure value

Exposure value (see instructions to column 0170 in template C 34.02), broken down by the given PD scale

0020

Exposure weighted average PD (%)

Average of individual obligor grade PDs weighted by their corresponding exposure value as defined for column 0010

0030

Number of obligors

The number of legal entities or obligors allocated to each bucket of the fixed PD scale, which were separately rated, regardless of the number of different loans or exposures granted

Where different exposures to the same obligor are separately rated, they shall be counted separately. Such situation may take place if separate exposures to the same obligor are assigned to different obligor grades in accordance with point (e) of Article 172(1) second sentence CRR.

0040

Exposure weighted average LGD (%)

Average of obligor grade LGDs weighted by their corresponding exposure value as defined for column 0010

The LGD reported shall correspond to the final LGD estimate used in the calculation of risk weighted exposure amounts obtained after considering any CRM effects and downturn conditions as specified in Chapters 3 and 4 of Title II of Part Three CRR, where relevant. In particular, for institutions applying the IRB approach but not using their own estimates of LGD the risk mitigation effects of financial collateral are reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* in accordance with Article 228(2) CRR. If own estimates of LGD are applied, Article 175 and Article 181(1) and (2) CRR shall be considered.

In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected in accordance with Article 161(4) CRR.

For defaulted exposures under A-IRB Approach, provisions laid down in point (h) of Article 181(1) CRR shall be considered. The LGD reported shall correspond to the estimate of LGD in-default.

0050

Exposure weighted average maturity (years)

Average of obligor maturities in years weighted by their corresponding exposure value as defined for column 0010

The maturity shall be determined in accordance with Article 162 CRR.

0060

Risk weighted exposure amounts

Risk weighted exposure amounts, as defined in Article 92(3) and (4) CRR, for positions whose risk weights are estimated on the basis of the requirements laid down in Chapter 3 of Title II of Part Three CRR and for which the exposure value for CCR business is calculated in accordance with Chapters 4 and 6 of Title II of Part Three CRR

The SME and infrastructure supporting factors laid down in Article 501 and Article 501a CRR shall be taken into account.

0070

Density of risk weighted exposure amounts

Ratio of the total risk weighted exposure amounts (reported in column 0060) to the exposure value (reported in column 0010)

Rows

0010 – 0170

PD scale

CCR exposures (determined at counterparty level) shall be allocated to the appropriate bucket of the fixed PD scale based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution due to the existence of a guarantee or a credit derivative). Institutions shall map exposure by exposure to the PD scale provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %.

3.9.9. C 34.08 – Composition of collateral for CCR exposures

3.9.9.1. General remarks

131.

This template shall be filled with fair values of collateral (posted or received) used in CCR exposures related to derivative transactions, long settlement transaction or to SFTs, whether or not the transactions are cleared through a CCP and whether or not collateral is posted to a CCP.

3.9.9.2. Instructions concerning specific positions

Columns

0010 – 0080

Collateral used in derivative transactions

Institutions shall report the collateral (including the initial margin and variation margin collateral) that is used in CCR exposures related to any derivative instrument listed in Annex II CRR or a long settlement transaction as defined in point (2) of Article 272 of the same regulation not qualifying as an SFT.

0090 – 0180

Collateral used in SFTs

Institutions shall report the collateral (including the initial margin and variation margin collateral as well as the collateral appearing as security in the SFT) that is used in CCR exposures related to any SFT or a long settlement transaction not qualifying as a derivative.

0010, 0020, 0050, 0060, 0090, 0100, 0140, 0150

Segregated

Article 300(1) CRR

Institutions shall report the collateral that is held in a bankruptcy-remote manner as defined in Article 300(1) CRR, further broken down into collateral appearing in the form of initial or variation margin.

0030, 0040, 0070, 0080, 0110, 0120, 0130, 0160, 0170, 0180

Unsegregated

Article 300(1) CRR

Institutions shall report the collateral that is not held in a bankruptcy-remote manner as defined in Article 300(1) CRR, further broken down into initial margin, variation margin and the SFT security.

0010, 0030, 0050, 0070, 0090, 0110, 0140, 0160

Initial margin

Point (140) of Article 4(1) CRR

Institutions shall report the fair values of collateral received or posted as initial margin (defined in point (140) of Article 4(1) CRR).

0020, 0040, 0060, 0080, 0100, 0120, 0150, 0170

Variation margin

Institutions shall report the fair values of collateral received or posted as variation margin.

0130, 0180

SFT security

Institutions shall report the fair values of collateral appearing as security in SFTs (e.g. the security leg of the SFT that has been received for column 0130, or posted for column 0180).

Rows

0010 – 0080

Collateral type

Breakdown by different collateral types

3.9.10. C 34.09 – Credit derivatives exposures

3.9.10.1. Instructions concerning specific positions

Columns

0010-0040

CREDIT DERIVATIVE PROTECTION

Credit derivative protection bought or sold

0010, 0020

NOTIONAL AMOUNTS

Sum of the notional derivative amounts before any netting, broken down by product type

0030, 0040

FAIR VALUES

Sum of fair values broken down by protection bough and protection sold

Rows

0010 – 0050

Product type

Breakdown of credit derivatives product types

0060

Total

Sum of all product types

0070, 0080

Fair values

Fair values broken down by product type as well as assets (positive fair values) and liabilities (negative fair values)

3.9.11. C 34.10 – Exposures to CCPs

3.9.11.1. General remarks

132.

Institutions shall report the information on exposures to CCPs, i.e. to contracts and transactions listed in Article 301(1) CRR for as long as they are outstanding with a CCP and exposures from CCP-related transactions, in accordance with Article 300(2) CRR, for which the own funds requirements are calculated in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR.

3.9.11.2. Instructions concerning specific positions

Columns

0010

EXPOSURE VALUE

Exposure value for transactions in the scope of Section 9 of Chapter 6 of Title II of Part Three CRR calculated in accordance with the relevant methods laid down in that Chapter and in particular in its section 9

The exposure value reported shall be the amount relevant for the own funds requirements calculation in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR, considering the requirements in Article 497 of that Regulation during the transitional period provided for in that article.

An exposure can be a trade exposure, as defined in point (91) of Article 4(1) CRR.

0020

RISK WEIGHTED EXPOSURE AMOUNTS

Risk weighted exposure amounts determined in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR, considering the requirements in Article 497 of that Regulation during the transitional period provided for by that Article

Rows

0010-0100

Qualifying CCP (QCCP)

A qualifying central counterparty or ‘QCCP’ as defined in point (88) of Article 4(1) CRR

0070, 0080

0170, 0180

Initial margin

See instructions for template C 34.08.

For the purposes of this template, initial margin shall not include contributions to a CCP for mutualised loss-sharing arrangements (i.e. in cases where a CCP uses initial margin to mutualise losses among the clearing members, it shall be treated as a default fund exposure).

0090, 0190

Prefunded default fund contributions

Articles 308 and 309 CRR; a default fund as defined in point (89) of Article 4(1) CRR; the contribution to the default fund of a CCP that is paid in by the institution

0100, 0200

Unfunded default fund contributions

Articles 309 and 310 CRR; a default fund as defined in point (89) of Article 4(1) CRR

Institutions shall report contributions that an institution acting as a clearing member has contractually committed to provide to a CCP after the CCP has depleted its default fund to cover the losses it incurred following the default of one or more of its clearing members.

0070, 0170

Segregated

See instructions for template C 34.08.

0080,0180

Unsegregated

See instructions for template C 34.08.

3.9.12. C 34.11 – Risk weighted exposure amounts (RWEA) flow statements of CCR exposures under the IMM

3.9.12.1. General remarks

133.

Institutions using the IMM to compute risk weighted exposure amounts for all or part of their CCR exposures in accordance with Chapter 6 of Title II of Part Three CRR, irrespective of the credit risk approach used to determine the corresponding risk weights shall report this template with the flow statement explaining changes in risk weighted exposure amounts of derivatives and SFTs in the IMM scope differentiated by key drivers and based on reasonable estimations.

134.

Institutions that shall report this template with quarterly frequency shall fill in only column 0010. Institutions that shall report this template with annually frequency shall fill in only column 0020.

135.

This template excludes risk weighted exposure amounts for exposures to a central counterparty (Section 9 of Chapter 6 of Title II of Part Three CRR).

3.9.12.2. Instructions concerning specific positions

Columns

0010, 0020

RISK WEIGHTED EXPOSURE AMOUNTS

Risk weighted exposure amounts, as defined in Article 92(3) and (4) CRR, for positions whose risk weights are estimated on the basis of the requirements laid down in Chapters 2 and 3 of Title II of Part Three CRR and for which the institution has been permitted to calculate the exposure value using the IMM in accordance with Section 6 of Chapter 6 of Title II of Part Three CRR

The SME and infrastructure supporting factors laid down in Article 501 and Article 501a CRR shall be taken into account.

Rows

0010

Risk weighted exposure amounts as at the end of the previous reporting period

Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the previous reporting period

0020

Asset size

Risk weighted exposure amount changes (positive or negative) due to changes in book size and composition resulting from the usual business activity (including the origination of new businesses and maturing exposures) but excluding changes in book size due to acquisitions and disposal of entities

0030

Credit quality of counterparties

Risk weighted exposure amount changes (positive or negative) due to changes in the assessed quality of the institution’s counterparties as measured under the credit risk framework, whatever approach the institution uses. This row also includes potential Risk weighted exposure amount changes due to IRB models when the institution uses an IRB approach

0040

Model updates (IMM only)

Risk weighted exposure amount changes (positive or negative) due to model implementation, changes in model scope, or any changes intended to address model weaknesses

This row addresses only changes in the IMM model.

0050

Methodology and policy (IMM only)

Risk weighted exposure amount changes (positive or negative) due to methodological changes in calculations driven by regulatory policy changes, such as new regulations (only in the IMM model)

0060

Acquisitions and disposals

Risk weighted exposure amount changes (positive or negative) due to changes in book sizes due to acquisitions and disposal of entities

0070

Foreign exchange movements

Risk weighted exposure amount changes (positive or negative) due to changes arising from foreign currency translation movements

0080

Other

This category shall be used to capture Risk weighted exposure amount changes (positive or negative) that cannot be attributed to the above categories.

0090

Risk weighted exposure amounts as at the end of the current reporting period

Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the current reporting period

OPERATIONAL RISK TEMPLATES

4.1. C 16.00 – OPERATIONAL RISK (OPR)

4.1.1. General Remarks

136.

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.

137.

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.

138.

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.

139.

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.

140.

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

141.

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

4.1.2. Instructions concerning specific positions

Columns

0010-0030

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 0010 to 0030. 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 0030. Where it seems reasonable, the forward looking estimates shall be included in column 0020 (estimate of next year) and column 0010 (estimate of year +2).

Furthermore, where there are no historical data on ‘relevant indicator’ available, the institution may use forward-looking business estimates.

0040-0060

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.

0070

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 0070.

0071

TOTAL OPERATIONAL RISK EXPOSURE AMOUNT

Article 92(4) CRR

Own funds requirements in column 0070 multiplied by 12.5.

0080

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.

0090-0120

AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE

0090

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).

0100

(-) 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.

0110

(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION

The diversification effect reported in this column 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.

0120

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

The impact of insurance and other risk transfer mechanisms as referred to in Article 323 CRR shall be reported in this column.

Rows

0010

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).

0020

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.

0030-0100

SUBJECT TO TSA

Where the TSA is used, the relevant indicator for each respective year shall be distributed in rows 0030 to 0100 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.

0110-0120

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 0030 to 0050 and 0080 to 0100 and in rows 0110 and 0120 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 0060 and 0070) as well as under the ASA rows 0110 and 0120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA).

0130

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

142.

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.

143.

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.

144.

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.

145.

‘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.

146.

‘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.

147.

‘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.

148.

‘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).

149.

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.

150.

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.

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

151.

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.

152.

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.

153.

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).

154.

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 0010 to 0070 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 0080, 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 0010 to 0070.

The ‘maximum single loss’ reported in column 0080 shall be the maximum single loss within a business line and identical to the maximum of the ‘maximum single losses’ reported in columns 0010 to 0070, provided that the institution has identified the loss event types for all losses.

For the sum of the five largest losses, in column 0080 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 0090 and 0100 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 0090 shall be filled in.

Where there are different thresholds applied within the same regulatory business line, the highest applicable threshold (column 0100) 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 0910-0980 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 0080, 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 0080, 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 0946 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 {r0950, c0080} may be higher than the amounts of ‘Maximum single loss’ per business line reported in other rows of column 0080.

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

155.

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

156.

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)

157.

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 0010 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.

0180

Code

LEI code of the legal entity as reported in column 0021 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.

0185

TYPE OF CODE

The institutions shall identify the type of code reported in column 0180 as a ‘LEI code’. The type of code shall always be reported.

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

158.

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.

159.

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

160.

This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the Standardised Approach (point (a) of Article 325(2) 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 {0325;0060} (securitisations) and {0330;0060} (CTP) respectively.

161.

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

0010-0020

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.

0030-0040

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.

0050

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.

0060

OWN FUNDS REQUIREMENTS

The capital charge for any relevant position in accordance with Chapter 2 of Title IV of Part Three CRR.

0070

TOTAL RISK EXPOSURE AMOUNT

Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5.

Rows

0010-0350

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.

0011

GENERAL RISK.

0012

Derivatives

Derivatives included in the calculation of interest rate risk of trading book positions, taking into account Articles 328 to 331 CRR, where applicable.

0013

Other assets and liabilities

Instruments other than derivatives included in the calculation of interest rate risk of trading book positions.

0020-0200

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.

0210-0240

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.

0250

SPECIFIC RISK

Sum of amounts reported in rows 0251, 0325 and 0330.

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.

0251-0321

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 0280-0300 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.

0325

Own funds requirement for securitisation instruments

Total own funds requirements reported in column 0601 of template MKR SA SEC. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI.

0330

Own funds requirement for the correlation trading portfolio

Total own funds requirements reported in column 0450 of template MKR SA CTP. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI.

0350-0390

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

162.

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.

163.

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.

164.

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 0460 of CA1.

5.2.2. Instructions concerning specific positions

Columns

0010-0020

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.

0030-0040

(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

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

0050-0060

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.

0061-0104

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.

0402-0406

BREAKDOWN OF THE NET POSITIONS BY APPROACHES

Article 254 CRR

0402

SEC-IRBA

Article 259 and 260 CRR

0403

SEC-SA

Article 261 and 262 CRR

0404

SEC-ERBA

Article 263 and 264 CRR

0405

INTERNAL ASSESSMENT APPROACH

Articles 254 and 265 CRR and Article 266(5) CRR.

0406

OTHER (RW = 1 250 %)

Article 254(7) CRR

0530-0540

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

Article 270a CRR

0570

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.

0601

AFTER CAP/TOTAL OWN FUND REQUIREMENTS

Article 337 CRR, taking into account the discretion of Article 335 CRR.

Rows

0010

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.

0040, 0070 and 0100

SECURITISATION POSITIONS

Point (62) of Article 4(1) CRR.

0020, 0050, 0080 and 0110

RE-SECURITISATIONS POSITIONS

Point (64) of Article 4(1) CRR

0041, 0071 and 0101

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.

0030-0050

ORIGINATOR

Point (13) of Article 4(1) CRR

0060-0080

INVESTOR

Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender.

0090-0110

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

165.

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.

166.

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.

167.

The template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. Securitisation positions shall always be reported in rows 0030, 0060 or 0090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in row 0110. 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).

168.

5.3.2. Instructions concerning specific positions

Columns

0010-0020

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.

0030-0040

(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

Article 253 CRR

0050-0060

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.

0071-0097

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

0402-0406

BREAKDOWN OF THE NET POSITIONS BY APPROACHES

Article 254 CRR

0402

SEC-IRBA

Articles 259 and 260 CRR

0403

SEC-SA

Articles 261 and 262 CRR

0404

SEC-ERBA

Articles 263 and 264 CRR

0405

INTERNAL ASSESSMENT APPROACH

Articles 254 and 265 and Article 266(5) CRR.

0406

OTHER (RW = 1 250 %)

Article 254(7) CRR

0410-0420

BEFORE CAP – WEIGHTED NET LONG/SHORT POSITIONS

Article 338 CRR, without taking into account the discretion of Article 335 CRR

0430-0440

AFTER CAP – WEIGHTED NET LONG/SHORT POSITIONS

Article 338 CRR, taking into account the discretion of Article 335 CRR

0450

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 0430) or (ii) the specific risk charge that would apply just to the net short positions (column 0440).

Rows

0010

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.

0020-0040

ORIGINATOR

Point (13) of Article 4(1) CRR

0050-0070

INVESTOR

Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender

0080-0100

SPONSOR

Lineage: Superseded

Timeline

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