Commission Implementing Regulation (EU) 2022/1994 of 21 November 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards own funds, asset encumbrance, liquidity and reporting for the purposes of identifying global systemically important institutions (Text with EEA relevance)

• CELEX: Implementing Regulation (EU) 2022/1994
• Articles: 13

Article 1 Reporting on additional liquidity monitoring metrics on an individual and a consolidated basis

Implementing Regulation (EU) 2021/451 is amended as follows:

(1)

Article 18 is replaced by the following:

‘Article 18

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

When reporting 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 information as follows:

(a)

large institutions within the meaning of Article 4(1), point (146), of Regulation (EU) No 575/2013 shall submit with a monthly frequency the information set out in template 66.1 of Annex XXII to this Regulation in accordance with the instructions set out in Annex XXIII to this Regulation, templates 67, 68, 69 and 70 of Annex XVIII to this Regulation in accordance with the instructions set out in Annex XIX to this Regulation and template 71 of Annex XX to this Regulation in accordance with the instructions in Annex XXI to this Regulation;

(b)

small and non-complex institution within the meaning of Article 4(1), point (145), of Regulation (EU) No 575/2013 shall submit with a quarterly frequency the information set out in template 66.1 in Annex XXII to this Regulation in accordance with the instructions set out in Annex XXIII to this Regulation, template 67 of Annex XVIII to this Regulation in accordance with the instructions set out in Annex XIX to this Regulation and template 71 of Annex XX to this Regulation in accordance with the instructions set out in Annex XXI to this Regulation;

(c)

institutions that do not fall withing the scope of points (a) and (b) shall submit with a monthly frequency the information set out in template 66.1 of Annex XXII in accordance with the instructions set out in Annex XXIII, templates 67, 68 and 69 of Annex XVIII in accordance with the instructions set out in Annex XIX and template 71 of Annex XX in accordance with the instructions set out in Annex XXI.’;

(2)

Article 19 is amended as follows:

(a)

paragraphs 2 and 3 are replaced by the following:

‘2.   The information referred to in paragraph 1 shall be submitted with the following frequency:

(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.

3.   The information referred to in paragraph 1 shall be submitted as follows:

(a)

institutions shall submit the information specified in Annex XVI, Part A;

(b)

large institutions shall submit the information specified in Annex XVI, Parts B, C and E;

(c)

institutions that are neither large institutions nor small and non-complex institutions shall submit the information specified in Annex XVI, Parts B, C and E, where the asset encumbrance level of the institution, as calculated in accordance with Annex XVII, point 1.6, sub-point 9, is equal to or above 15 %;

(d)

institutions shall report the information specified in Annex XVI, Part D, only where they issue bonds referred to in Article 52(4), first subparagraph, of Directive 2009/65/EC of the European Parliament and of the Council  ( *1 ) .

( *1 )   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 ).’;"

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

(b)

paragraph 4 is deleted;

(3)

Article 20 is replaced by the following:

‘Article 20

Supplementary reporting for the purposes of identifying G-SIIs and assigning G-SII buffer rates

1.   When reporting 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 to this Regulation, in accordance with the instructions set out in Annex XXVII to this Regulation, on a consolidated basis with a quarterly frequency, 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 125 000 000 000;

(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  ( *2 ) .

2.   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, institutions shall submit the information as specified in Annex XXVI to this Regulation, in accordance with the instructions set out in Annex XXVII to this Regulation, on an individual basis with a quarterly frequency, where all of the following conditions are met:

(a)

the total exposure measure of the institution is equal to or exceeds EUR 125 000 000 000;

(b)

the institution is located in a participating Member State as referred to in Article 4 of Regulation (EU) No 806/2014;

(c)

the institution is not part of a group that is subject to consolidated supervision in accordance with Chapter 1, Title II, Part One of Regulation (EU) No 575/2013 (“standalone institution”).

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

4.   By way of derogation from Article 4, the following shall apply with regard to the thresholds specified in paragraph 1, point (a), and paragraph 2, point (a), of this Article:

(a)

the EU parent institution, EU parent financial holding, EU parent mixed financial holding or standalone institution, as applicable, 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, EU parent mixed financial holding or standalone institution, as applicable, 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.

( *2 )   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 ).’;"

(4)

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

(5)

Annex II is replaced by the text set out in Annex II to this Regulation;

(6)

Annex XVI is replaced by the text set out in Annex III to this Regulation;

(7)

Annex XVII is replaced by the text set out in Annex IV to this Regulation;

(8)

Annex XVIII is replaced by the text set out in Annex V to this Regulation;

(9)

Annex XIX is replaced by the text set out in Annex VI to this Regulation;

(10)

Annex XX is replaced by the text set out in Annex VII to this Regulation;

(11)

Annex XXI is replaced by the text set out in Annex VIII to this Regulation;

(12)

Annex XXII is replaced by the text set out in Annex IX to this Regulation;

(13)

Annex XXIII is replaced by the text set out in Annex X to this Regulation;

(14)

Annex XXVI is replaced by the text set out in Annex XI to this Regulation;

(15)

Annex XXVII is replaced by the text set out in Annex XII to this Regulation.

Article 2 Entry into force and application

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

It shall apply from 11 July 2023.

Schedules & Appendices

ANNEX I

ANNEX I

‘ANNEX I

REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

COREP TEMPLATES

Template number

Template code

Name of the template /group of templates

Short name

CAPITAL ADEQUACY

CA

1

C 01.00

OWN FUNDS

CA1

2

C 02.00

OWN FUNDS REQUIREMENTS

CA2

3

C 03.00

CAPITAL RATIOS

CA3

4

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

GS

6.1

C 06.01

GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL

GS Total

6.2

C 06.02

GROUP SOLVENCY: INFORMATION ON AFFILIATES

GS

CREDIT RISK

CR

7

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 IN ACCORDANCE WITH ARTICLE 180(1), POINT (f) OF REGULATION (EU) No 575/2013 (CR IRB 5B)

CR IRB 5B

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

11

C 11.00

SETTLEMENT/DELIVERY RISK

CR SETT

13.1

C 13.01

CREDIT RISK: SECURITISATIONS

CR SEC

14

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

16

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

18

C 18.00

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

MKR SA TDI

19

C 19.00

MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS

MKR SA SEC

20

C 20.00

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

MKR SA CTP

21

C 21.00

MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES

MKR SA EQU

22

C 22.00

MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK

MKR SA FX

23

C 23.00

MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES

MKR SA COM

24

C 24.00

MARKET RISK INTERNAL MODELS

MKR IM

25

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

33

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

ID

Item

Amount

0010

1

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

0352

1.1.1.11.1.1

(-) Of which: software assets accounted for as intangible assets before deduction of deferred tax liabilities

0360

1.1.1.11.2

Deferred tax liabilities associated to other intangible assets

0362

1.1.1.11.2.1

Of which: Deferred tax liabilities associated with software assets accounted for as 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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

0978

1.2.13

T2 capital elements or deductions - other

C 02.00 - OWN FUNDS REQUIREMENTS (CA2)

Rows

Item

Label

Amount

0010

1

TOTAL RISK EXPOSURE AMOUNT

0020

1*

Of which: Investment firms under Article 95, paragraph 2 and Article 98 of Regulation (EU) No 575/2013

0030

1**

Of which : Investment firms under Article 96, paragraph 2 and Article 97 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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

0212

1.1.1.1.16.1

Of which: software assets accounted for as intangible assets

0240

1.1.2

Internal ratings based Approach (IRB)

0241

1.1.2*

Of which: Additional stricter prudential requirements based on Article 164 of Regulation (EU) No 575/2013

0242

1.1.2**

Of which: Additional stricter prudential requirements based on Article 124 of Regulation (EU) No 575/2013

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

0455

1.1.2.5.1

Of which: software assets accounted for as intangible 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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

0760

1.8.4

Of which: Additional risk exposure amount due to Article 3 of Regulation (EU) No 575/2013

C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

Rows

ID

Item

Amount

0010

1

CET1 Capital ratio

0020

2

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

0030

3

T1 Capital ratio

0040

4

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

0050

5

Total capital ratio

0060

6

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

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

0130

13

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

14

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

15

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

16

Surplus(+)/Deficit(-) of CET1 capital considering the requirements of Article 92 of Regulation (EU) No 575/2013 and Article 104a of Directive 2013/36/EU

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

0300

20

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

0310

21

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

0320

22

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

C 04.00 - MEMORANDUM ITEMS (CA4)

Row

ID

Item

Column

Deferred tax assest and liabilities

0010

0010

1

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

2

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

2A

Tax overpayments and tax loss carry backs

0096

2B

Deferred Tax Assets subject to a risk weight of 250%

0097

2C

Deferred Tax Assets subject to a risk weight of 0%

Exception from deductions from CET1

0901

2W

Software assets accounted for as intangible assets exempted from the deduction from CET1

Accounting classification of AT1 instruments

0905

2Y

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

0906

2Z

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

Credit risk adjustments and expected losses

0100

3

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

4

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

5

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

0170

6

Total gross provisions eligible for inclusion in T2 capital

0180

7

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

Thresholds for Common Equity Tier 1 deductions

0190

8

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

0200

9

10% CET1 threshold

0210

10

17.65% CET1 threshold

0225

11

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

12

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

13

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

14

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

15

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

16

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

17

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

18

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

0660

19

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

0670

20

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

21

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

0690

22

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

0700

23

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

0710

24

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

0720

25

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

0730

26

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

Capital buffers

0740

27

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

28

Own funds requirements related to Pillar II adjustments

Additional information for investment firms

0830

29

Initial capital

0840

30

Own funds based on Fixed Overheads

Additional information for calculation of reporting thresholds

0850

31

Non-domestic original exposures

0860

32

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

ID

Item

0010

0020

0030

0040

0050

0060

0010

1

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 powers in accordance with Article 59 of Directive 2014/59/EU

0064

1.1.4.2*

of which: Instruments governed by third-country law without effective and enforceable exercise of powers in accordance with Article 59 of Directive 2014/59/EU

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 01/01/2018 – 31/12/2019

0443

1.3.4.3

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

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

ID

Item

0010

0020

0030

0040

0050

0060

0010

1.

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

link to {CA5.1;r060;c010)

0020

2.

Instruments that qualified for Article 57, point (ca) and Article 154(8) and (9) of Directive 2006/48/EC, subject to the limit of Article 489 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 after the date of effective maturity

0080

2.3

Excess on the limit of CET1 grandfathered instruments

0090

3

Items that qualified for Article 57, points (e), (f), (g) or (h) of Directive 2006/48/EC, subject to the limit of Article 490 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 (%)

TOTAL RISK EXPOSURE AMOUNT

OWN FUNDS

TOTAL RISK EXPOSURE AMOUNT

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

CONSOLIDATED OWN FUNDS

COMBINED BUFFER REQUIREMENT

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

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

TOTAL TIER 1 CAPITAL

TIER 2 CAPITAL

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

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

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

OF WHICH: COMMON EQUITY TIER 1

OF WHICH: ADDITIONAL TIER 1

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

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

CAPITAL CONSERVATION BUFFER

INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER

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

SYSTEMIC RISK BUFFER

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

COMMON EQUITY TIER 1 CAPITAL

ADDITIONAL TIER 1 CAPITAL

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 in exposure classes “items associated with a particular high risk” and “equity 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: 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: 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

0005

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0171

0172

0173

0180

0190

0200

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

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 IN ACCORDANCE WITH ARTICLE 180(1), POINT (f) OF REGULATION (EU) No 575/2013 (CR IRB 5B)

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

AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%)

OF WHICH: DEFAULTED DURING THE YEAR

0005

0006

0010

0020

0030

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

(-) VALUE ADJUSTMENTS AND PROVISIONS

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

0010

0020

0030

0040

0050

0060

0070

0080

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 ARTICLE 166 OF REGULATION (EU) No 575/2013

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

Of which: defaulted

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

0120

CIU EXPOSURES SUBJECT TO THE FALL-BACK APPROACH

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

SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS

OTHER (RW=1 250  %)

SEC-IRBA

SEC-SA

SEC-ERBA

INTERNAL ASSESSMENT APPROACH

SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS

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 ARTICLE 254(2), POINT (a) OF REGULATION (EU) No 575/2013

POSITIONS SUBJECT TO ARTICLE 254(2), POINT (b) OF REGULATION (EU) No 575/2013

POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) OF REGULATION (EU) No 575/2013

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 ARTICLE 254(2), POINT (a) OF REGULATION (EU) No 575/2013

POSITIONS SUBJECT TO ARTICLE 254(2), POINT (b) OF REGULATION (EU) No 575/2013

POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) OF REGULATION (EU) No 575/2013

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

0695

0700

0710

0720

0730

0740

0750

0760

0770

0780

0790

0800

0810

0820

0830

0840

0845

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

EXPOSURES IN STS ABCP AND NON-ABCP TRADITIONAL SECURITISATIONS

0050

GRANDFATHERED SENIOR POSITION IN SME SYNTHETIC SECURITISATIONS

0051

SENIOR POSITIONS IN STS ON-BALANCE SHEET 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

0121

EXPOSURES IN NON-NPE SECURITISATIONS

0131

OF WHICH: SENIOR EXPOSURES

0133

EXPOSURES IN NPE SECURITISATIONS

0134

OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS

0135

OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS

0136

OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS

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

0241

EXPOSURES IN NON-NPE SECURITISATIONS

0251

OF WHICH: SENIOR EXPOSURES

0253

EXPOSURES IN NPE SECURITISATIONS

0254

OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS

0255

OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS

0256

OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS

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

0361

EXPOSURES IN NON-NPE SECURITISATIONS

0371

OF WHICH: SENIOR EXPOSURES

0373

EXPOSURES IN NPE SECURITISATIONS

0374

OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS

0375

OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS

0376

OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS

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 SECURITISATION?

ROLE OF THE INSTITUTION (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR)

IDENTIFIER OF THE ORIGINATOR

SECURITISATION TYPE

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 SECURITISATION

SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

TYPE OF EXCESS SPREAD

AMORTISATION SYSTEM

COLLATERALISATION OPTIONS

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

OVERCOLLATERALISATION AND FUNDED RESERVE ACCOUNTS

SENIOR

MEZZANINE

FIRST LOSS

SYNTHETIC EXCESS SPREAD

FIRST FORESEEABLE TERMINATION DATE

ORIGINATOR'S CALL OPTIONS INCLUDED IN TRANSACTION

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 TRANCHE

AMOUNT

DETACHMENT POINT (%)

CQS

AMOUNT

OF WHICH: NON-REFUNDABLE PURCHASE PRICE DISCOUNT

AMOUNT

ATTACHMENT POINT (%)

AMOUNT

NUMBER OF TRANCHES

AMOUNT

DETACHMENT POINT (%)

0010

0020

0021

0110

0030

0040

0051

0060

0061

0070

0075

0446

0076

0077

0078

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

0254

0255

0260

0265

0270

0275

0280

0285

0287

0290

0291

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

SYNTHETIC EXCESS SPREAD

BEFORE CAP

(-) REDUCTION DUE TO RISK WEIGHT CAP

(-) REDUCTION DUE TO OVERALL CAP

AFTER CAP

RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT

RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT

LONG

SHORT

0010

0020

0310

0320

0330

0340

0350

0351

0360

0361

0362

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) of Regulation (EU) No 575/2013

0060

Are the conditions of Article 273a (4) of Regulation (EU) No 575/2013 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

0O71

0080

0090

0100

0110

0120

0010

1.

BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)

Cell linked to CA2

0020

2.

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

3.

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

0181

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 - 1250%]

[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 - 1250%]

1250%

SEC-IRBA

SEC-SA

SEC-ERBA

INTERNAL ASSESSMENT APPROACH

SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONS

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

0085

0086

0087

0088

0089

0091

0092

0093

0094

0095

0096

0097

0098

0099

0101

0102

0103

0104

0402

0403

0404

0405

0900

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 REQUIRE-MENTS

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 - 1250%]

1250%

[0 - 10%]

[10 - 12%]

[12 - 20%]

[20 - 40%]

[40 - 100%]

[100 - 250%]

[250 - 350%]

[350 - 425%]

[425 - 650%]

[650 - 1250%]

1250%

SEC-IRBA

SEC-SA

SEC-ERBA

INTERNAL ASSESS-MENT APPROACH

SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONS

OTHER (RW = 1250%)

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

0900

0406

0410

0420

0430

0440

0450

0010

TOTAL EXPOSURES

Cell linked to MKR SA TDI {0330:0060}

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

1

TOTAL FAIR-VALUED ASSETS AND LIABILITIES

0020

1.1

TOTAL FAIR-VALUED ASSETS

0030

1.1.1

FINANCIAL ASSETS HELD FOR TRADING

0040

1.1.2

TRADING FINANCIAL ASSETS

0050

1.1.3

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

0060

1.1.4

FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

0070

1.1.5

FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME

0080

1.1.6

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

0090

1.1.7

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

0100

1.1.8

OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS

0110

1.1.9

DERIVATIVES - HEDGE ACCOUNTING

0120

1.1.10

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

0130

1.1.11

INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES

0140

1.1.12

(-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE

0142

1.1.13

OTHER ASSETS

0143

1.1.14

NON-CURRENT ASSETS AND DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE

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

0220

1.2.7

OTHER LIABILITIES

0230

1.2.8

LIABILITIES INCLUDED IN DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE

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

CATEGORY LEVEL AVA

TOTAL AVA

UPSIDE UNCERTAINTY

FAIR-VALUED ASSETS AND LIABILITIES

QTD REVENUE

IPV DIFFE-RENCE

FAIR VALUE ADJUSTMENTS

DAY 1 P&L

EXPLANATION DESCRIPTION

MARKET PRICE UNCERTAINTY

CLOSE-OUT COSTS

MODEL RISK

CONCENTRATED POSITIONS

FUTURE ADMINIS-TRATIVE COSTS

EARLY TERMINATION

OPERATIONAL RISK

FAIR-VALUED ASSETS

FAIR-VALUED LIABILITIES

MARKET PRICE UNCERTAINTY

CLOSE-OUT COSTS

MODEL RISK

CONCENTRATED POSITIONS

UN-EARNED CREDIT SPREADS

INVES-TING AND FUNDING COSTS

FUTURE ADMINIS-TRATIVE COSTS

EARLY TERMINATION

OPERATIONAL RISK

OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH

OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH

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

1

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 ARTICLE 10(2) AND (3) OF DELEGATED REGULATION (EU) 2016/101

0090

1.1.1.1

INTEREST RATES

0100

1.1.1.2

FOREIGN EXCHANGE

0110

1.1.1.3

CREDIT

0120

1.1.1.4

EQUITIES

0130

1.1.1.5

COMMODITIES

0140

1.1.2

(-) DIVERSIFICATION BENEFITS

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

1

1

1

1

1

1

1

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

1

0090

Part of NPEs secured by other funded or unfunded credit protection

Factor

0.25

0.35

0.55

0.8

1

1

1

0100

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

Factor

1

1

1

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

0

0

1

1

1

1

1

1

1

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

0

0.35

0.55

0.7

0.8

0.85

1

0090

> 3 and <= 4 years after classification as NPE

Factor

0.25

0.25

0.55

0.7

0.8

0.85

1

0100

> 4 and <= 5 years after classification as NPE

Factor

0.35

0.35

0.7

0.8

0.85

1

0110

> 5 and <= 6 years after classification as NPE

Factor

0.55

0.55

0.8

0.85

1

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

0

0.35

0.55

0.8

1

1

1

0140

> 3 and <= 4 years after classification as NPE

Factor

0.25

0.25

0.55

0.8

1

1

1

0150

> 4 and <= 5 years after classification as NPE

Factor

0.35

0.35

0.8

1

1

1

0160

> 5 and <= 6 years after classification as NPE

Factor

0.55

0.55

1

1

1

’

ANNEX II

ANNEX II

‘ANNEX II

INSTRUCTIONS FOR REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

Table of Contents

PART I: GENERAL INSTRUCTIONS

294

1.

STRUCTURE AND CONVENTIONS

294

1.1.

STRUCTURE

294

1.2.

NUMBERING CONVENTION

294

1.3.

SIGN CONVENTION

294

PART II: TEMPLATE RELATED INSTRUCTIONS

295

1.

CAPITAL ADEQUACY OVERVIEW (“CA”)

295

1.1.

GENERAL REMARKS

295

1.2.

C 01.00 - OWN FUNDS (CA1)

296

1.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

296

1.3.

C 02.00 - OWN FUNDS REQUIREMENTS (CA2)

311

1.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

311

1.4.

C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

317

1.4.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

317

1.5.

C 04.00 - MEMORANDUM ITEMS (CA4)

320

1.5.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

320

1.6.

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

334

1.6.1.

GENERAL REMARKS

334

1.6.2.

C 05.01 - TRANSITIONAL PROVISIONS (CA5.1)

335

1.6.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

335

1.6.3.

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

339

1.6.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

339

2.

GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

341

2.1.

GENERAL REMARKS

341

2.2.

DETAILED GROUP SOLVENCY INFORMATION

341

2.3.

INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY

342

2.4.

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

342

2.5.

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

343

3.

CREDIT RISK TEMPLATES

350

3.1.

GENERAL REMARKS

350

3.1.1.

REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT

350

3.1.2.

REPORTING OF COUNTERPARTY CREDIT RISK

350

3.2.

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

351

3.2.1.

GENERAL REMARKS

351

3.2.2.

SCOPE OF THE CR SA TEMPLATE

351

3.2.3.

ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES UNDER THE STANDARDISED APPROACH

352

3.2.4.

CLARIFICATIONS ON THE SCOPE OF SOME SPECIFIC EXPOSURE CLASSES REFERRED TO IN ARTICLE 112 OF REGULATION (EU) No 575/2013

356

3.2.4.1.

EXPOSURE CLASS “INSTITUTIONS”

356

3.2.4.2.

EXPOSURE CLASS “COVERED BONDS”

356

3.2.4.3.

EXPOSURE CLASS “COLLECTIVE INVESTMENT UNDERTAKINGS”

356

3.2.5.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

356

3.3.

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

364

3.3.1.

SCOPE OF THE CR IRB TEMPLATE

364

3.3.2.

BREAKDOWN OF THE CR IRB TEMPLATE

365

3.3.3.

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

366

3.3.3.1

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

366

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)

375

3.3.1.

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

376

3.3.1.1.

GENERAL REMARKS

376

3.3.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

376

3.3.2.

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

378

3.3.2.1.

GENERAL REMARKS

378

3.3.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

378

3.3.3.

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

380

3.3.3.1.

GENERAL REMARKS

380

3.3.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

380

3.3.4.

C 08.05.1 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD IN ACCORDANCE WITH ARTICLE 180(1), POINT (F), OF REGULATION (EU) No 575/2013 (CR IRB 5B)

381

3.3.4.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

381

3.3.5.

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

381

3.3.5.1.

GENERAL REMARKS

381

3.3.5.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

381

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))

382

3.3.6.1.

GENERAL REMARKS

382

3.3.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

382

3.4.

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

383

3.4.1.

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

384

3.4.1.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

384

3.4.2.

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

387

3.4.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

387

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)

390

3.4.3.1.

GENERAL REMARKS

390

3.4.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

390

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)

393

3.5.1.

GENERAL REMARKS

393

3.5.2.

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

395

3.6.

C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)

397

3.6.1.

GENERAL REMARKS

397

3.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

398

3.7.

C 13.01 - CREDIT RISK – SECURITISATIONS (CR SEC)

400

3.7.1.

GENERAL REMARKS

400

3.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

400

3.8.

DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

409

3.8.1.

SCOPE OF THE SEC DETAILS TEMPLATE

409

3.8.2

BREAKDOWN OF THE SEC DETAILS TEMPLATE

410

3.8.3

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

410

3.8.4.

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

422

3.9.

COUNTERPARTY CREDIT RISK

424

3.9.1.

SCOPE OF THE COUNTERPARTY CREDIT RISK TEMPLATES

424

3.9.2.

C 34.01 - SIZE OF THE DERIVATIVE BUSINESS

425

3.9.2.1.

GENERAL REMARKS

425

3.9.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

425

3.9.3.

C 34.02 - CCR EXPOSURES BY APPROACH

426

3.9.3.1.

GENERAL REMARKS

426

3.9.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

426

3.9.4.

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

432

3.9.4.1.

GENERAL REMARKS

432

3.9.4.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

432

3.9.5.

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

434

3.9.5.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

434

3.9.6.

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

434

3.9.6.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

434

3.9.7.

C 34.06 – TOP TWENTY COUNTERPARTIES

436

3.9.7.1.

GENERAL REMARKS

436

3.9.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

436

3.9.8.

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

437

3.9.8.1.

GENERAL REMARKS

437

3.9.8.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

438

3.9.9.

C 34.08 - COMPOSITION OF COLLATERAL FOR CCR EXPOSURES

439

3.9.9.1.

GENERAL REMARKS

439

3.9.9.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

439

3.9.10.

C 34.09 - CREDIT DERIVATIVES EXPOSURES

440

3.9.10.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

440

3.9.11.

C 34.10 - EXPOSURES TO CCPS

441

3.9.11.1.

GENERAL REMARKS

441

3.9.11.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

441

3.9.12.

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

442

3.9.12.1.

GENERAL REMARKS

442

3.9.12.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

442

4.

OPERATIONAL RISK TEMPLATES

443

4.1.

C 16.00 – OPERATIONAL RISK (OPR)

443

4.1.1.

GENERAL REMARKS

443

4.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

444

4.2.

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

446

4.2.1.

GENERAL REMARKS

446

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)

447

4.2.2.1.

GENERAL REMARKS

447

4.2.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

448

4.2.3.

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

453

4.2.3.1.

GENERAL REMARKS

453

4.2.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

453

5.

MARKET RISK TEMPLATES

454

5.1.

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

455

5.1.1.

GENERAL REMARKS

455

5.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

455

5.2.

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

457

5.2.1.

GENERAL REMARKS

457

5.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

457

5.3.

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

459

5.3.1.

GENERAL REMARKS

459

5.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

460

5.4.

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

462

5.4.1.

GENERAL REMARKS

462

5.4.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

462

5.5.

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

464

5.5.1.

GENERAL REMARKS

464

5.5.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

464

5.6.

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

467

5.6.1.

GENERAL REMARKS

467

5.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

467

5.7.

C 24.00 - MARKET RISK INTERNAL MODEL (MKR IM)

468

5.7.1.

GENERAL REMARKS

468

5.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

468

5.8.

C 25.00 - CREDIT VALUATION ADJUSTMENT RISK (CVA)

471

5.8.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

471

6.

PRUDENT VALUATION (PRUVAL)

473

6.1.

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

473

6.1.1.

GENERAL REMARKS

473

6.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

473

6.2.

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

478

6.2.1.

GENERAL REMARKS

478

6.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

478

6.3.

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

486

6.3.1.

GENERAL REMARKS

486

6.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

486

6.4

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

488

6.4.1.

GENERAL REMARKS

488

6.4.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

489

7.

C 33.00 - EXPOSURES TO GENERAL GOVERNMENTS (GOV)

490

7.1.

GENERAL REMARKS

490

7.2.

SCOPE OF THE TEMPLATE ON EXPOSURES TO “GENERAL GOVERNMENTS”

491

7.3.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

491

8.

NPE LOSS COVERAGE (NPE LC)

500

8.1.

GENERAL REMARKS

500

8.2.

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

501

8.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

501

8.3.

C 35.02 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF REGULATION (EU) No 575/2013 (NPE LC2)

503

8.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

503

8.4.

C 35.03 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF REGULATION (EU) No 575/2013 (NPE LC3)

505

8.4.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

505

PART I: GENERAL INSTRUCTIONS

1.   STRUCTURE AND CONVENTIONS

1.1.   STRUCTURE

1.

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.

2.

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

3.

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

1.2.   NUMBERING CONVENTION

4.

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

5.

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

6.

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

7.

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

8.

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

1.3.   SIGN CONVENTION

9.

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

10.

[empty]

PART II: TEMPLATE RELATED INSTRUCTIONS

1.   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 Regulation (EU) No 575/2013 and Directive 2013/36/EU 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 Regulation (EU) No 575/2013 and Directive 2013/36/EU transitional provisions per type of capital;

(b)

Template CA2 summarises the total risk exposures amounts as defined in Article 92(3) of Regulation (EU) No 575/2013;

(c)

Template CA3 contains the ratios for which Regulation (EU) No 575/2013 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 Directive 2013/36/EU capital buffers;

(e)

Template CA5 contains the data needed for calculating the effect of the application of Regulation (EU) No 575/2013 transitional provisions in own funds. CA5 will cease to exist once those transitional provisions expire.

12.

The templates are to 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 Regulation (EU) No 575/2013 and Directive 2013/36/EU 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 Article 36(1), point (j) and Article 56 of Regulation (EU) No 575/2013, point (e) 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 Regulation (EU) No 575/2013 transitional provisions.

15.

The treatment of Pillar II requirements can be different within the Union (Article 104a(1) of Directive 2013/36/EU 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 Regulation (EU) No 575/2013.

a)

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

b)

The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. It mainly focuses on the target ratios themselves. There is no further link to the templates CA1, CA2 or CA5.

c)

The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. That cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104a(1) of Directive 2013/36/EU 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

1. Own funds

Article 4(1), point (118), and Article 72 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

0030

1.1.1.1 Capital instruments and share premium eligible as CET1 capital

Articles 26(1), points (a) and (b), Articles 27 to 30, Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013

0040

1.1.1.1.1 Fully paid up capital instruments

Article 26(1), point (a) and Articles 27 to 31 of Regulation (EU) No 575/2013

Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of Regulation (EU) No 575/2013) 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 of Regulation (EU) No 575/2013 are fulfilled.

0045

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

Article 31 of Regulation (EU) No 575/2013

Capital instruments subscribed by public authorities in emergency situations shall be included in CET1 capital if all conditions of Article 31 of Regulation (EU) No 575/2013 are fulfilled.

0050

1.1.1.1.2* Memorandum item: Capital instruments not eligible

Article 28(1), points (b), (l) and (m), of Regulation (EU) No 575/2013

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

Article 4(1), point (124), Article 26(1), point (b), of Regulation (EU) No 575/2013

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

Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013

Own CET1 held by the reporting institution or group at the reporting date and amounts of CET1 instruments which have to be deducted in accordance with Article 28(2) of Commission Delegated Regulation (EU) No 241/2014  ( 1 ) . Subject to exceptions in Article 42 of Regulation (EU) No 575/2013.

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

Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013

Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group and amounts of CET1 instruments which have to be deducted in accordance with Article 28(2) of Delegated Regulation (EU) No 241/2014.

The amount to be reported shall include holdings in the trading book calculated on the basis of the net long position, as stated in Article 42, point (a), of Regulation (EU) No 575/2013.

0090

1.1.1.1.4.2 (-) Indirect holdings of CET1 instruments

Article 4(1), point (114), Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013

0091

1.1.1.1.4.3 (-) Synthetic holdings of CET1 instruments

Article 4(1), point (126), Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013

0092

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

Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013

According to Article 36(1), point (f), of Regulation (EU) No 575/2013, “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

Article 26(1), point (c), and Article 26(2) of Regulation (EU) No 575/2013

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

Article 4(1), point (123), and Article 26(1), point (c), of Regulation (EU) No 575/2013

Article 4(1), point (123), of Regulation (EU) No 575/2013 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

Article 4(1), point (121), Article 26(2), and Article 36(1), point (a), of Regulation (EU) No 575/2013

Article 26(2) of Regulation (EU) No 575/2013 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 Article 36(1), point (a), of Regulation (EU) No 575/2013.

0160

1.1.1.2.2.1 Profit or loss attributable to owners of the parent

Article 26(2) and Article 36(1), point (a), of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013 (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

Article 4(1), point (100), and Article 26(1), point (d), of Regulation (EU) No 575/2013

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.

0200

1.1.1.4 Other reserves

Article 4(1), point (117), and Article 26(1), point (e), of Regulation (EU) No 575/2013

Other reserves are defined in Regulation (EU) No 575/2013 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

Article 4(1), point (112), and Article 26(1), point (f), of Regulation (EU) No 575/2013

Funds for general banking risk are defined in Article 38 of Council Directive 86/635/EEC 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

Article 483, paragraphs 1, 2 and 3 and Articles 484 to 487 of Regulation (EU) No 575/2013

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

Article 4(1), point (120), and Article 84 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

0260

1.1.1.9.1 (-) Increases in equity resulting from securitised assets

Article 32(1) of Regulation (EU) No 575/2013

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

Article 33(1), point (a), of Regulation (EU) No 575/2013

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

Article 33(1), point (b), of Regulation (EU) No 575/2013

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

Article 33(1), point (c), and Article 33(2) of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

0300

1.1.1.10 (-) Goodwill

Article 4(1), point (113), Article 36(1), point (b), and Article 37 of Regulation (EU) No 575/2013

0310

1.1.1.10.1 (-) Goodwill accounted for as intangible asset

Article 4(1), point (113), and Article 36(1), point (b), of Regulation (EU) No 575/2013

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

Article 37, point (b), and Article 43 of Regulation (EU) No 575/2013

0330

1.1.1.10.3 Deferred tax liabilities associated to goodwill

Article 37, point (a), of Regulation (EU) No 575/2013

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

Article 37, point (c), of Regulation (EU) No 575/2013

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 Part One, Title II, Chapter 2.

0340

1.1.1.11 (-) Other intangible assets

Article 4(1), point (115), Article 36(1), point (b), and Article 37, point (a) and (c) of Regulation (EU) No 575/2013

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

Article 4(1), point (115), and Article 36(1), point (b), of Regulation (EU) No 575/2013

Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also in accordance with the applicable accounting standard.

The amount to be reported here shall correspond to the amount of intangible assets included in the balance sheet in accordance with the applicable accounting standard, excluding goodwill and the amount of prudently valued software assets that is not deducted from CET1 items in accordance with Article 36(1), point (b), of Regulation (EU) No 575/2013.

0352

1.1.1.11.1.1 (-) Of which software assets accounted for as other intangible assets before deduction of deferred tax liabilities

Article 4(1), point (115), of Regulation (EU) No 575/2013 and Article 36(1), point (b), of Regulation (EU) No 575/2013

The amount of software assets accounted for as intangible assets which is deducted from CET1 items in accordance with Article 36(1), pint (b), of Regulation (EU) No 575/2013 and Article 13a of Delegated Regulation (EU) No 241/2014. The amount reported shall not consider the effects related to the application of the treatment established in Article 37, point (a), of Regulation (EU) No 575/2013, with reference to the deferred tax liabilities associated to those software assets.

Where an institution decides to fully deduct its software assets in accordance with Article 3 of Regulation (EU) No 575/2013, instead of applying the treatment of Article 13a of Delegated Regulation (EU) No 241/2014, the amount reported in this row shall correspond to the amount of software assets accounted for as intangible assets in accordance with the applicable accounting standard.

0360

1.1.1.11.2 Deferred tax liabilities associated to other intangible assets

Article 37, point (a), of Regulation (EU) No 575/2013

Amount of deferred tax liabilities that would be extinguished if the intangible assets, other than goodwill and prudently valued software assets exempted from the deduction from CET1 items in accordance with Article 13a of Delegated Regulation (EU) No 241/2014, became impaired or were derecognised under the relevant accounting standard.

0362

1.1.1.11.2.1 Deferred tax liabilities associated with software assets accounted for as intangible assets

Article 37, point (a), of Regulation (EU) No 575/2013

The portion of deferred tax liabilities which is associated with the amount of software assets accounted for as intangible assets that is deducted from CET1 items in accordance with Article 36(1), point (b), of Regulation (EU) No 575/2013 and Article 13a of Delegated Regulation (EU) No 241/2014 or Article 3 of Regulation (EU) No 575/2013.

0365

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

Article 37, point (c), of Regulation (EU) No 575/2013

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 Part One, Title II, Chapter 2.

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

Article 36(1), point (c) and Article 38 of Regulation (EU) No 575/2013

0380

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

Article 36(1), point (d), Articles 40, 158 and 159 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013).

0390

1.1.1.14 (-) Defined benefit pension fund assets

Article 4(1), point (109), Article 36(1), point (e), and Article 41 of Regulation (EU) No 575/2013

0400

1.1.1.14.1 (-) Defined benefit pension fund assets

Article 4(1), point (109) and Article 36(1), point (e), of Regulation (EU) No 575/2013

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

Article 4(1), points (108) and (109), and Article 41(1), point (a), of Regulation (EU) No 575/2013

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

Article 4(1), point (109), and Article 41(1), point (b), of Regulation (EU) No 575/2013

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

Article 4(1), point (122), Article 36(1), point (g) and Article 44 of Regulation (EU) No 575/2013

Holdings in CET1 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) 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

Article 36(1), point (j), of Regulation (EU) No 575/2013

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

Article 4(1), point (36), Article 36(1), point (k)(i), and Articles 89 to 91 of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013 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

Articles 244(1), point (b), Article 245(1), point (b), and Article 253(1) of Regulation (EU) No 575/2013.

Securitisation positions, which are subject to a 1 250  % risk weight, but alternatively are allowed to be deducted from CET1 (Article 36(1), point (k)(ii) of Regulation (EU) No 575/2013), shall be reported in this item.

0470

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

Article 36(1), point (k)(iii) and Article 379(3) of Regulation (EU) No 575/2013

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 (Article 36(1), point (k)(iii) of Regulation (EU) No 575/2013). 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

Articles 36(1), point (k)(iv) and Article 153(8) of Regulation (EU) No 575/2013

According to Articles 36(1), point (k)(iv) of Regulation (EU) No 575/2013, 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

Articles 36(1), point (k)(v) and Article 155(4) of Regulation (EU) No 575/2013

According to Article 36(1), point (k)(v) of Regulation (EU) No 575/2013, 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

Article 4(1), point (27), Article 36(1), point (h), Articles 43 to 46, Article 49, paragraphs 2 and 3 and Article 79 of Regulation (EU) No 575/2013

Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution does not have a significant investment that has to be deducted from CET1.

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

0490

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

Article 36(1), point (c); Article 38 and Article 48(1), point (a), of Regulation (EU) No 575/2013

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 Article 38(5), point (b), of Regulation (EU) No 575/2013 has to be deducted applying the 10 % threshold referred to in of Article 48(1), point (a), of that Regulation.

0500

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

Article 4(1), point (27), Article 36(1), point (i); Articles 43, 45, 47, Article 48(2), point (b), Article 49, paragraphs 1, 2 and 3 and Article 79 of Regulation (EU) No 575/2013

Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution has a significant investment that has to be deducted, applying the 10 % threshold referred to in Article 48(1), point (b), of that Regulation.

See alternatives to deduction when consolidation is applied (Article 49, paragraphs 1, 2 and 3 of Regulation (EU) No 575/2013).

0510

1.1.1.25 (-) Amount exceeding the 17.65 % threshold

Article 48(2) of Regulation (EU) No 575/2013

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 Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution has a significant investment that has to be deducted, applying the 17.65 % threshold in Article 48(2) of that Regulation.

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

Article 36(1), point (m), and Article 47c of Regulation (EU) No 575/2013

0514

1.1.1.25B (-) Minimum value commitment shortfalls

Article 36(1), point (n), and Article 132c(2) of Regulation (EU) No 575/2013

0515

1.1.1.25C (-) Other foreseeable tax charges

Article 36(1), point (l), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

Article 3 of Regulation (EU) No 575/2013

Where an institution decides to fully deduct its software assets in accordance with Article 3 of Regulation (EU) No 575/2013, instead of applying the treatment of Article 13a of Delegated Regulation (EU) No 241/2014, the additional amount deducted shall not be reported in this row, but in row 0352.

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 Regulation (EU) No 575/2013 into the calculation of solvency ratios (e.g. an assignment of national capital items / deductions which are outside the scope of the of Regulation (EU) No 575/2013).

0530

1.1.2 ADDITIONAL TIER 1 CAPITAL

Article 61 of Regulation (EU) No 575/2013

0540

1.1.2.1 Capital instruments and share premium eligible as AT1 Capital

Article 51, point (a), Articles 52, 53 and 54, Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013

0551

1.1.2.1.1 Fully paid up, directly issued capital instruments

Article 51, point (a) and Articles 52, 53 and 54 of Regulation (EU) No 575/2013

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

Article 52(1), points (c), (e) and (f), of Regulation (EU) No 575/2013

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

Article 51, point (b), of Regulation (EU) No 575/2013

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

Article 52(1), point (b), Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013

Own AT1 instruments held by the reporting institution or group at the reporting date and amounts of AT1 instruments which have to be deducted in accordance with Article 28(2) of Delegated Regulation (EU) No 241/2014. Subject to exceptions in Article 57 of Regulation (EU) No 575/2013.

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 AT1 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

Article 4(1), point (144), Article 52(1), point (b), Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013

Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group and amounts of AT1 instruments which have to be deducted in accordance with Article 28(2) of Delegated Regulation (EU) No 241/2014.

0620

1.1.2.1.4.2 (-) Indirect holdings of AT1 instruments

Article 52(1), point (b)(ii), Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013

0621

1.1.2.1.4.3 (-) Synthetic holdings of AT1 instruments

Article 4(1), point (126), Article 52(1), point (b), Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013

0622

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

Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013

According to Article 56, point (a) of Regulation (EU) No 575/2013, “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

Article 483, paragraphs 4 and 5, Articles 484 to 487, Articles 489 and 491 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013) shall be included.

0680

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

Article 480 of Regulation (EU) No 575/2013

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

Article 4(1), point (122), Article 56, point (b) and Article 58 of Regulation (EU) No 575/2013

Holdings in AT1 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) 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

Article 4(1), point (27), Article 56, point (c); Articles 59, 60 and 79 of Regulation (EU) No 575/2013

Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution does not have a significant investment that has to be deducted from AT1.

0710

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

Article 4(1), point (27), Article 56, point (d), Articles 59 and 79 of Regulation (EU) No 575/2013

Holdings by the institution of AT1 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution has a significant investment are completely deducted

0720

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

Article 56, point (e)of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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)

Article 36(1), point (j), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

Article 3 of Regulation (EU) No 575/2013

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.

This row shall not be used to assign capital items/deductions which are not covered by of Regulation (EU) No 575/2013 into the calculation of solvency ratios (e.g. an assignment of national capital items / deductions which are outside the scope of that Regulation).

0750

1.2 TIER 2 CAPITAL

Article 71 of Regulation (EU) No 575/2013

0760

1.2.1 Capital instruments and share premium eligible as T2 Capital

Article 62, point (a), Articles 63 to 65, Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013

0771

1.2.1.1 Fully paid up, directly issued capital instruments

Article 62, point (a), Articles 63 and 65 of Regulation (EU) No 575/2013

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

Article 63, points (c), (e) and (f), and Article 64 of Regulation (EU) No 575/2013

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

Article 62, point (b)and Article 65 of Regulation (EU) No 575/2013

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

Article 63, point (b)(i), Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013

Own T2 instruments held by the reporting institution or group at the reporting date and amounts of T2 instruments which have to be deducted in accordance with Article 28(2) of Delegated Regulation (EU) No 241/2014. Subject to exceptions in Article 67 of Regulation (EU) No 575/2013.

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

Article 63, point (b), Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013

Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group and amounts of T2 instruments which have to be deducted in accordance with Article 28(2) of Delegated Regulation (EU) No 241/2014.

0840

1.2.1.4.2 (-) Indirect holdings of T2 instruments

Article 4(1), point (114), Article 63, point (b Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013

0841

1.2.1.4.3 (-) Synthetic holdings of T2 instruments

Article 4(1), point (126), Article 63, point (b), Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013

0842

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

Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013

According to Article 66, point (a), of Regulation (EU) No 575/2013, “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

Article 483, paragraphs 6 and 7, Articles 484, 486, 488, 490 and 491 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013) shall be included.

0900

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

Article 480 of Regulation (EU) No 575/2013

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

Article 62, point (d), of Regulation (EU) No 575/2013

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

Article 62, point (c), of Regulation (EU) No 575/2013

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

Article 4(1), point (122), Article 66, point (b) and Article 68 of Regulation (EU) No 575/2013

Holdings in T2 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) 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

Article 4(1), point (27), Article 66, point (c), Articles 68 to 70 and Article 79 of Regulation (EU) No 575/2013

Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution does not have a significant investment that has to be deducted from T2.

0950

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

Article 4(1), point (27), Article 66, point (d), Articles 68, 69 and Article 79 of Regulation (EU) No 575/2013

Holdings by the institution of T2 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution has a significant investment shall be completely deducted.

0955

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

Article 66 (e) of Regulation (EU) No 575/2013.

0960

1.2.10 Other transitional adjustments to T2 Capital

Articles 472, 473a, 476, 477, 478 and 481 of Regulation (EU) No 575/2013

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)

Article 56, point (e), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

Article 3 of Regulation (EU) No 575/2013

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.

This row shall not be used to assign capital items/deductions which are not covered by Regulation (EU) No 575/2013 into the calculation of solvency ratios (e.g. an assignment of national capital items / deductions which are outside the scope of that Regulation).

1.3.   C 02.00 - OWN FUNDS REQUIREMENTS (CA2)

1.3.1.   Instructions concerning specific positions

Row

Legal references and instructions

0010

1. TOTAL RISK EXPOSURE AMOUNT

Article 92(3) and Articles 95, 96 and 98 of Regulation (EU) No 575/2013

0020

1* Of which: Investment firms under Article 95 paragraph 2 and Article 98 of Regulation (EU) No 575/2013

For investment firms under Article 95(2) and Article 98 of Regulation (EU) No 575/2013

0030

1** Of which: Investment firms under Article 96 paragraph 2 and Article 97 of Regulation (EU) No 575/2013

For investment firms under Article 96(2) and Article 97 of Regulation (EU) No 575/2013

0040

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

Article 92(3), points (a) and (f), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 Article 124, paragraphs 2 and 5 of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013, 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

0212

1.1.1.1.16.1 Of which: software assets accounted for as intangible assets

The risk weighted exposure amount pertaining to the portion of software assets accounted for as intangible assets that is not deducted from CET1 items in accordance with Article 36(1), point (b), of Regulation (EU) No 575/2013, but risk-weighted in accordance with Article 113(5) of that Regulation.

0240

1.1.2 Internal ratings based Approach (IRB)

0241

1.1.2* Of which: Additional stricter prudential requirements based on Article 164 of Regulation (EU) No 575/2013

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 Article 164, paragraphs 5 and 7 of Regulation (EU) No 575/2013.

0242

1.1.2** Of which: Additional stricter prudential requirements based on Article 124 of Regulation (EU) No 575/2013

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 Article 124, paragraphs 2 and 5 of Regulation (EU) No 575/2013 and which are related to limits on the eligible market value of the collateral as laid down in Article 125(2), point (d) and Article 126(2), point (d), of that Regulation.

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 of Regulation (EU) No 575/2013.

0455

1.1.2.5.1 Of which software assets accounted for as intangible assets

The risk weighted exposure amount pertaining to the portion of software assets accounted for as intangible assets that is not deducted from CET1 items in accordance with Article 36(1), point (b), of Regulation (EU) No 575/2013, but risk-weighted in accordance with Article 156 of that Regulation.

0460

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

Articles 307, 308 and 309 of Regulation (EU) No 575/2013

0470

1.1.4 Securitisation positions

See CR SEC template

0490

1.2 TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

Article 92(3), point (c)(ii) and Article 92(4), point (b), of Regulation (EU) No 575/2013

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

Article 92(3), points (b)(i), (c)(i) and (c)(iii), and Article 92(4), point (b), of Regulation (EU) No 575/2013

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), Article 350(3), point (c) and Article 364(2), point (a), of Regulation (EU) No 575/2013

Total risk exposure amount for positions in CIUs if capital requirements are calculated in accordance with Article 348(1) of Regulation (EU) No 575/2013 either immediately or as a consequence of the cap laid down in Article 350(3), point (c), of that Regulation. Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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)

Article 92(3), point (e) and Article 92(4), point (b), of Regulation (EU) No 575/2013

For investment firms under Articles 95(2) and 96(2) and Article98 of Regulation (EU) No 575/2013, 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 Article 98(1), point (a), of Regulation (EU) No 575/2013

Only for investment firms under Article 95(2), Article 96(2) and Article 98 of Regulation (EU) No 575/2013. See also Article 97 of Regulation (EU) No 575/2013.

Investment firms under Article 96 of Regulation (EU) No 575/2013 shall report the amount referred to in Article 97 multiplied by 12.5.

Investment firms under Article 95 of Regulation (EU) No 575/2013 shall report as follows:

—

Where the amount referred to in Article 95(2), point (a), of Regulation (EU) No 575/2013 is greater than the amount referred to in point (b), of Article 95(2) of that Regulation, the amount to be reported is zero.

—

Where the amount referred to in Article 95(2), point (b), of Regulation (EU) No 575/2013 is greater than the amount referred to in Article 95(2), point (a), of that Regulation, 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

Article 92(3), point (d), of Regulation (EU) No 575/2013

See CVA template.

0650

1.6.1 Advanced method

Own funds requirements for credit valuation adjustment risk in accordance with Article 383 of Regulation (EU) No 575/2013.

See CVA template.

0660

1.6.2 Standardised method

Own funds requirements for credit valuation adjustment risk in accordance with Article 384 of Regulation (EU) No 575/2013.

See CVA template.

0670

1.6.3. Based on OEM

Own funds requirements for credit valuation adjustment risk in accordance with Article 385 of Regulation (EU) No 575/2013.

See CVA template.

0680

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

Article 92(3), point (b)(ii) and Articles 395 to 401 of Regulation (EU) No 575/2013

0690

1.8 OTHER RISK EXPOSURE AMOUNTS

Articles 3, 458 and 459 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013.

Additional risk exposure amounts due to Article 3 of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013

Article 458 of Regulation (EU) No 575/2013

0720

1.8.2* Of which: requirements for large exposures

Article 458 of Regulation (EU) No 575/2013

0730

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

Article 458 of Regulation (EU) No 575/2013

0740

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

Article 458 of Regulation (EU) No 575/2013

0750

1.8.3 Of which: Additional stricter prudential requirements based on Article 459 of Regulation (EU) No 575/2013

Article 459 of Regulation (EU) No 575/2013

0760

1.8.4 Of which: Additional risk exposure amount due to Article 3 of Regulation (EU) No 575/2013

Article 3 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013, 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

Article 92(2), point (a), of Regulation (EU) No 575/2013

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 Article 92(1), point (a), of Regulation (EU) No 575/2013 (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

0030

3 T1 Capital ratio

Article 92(2), point (b), of Regulation (EU) No 575/2013

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 Article 92(1), point (b), of Regulation (EU) No 575/2013 (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

0050

5 Total capital ratio

Article 92(2), point (c), of Regulation (EU) No 575/2013

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 Article 92(1), point (c), of Regulation (EU) No 575/2013 (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 Article 92(1), point (c), of Regulation (EU) No 575/2013;

(ii)

the additional own funds requirements (Pillar 2 Requirements – P2R) as referred to in Article 104 (1), point (a), of Directive 2013/36/EU, 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 Article 92(1), point (a), of Regulation (EU) No 575/2013;

(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 Article 92(1), point (b), of Regulation (EU) No 575/2013;

(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 Article 128, point (6) of Directive 2013/36/EU.

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 Article 128, point (6) of Directive 2013/36/EU.

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 Article 128, point (6) of Directive 2013/36/EU.

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) of Directive 2013/36/EU, 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 of Regulation (EU) No 575/2013 and 104a of Directive 2013/36/EU

This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirements set in Article 92(1), point (a), of Regulation (EU) No 575/2013 (4,5 %) and Article 104a of Directive 2013/36/EU – excluding additional own funds required to address the risk of excessive leverage under paragraph 3 of that article–, to the extent that the requirement of Article 104a of that Directive 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) of Regulation (EU) No 575/2013 and / or Article 104a of Directive 2013/36/EU 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

Article 92(2), point (a), of Regulation (EU) No 575/2013, Article 473a (8) of that Regulation

0310

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

Article 92(2), point (b), of Regulation (EU) No 575/2013, Article 473a (8) of that Regulation

0320

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

Article 92(2), point (c), of Regulation (EU) No 575/2013, Article 473a (8) of that Regulation

1.5.   C 04.00 - MEMORANDUM ITEMS (CA4)

1.5.1.   Instructions concerning specific positions

Rows

0010

1. Total deferred tax assets

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

0020

1.1 Deferred tax assets that do not rely on future profitability

Article 39(2) of Regulation (EU) No 575/2013

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

Article 36(1), point (c) and Article 38 of Regulation (EU) No 575/2013

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

Article 36(1), point (c); Article 38, and Article 48(1), point (a), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013.

0050

2 Total deferred tax liabilities

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

0060

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

Article 38, paragraphs 3 and 4 of Regulation (EU) No 575/2013

Deferred tax liabilities for which conditions in Article 38, paragraphs 3 and 4 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013

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

Article 38, paragraphs 3, 4 and 5 of Regulation (EU) No 575/2013

Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, in accordance with Article 38, paragraphs 3 and 4 of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013

0090

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

Article 38, paragraphs 3, 4 and 5 of Regulation (EU) No 575/2013

Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, in accordance with Article 38, paragraphs 3 and 4 of Regulation (EU) No 575/2013, and are allocated to deferred tax assets that rely on future profitability and arise from temporary differences, as laid down in Article 38(5) of Regulation (EU) No 575/2013

0093

2A Tax overpayments and tax loss carry backs

Article 39(1) of Regulation (EU) No 575/2013

The amount of tax overpayments and tax loss carry backs which is not deducted from own funds in accordance with Article 39(1) of Regulation (EU) No 575/2013; 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) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013, but subject to a risk weight of 250 % in accordance with Article 48(4) of that Regulation, taking into account the effect of Article 470, Article 478(2) and Article 473a(7), point (a), of the same Regulation. 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 %

Article 469(1), point (d), Article 470, Article 472(5) and Article 478 of Regulation (EU) No 575/2013

The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to Article 469(1), point (d), Article 470 of Regulation (EU) No 575/2013, Article 478 (2) and Article 473a (7). point (a), of that Regulation, but subject to a risk weight of 0 % in accordance with Article 472(5) of that Regulation. The amount reported shall be the amount of DTAs before the application of the risk weight.

0901

2W Software assets accounted for as intangible assets exempted from the deduction from CET1

Article 36(1), point (b), of Regulation (EU) No 575/2013

Institutions shall report the amount of prudently valued software assets exempted from the deduction from CET1 items in accordance with Article 13a of Delegated Regulation (EU) No 241/2014.

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

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

Article 36(1), point (d), Article 62, point (d), Articles 158 and 159 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

This item shall only be reported by IRB institutions.

0120

3.1.1 General credit risk adjustments

Article 159 of Regulation (EU) No 575/2013

This item shall only be reported by IRB institutions.

0130

3.1.2 Specific credit risk adjustments

Article 159 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

This item shall only be reported by IRB institutions.

0140

3.2 Total expected losses eligible

Article 158, paragraphs 5, 6 and 10 and Article 159 of Regulation (EU) No 575/2013

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

0145

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

Article 36(1), point (d), Article 62, point (d) Articles 158 and 159 of Regulation (EU) No 575/2013

This item shall only be reported by IRB institutions.

0150

4.1 Specific credit risk adjustments and positions treated similarly

Article 159 of Regulation (EU) No 575/2013

This item shall only be reported by IRB institutions.

0155

4.2 Total expected losses eligible

Article 158, paragraphs 5, 6 and 10 and Article 159 of Regulation (EU) No 575/2013

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

0160

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

Article 62, point (d), of Regulation (EU) No 575/2013

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 Article 62, point (d), of Regulation (EU) No 575/2013.

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

6 Total gross provisions eligible for inclusion in T2 capital

Article 62, point (c), of Regulation (EU) No 575/2013

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

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

Article 62, point (c), of Regulation (EU) No 575/2013

According to Article 62, point (c), of Regulation (EU) No 575/2013, 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

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

Article 46(1), point (a), of Regulation (EU) No 575/2013

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

9 10 % CET1 threshold

Article 48(1), points (a) and (b), of Regulation (EU) No 575/2013

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

10 17,65 % CET1 threshold

Article 48(1) of Regulation (EU) No 575/2013

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

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

Article 4(1), point (71), point (a), of Regulation (EU) No 575/2013

0230

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

Articles 44, 45, 46 and 49 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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

a)

Underwriting positions held for 5 working days or fewer;

b)

The amounts relating to the investments for which any alternative in Article 49 is applied; and

c)

Holdings which are treated as reciprocal cross holdings in accordance with Article 36(1), point (g), of Regulation (EU) No 575/2013

0260

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

Article 45 of Regulation (EU) No 575/2013

Article 45, point (a), of Regulation (EU) No 575/2013 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

Article 4(1), point (114), and Articles 44 and 45 of Regulation (EU) No 575/2013

0280

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

Article 4(1), point (114), and Articles 44 and 45 of Regulation (EU) No 575/2013

The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.

Holdings which are treated as reciprocal cross holdings in accordance with Article 36(1), point (g), of Regulation (EU) No 575/2013 shall not be included

0290

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

Article 4(1), point (114), and Article 45 of Regulation (EU) No 575/2013

Article 45, point (a), of Regulation (EU) No 575/2013 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

Article 4(1), point (126), and Articles 44 and 45 of Regulation (EU) No 575/2013

0292

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

Article 4(1), point (126), and Articles 44 and 45 of Regulation (EU) No 575/2013

0293

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

Article 4(1), point (126), and Article 45 of Regulation (EU) No 575/2013.

Article 45, point (a), of Regulation (EU) No 575/2013 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

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

Articles 58, 59 and 60 of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

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

a)

Underwriting positions held for 5 working days or fewer; and

b)

Holdings which are treated as reciprocal cross holdings in accordance with Article 56, point (b), of Regulation (EU) No 575/2013

0330

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

Article 59 of Regulation (EU) No 575/2013

Article 59, point (a), of Regulation (EU) No 575/2013 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

Article 4(1), point (114), and Articles 58 and 59 of Regulation (EU) No 575/2013

0350

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

Article 4(1), point (114), and Articles 58 and 59 of Regulation (EU) No 575/2013

The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.

Holdings which are treated as reciprocal cross holdings according to Article 56, point (b), of Regulation (EU) No 575/2013 shall not be included.

0360

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

Article 4(1), point (114), and Article 59 of Regulation (EU) No 575/2013

Article 59, point (a), of Regulation (EU) No 575/2013 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.

0361

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

Article 4(1), point (126), and Articles 58 and 59 of Regulation (EU) No 575/2013

0362

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

Article 4(1), point (126), and Articles 58 and 59 of Regulation (EU) No 575/2013

0363

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

Article 4(1), point (126), and Article 59 of Regulation (EU) No 575/2013.

Article 59, point (a), of Regulation (EU) No 575/2013 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

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

Articles 68, 69 and 70 of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

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

a)

Underwriting positions held for 5 working days or fewer; and

b)

Holdings which are treated as reciprocal cross holdings in accordance with Article 66, point (b), of Regulation (EU) No 575/2013

0400

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

Article 69 of Regulation (EU) No 575/2013

Article 69, point (a), of Regulation (EU) No 575/2013 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

Article 4(1), point (114), and Articles 68 and 69 of Regulation (EU) No 575/2013

0420

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

Article 4(1), point (114), and Articles 68 and 69 of Regulation (EU) No 575/2013

The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.

Holdings which are treated as reciprocal cross holdings in accordance with Article 66, point (b), of Regulation (EU) No 575/2013 shall not be included

0430

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

Article 4(1), point (114), and Article 69 of Regulation (EU) No 575/2013

Article 69, point (a), of Regulation (EU) No 575/2013 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.

0431

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

Article 4(1), point (126), and Articles 68 and 69 of Regulation (EU) No 575/2013

0432

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

Article 4(1), point (126), and Articles 68 and 69 of Regulation (EU) No 575/2013

0433

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

Article 4(1), point (126), and Article 69 of Regulation (EU) No 575/2013.

Article 69, point (a), of Regulation (EU) No 575/2013 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

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

Articles 44, 45, 47 and 49 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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

a)

Underwriting positions held for 5 working days or fewer;

b)

The amounts relating to the investments for which any alternative in Article 49 is applied; and

c)

Holdings which are treated as reciprocal cross holdings in accordance with Article 36(1), point (g), of Regulation (EU) No 575/2013

0470

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

Article 45 of Regulation (EU) No 575/2013

Article 45, point (a), of Regulation (EU) No 575/2013 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.

0480

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

Article 4(1), point (114), and Articles 44 and 45 of Regulation (EU) No 575/2013

0490

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

Article 4(1), point (114), and Articles 44 and 45 of Regulation (EU) No 575/2013

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 Article 36(1), point (g), of Regulation (EU) No 575/2013 shall not be included.

0500

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

Article 4(1), point (114), and Article 45 of Regulation (EU) No 575/2013

Article 45, point (a), of Regulation (EU) No 575/2013 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.

0501

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

Article 4(1), point (126), and Articles 44 and 45 of Regulation (EU) No 575/2013

0502

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

Article 4(1), point (126), and Articles 44 and 45 of Regulation (EU) No 575/2013

0503

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

Article 4(1), point (126), and Article 45 of Regulation (EU) No 575/2013.

Article 45, point (a), of Regulation (EU) No 575/2013 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.

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) of Regulation (EU) No 575/2013

The amount of significant investments in CET1 capital of financial sector entities that are not deducted pursuant to Article 48(1) of Regulation (EU) No 575/2013, but subject to a risk weight of 250 % in accordance with Article 48(4) of that Regulation.

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

0510

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

Articles 58 and 59 of Regulation (EU) No 575/2013

0520

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

Articles 58 and 59 of Regulation (EU) No 575/2013

0530

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

Article 58 of Regulation (EU) No 575/2013

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

a)

Underwriting positions held for 5 working days or fewer (Article 56, point (d), of Regulation (EU) No 575/2013); and

b)

Holdings which are treated as reciprocal cross holdings in accordance with Article 56, point (b), of Regulation (EU) No 575/2013.

0540

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

Article 59 of Regulation (EU) No 575/2013

Article 59, point (a), of Regulation (EU) No 575/2013 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.

0550

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

Article 4(1), point (114), and Articles 58 and 59 of Regulation (EU) No 575/2013

0560

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

Article 4(1), point (114), and Articles 58 and 59 of Regulation (EU) No 575/2013

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 Article 56, point (b), of Regulation (EU) No 575/2013 shall not be included.

0570

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

Article 4(1), point (114), and Article 59 of Regulation (EU) No 575/2013

Article 59, point (a), of Regulation (EU) No 575/2013 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.

0571

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

Article 4(1), point (126), and Articles 58 and 59 of Regulation (EU) No 575/2013

0572

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

Article 4(1), point (126), and Articles 58 and 59 of Regulation (EU) No 575/2013

0573

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

Article 4(1), point (126), and Article 59 of Regulation (EU) No 575/2013.

Article 59, point (a)of Regulation (EU) No 575/2013 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.

0580

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

Articles 68 and 69 of Regulation (EU) No 575/2013

0590

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

Articles 68 and 69 of Regulation (EU) No 575/2013

0600

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

Article 68 of Regulation (EU) No 575/2013

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

a)

Underwriting positions held for 5 working days or fewer (Article 66, point (d), of Regulation (EU) No 575/2013); and

b)

Holdings which are treated as reciprocal cross holdings in accordance with Article 66, point (b), of Regulation (EU) No 575/2013

0610

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

Article 69 of Regulation (EU) No 575/2013

Article 69, point (a), of Regulation (EU) No 575/2013 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.

0620

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

Article 4(1), point (114), and Articles 68 and 69 of Regulation (EU) No 575/2013

0630

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

Article 4(1), point (114), and Articles 68 and 69 of Regulation (EU) No 575/2013

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 Article 66, point (b), of Regulation (EU) No 575/2013 shall not be included

0640

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

Article 4(1), point (114), and Article 69 of Regulation (EU) No 575/2013

Article 69, point (a), of Regulation (EU) No 575/2013 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.

0641

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

Article 4(1), point (126), and Articles 68 and 69 of Regulation (EU) No 575/2013

0642

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

Article 4(1), point (126), and Articles 68 and 69 of Regulation (EU) No 575/2013

0643

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

Article 4(1), point (126), and Article 69 of Regulation (EU) No 575/2013.

Article 69, point (a), of Regulation (EU) No 575/2013 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.

0650

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

Articles 46(4), 48(4) and 49(4) of Regulation (EU) No 575/2013

0660

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

Article 60(4) of Regulation (EU) No 575/2013

0670

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

Article 70(4) of Regulation (EU) No 575/2013

0680

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

Article 79 of Regulation (EU) No 575/2013

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

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

Article 79 of Regulation (EU) No 575/2013

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

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

Article 79 of Regulation (EU) No 575/2013

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

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

Article 79 of Regulation (EU) No 575/2013

A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that these instruments shall also be reported on item 16.1.

0720

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

Article 79 of Regulation (EU) No 575/2013

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

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

Article 79 of Regulation (EU) No 575/2013

A competent authority may waive the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that those instruments shall also be reported on item 17.1.

0740

27 Combined buffer requirement

Article 128, point (6) of Directive 2013/36/EU

0750

Capital conservation buffer

Article 128, point (1) and Article 129 of Directive 2013/36/EU

In accordance with Article 129(1) of Directive 2013/36/EU, 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

Article 458(2), point (d)(iv) of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 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

Article 128, point (2) and Articles 130, 135 to 140 of Directive 2013/36/EU

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

Article 128, point (5), Articles 133 and 134 of Directive 2013/36/EU

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

Article 128, point (3) and Article 131 of Directive 2013/36/EU

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

Article 128, point (4) and Article 131 of Directive 2013/36/EU

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

0820

28 Own funds requirements related to Pillar II adjustments

Article 104a(1) of Directive 2013/36/EU.

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

29 Initial capital

Articles 12 and 28 to 31 of Directive 2013/36/EU and Article 93 of Regulation (EU) No 575/2013

0840

30 Own funds based on Fixed Overheads

Article 95(2), point b, Article 96(2), point (b), Article 97 and Article 98(1), point (a), of Regulation (EU) No 575/2013

The amount reported shall be the own funds requirement resulting from the application of the abovementioned Articles.

0850

31 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.

By derogation from Article 21(1), point (a), of this Implementing Regulation, this row shall always be filled in.

0860

32 Total 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.

By derogation from Article 21(1), point (a), of this Implementing Regulation, this row shall always be filled in.

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 of Regulation (EU) No 575/2013.

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 Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013, compared to applying the final provisions laid down in Part Two, Title II of that Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013).

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) of Regulation (EU) No 575/2013 due to transitional provisions. The amounts reported shall consider the application of provisions of Part Three, Title II, Chapter 2 or 3 or of Part Three, Title IV in accordance with Article 92(4) of Regulation (EU) No 575/2013. That means that transitional amounts subject to Part Three, Title II, Chapter 2 or 3 shall be reported as risk weighted exposure amounts, whereas transitional amounts subject to Part Three, Title IV 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

1. Total adjustments

This row reflects the overall effect of transitional adjustments in the different types of capital, plus the risk weighted amounts arising from those adjustments

0020

1.1 Grandfathered instruments

Articles 483 to 491 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Directive 2014/59/EU or are subject to set-off or netting arrangements

Article 494b of Regulation (EU) No 575/2013

Institutions shall report the amount of instruments within the scope of Article 494b of Regulation (EU) No 575/2013 that do not meet one or several eligibility criteria of Article 52(1), points (p), (q) and (r), of that Regulation or Article 63 points (n), (o) and (p), of that Regulation, as applicable.

In case of Tier 2 instruments eligible in accordance with Article 494b(2) of Regulation (EU) No 575/2013, the amortisation provisions of Article 64 of that Regulation shall be observed.

0063

1.1.4.1* of which: Instruments without legally or contractually mandatory write-down or conversion upon exercise of powers in accordance with Article 59 of Directive 2014/59/EU

Article 494b, Article 52(1), point (p) and Article 63, point (n), of Regulation (EU) No 575/2013

Institutions shall report the amount of instruments within the scope of Article 494b of Regulation (EU) No 575/2013 that do not meet the eligibility criteria of Article 52(1), point (p) or point (n), of Article 63 of that Regulation, as applicable.

This shall also include instruments that additionally do not meet the eligibility criteria of Article 52(1), points (q) or (r), of Regulation (EU) No 575/2013 or Article 63, points (o) or (p), of that Regulation , as applicable.

0064

1.1.4.2* of which: Instruments governed by third-country law without effective and enforceable exercise of powers in accordance with Article 59 of Directive 2014/59/EU

Article 494b, Article 52(1), point (q) and Article 63, point (o), of Regulation (EU) No 575/2013

Institutions shall report the amount of instruments within the scope of Article 494b of Regulation (EU) No 575/2013 that do not meet the eligibility criteria of Article 52(1), point (q) or Article 63, point (o), of that Regulation, as applicable.

This shall include also instruments that additionally do not meet the eligibility criteria of Article 52(1), points (p) or (r), of Regulation (EU) No 575/2013 or Article 63, points (n) or (p), of that Regulation , as applicable.

0065

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

Article 494b, Article 52(1), point (r) and Article 63, point (p), of Regulation (EU) No 575/2013

Institutions shall report the amount of instruments within the scope of Article 494b of Regulation (EU) No 575/2013 that do not meet the eligibility criteria of Article 52(1), point (r), of that Regulation or Article 63, point (p), of the Regulation, as applicable.

This shall also include instruments that additionally do not meet the eligibility criteria of Article 52(1), point (p) or (q) of Regulation (EU) No 575/2013 or Article 63, points (n) or (o), of that Regulation, as applicable.

0070

1.2 Minority interests and equivalents

Articles 479 and 480 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

0140

1.3.2 Deductions

Article 36(1) and Articles 469 to 478 of Regulation (EU) No 575/2013

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

Article 36(1), point (c), Articles 469(1) and 472(5) and Article 478 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013.

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

Article 470, paragraphs 2 and 3 of Regulation (EU) No 575/2013

The amount to be reported in column 0060 of this row: Article 470(1) of Regulation (EU) No 575/2013

0385

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

Article 469(1), point (c) ,Article 472(5) and Article 478 of Regulation (EU) No 575/2013

Part of deferred tax assets that rely in future profitability and arise from temporary differences which exceeds the 10 % threshold in Article 470(2), point (a), of Regulation (EU) No 575/2013.

0425

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

Article 471 of Regulation (EU) No 575/2013

0430

1.3.3 Additional filters and deductions

Article 481 of Regulation (EU) No 575/2013

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

In accordance with Article 481 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

In case of A 2, IRB the amount reported is the amount net of expected lossess as required by Article 473a(5), point (a), of Regulation (EU) No 575/2013.

0442

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

The sum of and as referred to in Article 473a(1) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

In case of A 4, IRB the amount reported is the amount net of expected losses as required by Article 473a (5), points (b) and (c), of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013).

1.6.3.1   Instructions concerning specific positions

Columns

0010

Amount of instruments plus related share premium

Article 484, paragraphs 3, 4 and 5 of Regulation (EU) No 575/2013

Instruments which are eligible for each respective row, including their related share premiums.

0020

Base for calculating the limit

Article 486, paragraphs 2, 3 and 4 of Regulation (EU) No 575/2013

0030

Applicable percentage

Article 486(5) of Regulation (EU) No 575/2013

0040

Limit

Article 486, paragraphs 2 to 5 of Regulation (EU) No 575/2013

0050

(-) Amount that exceeds the limits for grandfathering

Article 486(2) to (5) of Regulation (EU) No 575/2013

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

1. Instruments that qualified for Article 57, point (a), of Directive 2006/48/EC

Article 484(3) of Regulation (EU) No 575/2013

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

0020

2. Instruments that qualified for Article 57, point (ca) and Article 154(8) and (9) of Directive 2006/48/EC, subject to the limit of Article 489 of Regulation (EU) No 575/2013

Article 484(4) of Regulation (EU) No 575/2013

0030

2.1 Total instruments without a call or an incentive to redeem

Article 484(4) and Article 489 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

0050

2.2.1 Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of Regulation (EU) No 575/2013 after the date of effective maturity

Article 489(3) and Article 491, point (a), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 after the date of effective maturity

Article 489(5) and Article 491, point (a), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 after the date of effective maturity

Article 489(6) and Article 491, point (c), of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

The excess on the limit of CET1 grandfathered instruments may be treated as instruments which can be grandfathered as AT1 instruments.

0090

3. Items that qualified for Article 57, points (e), (f), (g) or (h), of Directive 2006/48/EC, subject to the limit of Article 490 of Regulation (EU) No 575/2013

Article 484(5) of Regulation (EU) No 575/2013

0100

3.1 Total items without an incentive to redeem

Article 490 of Regulation (EU) No 575/2013

0110

3.2 Grandfathered items with an incentive to redeem

Article 490 of Regulation (EU) No 575/2013

0120

3.2.1 Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of Regulation (EU) No 575/2013 after the date of effective maturity

Article 490(3) and Article 491, point (a), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 after the date of effective maturity

Article 490(5) and Article 491, point (a) of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 after the date of effective maturity

Article 490(6) and Article 491, point (c), of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

The excess on the limit of AT1 grandfathered instruments may be treated as instruments which can be grandfathered as T2 instruments.

2.   GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

2.1.   GENERAL REMARKS

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 of Regulation (EU) No 575/2013 shall only report the columns 0010 to 0060 and 0250 to 0400.

29.

The figures reported take into account all applicable transitional provisions of Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013 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

0011-0060

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 Part One, Title II, Chapter 2 of Regulation (EU) No 575/2013.

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 Regulation (EU) No 575/2013 and Directive 2013/36/EU or provisions at least equivalent to Basel provisions.

“NO” shall be reported otherwise.

Minority interests:

Article 81(1), point (a)(ii) and Article 82(1), point (a)(ii) of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 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

Article 4(1), point (1), of Regulation (EU) No 575/2013;

(b)

investment firm

Article 4(1), point (2), of Regulation (EU) No 575/2013;

(c)

financial institution (other)

Article 4(1), points (20), (21) and (26), of Regulation (EU) No 575/2013

Financial institutions within the meaning of Article 4(1), point (26), of Regulation (EU) No 575/2013 which are not included in any of the categories (d), (f) or (g);

(d)

(mixed) financial holding company

Article 4(1), points (20) and (21), of Regulation (EU) No 575/2013;

(e)

ancillary services undertaking

Article 4(1), point (18), of Regulation (EU) No 575/2013;

(f)

securitisation special purpose entity (SSPE),

Article 4(1), point (66), of Regulation (EU) No 575/2013;

(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 Regulation (EU) No 575/2013 and Directive 2013/36/EU, 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 Article 4(1), point (16), of Regulation (EU) No 575/2013, 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 (Part One, Title II, Chapter 2 of Regulation (EU) No 575/2013), are effectively subject to solvency requirements laid down in Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 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

Article 87(1), point (b), of Regulation (EU) No 575/2013

0150

TOTAL TIER 1 CAPITAL

Article 25 of Regulation (EU) No 575/2013

0160

OF WHICH: QUALIFYING TIER 1 CAPITAL

Article 82 of Regulation (EU) No 575/2013

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 Regulation (EU) No 575/2013 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

of Article 85(1), point (b), of Regulation (EU) No 575/2013

0180

COMMON EQUITY TIER 1 CAPITAL

Article 50 of Regulation (EU) No 575/2013

0190

OF WHICH: MINORITY INTERESTS

Article 81 of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required by Article 84 of Regulation (EU) No 575/2013, 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 Regulation (EU) No 575/2013 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

Article 84(1), point (b), of Regulation (EU) No 575/2013

0210

ADDITIONAL TIER 1 CAPITAL

Article 61 of Regulation (EU) No 575/2013

0220

OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

Articles 82 and 83 of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required in Article 85 of Regulation (EU) No 575/2013, 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 Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013

0240

OF WHICH: QUALIFYING TIER 2 CAPITAL

Articles 82 and 83 of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in Article 87 of Regulation (EU) No 575/2013, if relevant, in accordance with Article 87(2) of that Regulation , 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 Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013, 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 Regulation (EU) No 575/2013. 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 Part Two, Title II of Regulation (EU) No 575/2013, excluding any fund brought in by other group entities.

0300

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

Article 87 of Regulation (EU) No 575/2013

0310

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

Article 85 of Regulation (EU) No 575/2013

0320

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

Article 84 of Regulation (EU) No 575/2013

The amount to be reported shall the amount of minority interests of a subsidiary that is included in consolidated CET1 in accordance with the Regulation (EU) No 575/2013.

0330

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

Article 86 of Regulation (EU) No 575/2013

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 Regulation (EU) No 575/2013.

0340

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

Article 88 of Regulation (EU) No 575/2013

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 Regulation (EU) No 575/2013.

0350

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

0360-0400

CONSOLIDATED OWN FUNDS

Article 18 of Regulation (EU) No 575/2013

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 Directive 2013/36/EU and on Regulation (EU) No 575/2013, including any transitional provisions provided for therein.

0410

COMBINED BUFFER REQUIREMENT

Article 128, point (6) of Directive 2013/36/EU

0420

CAPITAL CONSERVATION BUFFER

Article 128, point (1) and Article 129 of Directive 2013/36/EU

In accordance with Article 129(1) of Directive 2013/36/EU, the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2.5 % is stable, an amount shall be reported in this cell.

0430

INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER

Article 128, point (2), Article 130 and Articles 135 to 140 of Directive 2013/36/EU

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

Article 458(2),point (d)(iv) of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 in addition to the capital conservation buffer, shall be reported in this cell.

0450

SYSTEMIC RISK BUFFER

Article 128, point (5), Articles 133 and 134 of Directive 2013/36/EU

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

0470

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Article 128, point (3) and Article 131 of Directive 2013/36/EU

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

0480

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Article 128, point (4) and Article 131 of Directive 2013/36/EU

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

3.   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:

a)

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

b)

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

3.2.2.   Scope of the CR SA template

46.

In accordance with Article 112 of Regulation (EU) No 575/2013 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 Article 112, point (m), of Regulation (EU) No 575/2013, 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 Part Three, Title II of Regulation (EU) No 575/2013 in the banking book, among which Counterparty credit risk in accordance with Part Three, Title II, Chapters 4 and 6 of that Regulation in the banking book;

(b)

Counterparty credit risk in accordance with Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013 in the trading book;

(c)

Settlement risk arising from free deliveries in accordance with Article 379 of Regulation (EU) No 575/2013 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 Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013 in conjunction with Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013. Institutions that apply Article 94(1) of Regulation (EU) No 575/2013 also need to report their trading book positions referred to in Article 92(3), point (b), of that Regulation in this template when they apply Part Three, Title II, Chapter 2 of that Regulation to calculate the own funds requirements thereof (Part Three, Title II, Chapters 2 and 6 and Part Three, Title V of that Regulation). 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 (Article 112, point (a), of Regulation (EU) No 575/2013 of Regulation (EU) No 575/2013);

(b)

Regional governments or local authorities (Article 112, point (b), of Regulation (EU) No 575/2013);

(c)

Public sector entities (Article 112, point (c), of Regulation (EU) No 575/2013);

(d)

Institutions (Article 112, point (f), of Regulation (EU) No 575/2013);

(e)

Corporates (Article 112, point (g), of Regulation (EU) No 575/2013);

(f)

Retail (Article 112, point (h), of Regulation (EU) No 575/2013).

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 Article 112, points (a) to (c) and (f) to (h), of Regulation (EU) No 575/2013 nor of the exposure classes referred to in Article 112, points (i) and (j), of that Regulation 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 of Regulation (EU) No 575/2013and 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013, 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 Article 112, point (i), of Regulation (EU) No 575/2013 (exposures secured by mortgages on immovable property).

59.

Article 112 of Regulation (EU) No 575/2013 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 (Article 112, point (n), of Regulation (EU) No 575/2013) and exposures to institutions (Article 112, point (f), of Regulation (EU) No 575/2013)/ exposures to corporates ( Article 112, point (g), of Regulation (EU) No 575/2013). In that case, it is clear that there is an implicit prioritisation in that Regulation 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 Article 112, point (n), of Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013 provisions. That does not prohibit institutions from applying other internal assignment procedures that may also be consistent with all relevant Regulation (EU) No 575/2013 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:

1.

Securitisation positions;

2.

Items associated with particular high risk;

3.

Equity exposures

4.

Exposures in default;

5.

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

6.

Exposures secured by mortgages on immovable property;

7.

Other items;

8.

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

9.

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

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 (Article 132a, points (1) and (2), of Regulation (EU) No 575/2013) 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013.

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 REGULATION (EU) No 575/2013

Original exposure pre-conversion factors

Does it fit for being assigned to the exposure class of Article 112, point (m), of Regulation (EU) No 575/2013?

YES

Securitisation positions

NO

Does it fit for being assigned to the exposure class of Article 112, point (k), of Regulation (EU) No 575/2013?

YES

Items associated with particular high risk (see also Article 128 of Regulation (EU) No 575/2013)

NO

Does it fit for being assigned to the exposure class of Article 112, point (p), of Regulation (EU) No 575/2013?

YES

Equity exposures (see also Article 133 of Regulation (EU) No 575/2013)

NO

Does it fit for being assigned to the exposure class of Article 112, point (j), of Regulation (EU) No 575/2013?

YES

Exposures in default

NO

Does it fit for being assigned to the exposure classes of Article 112, points (l) and (o), of Regulation (EU) No 575/2013?

YES

Exposures in the form of units or shares in collective investment undertakings (CIU)

Exposures in the form of covered bonds (see also Article 129 of Regulation (EU) No 575/2013)

These two exposure classes are disjoint among themselves (see comments on the look-through approach in the answer above). Therefore the assignment to one of them is straightforward.

NO

Does it fit for being assigned to the exposure class of Article 112, point (i), of Regulation (EU) No 575/2013?

YES

Exposures secured by mortgages on immovable property (see also Article 124 of Regulation (EU) No 575/2013)

NO

Does it fit for being assigned to the exposure class of Article 112, point (q), of Regulation (EU) No 575/2013?

YES

Other items

NO

Does it fit for being assigned to the exposure class of Article 112, point (n), of Regulation (EU) No 575/2013?

YES

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

NO

The exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward.

Exposures to central governments or central banks

Exposures to regional governments or local authorities

Exposures to public sector entities

Exposures to multilateral development banks

Exposures to international organisations

Exposures to institutions

Exposures to corporates

Retail exposures

3.2.4.   Clarifications on the scope of some specific exposure classes referred to in Article 112 of Regulation (EU) No 575/2013

3.2.4.1.   Exposure Class “Institutions”

66.

Intra-group exposures referred to in Article 113, paragraphs 6 and 7 of Regulation (EU) No 575/2013 shall be reported as follows:

67.

Exposures which fulfil the requirements of Article 113(7) of Regulation (EU) No 575/2013 shall be reported in the respective exposure classes where they would be reported if they were not intra-group exposures.

68.

According to Article 113, paragraphs 6 and 7 of Regulation (EU) No 575/2013 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  ( 2 ) . 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  ( 3 ) shall fulfil the requirements of Article 129, paragraphs 1 and 2 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013.

3.2.4.3.   Exposure class “Collective Investment Undertakings”

71.

Where the possibility referred to in Article 132a (2) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013.

3.2.5.   Instructions concerning specific positions

Columns

0010

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Exposure value calculated in accordance with Article 111 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013:

1.

For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to counterparty credit risk (Part Three, Title II, Chapter 4 or Chapter 6 of Regulation (EU) No 575/2013) the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk (see instructions to column 0210).

2.

Exposure values for leases shall be subject to Article 134(7) of Regulation (EU) No 575/2013. 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).

3.

In the case of on-balance sheet netting as laid down in Article 219 of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013

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 Article 36(1), point (m) 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 Article 4(1), point (57), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013

Article 239(3) of Regulation (EU) No 575/2013 contains the formula for the calculation of the adjusted value G A of an unfunded credit protection.

0050

Guarantees

Article 203 of Regulation (EU) No 575/2013

Unfunded Credit Protection as defined in Article 4(1), point (59), of Regulation (EU) No 575/2013 which does not include Credit Derivatives.

0060

Credit derivatives

Article 204 of Regulation (EU) No 575/2013

0070 – 0080

Funded credit protection

These columns refer to funded credit protection as defined in Article 4(1), point (58), of Regulation (EU) No 575/2013 and subject to the rules laid down in Articles 196, 197 and 200 of that Regulation. 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 of Regulation (EU) No 575/2013 and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 of Regulation (EU) No 575/2013 shall be treated as cash collateral.

0070

Financial collateral: simple method

Article 222, paragraphs 1 and 2 of Regulation (EU) No 575/2013.

0080

Other funded credit protection

Article 232 of Regulation (EU) No 575/2013.

0090 - 0100

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Article 222(3), Article 235, paragraphs 1 and 2 and Article 236 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013. They also include credit linked notes (Article 218 of Regulation (EU) No 575/2013)

Credit linked notes as referred to in Article 218 of Regulation (EU) No 575/2013 and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 of that Regulation 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 of Regulation (EU) No 575/2013.

0120

Volatility adjustment to the exposure

Article 223, paragraphs 2 and 3 of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013.

For trading book operations, financial collateral and commodities eligible for trading book exposures in accordance with Article 299(2), points (c) to (f), of Regulation (EU) No 575/2013 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 Part Three, Title II, Chapter 4, Sections 4 and 5 of Regulation (EU) No 575/2013.

0140

(-) Of which: Volatility and maturity adjustments

Article 223(1) of Regulation (EU) No 575/2013 and Article 239(2) of that Regulation.

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) of Regulation (EU) No 575/2013.

0160 - 0190

Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors

Article 111(1) and Article 4(1), point (56), of Regulation (EU) No 575/2013. See also Articles 222(3) and 228(1) of Regulation (EU) No 575/2013.

The figures reported shall be the fully adjusted exposure values before application of the conversion factor.

0200

Exposure value

Article 111 of Regulation (EU) No 575/2013 and Part Three, Title II, Chapter 4, Section 4 of that Regulation.

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 Part Three, Title II, Chapter 2, Section 2 of Regulation (EU) No 575/2013.

Exposure values for leases are subject to Article 134(7) of Regulation (EU) No 575/2013. 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 Part Three, Title II, Chapter 4 and Chapter 6 of Regulation (EU) No 575/2013, which is the relevant amount for the calculation of risk weighted exposure amounts, i.e. having applied CRM techniques as applicable in accordance with Part Three, Title II, Chapter 4 and Chapter 6 of Regulation (EU) No 575/2013 and considering the deduction of the incurred CVA loss as referred to in Article 273(6) of that Regulation.

The exposure value for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013 as long as they are outstanding with a central counterparty (CCP), including CCP-related transactions defined in point (2) of Article 300 of that Regulation.

0215

Risk weighted exposure amount pre supporting factors

Article 113, paragraphs 1 to 5 of Regulation (EU) No 575/2013, without taking into account the SME and infrastructure supporting factors laid down in Article 501 and Article 501a of that Regulation

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 Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013, as applicable and RWEA* in accordance with Article 501, point (1) of that Regulation

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 Part Three, Title II of Regulation (EU) No 575/2013 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 of that Regulation.

0220

Risk weighted exposure amount after supporting factors

Article 113, paragraphs 1 to 5 of Regulation (EU) No 575/2013, taking into account the SME and infrastructure supporting factors laid down in Article 501 and Article 501a of that Regulation

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

Article 112, points (a) to (d), (f), (g), (l), (n), (o) and (q), of Regulation (EU) No 575/2013

0240

Of which: with a credit assessment derived from central government

Article 112, points (b) to (d), (f), (g), (l) and (o), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013 or meets the criteria set in Article 128(3) or Article 133 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013 shall be reported here.

0035

of which: Exposures subject to the infrastructure supporting factor

Only exposures which meet the requirements of Article 501a of Regulation (EU) No 575/2013 shall be reported here.

0040

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

Article 125 of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

0060

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

Article 148(1) of Regulation (EU) No 575/2013

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 Article 92(3), point (f) and Article 299(2) of Regulation (EU) No 575/2013 shall be assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) of Regulation (EU) No 575/2013 also break down their “trading book” positions referred to in Article 92(3), point (b), of that Regulation 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 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 (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 of Regulation (EU) No 575/2013.

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 Article 4(1), point (139), of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013 as long as they are outstanding with a qualifying central counterparty (QCCP) as defined in Article 4(1), point (88), of that Regulation, including QCCP-related transactions, for which the risk weighted exposure amounts are calculated in accordance with Part Three, Title II, Chapter 6, Section 9 of that Regulation. QCCP-related transaction has the same meaning as CCP-related transaction in Article 300(2) of Regulation (EU) No 575/2013, when the CCP is a QCCP.

0110

Derivatives and Long Settlement Transactions netting sets

Netting sets containing only derivatives listed in Annex II of Regulation (EU) No 575/2013 and long settlement transactions as defined in Article 272(2) of that Regulation.

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

Netting sets containing transactions of different product categories (Article 272(11) of Regulation (EU) No 575/2013), i.e. derivatives and SFTs, for which a contractual cross product netting agreement as defined in Article 272(25) of Regulation (EU) No 575/2013 exists.

0140-0280

BREAKDOWN OF EXPOSURES BY RISK WEIGHTS

0140

0  %

0150

2 %

Article 306(1) of Regulation (EU) No 575/2013

0160

4 %

Article 305(3) of Regulation (EU) No 575/2013

0170

10  %

0180

20  %

0190

35  %

0200

50  %

0210

70 %

Article 232(3), point (c), of Regulation (EU) No 575/2013.

0220

75  %

0230

100  %

0240

150  %

0250

250 %

Articles 133(2) and 48(4) of Regulation (EU) No 575/2013

0260

370 %

Article 471 of Regulation (EU) No 575/2013

0270

1 250  %

Article 133(2) and Article 379 of Regulation (EU) No 575/2013

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.

Article 113, paragraphs 1 to 5 of Regulation (EU) No 575/2013.

Unrated nth-to-default credit derivatives under the Standardised approach (Article 134(6) of Regulation (EU) No 575/2013) shall be reported in this row under the exposure class “Other items”.

See also Article 124(2) and Article 152(2), point (b), of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013.

0281

Look-through approach

Article 132a(1) of Regulation (EU) No 575/2013.

0282

Mandate-based approach

Article 132a(2) of Regulation (EU) No 575/2013.

0283

Fall-back approach

Article 132(2) of Regulation (EU) No 575/2013.

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

Article 112, point (i), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 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 %

Article 112, point (j), of Regulation (EU) No 575/2013

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

Article 112, point (i), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 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 %

Article 112, point (j) of Regulation (EU) No 575/2013

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:

i.

Credit risk in the banking book, among which:

—

Counterparty credit risk in the banking book;

—

Dilution risk for purchased receivables;

ii.

Counterparty credit risk in the trading book;

iii.

Free deliveries resulting from all business activities.

73.

The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated in accordance with Part Three, Title II, Chapter 3, Articles 151 to 157 of Regulation (EU) No 575/2013 (IRB approach).

74.

The CR IRB template does not cover the following data:

i.

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

ii.

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

iii.

“Other non credit-obligation assets”, as referred to in Article 147(2), point (g), of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013. 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:

1)

Total

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

2)

Central banks and central governments

(Article 147(2), point (a), of Regulation (EU) No 575/2013)

3)

Institutions

(Article 147(2), point (b), of Regulation (EU) No 575/2013)

4.1)

Corporate – SME

(Article 147(2), point (c), of Regulation (EU) No 575/2013). 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) of Regulation (EU) No 575/2013)

4.3)

Corporate – Other

(All exposures to corporates as referred to in Article 147(2), point (c), of Regulation (EU) No 575/2013, not reported under 4.1 and 4.2).

5.1)

Retail – Secured by immovable property SME

(Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 in conjunction with Article 154(3) of that Regulation 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 Article 147(2), point (d), of Regulation (EU) No 575/2013 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 Article 147(2), point (d), of Regulation (EU) No 575/2013 in conjunction with Article 154(4) of that Regulation).

5.4)

Retail – Other SME

(Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 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 Article 147(2), point (d), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 and Article 166, paragraphs 1, 2, 4, 5, 6 and 7 of that Regulation.

The effect resulting from Article 166(3) of Regulation (EU) No 575/2013 (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 (Part Three, Title II, Chapter 4 or Chapter 6 of Regulation (EU) No 575/2013), 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 Article 142(1), points (4) and (5), of Regulation (EU) No 575/2013 subject to the higher coefficient of correlation determined in accordance with Article 153(2) of that Regulation.

0040-0080

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

Credit risk mitigation as defined in Article 4(1), point (57), of Regulation (EU) No 575/2013 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 Article 4(1), point (59), of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013 shall be provided.

When own estimates of LGD are used in accordance with Article 183 of Regulation (EU) No 575/2013 (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) of Regulation (EU) No 575/2013 shall be provided.

Where own estimates of LGD are used in accordance with Article 183, paragraph 3 of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 and the second sentence of Article 230(1) of that Regulation shall be reported.

For the instruments referred to in Annex I, credit conversion factors and percentages in accordance with Article 166, paragraphs 8, 9 and 10 of Regulation (EU) No 575/2013 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 Article 142(1), points (4) and (5), of Regulation (EU) No 575/2013 subject to the higher coefficient of correlation determined in accordance with Article 153(2) of that Regulation.

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.

The reported collateral values shall be capped at the exposures value.

Where own estimates of LGD are not used, Article 228(2), Article 230(1) and (2) and Article 231 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 shall be taken into account. For retail exposures, Article 164(2) of Regulation (EU) No 575/2013 shall be taken into account.

—

Regarding funded credit protection, the collateral shall be taken into account in the LGD estimates in accordance with Article 181(1), points (e) and (f), of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013.

0171

CASH ON DEPOSIT

Article 200, point (a), of Regulation (EU) No 575/2013

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

Article 200, point (b), of Regulation (EU) No 575/2013

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

Article 200, point (c), of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013, institutions treat instruments repurchased on request that are eligible under Article 200, point (c), of that Regulation 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 Article 299(2), points (c) to (f), of Regulation (EU) No 575/2013 shall be included. Credit linked notes and on -balance sheet netting in accordance with Part Three, Title II, Chapter 4, Section 4 of Regulation (EU) No 575/2013 shall be treated as cash collateral.

Where own estimates of LGD are not used, for eligible financial collateral in accordance with Article 197 of Regulation (EU) No 575/2013, the adjusted value (Cvam) as set out in Article 223(2) of that Regulation 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 Article 181(1), points (e) and (f), of Regulation (EU) No 575/2013. 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 Article 199, paragraphs 1 to 8 of Regulation (EU) No 575/2013 and Article 229 of that Regulation.

Where own estimates of LGD are used, other collateral shall be taken into account in the LGD estimates in accordance with Article 181(1), points (e) and (f), of Regulation (EU) No 575/2013.

0190

REAL ESTATE

Where own estimates of LGD are not used, values shall be determined in accordance with Article 199, paragraphs 2, 3 and 4 of Regulation (EU) No 575/2013 and shall be reported in this column. Leasing of real estate property shall also be included (see Article 199(7) of Regulation (EU) No 575/2013). See also Article 229 of Regulation (EU) No 575/2013.

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 Article 199, paragraphs 6 and 8 of Regulation (EU) No 575/2013 and shall be reported in this column. Leasing of property different from real estate shall also be included (see Article 199(7) of Regulation (EU) No 575/2013). See also Article 229(3) of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 and taking into account Article 202 and Article 217(1) of that Regulation.

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 Part Three, Title II, Chapters 3 and 4 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013.

For defaulted exposures, Article 181(1), point (h), of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013.

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 Article 181, paragraphs 1 and 2 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013. 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 Article 142(1), point (4) of Regulation (EU) No 575/2013 and to unregulated financial sector entities as defined in Article 142(1), point (5) of Regulation (EU) No 575/2013 subject to the higher coefficient of correlation determined in accordance with Article 153(2) of Regulation (EU) No 575/2013

0250

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

The value reported shall be determined in accordance with Article 162 of Regulation (EU) No 575/2013. 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 Article 153, paragraphs 1, 2, 3 and 4 of Regulation (EU) No 575/2013; For retail, see Article 154(1) of Regulation (EU) No 575/2013

The SME and infrastructure supporting factors laid down in Articles 501 and 501a of Regulation (EU) No 575/2013 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 Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013, as applicable and RWEA* in accordance with Article 501 of that Regulation.

0257

(-) 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 Part Three, Title II of Regulation (EU) No 575/2013 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 of that Regulation

0260

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

For central governments and central banks, corporate and institutions, see Article 153, paragraphs 1, 2, 3 and 4 of Regulation (EU) No 575/2013. For retail, see Article 154(1) of Regulation (EU) No 575/2013.

The SME and infrastructure supporting factors laid down in Articles 501 and 501a of Regulation (EU) No 575/2013 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 Article 142(1), point (4) of Regulation (EU) No 575/2013 and to unregulated financial sector entities as defined in Article 142(1), point (5) of that Regulation , subject to the higher coefficient of correlation determined in accordance with Article 153(2) of that Regulation.

0280

EXPECTED LOSS AMOUNT

For the definition of Expected Loss, see Article 5(3) of Regulation (EU) No 575/2013 and, for the calculation of expected loss amounts, see Article 158 of that Regulation. For defaulted exposures, see Article 181(1), point (h), of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 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

Article 172, paragraphs 1 and 2 of Regulation (EU) No 575/2013.

For all exposure classes, with the exception of the exposure class retail and the cases mentioned in the second sentence of Article 172(1), point (e), of Regulation (EU) No 575/2013, 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 Article 172(1), point (e), of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 shall be reported here.

0016

of which: Exposures subject to the infrastructure supporting factor

Only exposures which meet the requirements of Article 501a of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 (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) of Regulation (EU) No 575/2013, as well as those items that are listed in Annex I of that Regulation.

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 Article 142(1), point (6) and Article 170(1), point (c), of Regulation (EU) No 575/2013.

For retail exposures see Article 170(3), point (b), of Regulation (EU) No 575/2013. For exposures arising from purchased receivables, see Article 166(6) of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013. This shall only apply to the exposure classe corporate – specialised lending.

0160

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

Article 193, paragraphs 1 and 2, Article 194, paragraphs 1 to 7 and Article 230(3) of Regulation (EU) No 575/2013.

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 Article 379(2), first subparagraph of Regulation (EU) No 575/2013 is used, or for which a 100 % risk weight is applied in accordance with the last subparagraph of Article 379(2) of Regulation (EU) No 575/2013. Unrated nth-to-default credit derivatives in accordance with Article 153(8) of Regulation (EU) No 575/2013 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 Article 4(1), point (53), of Regulation (EU) No 575/2013 for a definition of dilution risk. For calculation of risk weighted exposure amounts for dilution risk see Article 157 of Regulation (EU) No 575/2013. 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 Article 452(g), points (i) to (v), of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013, which is included in template C 08.06. This template excludes counterparty credit risk (CCR) exposures (Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013).

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) of Regulation (EU) No 575/2013 without taking into account any credit risk adjustments

0020

OFF-BALANCE SHEET EXPOSURES PRE-CONVERSION FACTORS

Exposure value in accordance with Article 166, paragraphs (1) to (7) of Regulation (EU) No 575/2013, without taking into account any credit risk adjustments and any conversion factors, neither own estimates nor conversion factors specified in Article 166(8) of Regulation (EU) No 575/2013, or any percentages specified in Article 166(10) of that Regulation

Off balance sheet exposures shall comprise all committed but undrawn amounts and all off-balance sheet items, as listed in Annex I of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013

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 Article 166, paragraphs (8) to (10) of Regulation (EU) No 575/2013 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.

This column does not need to be filled in for the total of all exposures classes.

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) of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013.

For defaulted exposures under A-IRB approach, provisions laid down in Article 181(1), point (h), of Regulation (EU) No 575/2013 shall be considered. The LGD reported shall correspond to the estimate of LGD in-default in accordance with the applicable estimation methodologies.

This column does not need to be filled in for the total of all exposures classes.

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 of Regulation (EU) No 575/2013.

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 Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013. 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 Article 153, paragraphs (1) to (4); for retail exposures, the risk weighted exposure amount calculated in accordance with Article 154 of Regulation (EU) No 575/2013

The SME and infrastructure supporting factors laid down in Articles 501 and Article 501a of Regulation (EU) No 575/2013 shall be taken into account.

0100

EXPECTED LOSS AMOUNT

The expected loss amount calculated in accordance with Article 158 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013.

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 %.

{r0170, c0050} and {r0170, c0070} shall be reported for each exposure class, but not for the total of all exposures classes.

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 Article 438, point (h), of Regulation (EU) No 575/2013 of Regulation (EU) No 575/2013. This template excludes counterparty credit risk (CCR) exposures ( Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013).

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 of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 Article 452, point (h), of Regulation (EU) No 575/2013. 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 (Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013).

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 of Regulation (EU) No 575/2013.

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 Article 4(1), point (78), of Regulation (EU) No 575/2013

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 in accordance with Article 180(1), point (f), of Regulation (EU) No 575/2013 (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 Article 180(1), point (f), of Regulation (EU) No 575/2013 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 Article 180(1), point (f), of Regulation (EU) No 575/2013. 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 Article 438, point (e), of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013

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 Article 153(5), table 1 of Regulation (EU) No 575/2013.

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 Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013 or to the IRB approach laid down in Part Three, Title II, Chapter 3 of that Regulation, 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 0030 to 0050 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 OF REGULATION (EU) No 575/2013

Institutions shall use the exposure value before CRM in accordance with Article 166 of Regulation (EU) No 575/2013.

0020

TOTAL EXPOSURE VALUE SUBJECT TO SA AND IRB

Institutions shall use the exposure value before CRM in accordance with Article 429(4) of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013. 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 Article 112, point (j), of Regulation (EU) No 575/2013 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 Article 112, points (j), (k) and (p), of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013, as well as Regulation (EU) 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 Article 62, point (c), of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013, as well as Regulation (EU) 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 of Regulation (EU) No 575/2013.

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

Article 112, point (a), of Regulation (EU) No 575/2013

0020

Regional governments or local authorities

Article 112, point (b), of Regulation (EU) No 575/2013

0030

Public sector entities

Article 112, point (c), of Regulation (EU) No 575/2013

0040

Multilateral developments banks

Article 112, point (d), of Regulation (EU) No 575/2013

0050

International organisations

Article 112, point (e), of Regulation (EU) No 575/2013

0060

Institutions

Article 112, point (f), of Regulation (EU) No 575/2013

0070

Corporates

Article 112, point (g), of Regulation (EU) No 575/2013

0075

of which: SME

Same definition as for row 0020 of CR SA template

0080

Retail

Article 112, point (h), of Regulation (EU) No 575/2013

0085

of which: SME

Same definition as for row 0020 of CR SA template

0090

Secured by mortgages on immovable property

Article 112, point (i), of Regulation (EU) No 575/2013

0095

of which: SME

Same definition as for row 0020 of CR SA template

0100

Exposures in default

Article 112, point (j), of Regulation (EU) No 575/2013

0110

Items associated with particularly high risk

Article 112, point (k), of Regulation (EU) No 575/2013

0120

Covered bonds

Article 112, point (l), of Regulation (EU) No 575/2013

0130

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

Article 112, point (n), of Regulation (EU) No 575/2013

0140

Collective investments undertakings (CIU)

Article 112, point (o), of Regulation (EU) No 575/2013

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

Article 112, point (p), of Regulation (EU) No 575/2013

0160

Other exposures

Article 112, point (q), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

0040

Observed new defaults for the period

The amount of original exposures which were classified as “defaulted exposures” 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 of Regulation (EU) No 575/2013, as well as Regulation (EU) 183/2014

0055

Specific credit risk adjustments

Credit risk adjustments as referred to in Article 110 of Regulation (EU) No 575/2013, as well as Regulation (EU) 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. Article 181(1), point (h), of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

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

Article 147(2), point (a), of Regulation (EU) No 575/2013

0020

Institutions

Article 147(2), point (b), of Regulation (EU) No 575/2013

0030

Corporates

All exposures to corporates as referred to in Article 147(2), point (c), of Regulation (EU) No 575/2013

0042

Of which: Specialised lending (excl. SL subject under the slotting approach)

Article 147(8), point (a), of Regulation (EU) No 575/2013

Data shall not be reported for specialised lending exposures as referred to in Article 153(5) of Regulation (EU) No 575/2013.

0045

Of which: Specialised lending under the slotting approach

Article 147(8), point (a), and Article 153(5) of Regulation (EU) No 575/2013

0050

Of which: SME

Article 147(2), point (c), of Regulation (EU) No 575/2013

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 Article 147(2), point (d), of Regulation (EU) No 575/2013

0070

Retail – Secured by immovable property

Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 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 Article 147(2), point (d) and Article 154(3) of Regulation (EU) No 575/2013 which are secured by real estate

0090

non-SME

Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 which are secured by real estate

0100

Retail – Qualifying revolving

Retail exposures as referred to in Article 147(2), point (d) in conjunction with Article 154(4) of Regulation (EU) No 575/2013

0110

Other Retail

Other retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 which are not reported in rows 0070 – 0100

0120

SME

Other retail exposures to SMEs as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013

0130

non-SME

Other retail exposures to individuals as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013

0140

Equity

Equity exposures as referred to in Article 147(2), point (e), of Regulation (EU) No 575/2013

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 Part Three, Title II and Title IV of Regulation (EU) No 575/2013 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 of Directive 2013/36/EU (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  ( 4 ) . 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 Article 140(4), point (a), of Directive 2013/36/EU.

0010

Exposure value under the Standardised approach

Exposure value calculated in accordance with Article 111 of Regulation (EU) No 575/2013 for relevant credit exposures as referred to in Article 140(4), point (a), of Directive 2013/36/EU.

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 of Regulation (EU) No 575/2013 for relevant credit exposures as referred to in Article 140(4), point (a), of Directive 2013/36/EU.

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 Article 140(4), point (b), of Directive 2013/36/EU.

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 of Regulation (EU) No 575/2013 of relevant credit exposures as referred to in Article 140(4), point (b), of Directive 2013/36/EU subject to own funds requirements under Part Three, Title IV, Chapter 2of Regulation (EU) No 575/2013:

—

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 of Regulation (EU) No 575/2013.

0040

Value of trading book exposures under internal models

For relevant credit exposures as referred to in Article 140(4), point (b), of Directive 2013/36/EU subject to own funds requirements under Part Three, Title IV, Chapters 2 and 5 of Regulation (EU) No 575/2013, the sum of the following shall be reported:

—

Fair value of non-derivative positions, that represent relevant credit exposures as referred to in Article 140(4), point (b), of Directive 2013/36/EU, determined in accordance with Article 104 of Regulation (EU) No 575/2013.

—

Notional value of derivatives, that represent relevant credit exposures as referred to in Article 140(4), point (b), of Directive 2013/36/EU.

0055

Relevant credit exposures – Securitisation positions in the banking book

Exposure value calculated in accordance with Article 248 of Regulation (EU) No 575/2013 for relevant credit exposures as referred to in Article 140(4), point (c), of Directive 2013/36/EU.

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 Part Three, Title II, Chapters 1 to 4 and Chapter 6 of Regulation (EU) No 575/2013 for relevant credit exposures as referred to in Article 140(4), point (a), of Directive 2013/36/EU, 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 Part Three, Title II, Chapters 1 to 4 and Chapter 6 of Regulation (EU) No 575/2013.

0090

Own funds requirements for relevant credit exposures – Market risk

Own funds requirements calculated in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013for specific risk, or in accordance with of of Part Three, Title IV, Chapter 5 of Regulation (EU) No 575/2013 for incremental default and migration risk for relevant credit exposures as referred to in Article 140(4), point (b), of Directive 2013/36/EU, 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 Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013 and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 of that Regulation.

0100

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

Own funds requirements calculated in accordance with Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013 for relevant credit exposures as referred to in Article 140(4), point (c), of Directive 2013/36/EU in the country in question.

The own-funds requirements are 8 % of the risk-weighted exposure amount calculated in accordance with Part Three, Title II, Chapter 5of Regulation (EU) No 575/2013.

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:

1.

Numerator: The total own funds requirements that relate to the relevant credit exposures in the country in question [r0070; c0010; country sheet ],

2.

Denominator: The total own funds requirements that relate to all credit exposures relevant for the calculation of the countercyclical buffer as referred to in Article 140(4) of Directive 2013/36/EU [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, Article 140(2), points (a) and (c), and Article 140(3), point (b), of Directive 2013/36/EU.

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 Article 140(2), point (b) and Article 140(3), point (a), of Directive 2013/36/EU. 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) of Directive 2013/36/EU.

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 Article 139, paragraphs 2 or 3 of Directive 2013/36/EU. 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 Article 2(5), point (b), 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 Article 2(5), point (a), 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 (Article 92(3), point (a), of Regulation (EU) No 575/2013) in accordance with Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013 for equity exposures as referred to in of Article 147(2), point (e), of that Regulation.

94.

In accordance with Article 147(6) of Regulation (EU) No 575/2013, 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(4), point (a), of Regulation (EU) No 575/2013 or treated in accordcnace with the fall-back approach of Article 152(6) of that Regulation shall also be reported in the CR EQU IRB template.

96.

In accordance with Article 151(1) of Regulation (EU) No 575/2013, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 of Regulation (EU) No 575/2013:

—

the Simple Risk Weight approach;

—

the PD/LGD approach;

—

the Internal Models approach.

In accordance with Article 155 of Regulation (EU) No 575/2013, 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.

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) of Regulation (EU) No 575/2013, respectively a risk-weight of 370 % in accordance with Article 471(2) of the Regulation.

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 of Regulation (EU) No 575/2013)).

—

Equity exposures subject to the partial use of the Standardised approach (Article 150 of Regulation (EU) No 575/2013), including:

—

Equity exposures grandfathered in accordance with Article 495(1) of Regulation (EU) No 575/2013;

—

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 (Article 150(1), point (g), of Regulation (EU) No 575/2013),

—

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 (Article 150(1), point (h), of Regulation (EU) No 575/2013),

—

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) of Regulation (EU) No 575/2013),

—

Equity claims deducted from own funds in accordance with Articles 46 and 48 of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013.

The PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements laid down in Part Three, Title II, Chapter 3, Section 6 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013) shall also take into account the offsetting referred to in Article 155(2), second subparagraph of Regulation (EU) No 575/2013.

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 (Article 155, paragraphs 2, 3 and 4 of Regulation (EU) No 575/2013). 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 Part Three, Title II, Chapter 4 of Regulation (EU) No 575/2013.

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 Part Three, Title II, Chapter 4 of Regulation (EU) No 575/2013.

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 (Article 155, paragraphs 2 and 3 and Article 167 of Regulation (EU) No 575/2013).

In the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 of Regulation (EU) No 575/2013).

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) of Regulation (EU) No 575/2013.

0080

RISK WEIGHTED EXPOSURE AMOUNT

Institutions shall report risk-weighted exposure amounts for equity exposures calculated in accordance with Article 155 of Regulation (EU) No 575/2013.

Where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 of Regulation (EU) No 575/2013, a scaling factor of 1,5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) of Regulation (EU) No 575/2013).

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) of Regulation (EU) No 575/2013).

0090

MEMORANDUM ITEM: EXPECTED LOSS AMOUNT

Institutions shall report in column 0090 the expected loss amount for equity exposures calculated in accordance with Article 158, paragraphs 4, 7, 8 and 9 of Regulation (EU) No 575/2013.

98.

[Deleted]

Rows

CR EQU IRB 1 - row 0020,

PD/LGD APRROACH: TOTAL

Institutions applying the PD/LGD approach (Article 155(3) of Regulation (EU) No 575/2013) 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) of Regulation (EU) No 575/2013) 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) of Regulation (EU) No 575/2013) 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), including the following exposures:

—

the risk weighted exposure amount of equity positions in financial sector entities treated in accordance with Article 48(4) of Regulation (EU) No 575/2013, as well as

—

equity positions risk-weighted with 370 % in accordance with Article 471(2) of Regulation (EU) No 575/2013 shall be reported in row 0110.

CR EQU IRB 1 - row 0120

CIU EXPOUSURES SUBJECT TO THE FALL-BACK APPROACH

Exposures in the form of units or shares in CIUs treated in accordance with the fall-back approach of Article 152(6) of Regulation (EU) No 575/2013 shall also be reported in this row.

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) of Regulation (EU) No 575/2013) 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 Article 92(3), point (c)(ii) and Article 378 of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013.

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 Article 378, Table 1 of Regulation (EU) No 575/2013 to determine the corresponding own funds requirements.

104.

In accordance with Article 92(4), point (b), of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013.

0040

TOTAL SETTLEMENT RISK EXPOSURE AMOUNT

In accordance with Article 92(4), point (b), of Regulation (EU) No 575/2013, 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 Article 92(3), point (c)(ii) and Article 378 of Regulation (EU) No 575/2013).

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 Article 378, Table 1 of Regulation (EU) No 575/2013).

0020-0060

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 Article 378, Table 1 of Regulation (EU) No 575/2013.

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 Article 92(3), point (c)(ii) and Article 378 of Regulation (EU) No 575/2013).

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 Article 378, Table 1 of Regulation (EU) No 575/2013).

0080-0120

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 Article 378, Table 1 of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013, in a securitisation of revolving exposures.

0020-0040

SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

Articles 251 and 252 of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013.

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 Article 248, paragraphs 1 and 2 of Regulation (EU) No 575/2013, 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 Article 248(1), point (d), of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013. 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 Article 248(1) and (2) of Regulation (EU) No 575/2013, 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 Article 248(1), point (d), of Regulation (EU) No 575/2013, and net of value adjustments and provisions on the securitisation position.

0080-0110

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

Article 4(1), point (57), Part Three, Title II, Chapter 4 and Article 249 of Regulation (EU) No 575/2013

Institutions shall report in these columns information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows).

Collateral that has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value.

Items to be reported here:

1.

collateral, incorporated in accordance with Article 222 of Regulation (EU) No 575/2013 (Financial Collateral Simple Method);

2.

eligible unfunded credit protection.

0080

(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (G A)

Unfunded credit protection as defined in Article 4(1), point (59), Articles 234 to 236 of Regulation (EU) No 575/2013.

0090

(-) FUNDED CREDIT PROTECTION

Funded credit protection as defined in Article 4(1), point (58), of Regulation (EU) No 575/2013, as referred to in the Article 249(2), first subparagraph of that Regulation and as regulated in Articles 195, 197 and 200 of that Regulation.

Credit linked notes and on-balance sheet netting as referred to in Articles 218 and 219 of Regulation (EU) No 575/2013 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), Article 235, paragraphs 1 and 2 and Article 236 of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013

The reported amount shall also include credit linked notes (Article 218 of Regulation (EU) No 575/2013).

0140

FULLY ADJUSTED EXPOSURE VALUE (E*)

The exposure value of securitisation positions calculated in accordance with Article 248 of Regulation (EU) No 575/2013, but without applying the conversion factors laid down in Article 248(1), point (b), of that Regulation

0150

OF WHICH: SUBJECT TO A CCF OF 0 %

Article 248(1), point (b), of Regulation (EU) No 575/2013

In this respect, Article 4(1), point (56), of Regulation (EU) No 575/2013 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 Article 248(1), point (d), of Regulation (EU) No 575/2013, 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 Article 248(1), point (d), of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013.

0180

EXPOSURE VALUE

The exposure value of securitisation positions calculated in accordance with Article 248 of Regulation (EU) No 575/2013

0190

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

In accordance with Article 244(1), point (b), Article 245(1), point (b) and Article 253(1) of Regulation (EU) No 575/2013, 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

Article 254(1), point (a), of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

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

Article 254(1), point (b), of Regulation (EU) No 575/2013

0290-0340

BREAKDOWN BY RW BANDS

SEC-SA exposures broken down by risk-weight bands.

For the RW = 1 250  % (W unknown), Article 261(2), point (b), fourth paragraph of Regulation (EU) No 575/2013 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

Article 254(1), point (c), of Regulation (EU) No 575/2013

0360-0570

BREAKDOWN BY CREDIT QUALITY STEPS (SHORT/LONG TERM CREDIT QUALITY STEPS)

Article 263 of Regulation (EU) No 575/2013

SEC-ERBA Securitisation positions with an inferred rating as referred to in Article 254(2) of Regulation (EU) No 575/2013 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 Article 263, Tables 1 and 2 and Article 264, Tables 3 and 4 of Regulation (EU) No 575/2013.

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

Article 254(2), point (c), of Regulation (EU) No 575/2013

All auto loans, auto leases and equipment leases shall be reported in this column, even if they qualify for Article 254(2), point (a) or (b) of Regulation (EU) No 575/2013.

0590

SEC-ERBA OPTION

Article 254(3) of Regulation (EU) No 575/2013

0600

POSITIONS SUBJECT TO ARTICLE 254(2), POINT (a), OF REGULATION (EU) No 575/2013

Article 254(2), point (a), of Regulation (EU) No 575/2013

0610

POSITIONS SUBJECT TO ARTICLE 254(2), POINT (b), OF REGULATION(EU) No 575/2013

Article 254(2), point (b), of Regulation (EU) No 575/2013

0620

POSITIONS SUBJECT TO ARTICLES 254(4) OR 258(2) OF REGULATION (EU) No 575/2013

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) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

0640

INTERNAL ASSESSMENT APPROACH

Article 254(5) of Regulation (EU) No 575/2013 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

0695

SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS

Article 269a(3) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013.

0710-0860

RISK-WEIGHTED EXPOSURE AMOUNT

Total risk-weighted exposure amount calculated in accordance with Section 3 of Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013, 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

( 5 )

In accordance with Article 270a of Regulation (EU) No 575/2013, 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 Part Three, Title II, Chapter 5, Section 3 of Regulation (EU) No 575/2013.

0890

BEFORE CAP

Total risk-weighted exposure amount calculated in accordance with Part Three, Title II, Chapter 5, Section 3 of Regulation (EU) No 575/2013, before applying the limits specified in Articles 267 and 268 of that Regulation or in case of qualifying traditional NPE securitisations before Article 269a of Regulation (EU) No 575/2013 is applied.

0900

(-) REDUCTION DUE TO RISK WEIGHT CAP

In accordance with Article 267 of Regulation (EU) No 575/2013, 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. For qualifying traditional NPE securitisations, Article 269a of Regulation (EU) No 575/2013, and in particular paragrapsh (6) and (7) thereof, shall be applied.

0910

(-) REDUCTION DUE TO OVERALL CAP

In accordance with Article 268 of Regulation (EU) No 575/2013, 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 Part Three, Title II, Chapter 2 or 3 of Regulation (EU) No 575/2013 in respect of the underlying exposures had they not been securitised. For qualifying traditional NPE securitisations, Article 269a of Regulation (EU) No 575/2013, and in particular paragraphs (5) and (7) thereof, shall be applied.

0920

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

Total risk-weighted exposure amount calculated in accordance with Part Three, Title II, Chapter 5, Section 3 of Regulation (EU) No 575/2013, considering the total risk weight as specified in Article 247(6) of that Regulation.

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 Article 4(1), point (62), of Regulation (EU) No 575/2013, which are not re-securitisations as defined in Article 4(1), point (63), of Regulation (EU) No 575/2013.

0030

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Total amount of securitisation positions which fulfil the criteria of Article 243, 270 or 494c of Regulation (EU) No 575/2013 and therefore qualify for differentiated capital treatment.

0040

EXPOSURES IN STS ABCP AND NON-ABCP TRADITIONAL SECURITISATIONS

Total amount of STS securitisation positions that meet the requirements set out in Article 243 of Regulation (EU) No 575/2013.

0050

GRANDFATHERED SENIOR POSITION IN SMEs SYNTHETIC SECURITISATIONS

Total amount of grandfathered senior synthetic securitisation positions in SMEs which meet the conditions set out in Article 494c of Regulation (EU) No 575/2013.

0051

SENIOR POSITIONS IN STS ON-BALANCE SHEET SECURITISATIONS

Total amount of senior securitisation positions in STS on-balance sheet securitisations which meet the conditions set out in Article 270 of Regulation (EU) No 575/2013.

0060, 0120, 0170, 0240, 0290, 0360 and 0410

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Article 254, paragraphs 1, 4, 5 and 6 and Articles 259, 261, 263, 265, 266 and 269 of Regulation (EU) No 575/2013

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 Article 4(1), point (64), of Regulation (EU) No 575/2013.

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 Article 4(1), point (13), of Regulation (EU) No 575/2013.

0090-0136, 0210-0250 and 0330-0370

SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS

In accordance with Article 248(1), point (a), of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013.

On-balance sheet items shall be broken down to capture information regarding application of differentiated capital treatment, as referred to in Article 243 of Regulation (EU) No 575/2013, in rows 0100 and 0120 and on the total amount of senior securitisation positions, as defined in Article 242(6) of that Regulation, 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 of Regulation (EU) No 575/2013 and therefore qualify for differentiated capital treatment.

0110, 0131, 0134, 0160, 0180, 0230, 0251, 0254, 0280, 0300, 0350, 0371, 0374 0400 and 0420

OF WHICH: SENIOR EXPOSURES

Total amount of senior securitisation positions as defined in Article 242(6) of Regulation (EU) No 575/2013.

0121, 0241 and 0361

EXPOSURES IN NON-NPE SECURITISATIONS

Total amount of exposures which do not meet the conditions set out in Article 269a (1), point (a), of Regulation (EU) No 575/2013.

0133, 0253 and 0373

EXPOSURES IN NPE SECURITISATIONS

Total amount of exposures which meet the conditions set out in Article 269a (1), point (a), of Regulation (EU) No 575/2013.

0134, 0254 and 0374

OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS

Total amount of exposures which meet the conditions set out in Article 269a (1), point (b), of Regulation (EU) No 575/2013.

0135, 0255 and 0375

OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS

Total amount of exposures which do not meet the conditions set out in Article 269a (1), point (b), of Regulation (EU) No 575/2013.

0136, 0256 and 0376

OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS

Total amount of exposures which meet the conditions set out in Article 269a (1), point (a), of Regulation (EU) No 575/2013 and which do not meet the conditions set out in Article 269a (1), point (b), of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013, shall be determined in accordance with Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II to the of Regulation (EU) No 575/2013 shall be determined in accordance with Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013) 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 of Regulation (EU) No 575/2013, in rows 0150 and 0170 and on the total amount of senior securitisation positions, as defined in Article 242(6) of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013 or, for originators only, Article 270 or Article 494c of Regulation (EU) No 575/2013 and therefore qualify for differentiated capital treatment.

0200

INVESTOR: TOTAL EXPOSURES

This row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of an investor.

For the purposes of this template, an investor shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.

0320

SPONSOR: TOTAL EXPOSURES

This row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of a sponsor, as defined in Article 4(1), point (14), of Regulation (EU) No 575/2013. 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 Article 263, Tables 1 and 2 and Article 264, Tables 3 and 4 of Regulation (EU) No 575/2013) 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:

a.

Securitisations originated / sponsored by the reporting institution, including where it holds no position in the securitisation. In cases where institutions hold at least one position in the securitisation, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 6 of Regulation (EU) 2017/2402 and, where Article 43(6) of that Regulation applies, Article 405 of Regulation (EU) No 575/2013 in the version applicable on 31 December 2018.

b.

Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. That underlying could include covered bonds or other liabilities and shall be identified as such in column 0160.

c.

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

Template C 14.01 shall only be reported for those securitisation positions treated under the securitisations framework.

113.

These templates shall be reported by consolidated groups and stand-alone institutions  ( 6 ) 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. SEC DETAILS 2 provides a breakdown of the securitisation positions subject to own funds requirements in accordance with Part Three, Title II, chapter 5, section 3 of Regulation (EU) No 575/2013 by approach applied.

117.

Securitisation positions in the trading book shall only be reported in columns 0010-0020, 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 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:

—

Private placement;

—

Intra-group;

—

Public placement.

0110

ROLE OF THE INSTITUTION (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR)

Institutions shall report one of the following:

—

Originator;

—

Sponsor;

—

Investor.

—

Original Lender.

Originator as defined in Article 4(1), point (13), of Regulation (EU) No 575/2013 and Sponsor as defined in Article 4(1), point (14), of that Regulation. 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 of Regulation (EU) No 575/2013 in the version applicable on 31 December 2018 shall apply.

0030

IDENTIFIER OF THE ORIGINATOR

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

Institutions shall report one of the following:

—

ABCP programme;

—

ABCP transaction;

—

Traditional securitisations other than NPE securitisations;

—

Non-qualifying NPE securitisations;

—

Qualifying NPE securitisations;

—

Synthetic transaction;

The definitions of “Asset Backed Commercial Paper Programme”, “Asset Backed Commercial Paper Transaction”, “traditional securitisation” and “synthetic securitisation” are provided in Article 242, points (11) to (14), of Regulation (EU) No 575/2013; the definitions of “qualifying traditional NPE securitisations” and “NPE securitisations” are provided in Article 269a(1) of Regulation (EU) No 575/2013.

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:

—

“K – totally kept”, if the securitised exposures remain entirely recognised;

—

“P – partially removed”, if the securities exposures are partially derecognised;

—

“R – totally removed”, if the securities exposures are entirely derecognised;

—

“N – Not applicable”, if not applicable.

This column summarises the accounting treatment of the transaction. Significant risk transfer (SRT) under Articles 244 and 245 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013

Originators, only, shall report one of the following:

—

Not subject to own funds requirements;

—

Banking book;

—

Trading book;

—

Partially in banking and trading book.

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 one of the following:

—

Not applied for SRT - reporting entity risk weights its securitised exposures;

—

Achieved SRT under Article 244(2), point (a), or Article 245(2), point (a), of Regulation (EU) No 575/2013;

—

Achieved SRT under Article 244(2), point (b), or Article 245(2), point (b), of Regulation (EU) No 575/2013;

—

Achieved SRT under Article 244(3), point (a), or Article 245(3), point (a), of Regulation (EU) No 575/2013;

—

Applying a 1 250  % RW or deducting retained positions in accordance with Article 244(1), point (b), or Article 245(1), point (b), of Regulation (EU) No 575/2013.

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 Article 4(1), point (61), of Regulation (EU) No 575/2013 and the definition of “re-securitisation” in Article 4(1), point (63), of Regulation (EU) No 575/2013, the type of securitisation using the following abbreviations shall be reported:

—

Securitisation;

—

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, 270 and 494c of Regulation (EU) No 575/2013

Institutions shall report one of the following abbreviations:

Y

– Yes;

N

– No.

“Yes” shall be reported in the following cases:

—

STS securitisations qualifying for the differentiated capital treatment in accordance with Article 243 of Regulation (EU) No 575/2013

—

Senior positions in STS on-balance sheet securitisations eligible for this treatment in accordance with Article 270 of Regulation (EU) No 575/2013

—

Grandfathered SME synthetics in accordance with Article 494c of Regulation (EU) No 575/2013.

0076

TYPE OF EXCESS SPREAD

Article 2, point (29) of Regulation (EU) 2017/2402

Institutions shall report one of the following:

—

No excess spread

—

Excess spread, fixed amount - “use it or lose it” mechanism

—

Excess spread, fixed amount – trapped mechanism

—

Excess spread, variable amount - “use it or lose it” mechanis

—

Excess spread, variable amount – trapped mechanism.

0077

AMORTISATION SYSTEM

Institutions shall report one of the following:

—

Sequential amortisation

—

Pro-rata amortisation

—

Pro-rata amortisation changing to sequential amortisation. Compliant with STS criteria for on-balance sheet securitisations

(Article 26c (5) of Regulation (EU) 2017/2402).

—

Pro-rata amortisation changing to sequential amortisation. Compliant with STS criteria for non-ABCP transactions

(Guidelines on STS criteria for non-ABCP transactions and Article 21 (5) of Regulation (EU) 2017/2402

—

Pro-rata amortisation changing to sequential amortisation. Not compliant

—

Other amortisation system

0078

COLLATERALISATION OPTIONS

Article 26e of Regulation (EU) 2017/2402

Institutions shall report one of the following options for collateralization of the credit protection agreement:

—

Collateral in the form of 0 % risk-weighted debt securities

Article 26e(10), first subparagraph, point (a), of Regulation (EU) 2017/2402

—

Collateral in the form of cash held with a third-party credit institution with credit quality step 3 or above

Article 26e(10), first subparagraph, point (b), of Regulation (EU) 2017/2402

—

Collateral in the form of cash on deposit with the originator, or one of its affiliates, if the originator or one of its affiliates qualifies as a minimum for credit quality step 2

—

Article 26e(10), second subparagraph of Regulation (EU) 2017/2402

—

Collateral in the form of cash on deposit with the originator, or one of its affiliates, if the originator or one of its affiliates qualifies as a minimum for credit quality step 3

—

Article 26e(10), third subparagraph of Regulation (EU) 2017/2402

—

Requirement satisfied in the case of investments in credit linked notes issued by the originator

—

Article 26e(10), fourth subparagraph of Regulation (EU) 2017/2402

—

No collateral, the investor qualifies for a 0 % RW

—

Article 26e(8), point (a), of Regulation (EU) 2017/2402

—

No collateral, the investor benefits from a counter-guarantee of an entity that qualifies for a 0 % RW

—

Article 26e(8), point (b), of Regulation (EU) 2017/2402

—

Other types of collateral: debt securities not compliant with Article 26e of Regulation (EU) 2017/2402

—

Other types of collateral: cash not compliant with Article 26e of Regulation (EU) 2017/2402

—

No collateral, not compliant with STS criteria for on-balance sheet securitisation

—

Cases different from those where there is no collateral, but the investor qualifies for a 0 % RW or benefits from a counter-guarantee of an entity that qualifies for a 0 % RW

This column shall only be reported if column 0040 is reported as “Synthetic transaction”.

0080-0100

RETENTION

Article 6 of Regulation (EU) 2017/2402; in case Article 43(6) of Regulation (EU) 2017/2402 applies, Article 405 of Regulation (EU) No 575/2013 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 code “E” (exempted) is reported under column 0080 (Type of retention applied).

0100

COMPLIANCE WITH THE RETENTION REQUIREMENT?

Institutions shall report the following abbreviations:

Y

- Yes;

N

- No.

This column shall not be reported where code “E” (exempted) is reported under column 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) of Regulation (EU) No 575/2013) 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.

For securitisation schemes backed by closed pools the type cannot change between reporting dates.

Liabilities should be understood in the sense of liabilities originally issued by the reporting institution (see paragraph 112, point (b), of section 3.2.1 of this annex).

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) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013. The EL shall be calculated as indicated in Part Three, Title II, Chapter 3, Section 3 of Regulation (EU) No 575/2013. 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 Part Three, Title II, Chapter 3, Section 2 of Regulation (EU) No 575/2013. 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 Article 162(2), points (a) and (f), of Regulation (EU) No 575/2013, without applying the 5 year cap.

0210

(-) VALUE ADJUSTMENTS AND PROVISIONS

Value adjustments and provisions (Article 159 of Regulation (EU) No 575/2013) 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) of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013, provided that the institution is able to calculate K IRB in accordance with Part Three, Title II, Chapter 6, Section 3 of Regulation (EU) No 575/2013 on a minimum of 95 % of the underlying exposure amount (Article 259(2) of Regulation (EU) No 575/2013)

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) of Regulation (EU) No 575/2013. K SA 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.

0225

MEMORANDUM ITEMS: CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD

Article 110 of Regulation (EU) No 575/2013

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.

0230-0255

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) of Regulation (EU) No 575/2013.

0231

ATTACHMENT POINT (%)

The attachment point (%) as referred to in Article 256(1) of Regulation (EU) No 575/2013

0232 and 0252

CQS

Credit quality steps (CQS) as envisaged for institutions applying SEC-ERBA (Article 263, Table 1 and 2 and Article 264, Tables 3 and 4 of Regulation (EU) No 575/2013). 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) of Regulation (EU) No 575/2013;

—

additional securitisation positions which are not those positions that are defined in Article 242(6), (17) or (18) of Regulation (EU) No 575/2013.

0241

NUMBER OF TRANCHES

Number of mezzanine tranches.

0242

CQS OF THE MOST SUBORDINATED TRANCHE

CQS, as determined in accordance with Article 263, Table 2 and Article 264, Table 3 of Regulation (EU) No 575/2013, of the most subordinated mezzanine tranche.

0250-0252

FIRST LOSS

0250

AMOUNT

The amount of first loss tranche as defined in Article 242(17) of Regulation (EU) No 575/2013

0251

DETACHMENT POINT (%)

The detachment point (%) as referred to in Article 256(2) of Regulation (EU) No 575/2013

0252

CQS

0254-0255

OVERCOLLATERALISATION AND FUNDED RESERVE ACCOUNTS

Articles 256(3) and (4) of Regulation (EU) No 575/2013.

Amounts of collateralisation and funded reserve accounts not meeting the definition of “tranche” of Article 2(6) of Regulation (EU) 2017/2402, but considered as tranches for the purposes of calculating attachment and detachment points in accordance with Article 256(3) of Regulation (EU) No 575/2013.

0254

AMOUNT

0255

OF WHICH: NON-REFUNDABLE PURCHASE PRICE DISCOUNT

Article 2, point (31) of Regulation (EU) No 2017/2402.

Institutions shall report the non-refundable purchase price discount in accordance with Article 269a(7),of Regulation (EU) No 575/2013 at the reporting date, which shall be adjusted downwards taking into account the realised losses, as indicated in the second subparagraph. This column shall only be reported if column 0040 is reported as “Qualyfing NPE securitisation” or “Non-Qualifying NPE securitisation”,

0260-0287

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

This block of columns gathers information on off-balance sheet items and derivatives before conversion factors, broken down by tranches (senior/mezzanine/first loss).

0260 - 0285

SENIOR / MEZZANINE / FIRST LOSS

The same criteria of classification among tranches and identification of the attachment point, the number of tranches and the detachment point used for on-balance sheet items (see instructions on columns 0230 to 0252) shall be applied here.

0287

SYNTHETIC EXCESS SPREAD

Articles 242, point (20), 248(1), point (e) and 256(6) of Regulation (EU) No 575/2013.

This column shall be reported only if column 0110 is reported as “Originator”.

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) of Regulation (EU) No 575/2013) 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 Article 244(4), point (g), of Regulation (EU) No 575/2013;

—

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:

1)

SEC-IRBA;

2)

SEC-SA;

3)

SEC-ERBA;

4)

1 250 %;

5)

Internal assessment approach

6)

Specific treatment for senior tranches of qualifying NPE securitisations.

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 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 of template C 14.00 shall be applied here.

0340-0362

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among tranches used for columns 0260 to 0287 of template C 14.00 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 of Regulation (EU) No 575/2013.

0362

SYNTHETIC EXCESS SPREAD

Articles 242 (20), 248 (1), point (e) and 256(6) of Regulation (EU) No 575/2013.

This column shall be reported only if column 0110 is reported as “Originator”.

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 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013.

0390

LIQUIDITY FACILITIES

Liquidity facilities (LF) as defined in Article 242(3) of Regulation (EU) No 575/2013.

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 calculated in accordance with Part Three, Title II, chapter 5, section 3 of Regulation (EU) No 575/2013.

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

Articles 267 and 269a of Regulation (EU) No 575/2013

0432

(-) REDUCTION DUE TO OVERALL CAP

Articles 268 and 269a of Regulation (EU) No 575/2013

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 calculated in accordance with Part Three, Title II, chapter 5, section 3 of Regulation (EU) No 575/2013.

In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 0601 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 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013. 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 one of the following:

“CTP” - Correlation Trading Portfolio;

“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 Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013.

120.

The templates exclude the own funds requirements for CVA risk (Article 92(3), point (d) and Part Three, Title VI of Regulation (EU) No 575/2013), which are reported in the CVA risk template.

121.

Counterparty credit risk exposures to central counterparties (Part Three, Title II, Chapter 4 and Chapter 6, Section 9 of of Regulation (EU) No 575/2013) should be included in the CCR figures, unless otherwise stated. However, default fund contributions calculated in accordance with Articles 307 to 310 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 an institution may calculate the exposure value of its derivative positions in accordance with the method set out in Part Three Title II, Chapter 6, Section 4 or 5 of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

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

Article 273a(3), point (b), of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

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

Article 273a(3), point (a) and (b) of Regulation (EU) No 575/2013

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

Article 273a(3), point (c), of Regulation (EU) No 575/2013

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 Part One, Title II, Chapter ,2 Section 2 of Regulation (EU) No 575/2013.

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) OF REGULATION (EU) No 575/2013

0060

Are the conditions of article 273a (4) of Regulation (EU) No 575/2013 met, including the approval from the competent authority?

Article 273a(4) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013.

0070

Method for calculating exposure values at consolidated level

Article 273a(4) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013:

—

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) of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013.

0040

CURRENT MARKET VALUE (CMV), POSITIVE

Article 272(12) of Regulation (EU) No 575/2013

Sum of the current market values (CMV) of all the netting sets with positive CMV as defined in Article 272(12) of Regulation (EU) No 575/2013.

0050

CURRENT MARKET VALUE (CMV), NEGATIVE

Article 272(12) of Regulation (EU) No 575/2013

Sum of the absolute current market values (CMV) of all the netting sets with negative CMV as defined in Article 272(12) of Regulation (EU) No 575/2013.

0060

VARIATION MARGIN (VM), RECEIVED

Article 275(2), 275(3) and 276 of Regulation (EU) No 575/2013

Sum of the variation margin amounts (VM) of all the margin agreements for which the VM is received, computed in accordance with Article 276 of Regulation (EU) No 575/2013.

0070

VARIATION MARGIN (VM), POSTED

Article 275(2), 275(3) and 276 of Regulation (EU) No 575/2013

Sum of the variation margin amounts (VM) of all the margin agreements for which the VM is posted, computed in accordance with Article 276 of Regulation (EU) No 575/2013.

0080

NET INDEPENDENT COLLATERAL AMOUNT (NICA), RECEIVED

Article 272(12a), 275(3) and 276 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013.

0090

NET INDEPENDENT COLLATERAL AMOUNT (NICA), POSTED

Article 272(12a), 275(3) and 276 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013.

0100

REPLACEMENT COST (RC)

Articles 275, 281 and 282 of Regulation (EU) No 575/2013

The replacement cost (RC) per netting set shall be calculated in accordance with:

—

Article 282(3) of Regulation (EU) No 575/2013 for the Original Exposure Method,

—

Article 281 of Regulation (EU) No 575/2013 for the Simplified SA-CCR,

—

Article 275 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013

The potential future exposure (PFE) per netting set shall be calculated in accordance with:

—

Article 282(4) of Regulation (EU) No 575/2013 for the Original Exposure Method,

—

Article 281 of Regulation (EU) No 575/2013 for the Simplified SA-CCR,

—

Article 278 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013

The current exposure per netting set shall be the value as defined under Article 272(17) of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013

The EEPE per netting set is defined in Article 272(22) of Regulation (EU) No 575/2013 and shall be calculated in accordance with Article 284(6) of Regulation (EU) No 575/2013.

The institution shall report the sum of all EEPEs applied for the determination of own funds requirements in accordance with Article 284(3) of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013 or permit institutions to use their own estimates in accordance with Article 284(9) of that Regulation.

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 Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013.

The exposure value pre-CRM shall not consider the deduction of the incurred CVA loss in accordance with Article 273(6) of Regulation (EU) No 575/2013.

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 Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013, having applied CRM techniques as applicable in accordance with Part Three, Title II, Chapters 4 and 6 of that Regulation.

The exposure value post-CRM for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 of Regulation (EU) No 575/2013.

The exposure value post-CRM shall not consider the deduction of the incurred CVA loss in accordance with Article 273(6) of Regulation (EU) No 575/2013.

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 Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013, which is the amount relevant for the calculation of risk weighted exposure amounts, i.e. having applied CRM techniques as applicable in accordance with Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013 and considering the deduction of the incurred CVA loss in accordance with Article 273(6) of Regulation (EU) No 575/2013.

The exposure value for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 of Regulation (EU) No 575/2013.

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 Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013.

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 Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013.

0200

RISK WEIGHTED EXPOSURE AMOUNTS

Risk weighted exposure amounts for CCR as defined in Article 92(3) and (4) of Regulation (EU) No 575/2013, calculated in accordance with the methods laid down in Part Three, Title II, Chapters 2 and 3.

The SME and infrastructure supporting factors laid down in Article 501 and in Article 501a of Regulation (EU) No 575/2013 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 Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013.

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 Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013.

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 Part Three, Title II, Chapter 6, Section 5 of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013.

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 Part Three, Title II, Chapter 6, Section 4 of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013.

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 Part Three, Title II, Chapter 6, Section 3 of Regulation (EU) No 575/2013.

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 Part Three, Title II, Chapter 6, Section 6 of Regulation (EU) No 575/2013.

0050

Securities financing transactions netting sets

Netting sets containing only SFTs as defined in Article 4(139) of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013 and long settlement transactions as defined in Article 272(2) of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013

Netting sets containing transactions of different product categories (Article 272(11) of Regulation (EU) No 575/2013), i.e. derivatives and SFTs, for which a contractual cross product netting agreement as defined in Article 272 (25) of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 as opposed to Part Three, Title II, Chapter 6 of that Regulation in accordance with Article 271(2) of the same regulation.

0090

FINANCIAL COLLATERAL COMPREHENSIVE METHOD (FOR SFTS)

Article 220 and 223 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013, as opposed to Part Three, Title II, Chapter 6 of that Regulation in accordance with Article 271(2) of the same regulation.

0100

VAR FOR SFTS

Article 221 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013

CCR exposures for which specific wrong way risk (SWWR) has been identified in accordance with Article 291 of Regulation (EU) No 575/2013.

0130

Margined business

Article 272(7) of Regulation (EU) No 575/2013

CCR exposures that are margined, i.e. netting sets subject to a margin agreement in accordance with Article 272(7) of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013

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 Article 281(2), point (f), of Regulation (EU) No 575/2013 shall be calculated in accordance with Articles 280a to 280f of that Regulation. For the Simplified SA-CCR the provisions set out in Article 281(2) of Regulation (EU) No 575/2013 apply.

Rows

0050,0120, 0190, 0230, 0270, 0340

RISK CATEGORIES

Article 277 and 277a of Regulation (EU) No 575/2013

Transactions shall be classified according to the risk category they belong to in accordance with Article 277(1) to (4) of Regulation (EU) No 575/2013.

The assignment to hedging sets according to the risk category shall be performed in accordance with Article 277a of Regulation (EU) No 575/2013.

For the Simplified SA-CCR the provisions set out in Article 281(2) of Regulation (EU) No 575/2013 apply.

0020-0040

Of which mapped to more than one risk category

Article 277(3) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013 and the EBA RTS referred to in Article 277(5) of that Regulation.

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) of Regulation (EU) No 575/2013

Derivative transactions mapped exclusively to one risk category in accordance with Article 277(1) and (2) of Regulation (EU) No 575/2013.

Transactions that are mapped to different risk categories in accordance with Article 277(3) of Regulation (EU) No 575/2013 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 Article 277a(1), point (e), of Regulation (EU) No 575/2013.

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 Article 282(4), point (b), of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

The Stress EEPE is calculated in analogy to the EEPE (Article 284(6) of Regulation (EU) No 575/2013), but using a stress calibration in accordance with Article 292(2) of Regulation (EU) No 575/2013.

0080, 0160,0170

EXPOSURE VALUE

See instructions to column 0170 in template C 34.02.

Row

Explanation

0010

TOTAL

Article 283 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013 of Regulation (EU) No 575/2013, 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 Part Three, Title II, Chapter 6, Sections 3 and 6 of Regulation (EU) No 575/2013 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 Part Three, Title II, Chapter 6, Sections 4 and 5 of Regulation (EU) No 575/2013 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 Article 4(1), point (2), of Regulation (EU) No 575/2013;

(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 of Regulation (EU) No 575/2013, irrespective of the CCR approach used to determine exposure values in accordance with Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013. 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 Article 172(1) second sentence, point (e), of Regulation (EU) No 575/2013.

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 Part Three, Title II, Chapters 3 and 4 of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013. If own estimates of LGD are applied, Article 175 and Article 181(1) and (2) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013.

For defaulted exposures under A-IRB Approach, provisions laid down in Article 181(1), point (h), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013.

0060

Risk weighted exposure amounts

Risk weighted exposure amounts, as defined in Article 92(3) and (4) of Regulation (EU) No 575/2013, for positions whose risk weights are estimated on the basis of the requirements laid down in Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013 and for which the exposure value for CCR business is calculated in accordance with Part Three, Title II, Chapters 4 and 6 of that Regulation

The SME and infrastructure supporting factors laid down in Article 501 and Article 501a of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 or a long settlement transaction as defined in Article 272, point (2) 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) of Regulation (EU) No 575/2013

Institutions shall report the collateral that is held in a bankruptcy-remote manner as defined in Article 300(1) of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013

Institutions shall report the collateral that is not held in a bankruptcy-remote manner as defined in Article 300(1) of Regulation (EU) No 575/2013, further broken down into initial margin, variation margin and the SFT security.

0010, 0030, 0050, 0070, 0090, 0110, 0140, 0160

Initial margin

Article 4(1), point (140), of Regulation (EU) No 575/2013

Institutions shall report the fair values of collateral received or posted as initial margin (defined in Article 4(1), point (140), of Regulation (EU) No 575/2013).

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) of Regulation (EU) No 575/2013 for as long as they are outstanding with a CCP and exposures from CCP-related transactions, in accordance with Article 300(2) of that Regulation, for which the own funds requirements are calculated in accordance with Part Three, Title II, Chapter 6, Section 9 of that Regulation.

3.9.11.2.   Instructions concerning specific positions

Columns

0010

EXPOSURE VALUE

Exposure value for transactions in the scope of Part Three, Title II, Chapter 6, Section 9 of Regulation (EU) No 575/2013 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 Part Three, Title II, Chapter 6, Section 9 of Regulation (EU) No 575/2013, 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 Article 4(1), point (91), of Regulation (EU) No 575/2013.

0020

RISK WEIGHTED EXPOSURE AMOUNTS

Risk weighted exposure amounts determined in accordance with Part Three, Title II, Chapter 6, Section 9 of Regulation (EU) No 575/2013, 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 Article 4(1), point (88), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013; a default fund as defined in Article 4(1), point (89), of Regulation (EU) No 575/2013; 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 of Regulation (EU) No 575/2013; a default fund as defined in Article 4(1), point (89), of Regulation (EU) No 575/2013

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 Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013, 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 (Part Three, Title II, Chapter 6, Section 9 of Regulation (EU) No 575/2013).

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) of Regulation (EU) No 575/2013, for positions whose risk weights are estimated on the basis of the requirements laid down in Part Three, Title II, Chapters 2 and 3 of that Regulation and for which the institution has been permitted to calculate the exposure value using the IMM in accordance with Part Three, Title II, Chapter 6, Section 6 of that Regulation

The SME and infrastructure supporting factors laid down in Article 501 and Article 501a of Regulation (EU) No 575/2013 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

4.   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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013, 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 Article 316, Table 1, point 1 of Regulation (EU) No 575/2013.

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 Article 319(1), point (b), of Regulation (EU) No 575/2013, 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 (Article 319(1), point (a), of Regulation (EU) No 575/2013).

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 with Articles 312 to 324 of Regulation (EU) No 575/2013. The resulting amount shall be reported in column 0070.

0071

TOTAL OPERATIONAL RISK EXPOSURE AMOUNT

Article 92(4) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013) has been granted in accordance with Article 312(2) of that Regulation , 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 Article 322(2), point (a), of Regulation (EU) No 575/2013) 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013).

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 of Regulation (EU) No 575/2013) 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 Article 317, Table 2 of Regulation (EU) No 575/2013. The mapping of activities into business lines shall follow the principles described in Article 318 of Regulation (EU) No 575/2013.

0110-0120

SUBJECT TO ASA

Institutions using the ASA (Article 319 of Regulation (EU) No 575/2013) 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 of Regulation (EU) No 575/2013). 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 of Regulation (EU) No 575/2013) shall be reported.

Where different approaches are combined as indicated in Article 314 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013, 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 Article 322(3), point (b), of Regulation (EU) No 575/2013 - 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 Article 317, Table 2 of Regulation (EU) No 575/2013, including the additional business line “corporate items” referred to in Article 322(3), point (b), of Regulation (EU) No 575/2013) and loss event types (as referred to in in Article 324 of Regulation (EU) No 575/2013). 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 of Regulation (EU) No 575/2013.

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 Article 322(3), point (c), of Regulation (EU) No 575/2013.

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 Article 317(4), Table 2 of Regulation (EU) No 575/2013, including the additional business line “Corporate items” as referred to in Article 322(3), point (b), of that Regulation, 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013.

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 Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line “corporate items” as referred to in Article 322(3), point (b), of that Regulation 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 of Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line “corporate items” referred to in Article 322(3), point (b), of that Regulation, 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 Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line “corporate items” referred to in Article 322(3), point (b), of that Regulation, 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 Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line “corporate items” referred to in Article 322(3), point (b), of that Regulation, the maximum single loss shall be the maximum loss over the internal threshold for each loss event type and amongst all business lines. Those figures may be higher than the highest single loss recorded in each business line where a loss event impacts different business lines.

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line “corporate items” referred to in Article 322(3), point (b), of that Regulation respectively that it has identified the loss event types for all losses, the following shall apply for column 0080:

—

The maximum single loss reported shall be equal to the highest of the values reported in columns 0010 – 0070 of this row.

—

Where there are loss events having an impact in different business lines, the amount reported in {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 Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line “corporate items” referred to in Article 322(3), point (b), of Regulation (EU) No 575/2013 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 Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line “corporate items” referred to in Article 322(3), point (b), of Regulation (EU) No 575/2013, 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 Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line “corporate items” referred to in Article 322(3), point (b), of that Regulation , 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)

“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.

157.

Only loss events entailing a gross loss amount of EUR100,000 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 of Regulation (EU) No 575/2013.

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 Article 317(4), Table 2 of Regulation (EU) No 575/2013 and Article 322(3), point (b), of that Regulation.

0170

Legal Entity name

Name of the legal entity as reported in column 0011 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.

0181

Code

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 0181 as a “LEI code” or “Non-LEI code” also in line with column 0026 of C 06.02 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.

5.   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 of Regulation (EU) No 575/2013.

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 (Article 325 (2), point (a), of Regulation (EU) No 575/2013). The different risks and methods available under of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013. 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 of Article 345(1), first subparagraph of Regulation (EU) No 575/2013. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of Regulation (EU) No 575/2013.

0030-0040

NET POSITIONS (LONG AND SHORT)

Articles 327 to 329 and Article 334 of Regulation (EU) No 575/2013. Regarding the distinction between Long and Short positions, see Article 328(2) of Regulation (EU) No 575/2013.

0050

POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, in accordance with the different approaches considered in Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013, receive a capital charge.

0060

OWN FUNDS REQUIREMENTS

The capital charge for any relevant position in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013.

0070

TOTAL RISK EXPOSURE AMOUNT

Article 92(4), point (b), of Regulation (EU) No 575/2013. 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 Article 92(3), point (b)(i) of Regulation (EU) No 575/2013 and of of Part Three, Chapter 2, Title IV of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013, 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 Article 339, paragraphs 1 to 8 of Regulation (EU) No 575/2013 and the corresponding own funds requirements calculated in accordance with Article 339(9) of Regulation (EU) No 575/2013. 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 Article 340, paragraphs 1 to 6 of Regulation (EU) No 575/2013 and the corresponding own funds requirements calculated in accordance with Article 340(7) of Regulation (EU) No 575/2013. 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 Article 92(3), point (b) and Article 335, Article 336, paragraphs 1, 2 and 3 and Articles 337 and 338 of Regulation (EU) No 575/2013. Be also aware of the last sentence in Article 327(1) of Regulation (EU) No 575/2013.

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 (Article 332(1), point (e), of Regulation (EU) No 575/2013 and the second subparagraph of Article 332(1) of Regulation (EU) No 575/2013 – “look-through”). N-th-to-default credit derivatives which are rated externally (the third subparagraph of Article 332(1) of Regulation (EU) No 575/2013) shall be reported separately in line 321.

Reporting of positions subject to Article 336(3) of Regulation (EU) No 575/2013: There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book in accordance with Article 129(3) of Regulation (EU) No 575/2013 (covered bonds). The specific own funds requirements shall be half of the percentage of the second category referred to in Article 336, Table 1 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013 in connection with 337 of that Regulation. Where securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 of Regulation (EU) No 575/2013 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 Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013. 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 Article 244(1), point (b), Article 245(1), point (b), and Article 253 of Regulation (EU) No 575/2013). 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) of Regulation (EU) No 575/2013 in conjunction with Article 337 of that Regulation (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to those gross positions, see Article 328(2) of Regulation (EU) No 575/2013.

0030-0040

(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

Article 244(1), point (b), Article 245(1), point (b) and Article 253 of Regulation (EU) No 575/2013

0050-0060

NET POSITIONS (LONG AND SHORT)

Articles 327, 328, 329 and 334 of Regulation (EU) No 575/2013. Regarding the distinction between long and short positions, see Article 328(2) of Regulation (EU) No 575/2013.

0061-0104

BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS

Articles 259 to 262, Article 263, Tables 1 and 2, Article 264, Tables 3 and 4 and Article 266 of Regulation (EU) No 575/2013.

The breakdown shall be done separately for long and short positions.

0402-0406

BREAKDOWN OF THE NET POSITIONS BY APPROACHES

Article 254 of Regulation (EU) No 575/2013

0402

SEC-IRBA

Article 259 and 260 of Regulation (EU) No 575/2013

0403

SEC-SA

Article 261 and 262 of Regulation (EU) No 575/2013

0404

SEC-ERBA

Article 263 and 264 of Regulation (EU) No 575/2013

0405

INTERNAL ASSESSMENT APPROACH

Articles 254, 265 and 266(5) of Regulation (EU) No 575/2013.

0900

SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS

Article 269a(3) of Regulation (EU) No 575/2013

0406

OTHER (RW = 1 250  %)

Article 254(7) of Regulation (EU) No 575/2013

0530-0540

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

Article 270a of Regulation (EU) No 575/2013

0570

BEFORE CAP

Article 337 of Regulation (EU) No 575/2013, without taking into account the discretion of Article 335 of that Regulation 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 of Regulation (EU) No 575/2013, taking into account the discretion of Article 335 of that Regulation.

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

Article 4(1), point (62), of Regulation (EU) No 575/2013.

0020, 0050, 0080 and 0110

RE-SECURITISATIONS POSITIONS

Article 4(1), point (64), of Regulation (EU) No 575/2013

0041, 0071 and 0101

OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Total amount of securitisation positions which fulfil the criteria of Article 243 of Regulation (EU) No 575/2013 or Article 270 of that Regulation and therefore qualify for differentiated capital treatment.

0030-0050

ORIGINATOR

Article 4(1), point (13), of Regulation (EU) No 575/2013

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

Article 4(1), point (14), of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013 ) 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 of Regulation (EU) No 575/2013 in conjunction with Article 338, paragraphs 2 and 3 of that Regulation. If CTP-positions of the trading book are hedged by credit derivatives, Articles 346 and 347 of Regulation (EU) No 575/2013 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 Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013), but they are explicitly “linked” to one of those two positions (because of the hedging intent).

168.

Positions which receive a risk weight of 1 250 % can alternatively be deducted from CET1 (see Article 244(1), point (b), Article 245(1), point (b) and Article 253 of Regulation (EU) No 575/2013). Where this is the case, those positions have to be reported in row 0460 of CA1.

5.3.2.   Instructions concerning specific positions

Columns

0010-0020

ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) of Regulation (EU) No 575/2013 in conjunction paragraphs (2) and (3) of Article 338 of that Regulation (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) of Regulation (EU) No 575/2013.

0030-0040

(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

Article 253 of Regulation (EU) No 575/2013

0050-0060

NET POSITIONS (LONG AND SHORT)

Articles 327, 328, 329 and 334 of Regulation (EU) No 575/2013

Regarding the distinction between long and short positions, see Article 328(2) of Regulation (EU) No 575/2013.

0071-0097

BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS

Articles 259 to 262, of Article 263, Tables 1 and 2, Article 264, Tables 3 and 4 and Article 266 of Regulation (EU) No 575/2013

0402-0406

BREAKDOWN OF THE NET POSITIONS BY APPROACHES

Article 254 of Regulation (EU) No 575/2013

0402

SEC-IRBA

Articles 259 and 260 of Regulation (EU) No 575/2013

0403

SEC-SA

Articles 261 and 262 of Regulation (EU) No 575/2013

0404

SEC-ERBA

Articles 263 and 264 of Regulation (EU) No 575/2013

0405

INTERNAL ASSESSMENT APPROACH

Articles 254 and 265 and Article 266(5) of Regulation (EU) No 575/2013.

0900

SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS

Article 269a(3) of Regulation (EU) No 575/2013

0406

OTHER (RW=1 250  %)

Article 254(7) of Regulation (EU) No 575/2013

0410-0420

BEFORE CAP - WEIGHTED NET LONG / SHORT POSITIONS

Article 338 of Regulation (EU) No 575/2013, without taking into account the discretion of Article 335 of that Regulation

0430-0440

AFTER CAP - WEIGHTED NET LONG / SHORT POSITIONS

Article 338 of Regulation (EU) No 575/2013, taking into account the discretion of Article 335 of that Regulation

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

Article 4(1), point (13), of Regulation (EU) No 575/2013

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

Article 4(1), point (14), of Regulation (EU) No 575/2013

A sponsor that also securitises its own assets shall fill in the originator's rows with the information regarding its own securitised assets.

0030, 0060 and 0090

SECURITISATION POSITIONS

The correlation trading portfolio shall comprise securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set out in Article 338, paragraphs 2 and 3 of Regulation (EU) No 575/2013.

Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row “Other CTP positions”.

0110

N-TH-TO-DEFAULT CREDIT DERIVATIVES

N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives in accordance with Article 347 of Regulation (EU) No 575/2013 shall both be reported here.

The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives.

0040, 0070, 0100 and 0120

OTHER CTP POSITIONS

The following positions are included:

—

Derivatives of securitisation exposures that provide a pro-rata share, as well as positions hedging CTP positions;

—

CTP positions hedged by credit derivatives in accordance with Article 346 of Regulation (EU) No 575/2013;

—

Other positions that satisfy Article 338(3) of Regulation (EU) No 575/2013.

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

5.4.1.   General Remarks

169.

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

170.

The template has to be filled out separately for the “Total”, plus a static, pre-defined list of the following markets: Bulgaria, Croatia, Czech Republic, Denmark, Egypt, Hungary, Iceland, Liechtenstein, Norway, Poland, Romania, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA, Euro Area plus one residual template for all other markets. For the purpose of this reporting requirement, the term “market” shall be read as “country” (except for countries belonging to the Euro Area, see Commission Delegated Regulation (EU) No 525/2014  ( 7 ) ).

5.4.2.   Instructions concerning specific positions

Columns

0010-0020

ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) of Regulation (EU) No 575/2013.

These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties as referred to in the second sentence of the first subparagraph of Article 345(1) of Regulation (EU) No 575/2013.

0030-0040

NET POSITIONS (LONG AND SHORT)

Articles 327, 329, 332, 341 and 345 of Regulation (EU) No 575/2013.

0050

POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, in accordance with the different approaches considered in Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013 receive a capital charge. The capital charge has to be calculated for each national market separately. Positions in stock-index futures as referred to in the second sentence of Article 344(4) of Regulation (EU) No 575/2013 shall not be included in this column.

0060

OWN FUNDS REQUIREMENTS

The own funds requirement in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013 for any relevant position

0070

TOTAL RISK EXPOSURE AMOUNT

Article 92(4), point (b), of Regulation (EU) No 575/2013.

Result of the multiplication of the own funds requirements by 12,5.

Rows

0010-0130

EQUITIES IN TRADING BOOK

Own funds requirements for position risk as referred to in Article 92(3) of Regulation (EU) No 575/2013, point (b)(i) and Part Three, Title IV, Chapter 2, Section 3 of that Regulation.

0020-0040

GENERAL RISK

Positions in equities subject to general risk (Article 343 of Regulation (EU) No 575/2013) and their correspondent own funds requirement in accordance with Part Three, Title IV, Chapter 2, Section 3of that Regulation

Both breakdowns (rows 0021/0022 as well as rows 0030/0040) are a breakdown related to all positions subject to general risk.

Rows 0021 and 0022 request information on the breakdown by instruments.

Only the breakdown in rows 0030 and 0040 shall be used as a basis for the calculation of own funds requirements.

0021

Derivatives

Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332 of Regulation (EU) No 575/2013, where applicable

0022

Other assets and liabilities

Instruments other than derivatives included in the calculation of equity risk of trading book positions.

0030

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

Exchange traded stock-index futures broadly diversified and subject to a particular approach in accordance with Commission Implementing Regulation (EU) No 945/2014  ( 8 )

Those positions shall be only subject to general risk and, accordingly, must not be reported in row 0050.

0040

Other equities than exchange traded stock-index futures broadly diversified

Other positions in equities subject to specific risk as well as the correspondent own funds requirements in accordance with Article 343 of Regulation (EU) No 575/2013, including positions in stock index futures treated in accordance with Article 344(3) of that Regulation

0050

SPECIFIC RISK

Positions in equities subject to specific risk and the correspondent own funds requirement in accordance with Article 342 of Regulation (EU) No 575/2013, excluding positions in stock-index futures treated in accordance with the second sentence of Article 344(4) of that Regulation

0090-0130

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

of Article 329, paragraphs 2 and 3 of Regulation (EU) No 575/2013

The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

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

5.5.1.   General Remarks

171.

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

172.

Rows 0100 to 0480 of this template shall be reported even where institutions are not required to calculate own funds requirements for foreign exchange risk in accordance with Article 351 of Regulation (EU) No 575/2013. In those memorandum items, all the positions in the reporting currency are included, irrespective of whether they are considered for the purposes of Article 354 of Regulation (EU) No 575/2013. Rows 0130 to 0480 of the memorandum items of the template shall be filled out separately for all currencies of the Member States of the Union, the currencies GBP, USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

5.5.2.   Instructions concerning specific positions

Columns

0020-0030

ALL POSITIONS (LONG AND SHORT)

Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) of Regulation (EU) No 575/2013

In accordance with Article 352(2) of Regulation (EU) No 575/2013 and subject to permission from competent authorities, positions taken to hedge against the adverse effect of the exchange rate on their ratios in accordance with Article 92(1) of that Regulation and positions related to items that are already deducted in the calculation of own funds shall not be reported.

0040-0050

NET POSITIONS (LONG AND SHORT)

Article 352(3), the Article 352(4), first two sentences and Article 353 of Regulation (EU) No 575/2013

The net positions are calculated by each currency in accordance with Article 352 (1) of Regulation (EU) No 575/2013. Consequently, both long and short positions may be reported at the same time.

0060-0080

POSITIONS SUBJECT TO CAPITAL CHARGE

Article 352(4), third sentence and Articles 353 and 354 of Regulation (EU) No 575/2013

0060-0070

POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT)

The long and short net positions for each currency shall be calculated by deducting the total of short positions from the total of long positions.

Long net positions for each operation in a currency shall be added to obtain the long net position in that currency.

Short net positions for each operation in a currency shall be added to obtain the short net position in that currency.

Unmatched positions in non-reporting currencies shall be added to positions subject to capital charges for other currencies (row 030) in column 060 or 070, depending on their short or long arrangement.

0080

POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED)

Matched positions for closely correlated currencies.

0090

OWN FUNDS REQUIREMENTS

The capital charge for any relevant position in accordance with Part Three, Title IV, Chapter 3 of Regulation (EU) No 575/2013

0100

TOTAL RISK EXPOSURE AMOUNT

Article 92(4), point (b), of Regulation (EU) No 575/2013.

Result of the multiplication of the own funds requirements by 12,5.

Rows

0010

TOTAL POSITIONS

All positions in non-reporting currencies and those positions in the reporting currency that are considered for the purposes of Article 354 of Regulation (EU) No 575/2013 as well as their correspondent own funds requirements for the foreign-exchange risk referred to in Article 92(3), point (c)(i), taking into account Article 352, paragraphs 2 and 4 of Regulation (EU) No 575/2013 (for conversion into the reporting currency).

0020

CURRENCIES CLOSELY CORRELATED

Positions and their correspondent own funds requirements for closely correlated currencies as referred to in Article 354 of Regulation (EU) No 575/2013.

0025

Currencies closely correlated: of which : reporting currency

Positions in the reporting currency which contribute to the calculation of the capital requirements in accordance with Article 354 of Regulation (EU) No 575/2013.

0030

ALL OTHER CURRENCIES (including CIU's treated as different currencies)

Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and Article 352, paragraphs 2 and 4 of Regulation (EU) No 575/2013.

Reporting of CIU's treated as separate currencies in accordance with Article 353 of Regulation (EU) No 575/2013:

There are two different treatments of CIUs treated as separate currencies for calculating the capital requirements:

1.

The modified gold method, where the direction of the CIUs investment is not available (those CIUs shall be added to an institution’s overall net foreign-exchange position);

2.

Where the direction of the CIU's investment is available, those CIUs shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU).

The reporting of those CIU's shall follow the calculation of the capital requirements.

0040

GOLD

Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and Article 352, paragraphs 2 and 4 of Regulation (EU) No 575/2013

0050 - 0090

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 352, paragraphs 5 and 6 of Regulation (EU) No 575/2013

The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.

0100-0120

Breakdown of total positions (reporting currency included) by exposure types

Total positions shall be broken down into derivatives, other assets and liabilities, and off-balance sheet items.

0100

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

Positions not included in row 0110 or 0120 shall be included here.

0110

Off-balance sheet items

Items within the scope of Article 352 of Regulation (EU) No 575/2013, irrespective of the currency of denomination, which are included in Annex I to of that Regulation, except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.

0120

Derivatives

Positions valued in accordance with Article 352 of Regulation (EU) No 575/2013.

0130-0480

MEMORANDUM ITEMS: CURRENCY POSITIONS

The memorandum items of the template shall be filled in separately for all currencies of the member states of the Union, GBP, USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

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

5.6.1.   General Remarks

173.

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

5.6.2.   Instructions concerning specific positions

Columns

0010-0020

All POSITIONS (LONG AND SHORT)

Gross long/short positions considered positions in the same commodity in accordance with Article 357(4) of Regulation (EU) No 575/2013 (see also Article 359(1) of Regulation (EU) No 575/2013)

0030-0040

NET POSITIONS (LONG AND SHORT)

As defined in Article 357(3) of Regulation (EU) No 575/2013

0050

POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, in accordance with the different approaches considered in Part Three, Title IV, Chapter 4 of Regulation (EU) No 575/2013 receive a capital charge.

0060

OWN FUNDS REQUIREMENTS

The own funds requirement calculated in accordance with Part Three, Title IV, Chapter 4 of Regulation (EU) No 575/2013 for any relevant position

0070

TOTAL RISK EXPOSURE AMOUNT

Article 92(4), point (b), of Regulation (EU) No 575/2013.

Result of the multiplication of the own funds requirements by 12,5

Rows

0010

TOTAL POSITIONS IN COMMODITIES

Positions in commodities and their correspondent own funds requirements for market risk calculated in accordance with Article 92(3), point (c)(iii) of Regulation (EU) No 575/2013 and Part Three, Title IV, Chapter 4 of Regulation (EU) No 575/2013

0020-0060

POSITIONS BY CATEGORY OF COMMODITY

For reporting purposes, commodities shall be grouped in the four groups of commodities referred to in Article 361, Table 2 of Regulation (EU) No 575/2013.

0070

MATURITY LADDER APPROACH

Positions in commodities subject to the maturity ladder approach referred to in Article 359 of Regulation (EU) No 575/2013

0080

EXTENDED MATURITY LADDER APPROACH

Positions in commodities subject to the extended maturity ladder approach referred to in Article 361 of Regulation (EU) No 575/2013

0090

SIMPLIFIED APPROACH

Positions in commodities subject to the simplified approach referred to in Article 360 of Regulation (EU) No 575/2013

0100-0140

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 358(4) of Regulation (EU) No 575/2013

The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

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

5.7.1.   General Remarks

174.

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

175.

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

5.7.2.   Instructions concerning specific positions

Columns

0030-0040

Value at Risk (VaR)

VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon.

0030

Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg)

Article 364(1), point (a)(ii) and Article 365(1) of Regulation (EU) No 575/2013

0040

Previous day VaR (VaRt-1)

Article 364(1), point (a)(i) and Article 365(1) of Regulation (EU) No 575/2013

0050-0060

Stressed VaR

Stressed VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution’s portfolio.

0050

Multiplication factor (ms) x Average of previous 60 working days (SVaRavg)

Article 364(1), point (b)(ii) and Article 365(1) of Regulation (EU) No 575/2013

0060

Latest available (SVaRt-1)

Article 364(1), point (b)(i)and Article 365(1) of Regulation (EU) No 575/2013

0070-0080

INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

Incremental default and migration risk capital charge means the maximum potential loss that would result from a price change linked to default and migration risks calculated in accordance with Article 364(2), point (b) in conjunction with Part Three, Title IV, Chapter 5, Section 4 of Regulation (EU) No 575/2013.

0070

12 weeks average measure

Article 364(2), point (b)(ii) in conjunction with Part Three, Title IV, Chapter 5, Section 4 of Regulation (EU) No 575/2013

0080

Last Measure

Article 364(2), point (b)(i) in conjunction with Part Three, Title IV, Chapter 5, Section 4 of Regulation (EU) No 575/2013

0090-0110

ALL PRICE RISKS CAPITAL CHARGE FOR CTP

0090

FLOOR

Article 364(3), point (c), of Regulation (EU) No 575/2013

8 % of the capital charge that would be calculated in accordance with Article 338(1) of Regulation (EU) No 575/2013 for all positions in the “all price risks” capital charge.

0100-0110

12 WEEKS AVERAGE MEASURE AND LAST MEASURE

Article 364(3), point (b), of Regulation (EU) No 575/2013

0110

LAST MEASURE

Article 364(3), point (a), of Regulation (EU) No 575/2013

0120

OWN FUNDS REQUIREMENTS

Own funds requirements as referred to in Article 364 of Regulation (EU) No 575/2013 of all risk factors, taking into account correlation effects, where applicable, plus incremental default and migration risk and all price of risks for CTP, but excluding the Securitization capital charges for Securitization and nth-to-default credit derivative according to Article 364(2) of Regulation (EU) No 575/2013

0130

TOTAL RISK EXPOSURE AMOUNT

Article 92(4), point (b), of Regulation (EU) No 575/2013.

Result of the multiplication of the own funds requirements by 12.5

0140

Number of overshootings (during previous 250 working days)

Referred to in Article 366 of Regulation (EU) No 575/2013

The number of overshootings based on which the addend is determined shall be reported. Where institutions are permitted to exclude certain overshootings from the calculation of the addend in accordance with Article 500c of Regulation (EU) No 575/2013, the number of overshootings reported in this column shall be net of those excluded overshootings.

0150-0160

VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)

As referred to in Article 366 of Regulation (EU) No 575/2013

The multiplication factors effectively applicable for the calculation of own funds requirements shall be reported; where applicable, after application of Article 500c of Regulation (EU) No 575/2013.

0170-0180

ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG/ SHORT POSITIONS AFTER CAP

The amount reported and serving as the basis to calculate the floor capital charge for all price risks in accordance with Article 364(3), point (c), of Regulation (EU) No 575/2013, taking into account the discretion of Article 335 of that Regulation which stipulates that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss.

Rows

0010

TOTAL POSITIONS

Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) of Regulation (EU) No 575/2013 linked to the risk factors specified in Article 367(2) of that Regulation.

Concerning the columns 0030 to 0060 (VAR and Stress-VAR), the figures in the total row are not equal to the decomposition of the figures for the VaR/Stress-VaR of the relevant risk components.

0020

TRADED DEBT INSTRUMENTS

Corresponds to the part of position risk referred to in Article 363(1) of Regulation (EU) No 575/2013, linked to the interest rates risk factors specified in Article 367(2), point (a), of that Regulation.

0030

TDI – GENERAL RISK

General risk component as referred to in Article 362 of Regulation (EU) No 575/2013

0040

TDI – SPECIFIC RISK

Specific risk component as referred to in Article 362 of Regulation (EU) No 575/2013

0050

EQUITIES

Corresponds to the part of position risk referred to in Article 363(1) of Regulation (EU) No 575/2013 linked to the equity risk factors as specified in Article 367(2), point (c), of that Regulation.

0060

EQUITIES – GENERAL RISK

General risk component as referred to in Article 362 of Regulation (EU) No 575/2013

0070

EQUITIES – SPECIFIC RISK

Specific risk component as referred to in Article 362 of Regulation (EU) No 575/2013

0080

FOREIGN EXCHANGE RISK

Articles 363(1) and Article 367(2), point (b), of Regulation (EU) No 575/2013

0090

COMMODITY RISK

Articles 363(1) and Article 367(2), point (d)of Regulation (EU) No 575/2013

0100

TOTAL AMOUNT FOR GENERAL RISK

Market risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VaR for general risk of all risk factors (taking into account correlation effects where applicable)

0110

TOTAL AMOUNT FOR SPECIFIC RISK

Specific risk component of traded debt instruments and equities. VaR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects where applicable)

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

5.8.1.   Instructions concerning specific positions

Columns

0010

Exposure value

Article 271 of Regulation (EU) No 575/2013 in conjunction with Article 382 of that Regulation.

Total EAD from all transactions subject to CVA charge.

0020

Of which: OTC derivatives

Article 271 of Regulation (EU) No 575/2013 in conjunction with Article 382(1) of that Regulation.

The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set.

0030

Of which: SFT

Article 271 of Regulation (EU) No 575/2013 in conjunction with Article 382(2) of that Regulation

The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set.

0040

MULTIPLICATION FACTOR (mc) × AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)

Article 383 of Regulation (EU) No 575/2013 in conjunction with Article 363(1), point (d), of that Regulation.

VaR calculation based on internal models for market risk

0050

PREVIOUS DAY (VaRt-1)

See instructions for column 0040.

0060

MULTIPLICATION FACTOR (ms) × AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)

See instructions for column 0040

0070

LATEST AVAILABLE (SVaRt-1)

See instructions for column 0040

0080

OWN FUNDS REQUIREMENTS

Article 92(3), point (d), of Regulation (EU) No 575/2013.

Own funds requirements for CVA Risk calculated via the chosen method.

0090

TOTAL RISK EXPOSURE AMOUNT

Article 92(4), point (b), of Regulation (EU) No 575/2013.

Own funds requirements multiplied by 12.5.

Memorandum items

0100

Number of counterparties

Article 382 of Regulation (EU) No 575/2013

Number of counterparties included in calculation of own funds for CVA risk.

Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are the other contracting party.

0110

Of which: proxy was used to determine credit spread

Number of counterparties where the credit spread was determined using a proxy instead of directly observed market data.

0120

INCURRED CVA

Accounting provisions due to decreased credit worthiness of derivatives counterparties.

0130

SINGLE NAME CDS

Article 386(1), point (a), of Regulation (EU) No 575/2013

Total notional amounts of single name CDS used as hedge for CVA risk.

0140

INDEX CDS

Article 386(1), point (b), of Regulation (EU) No 575/2013

Total notional amounts of index CDS used as hedge for CVA risk.

Rows

0010

CVA risk total

Sum of rows 0020-0040

0020

Advanced method

Advanced CVA risk method as prescribed by Article 383 of Regulation (EU) No 575/2013

0030

Standardised method

Standardised CVA risk method as prescribed by Article 384 of Regulation (EU) No 575/2013

0040

Based on OEM

Amounts subject to the application of Article 385 of Regulation (EU) No 575/2013

6.   PRUDENT VALUATION (PRUVAL)

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

6.1.1.   General remarks

176.

This template shall be completed by all institutions, irrespective of whether they have adopted the simplified approach for the determination of Additional Valuation Adjustments (“AVAs”). This template is dedicated to the absolute value of fair-valued assets and liabilities used to determine whether the conditions set out in Article 4 of Commission Delegated Regulation (EU) 2016/101  ( 9 ) for using the simplified approach for the determination of AVAs are met.

177.

With regard to institutions using the simplified approach, this template shall provide the total AVA to be deducted from own funds pursuant to Articles 34 and 105 of Regulation (EU) No 575/2013 as set out in Article 5 of the Delegated Regulation (EU) 2016/101, which shall be reported accordingly in row 0290 of C 01.00.

6.1.2.   Instructions concerning specific positions

Columns

0010

FAIR-VALUED ASSETS AND LIABILITIES

Absolute value of fair-valued assets and liabilities, as stated in the financial statements under the applicable accounting framework, as referred to in Article 4(1) of Delegated Regulation (EU) 2016/101, before any exclusion in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.

0020

OF WHICH: TRADING BOOK

Absolute value of fair-valued assets and liabilities, as reported in 010, corresponding to positions held in the trading book.

0030-0070

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

Absolute value of fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.

0030

EXACTLY MATCHING

Exactly matching, offsetting fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.

0040

HEDGE ACCOUNTING

For positions subject to hedge accounting under the applicable accounting framework, absolute value of fair-valued assets and liabilities excluded in proportion to the impact of the relevant valuation change on CET1 capital in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.

0050

PRUDENTIAL FILTERS

Absolute value of fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 due to the transitional application of the prudential filters referred to in Articles 467 and 468 of Regulation (EU) No 575/2013.

0060

OTHER

Any other positions excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 due to adjustments to their accounting value having only a proportional effect on CET1 capital.

This row shall only be populated in rare cases where elements excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 cannot be assigned to columns 0030, 0040 or 0050 of this template.

0070

COMMENT FOR OTHER

The main reasons why the positions reported in column 0060 were excluded shall be provided.

0080

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

Absolute value of fair-valued assets and liabilities actually included in the threshold computation in accordance with Article 4(1) of Delegated Regulation (EU) 2016/101.

0090

OF WHICH: TRADING BOOK

Absolute value of fair-valued assets and liabilities, as reported in column 0080, corresponding to positions held in the trading book.

Rows

0010 – 0210

The definitions of these categories shall match those of the corresponding rows of FINREP templates 1.1 and 1.2.

0010

1 TOTAL FAIR-VALUED ASSETS AND LIABILITIES

Total of fair-valued assets and liabilities reported in rows 0020 to 0210.

0020

1.1 TOTAL FAIR-VALUED ASSETS

Total of fair-valued assets reported in rows 0030 to 0140.

Relevant cells of rows 0030 to 0130 shall be reported in line with FINREP template F 01.01 of Annexes III and IV to this Implementing Regulation, depending on the institution’s applicable standards:

—

IFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 of the European Parliament and of the Council (“EU IFRS”)  ( 10 ) ;

—

National accounting standards compatible with EU IFRS (“National GAAP compatible IFRS”); or

—

National GAAP based on Council Directive 86/635/EEC (FINREP “National GAAP based on Council Directive 86/635/EEC”).

0030

1.1.1 FINANCIAL ASSETS HELD FOR TRADING

IFRS 9.Appendix A.

The information reported in this row shall correspond to row 0050 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0040

1.1.2 TRADING FINANCIAL ASSETS

Articles 32 and 33 of Council Directive 86/635/EEC; Part 1.17 of Annex V to this Implementing Regulation

The information reported in this row shall correspond to assets measured at fair value that are included in the value reported in row 0091 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0050

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

IFRS 7.8(a)(ii); IFRS 9.4.1.4.

The information reported in this row shall correspond to row 0096 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0060

1.1.4 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

IFRS 7.8(a)(i); IFRS 9.4.1.5; Article 8(1), point (a) and Article 8(6) of Directive 2013/34/EU

The information reported in this row shall correspond to row 0100 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0070

1.1.5 FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME

IFRS 7.8(h); IFRS 9.4.1.2A.

The information reported in this row shall correspond to row 0141 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0080

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

Article 36(2) of Council Directive 86/635/EEC The information reported in this row shall correspond to row 0171 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0090

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

Article 8(1), point (a) and Article 8(8) of Directive 2013/34/EU

The information reported in this row shall correspond to row 0175 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0100

1.1.8 OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS

Article 37 of Council Directive 86/635/EEC; Article 12(7) of Directive 2013/34/EU; Part 1.20 of Annex V to this Implementing Regulation

The information reported in this row shall correspond to assets measured at fair value that are included in the value reported in row 0234 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0110

1.1.9 DERIVATIVES - HEDGE ACCOUNTING

IFRS 9.6.2.1; Part 1.22 of Annex V to this Implementing Regulation; Article 8(1), point (a) and Article 8, paragraphs 6 and 8 of Directive 2013/34/EU; IAS 39.9

The information reported in this row shall correspond to row 0240 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0120

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

IAS 39.89A(a); IFRS 9.6.5.8; Article 8, paragraphs 5 and 6 of Directive 2013/34/EU of the European Parliament and of the Council  ( 11 ) . The information reported in this row shall correspond to row 0250 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0130

1.1.11 INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES

IAS 1.54(e); Parts 1.21 and 2.4 of Annex V to this Implementing Regulation; Article 4, points (7) and (8), of Council Directive 86/635/EEC; Article 2(2) of Directive 2013/34/EU

The information reported in this row shall correspond to row 0260 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0140

1.1.12 (-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE

Part 1.29 of Annex V to this Implementing Regulation

The information reported in this row shall correspond to row 0375 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0142

1.1.13 OTHER ASSETS

Assets as referred to in Annex V, part 2, paragraphs 5 and 6 to this Implementing Regulation, to the extent they are valued at fair value.

0143

1.1.14 NON-CURRENT ASSETS AND DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE

Assets as referred to in Annex V, part 2, paragraph 7 to this Implementing Regulation, to the extent they are valued at fair value.

0150

1.2 TOTAL FAIR-VALUED LIABILITIES

Total of fair-valued liabilities reported in rows 0160 to 0210.

Relevant cells of rows 0150 to 0190 shall be reported in line with FINREP template F 01.02 of Annexes III and IV to this Implementing Regulation depending on the institution’s applicable standards:

—

IFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 (“EU IFRS”)

—

National accounting standards compatible with EU IFRS (“National GAAP compatible IFRS”)

—

or National GAAP based on Council Directive 86/635/EEC (FINREP “National GAAP based on Council Directive 86/635/EEC”).

0160

1.2.1 FINANCIAL LIABILITIES HELD FOR TRADING

IFRS 7.8 (e)(ii); IFRS 9.BA.6.

The information reported in this row shall correspond to row 0010 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

0170

1.2.2 TRADING FINANCIAL LIABILITIES

Article 8(1), point (a) and Article 8, paragraphs 3 and 6 of Directive 2013/34/EU

The information reported in this row shall correspond to row 0061 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

0180

1.2.3 FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

IFRS 7.8 (e)(i); IFRS 9.4.2.2; Article 8(1), point (a) and Article 8(6) of Directive 2013/34/EU; IAS 39.9.

The information reported in this row shall correspond to row 0070 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

0190

1.2.4 DERIVATIVES - HEDGE ACCOUNTING

IFRS 9.6.2.1; Part 1.26 of Annex V to this Implementing Regulation; Article 8(1), point (a), (6) and (8), point (a), of Directive 2013/34/EU

The information reported in this row shall correspond to row 0150 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

0200

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

IAS 39.89A(b), IFRS 9.6.5.8; Article 8, paragraphs 5 and 6 of Directive 2013/34/EU; Part 2.8 of Annex V to this Implementing Regulation

The information reported in this row shall correspond to row 0160 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

0210

1.2.6 HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE

Part 1.29 of Annex V to this Implementing Regulation

The information reported in this row shall correspond to row 0295 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

0220

1.2.7 OTHER LIABILITIES

Liabilities as referred to in Annex V, part 2, paragraph 13 to this Implementing Regulation, to the extent they are valued at fair value.

0230

1.2.8 LIABILITIES INCLUDED IN DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE

Liabilities as referred to in Annex V, part 2, paragraph 14 to this Implementing Regulation, to the extent they are valued at fair value.

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

6.2.1.   General remarks

178.

The purpose of this template is to provide information on the composition of the total AVA to be deducted from own funds under Articles 34 and 105 of Regulation (EU) No 575/2013 alongside relevant information about the accounting valuation of the positions that give rise to the determination of AVAs.

179.

This template shall be completed by all institutions that:

(a)

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

(b)

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

180.

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

6.2.2.   Instructions concerning specific positions

Columns

0010 - 0100

CATEGORY LEVEL AVA

The category level AVAs for market price uncertainty, close-out costs, model risk, concentrated positions, future administrative costs, early termination and operational risk are calculated as described in Articles 9, 10, 11 and 14 to 17 of Delegated Regulation (EU) 2016/101 respectively.

For the market price uncertainty, close-out cost and model risk categories, which are subject to diversification benefit as set out in Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101, respectively, category level AVAs shall be, unless indicated otherwise, reported as the straight sum of the individual AVAs before diversification benefit [since diversification benefits calculated using method 1 or method 2 of the Annex of Delegated Regulation (EU) 2016/101 are reported in items 1.1.2, 1.1.2.1 and 1.1.2.2 of the template].

For the market uncertainty, close-out cost and model risk categories, amounts calculated under the expert-based approach as referred to in Article 9(5), point (b), Article 10(6), point (b) and Article 11(4) of Delegated Regulation (EU) 2016/101 shall be separately reported in columns 0020, 0040 and 0060.

0010

MARKET PRICE UNCERTAINTY

Article 105(10) of Regulation (EU) No 575/2013.

Market price uncertainty AVAs calculated in accordance with Article 9 of Delegated Regulation (EU) 2016/101.

0020

OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH

Market price uncertainty AVAs calculated in accordance with Article 9(5), point (b), of Delegated Regulation (EU) 2016/101.

0030

CLOSE-OUT COSTS

Article 105(10) of Regulation (EU) No 575/2013.

Close-out costs AVAs calculated in accordance with Article 10 of Delegated Regulation (EU) 2016/101.

0040

OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH

Close-out costs AVAs calculated in accordance with Article 10(6), point (b), of Delegated Regulation (EU) 2016/101.

0050

MODEL RISK

Article 105(10) of Regulation (EU) No 575/2013

Model risk AVAs calculated in accordance with Article 11 of Delegated Regulation (EU) 2016/101.

0060

OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH

Model risk AVAs calculated in accordance with Article 11(4) of Delegated Regulation (EU) 2016/101.

0070

CONCENTRATED POSITIONS

Article 105(11) of Regulation (EU) No 575/2013

Concentrated positions AVAs calculated in accordance with Article 14 of Delegated Regulation (EU) 2016/101.

0080

FUTURE ADMINISTRATIVE COSTS

Article 105(10) of Regulation (EU) No 575/2013

Future administrative costs AVAs calculated in accordance with Article 15 of Delegated Regulation (EU) 2016/101.

0090

EARLY TERMINATION

Article 105(10) of Regulation (EU) No 575/2013

Early termination AVAs calculated in accordance with Article 16 of Delegated Regulation (EU) 2016/101.

0100

OPERATIONAL RISK

Article 105(10) of Regulation (EU) No 575/2013

Operational risk AVAs calculated in accordance with Article 17 of Delegated Regulation (EU) 2016/101.

0110

TOTAL AVA

Row 0010: total AVA to be deducted from own funds in accordance with Articles 34 and 105 of Regulation (EU) No 575/2013 and reported accordingly in row 0290 of C 01.00. The total AVA shall be the sum of rows 0030 and 0180.

Row 0020: Share of the total AVA reported in row 0010 stemming from trading book positions (absolute value).

Rows 0030 to 0160: Sum of columns 0010, 0030, 0050 and 0070 to 0100.

Rows 0180 to 0210: Total AVA stemming from portfolios under the fall-back approach.

0120

UPSIDE UNCERTAINTY

Article 8(2) of Delegated Regulation (EU) 2016/101.

The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA computed in column 0110, but substituting a 10 % level of certainty for the 90 % used when determining the total AVA.

0130 -0140

FAIR-VALUED ASSETS AND LIABILITIES

Absolute value of fair-valued assets and liabilities corresponding to the AVA amounts reported in rows 0010 to 0130 and row 0180. For some rows, in particular rows 0090 to 0130, these amounts may have to be approximated or allocated based on expert judgement.

Row 0010: Total absolute value of fair-valued assets and liabilities included in the threshold computation of Article 4(1) of Delegated Regulation (EU) 2016/101. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080.

Row 0010 is the sum of row 0030 and row 0180.

Row 0020: share of total absolute value of fair-valued assets and liabilities reported in row 0010 stemming from trading book positions (absolute value).

Row 0030: Absolute value of fair-valued assets and liabilities corresponding to the portfolios referred to in Articles 9 to 17 of Delegated Regulation (EU) 2016/101. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080. Row 0030 shall be the sum of rows 0090 to 0130.

Row 0050: Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101, may not be considered exactly matching, offsetting anymore.

Row 0060: Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101, may not be considered exactly matching, offsetting anymore.

Row 0070: Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value referred to in Article 9(2) of Delegated Regulation (EU) 2016/101.

Row 0080: Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value referred to in Article 10, paragraphs 2 and 3 of Delegated Regulation (EU) 2016/101.

Rows 0090 to 0130: Absolute value of fair-valued assets and liabilities allocated as set out below (see corresponding row instructions) in accordance with the following risk categories: interest rates, foreign exchange, credit, equities, commodities. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080.

Row 0180: Absolute value of fair-valued assets and liabilities corresponding to the portfolios under the fall-back approach

0130

FAIR-VALUED ASSETS

Absolute value of fair-valued assets corresponding to the different rows as explained in the instructions on columns 0130-0140 above.

0140

FAIR-VALUED LIABILITIES

Absolute value of fair-valued liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above.

0150

QTD REVENUE

The quarter-to-date revenues (“QTD revenue”) since the last reporting date attributed to the fair valued assets and liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above, where relevant allocated or approximated based on expert judgment.

0160

IPV DIFFERENCE

The sum across all positions and risk factors of unadjusted difference amounts (“IPV difference”) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) of Regulation (EU) No 575/2013, with respect to the best available independent data for the relevant position or risk factor.

Unadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process.

No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.

0170 - 0250

FAIR VALUE ADJUSTMENTS

Adjustments, sometimes also referred to as “reserves”, potentially applied in the institution’s accounting fair value that are made outside of the valuation model used to generate carrying amounts (excluding deferral of day one gains and losses) and that can be identified as addressing the same source of valuation uncertainty as the relevant AVA. They could reflect risk factors not captured within the valuation technique that are in a form of a risk premium or exit cost and are compliant with the definition of fair value. They shall nevertheless be considered by market participants when setting a price. (IFRS 13.9 and IFRS13.88)

0170

MARKET PRICE UNCERTAINTY

Adjustment applied in the institution’s fair value to reflect the risk premium arising from the existence of a range of observed prices for equivalent instruments or, in respect of a market parameter input to a valuation model, the instruments from which the input has been calibrated, and thus that can be identified as addressing the same source of valuation uncertainty as the Market price uncertainty AVA.

0180

CLOSE-OUT COSTS

Adjustment applied in the institution’s fair value to adjust for the fact that the position level valuations do not reflect an exit price for the position or portfolio, in particular where such valuations are calibrated to a mid-market price, and thus that can be identified as addressing the same source of valuation uncertainty as the close-out costs AVA.

0190

MODEL RISK

Adjustment applied in the institution’s fair value to reflect market or product factors that are not captured by the model used to calculate daily position values and risks (“valuation model”) or to reflect an appropriate level of prudence given the uncertainty arising from the existence of a range of alternative valid models and model calibrations and thus that can be identified as addressing the same source of valuation uncertainty as the model risk AVA.

0200

CONCENTRATED POSITIONS

Adjustment applied in the institution’s fair value to reflect the fact that the aggregate position held by the institution is larger than normal traded volume or larger than the position sizes on which observable quotes or trades that are used to calibrate the price or inputs used by the valuation model are based and thus can be identified as addressing the same source of valuation uncertainty as the concentrated positions AVA.

0210

UNEARNED CREDIT SPREADS

Adjustment applied in the institution’s fair value to cover expected losses due to counterparty default on derivative positions (i.e. total Credit Valuation Adjustment “CVA” at institution level).

0220

INVESTING AND FUNDING COSTS

Adjustment applied in the institution’s fair value to compensate where valuation models do not fully reflect the funding cost that market participants would factor into the exit price for a position or portfolio (i.e. total Funding Valuation Adjustment at institution level where an institution computes such adjustment, or alternatively, equivalent adjustment).

0230

FUTURE ADMINISTRATION COSTS

Adjustment applied in the institution’s fair value to reflect administrative costs that are incurred by the portfolio or position but are not reflected in the valuation model or the prices used to calibrate inputs to that model, and thus that can be identified as addressing the same source of valuation uncertainty as the Future administrative costs AVA.

0240

EARLY TERMINATION

Adjustments applied in the institution’s fair value to reflect contractual or non-contractual early termination expectations that are not reflected in the valuation model and thus can be identified as addressing the same source of valuation uncertainty as the Early termination AVA.

0250

OPERATIONAL RISK

Adjustments applied in the institution’s fair value to reflect the risk premium that market participants would charge to compensate for operational risks arising from hedging, administration and settlement of contracts in the portfolio, and thus can be identified as addressing the same source of valuation uncertainty as the operational risk AVA.

0260

DAY 1 P&L

Adjustments to reflect instances where the valuation model plus all other relevant fair value adjustments applicable to a position or portfolio did not reflect the price paid or received at first day recognition, i.e. the deferral of day one gains and losses (IFRS 9.B5.1.2.A).

0270

EXPLANATION DESCRIPTION

Description of the positions treated in accordance with Article 7(2), point (b), of Delegated Regulation (EU) 2016/101 and the reason why it was not possible to apply Articles 9 to 17 thereof.

Rows

0010

1. TOTAL CORE APPROACH

Article 7(2) of Delegated Regulation (EU) 2016/101.

For each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs computed under the core approach as set out in Chapter 3 of Delegated Regulation (EU) 2016/101 o for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation. That includes the diversification benefits reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101.

0020

OF WHICH: TRADING BOOK

Article 7(2) of Delegated Regulation (EU) 2016/101.

For each relevant category of AVAs referred to in columns 0010 to 0110, share of total AVAs reported in row 0010 stemming from trading book positions (absolute value).

0030

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

Article 7(2), point (a), of Delegated Regulation (EU) 2016/101.

For each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs computed in accordance with Articles 9 to 17 of Delegated Regulation (EU) 2016/101 for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation, except fair-valued assets and liabilities subject to the treatment described in Article 7(2), point (b), of Delegated Regulation (EU) 2016/101.

That includes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) 2016/101 that are reported in rows 0050 and 0060 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of that Regulation.

That includes the diversification benefits reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101.

Row 0030 shall be the difference between rows 0040 and 0140.

0040 - 0130

1.1.1 TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION

For rows 0090 to 0130, institutions shall allocate their fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of Delegated Regulation (EU) 2016/101 (trading book and non-trading book) to the following risk categories: interest rates, foreign exchange, credit, equities, commodities.

To that end, institutions shall rely on their internal risk management structure and, following a mapping developed based on expert judgement, allocate their business lines or trading desks to the most appropriate risk category. AVAs, Fair Value Adjustments and other required information which correspond to the allocated business lines or trading desks, shall be allocated to the same relevant risk category to provide at row level for each risk category a consistent overview of the adjustments performed both for prudential purposes and accounting purposes, as well as an indication of the size of the positions concerned (in terms of fair-valued assets and liabilities). Where AVAs or other adjustments are computed at a different level of aggregation, in particular at firm level, institutions shall develop an allocation methodology of the AVAs to the relevant sets of positions. The allocation methodology shall lead to row 0040 being the sum of rows 0050 to 0130 for columns 0010 to 0100.

Regardless of the approach applied, the information reported shall, as much as possible, be consistent at row level, since the information provided will be compared at this level (AVA amounts, upside uncertainty, fair-value amounts and potential fair-value adjustments).

The breakdown in rows 0090 to 0130 excludes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) 2016/101 that are reported in rows 0050 and 0060 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of that Regulation.

Diversification benefits are reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101 and are therefore excluded from rows 0040 to 0130.

0050

OF WHICH: UNEARNED CREDIT SPREADS AVA

Article 105(10) of Regulation (EU) No 575/2013, Article 12 of Delegated Regulation (EU) 2016/101.

The total AVA calculated for unearned credit spreads (“AVA on CVA”) and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 12 of Delegated Regulation (EU) 2016/101.

Column 0110: The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs.

Columns 0130 and 0140: Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVAs. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore.

0060

OF WHICH: INVESTMENT AND FUNDING COSTS AVA

Article 105(10) of Regulation (EU) No 575/2013, Article 17 of Delegated Regulation (EU) 2016/101.

The total AVA calculated for investing and funding costs and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 13 of Delegated Regulation (EU) 2016/101.

Column 0110: The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs.

Columns 0130 and 0140: Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore.

0070

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

Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 9(2) of Delegated Regulation (EU) 2016/101.

0080

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

Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 10(2) or 10(3) of Delegated Regulation (EU) 2016/101.

0090

1.1.1.1 INTEREST RATES

0100

1.1.1.2 FOREIGN EXCHANGE

0110

1.1.1.3 CREDIT

0120

1.1.1.4 EQUITIES

0130

1.1.1.5 COMMODITIES

0140

1.1.2 (-) DIVERSIFICATION BENEFITS

Total diversification benefit. Sum of rows 0150 and 0160.

0150

1.1.2.1 (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 1

For those categories of AVA aggregated under Method 1 in accordance with Articles 9(6), 10(7) and 11(6) of Delegated Regulation (EU) 2016/101, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation.

0160

1.1.2.2 (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 2

For those categories of AVA aggregated under Method 2 in accordance with Articles 9(6), 10(7) and 11(6) of Delegated Regulation (EU) 2016/101, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation.

0170

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

In the terminology of Method 2, the sum of FV – PV for all valuation exposures for which APVA < 10 % (FV – PV).

0180

1.2 PORTFOLIOS CALCULATED UNDER THE FALL-BACK APPROACH

Article 7(2), point (b), of Delegated Regulation (EU) 2016/101.

For portfolios subject to the fall-back approach under Article 7(2), point (b), of Delegated Regulation (EU) 2016/101, the total AVA shall be computed as a sum of rows 0190, 0200 and 0210.

Relevant balance sheet and other contextual information shall be provided in columns 0130 - 0260. A description of the positions and the reason why it was not possible to apply Articles 9 to 17 of Delegated Regulation (EU) 2016/101 shall be provided in column 0270.

0190

1.2.1 FALL-BACK APPROACH; 100 % UNREALISED PROFIT

Article 7(2), point (b)(i) of Delegated Regulation (EU) 2016/101.

0200

1.2.2 FALL-BACK APPROACH; 10 % NOTIONAL VALUE

Article 7(2), point (b)(ii) of Delegated Regulation (EU) 2016/101.

0210

1.2.3 FALL-BACK APPROACH; 25 % OF INCEPTION VALUE

Article 7(2), point (b)(iii) of Delegated Regulation (EU) 2016/101.

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

6.3.1.   General remarks

181.

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

182.

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

183.

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

184.

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

185.

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

6.3.2.   Instructions concerning specific positions

Columns

0005

RANK

The rank is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc, with 1 being assigned to the highest individual model risk AVAs, 2 to the second highest and so on.

0010

MODEL

Internal name (alpha-numerical) of the model used by the institution to identify the model.

0020

RISK CATEGORY

The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the product or group of products that give rise to the model risk valuation adjustment.

Institutions shall report the following codes:

IR

–

interest rates

FX

–

foreign exchange

CR

–

credit

EQ

–

equities

CO

–

commodities

0030

PRODUCT

Internal name (alpha-numerical) for the product or group of products, in line with the product inventory required by Article 19(3), point (a), of Delegated Regulation (EU) 2016/101, that is valued using the model.

0040

OBSERVABILITY

Number of price observations for the product or group of products in the last twelve months that meet either of the following criteria:

—

The price observation is a price at which the institution has conducted a transaction;

—

It is a verifiable price for an actual transaction between third parties;

—

The price is obtained from a committed quote.

Institutions shall report one of the following values: “none”, “1-6”, “6-24”, “24-100”, “100+”.

0050

MODEL RISK AVA

Article 11(1) of Delegated Regulation (EU) 2016/101.

Individual model risk AVA before diversification benefit, but after portfolio netting where relevant.

0060

OF WHICH: USING EXPERT-BASED APPROACH

Amounts in column 0050 that have been calculated under the expert-based approach referred to in Article 11(4) of Delegated Regulation (EU) 2016/101.

0070

OF WHICH: AGGREGATED USING METHOD 2

Amounts in column 0050 that have been aggregated under Method 2 of the Annex to Delegated Regulation (EU) 2016/101. These amounts correspond to FV – PV in the terminology of that Annex.

0080

AGGREGATED AVA CALCULATED UNDER METHOD 2

The contribution towards the total category level AVA for model risk, as computed in accordance with Article 11(7) of the Delegated Regulation (EU) 2016/101 of individual model risk AVAs that are aggregated using Method 2 of the Annex to that Regulation (EU). That amount corresponds to APVA in the terminology of the Annex.

0090 -0100

FAIR-VALUED ASSETS AND LIABILITIES

Absolute value of fair-valued assets and liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.

0090

FAIR-VALUED ASSETS

Absolute value of fair-valued assets valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.

0100

FAIR-VALUED LIABILITIES

Absolute value of fair-valued liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.

0110

IPV DIFFERENCE (OUTPUT TESTING)

The sum of unadjusted difference amounts (“IPV difference”) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) of Regulation (EU) No 575/2013, with respect to the best available independent data for the corresponding product or group of products.

Unadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process.

No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.

Only results that have been calibrated from prices of instruments that would be mapped to the same product (output testing) shall be included here. Input testing results from market data inputs that are tested against levels that have been calibrated from different products shall not be included.

0120

IPV COVERAGE (OUTPUT TESTING)

The percentage of those positions mapped to the model weighted by model risk AVA that is covered by the output IPV testing results given in column 0110.

0130 – 0140

FAIR VALUE ADJUSTMENTS

Fair Value adjustments as referred to in columns 0190 and 0240 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.

0150

DAY 1 P&L

Adjustments as defined in column 0260 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.

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

6.4.1.   General remarks

186.

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

187.

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

188.

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

189.

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

190.

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

6.4.2.   Instructions concerning specific positions

Columns

0005

RANK

The rank is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc, with 1 being assigned to the highest concentrated positions AVAs, 2 to the second highest and so on.

0010

RISK CATEGORY

The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the position.

Institutions shall report the following codes:

IR

–

Interest Rates

FX

–

Foreign exchange

CR

–

Credit

EQ

–

Equities

CO

–

Commodities

0020

PRODUCT

Internal name for the product or group of products in line with the product inventory required by Article 19(3), point (a), of Delegated Regulation (EU) 2016/101.

0030

UNDERLYING

Internal name of the underlying, or underlyings, in the case of derivatives or of the instruments in the case of non-derivatives.

0040

CONCENTRATED POSITION SIZE

Size of the individual concentrated valuation position identified in accordance with Article 14(1), point (a), of Delegated Regulation (EU) 2016/101, expressed in the unit described in column 0050.

0050

SIZE MEASURE

Unit of size measure used internally as part of the identification of the concentrated valuation position to compute the concentrated position size referred in column 0040.

In the case of positions in bonds or equity, please report the unit used for internal risk management, such as “number of bonds”, “number of shares” or “market value”.

In the case of position in derivatives, please report the unit used for internal risk management, such as “PV01; EUR per 1 basis point parallel yield curve shift”.

0060

MARKET VALUE

Market value of the position.

0070

PRUDENT EXIT PERIOD

The prudent exit period in number of days estimated in accordance with Article 14(1), point (b), of Delegated Regulation (EU) 2016/101.

0080

CONCENTRATED POSITIONS AVA

The concentrated positions AVA amount calculated in accordance with Article 14(1) of Delegated Regulation (EU) 2016/101 for the individual concentrated valuation position concerned.

0090

CONCENTRATED POSITION FAIR VALUE ADJUSTMENT

The amount of any fair value adjustments taken to reflect the fact that the aggregate position held by the institution is larger than the normal traded volume or larger than position sizes and on which quotes or trades, which are used to calibrate the price or inputs used by the valuation model, are based.

The amount reported shall correspond to the amount that has been applied to the individual concentrated valuation position concerned.

0100

IPV DIFFERENCE

The sum of unadjusted difference amounts (“IPV difference”) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) of Regulation (EU) No 575/2013, with respect to the best available independent data for the individual concentrated valuation position concerned.

Unadjusted difference amounts shall refer to unadjusted differences between the valuations generated by the trading system and the valuations assessed during the monthly IPV process.

No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.

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

7.1.   GENERAL REMARKS

191.

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

192.

Where the exposures to “General governments” are subject to own funds requirements in accordance with Part Three, Title II of Regulation (EU) No 575/2013, exposures to “General governments” are included in different exposure classes in accordance with Article 112 and Article 147 of that Regulation , as specified by the instructions for the completion of template C 07.00, C 08.01 and C 08.02.

193.

Table 2 (Standardised Approach) and Table 3 (IRB Approach), included in Part 3 of Annex V to this Implementing Regulation, shall be observed for the mapping of exposure classes used to calculate capital requirements under of Regulation (EU) No 575/2013 to counterparty sector “General governments”.

194.

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

195.

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

196.

The reporting of information on exposures to “General governments” by jurisdiction of residence of the immediate counterparty other than the domestic jurisdiction of the reporting institution is subject to the thresholds laid down in Article 6(3) of this Implementing Regulation.

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

197.

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

198.

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

199.

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

7.3.   INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

Columns

Instructions

0010-0260

DIRECT EXPOSURES

0010-0140

ON-BALANCE SHEET EXPOSURES

0010

Total gross carrying amount of non-derivative financial assets

Aggregate of gross carrying amount, as determined in accordance with paragraph 34 of Part 1 of Annex V to this Implementing Regulation, of non-derivative financial assets to General governments, for all accounting portfolios under IFRS or national GAAP based on Council Directive 86/635/EEC defined in paragraphs 15 to 22 of Part 1 of Annex V to this Implementing Regulation, and listed in columns 0030 to 0120

Prudent valuation adjustments shall not reduce the gross carrying amount of trading and non-trading exposures measured at fair value.

0020

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

Aggregate of the carrying amount, as referred to in paragraph 27 of Part 1 of Annex V to this Implementing Regulation, of non-derivative financial assets to General governments for all accounting portfolios under IFRS or national GAAP based on Council Directive 86/635/EEC defined in paragraphs 15 to 22 of Part 1 of Annex V to this Implementing Regulation and listed in columns 0030 to 0120, net of short positions.

Where the institution has a short position for the same residual maturity and the same immediate counterparty that is denominated in the same currency, the carrying amount of the short position shall be netted against the carrying amount of the direct position. That net amount shall be considered to be zero when it is a negative amount. Where an institution has a short position without a matching direct position, the amount of the short position shall be considered zero for the purposes of this column.

0030-0120

NON-DERIVATIVE FINANCIAL ASSETS BY ACCOUNTING PORTFOLIOS

Aggregate carrying amount of non-derivative financial assets, as defined in the row above of this table, to General governments, broken down by accounting portfolio under the applicable accounting framework.

0030

Financial assets held for trading

IFRS 7.8(a)(ii); IFRS 9 Appendix A

0040

Trading financial assets

Articles 32 and 33 of Council Directive 86/635/EEC; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation; Article 8(1), point (a), of Directive 2013/34/EU

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

0050

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

IFRS 7.8(a)(ii); IFRS 9.4.1.4

0060

Financial assets designated at fair value through profit or loss

IFRS 7.8(a)(i); IFRS 9.4.1.5 and Article 8(1), point (a) and Article 8(6) of Directive 2013/34/EU

0070

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

Article 36(2) of Council Directive 86/635/EEC; Article 8(1), point (a), of Directive 2013/34/EU

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

0080

Financial assets at fair value through other comprehensive income

IFRS 7.8(d); IFRS 9.4.1.2A

0090

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

Article 8(1), point (a) and Article 8(8) of Directive 2013/34/EU

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

0100

Financial assets at amortised cost

IFRS 7.8(f); IFRS 9.4.1.2; Paragraph 15 of Part 1 of Annex V to this Implementing Regulation

0110

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

Article 35 of Council Directive 86/635/EEC; Article 6(1), point (i) and Article 8(2) of Directive 2013/34/EU; Annex V, part 1, paragraph 16 to this Implementing Regulation

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

0120

Other non-trading non-derivative financial assets

Article 37 of Council Directive 86/635/EEC; Article 12(7) of Directive 2013/34/EU; Annex V, part 1, paragraph 16 to this Implementing Regulation

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

0130

Short positions

Carrying amount of short positions, as defined in IFRS 9 BA.7(b) where the direct counterparty is a General government as defined in paragraphs 155 to 160 of this Annex.

Short positions arise where the institution sells securities acquired in a reverse repurchase loan or borrowed in a securities lending transaction.

The carrying amount is the fair value of the short positions.

Short positions shall be reported by residual maturity bucket, as listed in rows 0170 to 0230, and by immediate counterparty.

The short positions reported in this column can be netted against positions with the same residual maturity and immediate counterparty and denominated in the same currency that are reported in columns 0030 to 0120 in order to obtain the net position that is reported in column 0020.

0140

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

Carrying amount of short positions, as defined in IFRS 9 BA.7(b), that arise when the institution sells the securities acquired in reverse repurchase loans, where the direct counterparty of those securities is a General government and that are included in the held for trading or trading financial assets accounting portfolios (columns 0030 or 0040).

Short positions that arise when the sold securities were borrowed in a securities lending transition shall not be included in this column.

0150

Accumulated impairment

Aggregate accumulated impairment related to non-derivative financial assets reported in columns 0080 to 0120 (paragraphs 70 and 71 of Part 2 of Annex V to this Implementing Regulation)

0160

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

Aggregate of accumulated impairment related to non-derivative financial assets reported in columns 0080 and 0090.

0170

Accumulated negative changes in fair value due to credit risk

Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 0050, 0060, 0070, 0080 and 0090 (paragraph 69 of Part 2 of Annex V to this Implementing Regulation)

0180

Accumulated negative changes in fair value due to credit risk - of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss

Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 0050, 0060 and 0070.

0190

Accumulated negative changes in fair value due to credit risk - of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity

Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 0080 and 0090.

0200-0230

DERIVATIVES

Direct derivative positions shall be reported in columns 0200 to 0230.

For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges, see instructions for the row breakdown.

0200-0210

Derivatives with positive fair value

All derivative instruments with a General government counterparty with a positive fair value for the institution at the reporting date, regardless of whether those instruments are used in a qualifying hedging relationship, are held for trading, or are included in the trading portfolio under IFRS and national GAAP based on of Council Directive 86/635/EEC.

Derivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (paragraphs 120, 124, 125 and 137 to 140 of Part 2 of Annex V to this Implementing Regulation).

0200

Derivatives with positive fair value: Carrying amount

Carrying amount of the derivatives accounted for as financial assets at the reporting reference date.

Under GAAP based on Council Directive 86/635/EEC, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments.

0210

Derivatives with positive fair value: Notional amount

Under IFRS and national GAAP based on Council Directive 86/635/EEC, notional amount, as defined in paragraphs 133 to 135 of Part 2 of Annex V to this Implementing Regulation, of all derivative contracts concluded and not yet settled at the reporting reference date, where the counterparty is a General government as defined in paragraphs 191 to 196 of this Annex and the fair value of the derivative is positive for the institution at the reference date.

0220-0230

Derivatives with negative fair value

All derivative instruments with a General government counterparty with a negative fair value for the institution at the reporting reference date, regardless of whether those instruments are used in a qualifying hedging relationship or are held for trading or included in the trading portfolio under IFRS and national GAAP based on Council Directive 86/635/EEC.

Derivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (paragraphs 120, 124, 125 and 137 to 140 of Part 2 of Annex V to this Implementing Regulation).

0220

Derivatives with negative fair value: Carrying amount

Carrying amount of the derivatives accounted for as financial liabilities at the reporting reference date.

Under GAAP based on Council Directive 86/635/EEC, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments.

0230

Derivatives with negative fair value: Notional amount

Under IFRS and national GAAP based on Council Directive 86/635/EEC, notional amount, as defined in paragraphs 133 to 135 of Part 2 of Annex V to this Implementing Regulation, of all derivative contracts concluded and not yet settled at the reference date, where the counterparty is a General government as defined in paragraphs 191 to 196 of this Annex and the fair value of the derivative is negative for the institution at the reference date.

0240-0260

OFF-BALANCE SHEET EXPOSURES

0240

Nominal amount

Where the direct counterparty of the off-balance sheet item is a General government as defined in paragraphs 155 to 160 of this Annex, nominal amount of the commitments and financial guarantees that are not considered as a derivative in accordance with IFRS or under national GAAP based on Council Directive 86/635/EEC (paragraphs 102-119 of Part 2 of Annex V to this Implementing Regulation,).

In accordance with paragraphs 43 and 44 of Part 2 of Annex V to this Implementing Regulation, the General government is the direct counterparty: (a) in a financial guarantee given, when it is the direct counterparty of the guaranteed debt instrument, and (b) in a loan commitment and other commitment given, when it is the counterparty whose credit risk is assumed by the reporting institution.

0250

Provisions

Article 4, “Liabilities”, point (6)(c) and “Off balance sheet items”, Articles 27(11), 28(8) and Article 33 of Council Directive 86/635/EEC; IFRS 9.4.2.1(c)(ii),(d)(ii), 9.5.5.20;IAS 37, IFRS 4, part 2.11 of Annex V to this Implementing Regulation.

Provisions on all off-balance sheet exposures regardless of how they are measured, except those that are measured at fair value through profit or loss in accordance with IFRS 9.

Under IFRS, the impairment of a loan commitment given shall be reported in column 150 where the institution cannot separately identify the expected credit losses related to the drawn and undrawn amount of the debt instrument. In case the combined expected credit losses for that financial instrument exceed the gross carrying amount of the loan component of the instrument, the remaining balance of the expected credit losses shall be reported as a provision in column 0250.

0260

Accumulated negative changes in fair value due to credit risk

For off-balance sheet items measured at fair value through profit or loss under IFRS 9, accumulated negative changes in fair value due to credit risk (paragraph 110 of Part 2 of Annex V to this Implementing Regulation)

0270-280

Memorandum item: credit derivatives sold on general government exposures

Credit derivatives that do not meet the definition of financial guarantees in Annex V, part 2, paragraph 58 that the reporting institution has underwritten with counterparties other than General governments and whose reference exposure is a General government shall be reported.

These columns shall not be reported for exposures broken down by risk, regulatory approach and exposure class (rows 0020 to 0160).

0270

Derivatives with positive fair value - Carrying amount

Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a positive fair value for the institution at the reference reporting date, without considering prudent valuation adjustments.

For derivatives under IFRS, the amount to be reported in this column is the carrying amount of the derivatives that are financial assets at the reporting date.

For derivatives under GAAP based on Council Directive 86/635/EEC, the amount to be reported in this column shall be the fair value of the derivatives with a positive fair value at the reference reporting date, independently of how they are accounted for.

0280

Derivatives with negative fair value - Carrying amount

Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a negative fair value for the institution at the reference reporting date, without considering prudent valuation adjustments.

For derivatives under IFRS, the amount to be reported in this column shall be the carrying amount of the derivatives that are financial liabilities at the reporting date.

For derivatives under GAAP based on Council Directive 86/635/EEC, the amount to be reported in this column is the fair value of the derivatives with a negative fair value at the reference reporting date, independently of how they are accounted for.

0290

Exposure value

Exposure value for exposures subject to the credit risk framework.

For exposures under the Standardised Approach (SA): see Article 111 of Regulation (EU) No 575/2013. For exposures under the IRB Approach: see Article 166 and the second sentence of Article 230(1) of Regulation (EU) No 575/2013.

For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges, see instructions for the row breakdown.

The exposures reported in columns 0270 and 0280 are not to be considered for the purposes of this column, as the value in this column is based solely on direct exposures.

0300

Risk weighted exposure amount

Risk weighted exposure amount for exposures subject to the credit risk framework.

For exposures under the Standardised Approach (SA): see Article 113, paragraphs 1 to 5 of Regulation (EU) No 575/2013. For exposures under the IRB Approach: see Article 153, paragraphs 1 and 3 of Regulation (EU) No 575/2013.

For the reporting of direct exposures within the scope of Article 271 of Regulation (EU) No 575/2013 subject to own funds requirements for both counterparty credit risk and market risk, see instructions for the row breakdown.

The exposures reported in columns 0270 and 0280 shall not be considered for the purposes of this column, as the value in this column is based solely on direct exposures.

Rows

Instructions

BREAKDOWN OF EXPOSURES BY REGULATORY APPROACH

0010

Total exposures

Aggregate of exposures to General governments, as defined in paragraphs 191 to 196 of this Annex.

0020-0155

Exposures under the credit risk framework

Aggregate of exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II of Regulation (EU) No 575/2013. Exposures under the credit risk framework include exposures from both the non-trading book and the trading book subject to a capital charge for counterparty credit risk.

Direct exposures within the scope of Article 271 of Regulation (EU) No 575/2013 subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (0020 to 0155) and the market risk row (row 0160): the exposures due to counterparty credit risk shall be reported in the credit risk rows, while the exposures due to market risk shall be reported in the market risk row.

0030

Standardised Approach

Exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.

0040

Central governments

Exposures to General governments that are central governments. These exposures are allocated to the “Central governments or central banks” exposure class in accordance with Articles 112 and 114 of Regulation (EU) No 575/2013, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

0050

Regional governments or local authorities

Exposures to General governments that are regional governments or local authorities. These exposures are allocated to the “Regional governments or local authorities” exposure class in accordance with Articles 112 and 115 of Regulation (EU) No 575/2013, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

0060

Public sector entities

Exposures to General governments that are public sector entities. These exposures are allocated to the “Public sector entities” exposure class in accordance with Articles 112 and 116 of Regulation (EU) No 575/2013, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

0070

International Organisations

Exposures to General governments that are international organisations. These exposures are allocated to the “International Organisations” exposure classes in accordance with Articles 112 and 118 of Regulation (EU) No 575/2013, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

0075

Other general government exposures subject to Standardised Approach

Exposures to General governments other than those included in rows 0040 to 0070 above, which are allocated to SA exposure classes in accordance with Article 112 of Regulation (EU) No 575/2013 for the purposes of calculating own funds requirements.

0080

IRB Approach

Exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.

0090

Central governments

Exposures to General governments that are central governments and that are allocated to the “Central governments and central banks” exposure class in accordance with Article 147(3), point (a), of Regulation (EU) No 575/2013, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply..

0100

Regional governments or local authorities [Central governments and central banks]

Exposures to General governments that are regional governments or local authorities and that are allocated to the “Central governments and central banks” exposure class in accordance with Article 147(3), point (a), of Regulation (EU) No 575/2013, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

0110

Regional governments or local authorities [Institutions]

Exposures to General governments that are regional governments or local authorities and that are allocated to the “Institutions” exposure class in accordance with Article 147(4), point (a), of Regulation (EU) No 575/2013, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

0120

Public sector entities [Central governments and central banks]

Exposures to General governments that are public sector entities in accordance with Article 4(8) of Regulation (EU) No 575/2013 and that are allocated to the “Central governments and central banks” exposure class in accordance with Article 147(3), point (a), of that Regulation, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

0130

Public sector entities [Institutions]

Exposures to General governments that are public sector entities in accordance with Article 4(8) of Regulation (EU) No 575/2013 and that are allocated to the “Institutions” exposure class in accordance with Article 147(4), point (b), of that Regulation , as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

0140

International Organisations [Central governments and central banks]

Exposures to General governments that are International Organisations and that are allocated to the “Central governments and central banks” exposure class in accordance with Article 147(3), point (c), of Regulation (EU) No 575/2013, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

0155

Other general government exposures subject to IRB Approach

Exposures to General governments other than those included in rows 0090 to 0140 above which are allocated to IRB exposure classes in accordance with Article 147 of Regulation (EU) No 575/2013 for the purposes of calculating own funds requirements.

0160

Exposures subject to market risk

This row covers positions for which one of the following own funds requirements of Part Three, Title IV of Regulation (EU) No 575/2013 is calculated:

—

Own funds requirements for position risk in accordance with Article 326 of Regulation (EU) No 575/2013

—

Own funds requirements for specific or general risk in accordance with Part Three, Title IV, Chapter 5 of Regulation (EU) No 575/2013.

Direct exposures within the scope of Article 271 of Regulation (EU) No 575/2013 subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (0020 to 0155) and the market risk row (row 0160): the exposure due to counterparty credit risk shall be reported in the credit risk rows, while the exposure due to market risk shall be reported in the market risk row.

0170-0230

BREAKDOWN OF EXPOSURES BY RESIDUAL MATURITY

Residual maturity shall be computed in days between the contractual date of maturity and the reporting reference date for all positions.

Exposures to General governments shall be broken-down by residual maturity and allocated to the buckets provided as follows:

—

[0 - 3M] : Less than 90 days;

—

[3M - 1Y] : Equal or greater than 90 days and less than 365 days;

—

[1Y – 2Y] : Equal or greater than 365 days and less than 730 days;

—

[2Y – 3Y] : Equal or greater than 730 days and less than 1 095 days;

—

[3Y – 5Y] : Equal or greater than 1 095 days and less than 1 825 days;

—

[5Y – 10Y] : Equal or greater than 1 825 days and less than 3 650 days;

—

[10Y – more] : Equal or greater than 3 650 days.

Where the contractual date of maturity is earlier than the reporting reference date (i.e. the difference between reporting reference date and maturity date is a negative value), the exposure shall be allocated to the bucket [0 – 3M].

Exposures without a residual maturity shall be allocated to the residual maturity bucket on the basis of their period of notice or other contractual indications about the maturity. If there is no predefined period of notice nor other contractual indication about the maturity, exposures shall be allocated to the residual maturity bucket [10Y – more].

8.   NPE LOSS COVERAGE (NPE LC)

8.1.   GENERAL REMARKS

200.

The NPE loss coverage templates contain information about non-performing exposures (NPEs) for the purposes of calculating the minimum loss coverage requirement for non-performing exposures as specified in Articles 47a, 47b and 47c of Regulation (EU) No 575/2013.

201.

The block of templates consists of a set of three templates:

a)

The calculation of deductions for NPEs (C 35.01): this is an overview template indicating the applicable amount of insufficient coverage, calculated as the difference between the total minimum coverage requirements for NPEs and the total provisions and adjustments or deductions already made. The template covers both the non-performing exposures where forbearance measure has not been granted, and non-performing forborne exposures.

b)

Minimum coverage requirements and exposure values of non-performing exposures, excluding forborne exposures that fall under Article 47c(6) of Regulation (EU) No 575/2013 (C 35.02): the template calculates the total minimum coverage requirements for non-performing exposures that are not non-performing forborne exposures that fall under Article 47c(6) of Regulation (EU) No 575/2013, indicating the factors to be applied on the exposure values for the purposes of this calculation given whether the exposure is secured or unsecured and given the time since the exposure became non-performing.

c)

Minimum coverage requirements and exposure values of non-performing forborne exposures that fall under Article 47c(6) of Regulation (EU) No 575/2013 (C 35.03): the template calculates the total minimum coverage requirements for non-performing forborne exposures that fall under Article 47c(6) of Regulation (EU) No 575/2013, indicating the factors to be applied on the exposure values for the purposes of this calculation given whether the exposure is secured or unsecured and given the time since the exposure became non-performing.

202.

The the minimum loss coverage requirement for non-performing exposures applies to (i) exposures, originated on and after 26 April 2019, that become non-performing, and (ii) exposures originated before 26 April 2019 when they are modified after that date in a way that increases their exposure value to the obligor (Article 469a of Regulation (EU) No 575/2013), that become non-performing.

203.

Institutions shall calculate the deductions for NPEs in accordance with Article 47c(1), points (a) and (b), of Regulation (EU) No 575/2013,, including the calculation of minimum coverage requirements and total provisions and adjustments or deductions, at individual exposure level (“transaction based”) and not at debtor or portfolio levels.

204.

For the purposes of calculating the deductions for NPEs, institutions shall differentiate between the unsecured and secured part of a NPE in accordance with Article 47c(1) of Regulation (EU) No 575/2013. To this end, institutions shall report exposure values and minimum coverage requirements separately for the unsecured part of NPEs and for the secured part of NPEs.

205.

For the purposes of mapping of relevant applicable factors and calculating minimum coverage requirements, institutions shall classify the secured part of NPEs depending on the type of credit protection in accordance with Article 47c(3) of Regulation (EU) No 575/2013 as follows: (i) “secured by immovable property or residential loan guaranteed by an eligible protection provider as referred to in Art. 201”, (ii) “secured by other funded or unfunded credit protection” or (iii) “guaranteed or insured by an official export credit agency”,. When a non-performing exposure is secured by more than one type of credit protection, its exposure value shall be allocated according to the quality of the credit protection, starting from the one with the best quality.

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

8.2.1.   Instructions concerning specific positions

Columns

Instructions

0010 – 0100

Time passed since exposures classified as non-performing

The “time passed since exposures classified as non-performing” shall mean the time in years passed, as of the reference date, since exposure has been classified as non-performing. For purchased non-performing exposures, the time in years shall start to run from the date on which the exposures was originally classified as non- performing, and not from the date of their purchase.

Institutions shall report data on exposures for which the reference date falls under the corresponding time interval indicating the period in years following exposures’ classification as non-performing, regardless of any application of forbearance measures.

For the time interval, “> X year(s), <= Y year(s)”, institutions shall report data on exposures for which the reference date corresponds to the period between the first and the last day of the Yth year following the classification of these exposures as non-performing.

0110

Total

Institutions shall report the sum of all columns from 0010 to 0100.

Rows

Instructions

0010

Applicable amount of insufficient coverage

Article 47c(1) of Regulation (EU) No 575/2013

For the calculation of the applicable amount of insufficient coverage, institutions shall deduct the total provisions and adjustments or deductions (capped) (row 0080) from the total minimum coverage requirement for non-performing exposures (row 0020).

The applicable amount of insufficient coverage (i.e. the shortfall in the total minimum coverage requirement for non-performing exposures) shall be equal to or greater than zero.

0020

Total minimum coverage requirement for non-performing exposures

Article 47c(1), point (a), of Regulation (EU) No 575/2013

For the calculation of the total minimum coverage requirement for non-performing exposures, institutions shall sum the minimum coverage requirement for the unsecured part of NPEs (row 0030) and for the secured part of NPEs (row 0040).

0030

Unsecured part of NPEs

Article 47c(1), point (a)(i), Article 47c(2), Article 47c(6) of Regulation (EU) No 575/2013

Institution shall report the total minimum coverage requirement for the unsecured part of NPEs, i.e. the aggregate of calculations at exposure level.

The amount reported in each column shall be equal to the sum of the amounts reported in row 0020 of C 35.02 and row 0020 of C 35.03 (where applicable) in the respective columns.

0040

Secured part of NPEs

Article 47c(1), point (a)(ii), Article 47c(3), Article 47c(4), Article 47c(6) of Regulation (EU) No 575/2013.

Institutions shall report the total minimum coverage requirement for the secured part of NPEs, i.e. the aggregate of calculations at exposure level.

The amount reported in each column shall be equal to the sum of the amounts reported in row 0030-0050 of C 35.02 and row 0030-0040 of C 35.03 (where applicable) in the respective columns.

0050

Exposure value

Article 47a(2) of Regulation (EU) No 575/2013

Institutions shall report the total exposure value of NPEs including both unsecured and secured exposures. This shall correspond to the sum of row 0060 and row 0070.

0060

Unsecured part of NPEs

Article 47a(2) and Article 47c(1) of Regulation (EU) No 575/2013

0070

Secured part of NPEs

Article 47a(2) and Article 47c(1) of Regulation (EU) No 575/2013

0080

Total provisions and adjustments or deductions (capped)

Institutions shall report the capped amount of the sum of the items listed in rows 0100-0150 in accordance with Article 47c(1), point (b), of Regulation (EU) No 575/2013. The maximum limit for capped provisions and adjustment or deductions is the amount of minimum coverage requirement at exposure level.

Capped amount shall be calculated separately for each exposure as the lower amount between minimum coverage requirement for this exposure and total provisions and adjustments or deductions for the same exposure.

0090

Total provisions and adjustments or deductions (uncapped)

Institutions shall report the sum of uncapped amount of the items listed in rows 0100-0150 in accordance with Article 47c(1), point (b), of Regulation (EU) No 575/2013. Provisions and adjustment or deductions (uncapped) shall not be limited to the amount of minimum coverage requirement at exposure level.

0100

Specific credit risk adjustments

Article 47c(1), point (b)(i) of Regulation (EU) No 575/2013

0110

Additional valuation adjustments

Article 47c(1), point (b)(ii) of Regulation (EU) No 575/2013

0120

Other own funds reductions

Article 47c(1), point (b)(iii) of Regulation (EU) No 575/2013

0130

IRB shortfall

Article 47c(1), point (b)(iv) of Regulation (EU) No 575/2013

0140

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

Article 47c(1), point (b)(v) of Regulation (EU) No 575/2013

0150

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

Article 47c(1), point (b)(vi) of Regulation (EU) No 575/2013

8.3.   C 35.02 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF REGULATION (EU) No 575/2013 (NPE LC2)

8.3.1.   Instructions concerning specific positions

Columns

Instructions

0010 – 0100

Time passed since exposures classified as non-performing

The “time passed since exposures classified as non-performing” shall mean the time in years passed since exposure has been classified as non-performing. Institutions shall report data on exposures for which the reference date falls under the corresponding time interval indicating the period in years following exposures’ classification as non-performing, regardless of any application of forbearance measures.

For the time interval, “> X year(s), <= Y year(s)”, institutions shall report data on exposures for which the reference date corresponds to the period between the first and the last day of the Yth year following the classification of these exposures as non-performing.

0110

Total

Institutions shall report the sum of all columns from 0010 to 0100.

Rows

Instructions

0010

Total minimum coverage requirement

Article 47c(1), point (a), of Regulation (EU) No 575/2013

For the calculation of the total minimum coverage requirement for non-performing exposures, excluding forborne exposures that fall under Article 47c(6) of Regulation (EU) No 575/2013, institutions shall sum the minimum coverage requirement for the unsecured part of NPEs (row 0020) and the minimum coverage requirement for the secured part of NPEs (rows 0030-0050).

0020

Unsecured part of NPEs

Article 47c(1), point (a)(i), Article 47c(2) of Regulation (EU) No 575/2013

The minimum coverage requirement shall be calculated by multiplying the aggregate exposure values in row 0070 by the corresponding factor per column.

0030

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

Article 47c(1), point (a)(ii), and Article 47c(3), points (a), (b), (c), (d), (f), (h) and (i), of Regulation (EU) No 575/2013

The minimum coverage requirement shall be calculated by multiplying the aggregate exposure values in row 0080 by the corresponding factor per column.

0040

Part of NPEs secured by other funded or unfunded credit protection

Article 47c(1), point (a)(ii), and Article 47c(3), points (a), (b), (c), (e) and (g), of Regulation (EU) No 575/2013

The minimum coverage requirement shall be calculated by multiplying the aggregate exposure values in row 0090 by the corresponding factor per column.

0050

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

Article 47c(4) of Regulation (EU) No 575/2013.

The minimum coverage requirement shall be calculated by multiplying the aggregate exposure values in row 0100 by the corresponding factor per column.

0060

Exposure value

Article 47a(2) of Regulation (EU) No 575/2013

For the calculation of row 0060, institutions shall sum the exposure values reported for the unsecured part of NPEs (row 0070), the part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider (row 0080), the part of NPEs secured by other funded or unfunded credit protection (row 0090) and the part of NPEs guaranteed or insured by an official export credit agency (row 0100).

0070

Unsecured part of NPEs

Article 47a(2), Article 47c(1), Article 47c(2) of Regulation (EU) No 575/2013

Institutions shall report the total exposure value of unsecured part of NPEs broken-down by time passed since exposures classified as non-performing.

0080

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

Article 47a(2), Article 47c(1) and Article 47c(3), points (a), (b), (c), (d), (f), (h) and (i), of Regulation (EU) No 575/2013

Institutions shall report the total exposure value of the parts of NPEs secured by immovable property pursuant to Part Three, Title II of Regulation (EU) No 575/2013 or that is a residential loan guaranteed by an eligible protection provider as referred to in Article 201 of that Regulation.

0090

Part of NPEs secured by other funded or unfunded credit protection

Article 47a(2), Article 47c(1) and Article 47c(3), points (a), (b), (c), (e) and (g), of Regulation (EU) No 575/2013

Institutions shall report the total exposure value of the parts of NPEs secured by other funded or unfunded credit protection pursuant to Part Three, Title II of Regulation (EU) No 575/2013.

0100

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

Article 47a(2) and Article 47c(4) of Regulation (EU) No 575/2013

Institutions shall report the total exposure value of the parts of NPEs guaranteed or insured by an official export credit agency or guaranteed or counter-guaranteed by another eligible protection provider as referred to in article 47c(4) of Regulation (EU) No 575/2013.

8.4.   C 35.03 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF REGULATION (EU) No 575/2013 (NPE LC3)

8.4.1.   Instructions concerning specific positions

Columns

Instructions

0010 – 0100

Time passed since exposures classified as non-performing

The “time passed since exposures classified as non-performing” shall mean the time in years passed since exposure has been classified as non-performing. Institutions shall report data on exposures for which the reference date falls under the corresponding time interval indicating the period in years following exposures’ classification as non-performing, regardless of any application of forbearance measures.

For the time interval, “> X year(s), <= Y year(s)”, institutions shall report data on exposures for which the reference date corresponds to the period between the first and the last day of the Yth year following the classification of these exposures as non-performing.

0110

Total

Institutions shall report the sum of all columns from 0010 to 0100.

Rows

Instructions

0010

Total minimum coverage requirement

Article 47c(1), point (a), and Article 47c(6) of Regulation (EU) No 575/2013

For the calculation of total minimum coverage requirement of non-performing forborne exposures that fall under Article 47c (6) of Regulation (EU) No 575/2013, institutions shall sum minimum coverage requirements for the unsecured part of forborne NPEs (row 0020), the part of forborne NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider (row 0030) and the part of forborne NPEs secured by other funded or unfunded credit protection (row 0040).

0020

Unsecured part of NPEs

Article 47c(1), point (a)(i), Article 47c(2), Article 47c(6) of Regulation (EU) No 575/2013

Institutions shall report the total minimum coverage requirement for the unsecured part of non-performing forborne exposures that fall under Article 47c(6) of Regulation (EU) No 575/2013, i.e. the aggregate of calculations at exposure level.

0030

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

Article 47c(1), point (a)(ii), and Article 47c(3), points (a), (b), (c), (d), (f), (h) and (i), Article 47c(6) of Regulation (EU) No 575/2013

Institutions shall report the total minimum coverage requirement for parts of non-performing forborne exposures secured by immovable property pursuant to Part Three, Title II of Regulation (EU) No 575/2013 or that are residential loans guaranteed by an eligible protection provider as referred to in Article 201 of that Regulation, falling under Article 47c(6) of that Regulation, i.e. the aggregate of calculations at exposure level.

0040

Part of NPEs secured by other funded or unfunded credit protection

Article 47c(1), point (a)(ii), and Article 47c(3), points (a), (b), (c), (e) and (g), Article 47c(6) of Regulation (EU) No 575/2013

Institutions shall report the total minimum coverage requirement for parts of non-performing forborne exposures se-cured by other funded or unfunded credit protection, falling under Article 47c(6) of Regulation (EU) No 575/2013, i.e. the aggregate of calculations at exposure level.

0050

Exposure value

Article 47a(2) and Article 47c(6) of Regulation (EU) No 575/2013

For the calculation of exposure value, institutions shall sum exposure values for the unsecured part of NPEs (row 0060), the part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider (row 0070) and the part of NPEs secured by other funded or unfunded credit protection (row 0120), where applicable.

0060

Unsecured part of NPEs

Article 47a(2), Article 47c(1), Article 47c(2), Article 47c(6) of Regulation (EU) No 575/2013

Institutions shall report the total exposure value of unsecured part of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 where the first forbearance measure has been granted between the first and the last day of the second year after the classification of the exposure as non-performing (>1 year; <=2 years).

0070

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

Article 47a(2), Article 47c(1) and Article 47c(3), points (a), (b), (c), (d), (f), (h) and (i), Article 47c(6) of Regulation (EU) No 575/2013

Institutions shall report the total exposure value of the parts of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 secured by immovable property pursuant to Part Three, Title II of that Regulation or that is a residential loan guaranteed by an eligible protection provider as referred to in Article 201 of that Regulation.

0080

> 2 and <= 3 years after classification as NPE

Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 secured by immovable property or residential loan guaranteed by an eligible protection provider where the first forbearance measure has been granted between the first and the last day of the third year after the classification of the exposure as non-performing.

0090

> 3 and <= 4 years after classification as NPE

Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 secured by immovable property or residential loan guaranteed by an eligible protection provider where the first forbearance measure has been granted between the first and the last day of the fourth year after the classification of the exposure as non-performing.

0100

> 4 and <= 5 years after classification as NPE

Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 secured by immovable property or residential loan guaranteed by an eligible protection provider where the first forbearance measure has been granted between the first and the last day of the fifth year after the classification of the exposure as non-performing.

0110

> 5 and <= 6 years after classification as NPE

Institutions shall report exposure value of forborne NPEs secured that fall under Article 47c(6) of Regulation (EU) No 575/2013 by immovable property or residential loan guaranteed by an eligible protection provider where the first forbearance measure has been granted between the first and the last day of the sixth year after the classification of the exposure as non-performing.

0120

Part of NPEs secured by other funded or unfunded credit protection

Article 47c(1), and Article 47c(3), points (a), (b), (c), (e) and (g), Article 47c(6) of Regulation (EU) No 575/2013

Institutions shall report the total exposure value of the parts of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 secured by other funded or unfunded credit protection pursuant to Part Three, Title II of Regulation (EU) No 575/2013.

0130

> 2 and <= 3 years after classification as NPE

Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 secured by other funded or unfunded credit protection, where the first forbearance measure has been granted between the first and the last day of the third year after the classification of the exposure as non-performing.

0140

> 3 and <= 4 years after classification as NPE

Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 secured by other funded or unfunded credit protection, where the first forbearance measure has been granted between the first and the last day of the fourth year after the classification of the exposure as non-performing.

0150

> 4 and <= 5 years after classification as NPE

Institutions shall report exposure value of forborne NPEs that fall under Article 47c (6) of Regulation (EU) No 575/2013 secured by other funded or unfunded credit protection, where the first forbearance measure has been granted between the first and the last day of the fifth year after the classification of the exposure as non-performing.

0160

> 5 and <= 6 years after classification as NPE

Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 secured by other funded or unfunded credit protection, where the first forbearance measure has been granted between the first and the last day of the sixth year after the classification of the exposure as non-performing.’

( 1 )   Commission Delegated Regulation (EU) No 241/2014 of 7 January 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for Own Funds requirements for institutions ( OJ L 74, 14.3.2014, p. 8 ).

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

( 3 )   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 ).

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

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

( 6 )

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

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

( 8 )   Commission Implementing Regulation (EU) No 945/2014 of 4 September 2014 laying down implementing technical standards with regard to relevant appropriately diversified indices according to Regulation (EU) No 575/2013 of the European Parliament and of the Council

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

ANNEX III

ANNEX III

‘ANNEX XVI

REPORTING TEMPLATES ON ASSET ENCUMBRANCE

ASSET ENCUMBRANCE TEMPLATES

Template number

Template code

Name of the template /group of templates

Short name

PART A - ENCUMBRANCE OVERVIEW

32.1

F 32.01

ASSETS OF THE REPORTING INSTITUTION

AE-ASS

32.2

F 32.02

COLLATERAL RECEIVED

AE-COL

32.3

F 32.03

OWN COVERED BONDS AND SECURITISATIONS ISSUED AND NOT YET PLEDGED

AE-NPL

32.4

F 32.04

SOURCES OF ENCUMBRANCE

AE-SOU

PART B - MATURITY DATA

33

F 33.00

MATURITY DATA

AE-MAT

PART C - CONTINGENT ENCUMBRANCE

34

F 34.00

CONTINGENT ENCUMBRANCE

AE-CONT

PART D - COVERED BONDS

35

F 35.00

COVERED BONDS ISSUANCE

AE-CB

PART E - ADVANCED DATA

36.1

F 36.01

ADVANCED DATA. PART I

AE-ADV1

36.2

F 36.02

ADVANCED DATA. PART II

AE-ADV2

F 32.01 - ASSETS OF THE REPORTING INSTITUTION (AE-ASS)

Carrying amount of encumbered assets

Fair value of encumbered assets

Carrying amount of non-encumbered assets

Fair value of non-encumbered assets

of which: issued by other entities of the group

of which: central bank's eligible

of which notionally eligible EHQLA and HQLA

of which: central bank's eligible

of which notionally eligible EHQLA and HQLA

of which: issued by other entities of the group

of which: central bank's eligible

of which EHQLA and HQLA

of which: central bank's eligible

of which EHQLA and HQLA

0010

0020

0030

0035

0040

0050

0055

0060

0070

0080

0085

0090

0100

0105

0010

Assets of the reporting institution

0015

of which: qualifying fiduciary assets

0020

Loans on demand

0030

Equity instruments

0040

Debt securities

0050

of which: covered bonds

0060

of which: securitisations

0070

of which: issued by general governments

0080

of which: issued by financial corporations

0090

of which: issued by non-financial corporations

0100

Loans and advances other than loans on demand

0110

of which: Loans collateralised with Immovable Property

0120

Other assets

F 32.02 - COLLATERAL RECEIVED (AE-COL)

Fair value of encumbered collateral received or own debt securities issued

Non-encumbered

Fair value of collateral received or own debt securities issued available for encumbrance

Nominal of collateral received or own debt securities issued non available for encumbrance

of which: issued by other entities of the group

of which: central bank's eligible

of which notionally eligible EHQLA and HQLA

of which: issued by other entities of the group

of which: central bank's eligible

of which EHQLA and HQLA

0010

0020

0030

0035

0040

0050

0060

0065

0070

0130

Collateral received by the reporting institution

0140

Loans on demand

0150

Equity instruments

0160

Debt securities

0170

of which: covered bonds

0180

of which: securitisations

0190

of which: issued by general governments

0200

of which: issued by financial corporations

0210

of which: issued by non-financial corporations

0220

Loans and advances other than loans on demand

0230

Other collateral received

0240

Own debt securities issued other than own covered bonds or securitisations

0245

Own covered bonds and securitisation issued and not yet pledged

0250

TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED

F 32.03 - OWN COVERED BONDS AND SECURITISATIONS ISSUED AND NOT YET PLEDGED (AE-NPL)

Non-encumbered

Carrying amount of the underlying pool of assets

Fair value of debt securities issued available for encumbrance

Nominal of own debt securities issued non available for encumbrance

of which: central bank's eligible

of which notionally eligible EHQLA and HQLA

0010

0020

0030

0035

0040

0010

Own covered bonds and securitisations issued and not yet pledged

0020

Retained covered bonds issued

0030

Retained securitisations issued

0040

Senior

0050

Mezzanine

0060

First Loss

F 32.04 - SOURCES OF ENCUMBRANCE (AE-SOU)

Matching liabilities, contingent liabilities or securities lent

Assets, collateral received and own debt securities issued other than covered bonds and securitisations encumbered

of which: from other entities of the group

of which: collateral received re-used

of which: own debt securities encumbered

0010

0020

0030

0040

0050

0010

Carrying amount of selected financial liabilities

0020

Derivatives

0030

of which: Over-The-Counter

0040

Deposits

0050

Repurchase agreements

0060

of which: central banks

0070

Collateralised deposits other than repurchase agreements

0080

of which: central banks

0090

Debt securities issued

0100

of which: covered bonds issued

0110

of which:securitisations issued

0120

Other sources of encumbrance

0130

Nominal of loan commitments received

0140

Nominal of financial guarantees received

0150

Fair value of securities borrowed with non cash-collateral

0160

Other

0170

TOTAL SOURCES OF ENCUMBRANCE

Not to be filled on a consolidated basis template

Not to be filled in any case

F 33.00 - MATURITY DATA (AE-MAT)

Residual maturity of liabilities

Open maturity

Overnight

> 1 day <= 1 wk

> 1 wk <= 2 wks

> 2 wks <= 1 mth

> 1 mth <= 3 mths

> 3 mths <= 6 mths

> 6 mths <= 1 yr

> 1 yr <= 2 yrs

> 2 yrs <= 3 yrs

3 yrs <= 5 yrs

5 yrs <= 10 yrs

> 10 yrs

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0010

Encumbered assets

0020

Collateral received re-used (receiving leg)

0030

Collateral received re-used (re-using leg)

F 34.00 - CONTINGENT ENCUMBRANCE (AE-CONT)

Matching liabilities, contingent liabilities or securities lent

Contingent Encumbrance

A.

Decrease by 30 % of the fair value of encumbered assets

B.

Net effect of a 10 % depreciation of significant currencies

Additional amount of encumbered assets

Additional amount of encumbered assets

Significant currency 1

Significant currency 2

…

Significant currency n

0010

0020

0030

0040

…

…

0010

Carrying amount of selected financial liabilities

0020

Derivatives

0030

of which: Over-The-Counter

0040

Deposits

0050

Repurchase agreements

0060

of which: central banks

0070

Collateralised deposits other than repurchase agreements

0080

of which: central banks

0090

Debt securities issued

0100

of which: covered bonds issued

0110

of which: securitisations issued

0120

Other sources of encumbrance

0170

TOTAL SOURCES OF ENCUMBRANCE

F 35.00 - COVERED BONDS ISSUANCE (AE-CB)

z-axis

Cover pool identifier (open)

Compliance with Art. 129 of Regulation (EU) No 575/2013

Covered bond liabilities

Cover pool

Reporting date

+ 6 months

+12 months

+ 2 years

+5 years

+ 10 years

Cover pool derivative positions with net negative market value

External credit rating on covered bond

Reporting date

+ 6 months

+ 12 months

+ 2 years

+ 5 years

+ 10 years

Cover pool derivative positions with net positive market value

Cover pool amount in excess of minimum coverage requirements

[YES/NO]

If YES, indicate primary asset class of cover pool

as per the relevant statutory covered bond regime

as per credit rating agencies' methodology to maintain current external credit rating of covered bond

Reporting date

Credit rating agency 1

Credit rating 1

Credit rating agency 2

Credit rating 2

Credit rating agency 3

Credit rating 3

Reporting date

Credit rating agency 1

Credit rating agency 2

Credit rating agency 3

0010

0012

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0220

0230

0240

0250

0010

Nominal amount

0020

Present value (swap) / Market value

0030

Asset-specific value

0040

Carrying amount

F 36.01 - ADVANCED DATA. PART I (AE-ADV-1)

Sources of encumbrance

Assets/Liabilities

Collateral Type - Classification by Asset type

Total

Loans on demand

Equity instruments

Debt Securities

Loans and advances other than loans on demand

Other assets

Total

of which: covered bonds

of which: securitisations

of which: issued by general governments

of which: issued by financial corporations

of which: issued by non financial corporations

Central banks and general governments

Financial corporations

Non financial Corporations

Households

of which: issued by other entities of the group

of which: issued by other entities of the group

of which: Loans collateralised with immovable property

of which: Loans collateralised with immovable property

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0010

Central bank funding (of all types, including e.g. repos)

Encumbered assets

0020

Matching liabilities

0030

Exchange traded derivatives

Encumbered assets

0040

Matching liabilities

0050

Over-the-counter derivatives

Encumbered assets

0060

Matching liabilities

0070

Repurchase agreements

Encumbered assets

0080

Matching liabilities

0090

Collateralised deposits other than repurchase agreements

Encumbered assets

0100

Matching liabilities

0110

Covered bonds securities issued

Encumbered assets

0120

Matching liabilities

0130

Securitisations issued

Encumbered assets

0140

Matching liabilities

0150

Debt securities issued other than covered bonds and securitisations

Encumbered assets

0160

Matching liabilities

0170

Other sources of encumbrance

Encumbered assets

0180

Contingent liabilities or securities lent

0190

Total encumbered assets

0200

of which central bank eligible

0210

Total non-encumbered Assets

0220

of which central bank eligible

0230

Encumbered + Non-encumbered Assets

F 36.02 - ADVANCE DATA. PART II (AE-ADV-2)

Sources of encumbrance

Assets/Liabilities

Collateral Type - Classification by Asset type

Total

Loans on demand

Equity instruments

Debt Securities

Loans and advances other than loans on demand

Other collateral received

Own debt securities issued other than own covered bonds or securitisations

Total

of which: covered bonds

of which: securitisations

of which: issued by general governments

of which: issued by financial corporations

of which: issued by non financial corporations

Central banks and general governments

Financial corporations

Non financial Corporations

Households

of which: issued by other entities of the group

of which: issued by other entities of the group

of which: Loans collateralised with immovable property

of which: Loans collateralised with immovable property

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0010

Central bank funding (of all types, including e.g. repos)

Encumbered collateral received

0020

Matching liabilities

0030

Exchange traded Derivatives

Encumbered collateral received

0040

Matching liabilities

0050

Over-the-counter derivatives

Encumbered collateral received

0060

Matching liabilities

0070

Repurchase agreements

Encumbered collateral received

0080

Matching liabilities

0090

Collateralised deposits other than repurchase agreements

Encumbered collateral received

0100

Matching liabilities

0110

Covered bonds securities issued

Encumbered collateral received

0120

Matching liabilities

0130

Securitisations issued

Encumbered collateral received

0140

Matching liabilities

0150

Debt securities issued other than Covered bonds and securitisations

Encumbered collateral received

0160

Matching liabilities

0170

Other sources of encumbrance

Encumbered collateral received

0180

Contingent liabilities or securities lent

0190

Total encumbered collateral received

0200

of which central bank eligible

0210

Total non-encumbered collateral received

0220

of which central bank eligible

0230

Encumbered + Non-encumbered collateral received

Not to be filled on a consolidated basis template

Not to be filled in any case’

ANNEX IV

ANNEX IV

‘ANNEX XVII

INSTRUCTION FOR REPORTING ON ASSET ENCUMBRANCE

Table of Contents

GENERAL INSTRUCTIONS

533

1.

STRUCTURE AND CONVENTIONS

533

1.1.

STRUCTURE

533

1.2.

ACCOUNTING STANDARD

533

1.3.

NUMBERING CONVENTION

534

1.4.

SIGN CONVENTION

534

1.5.

LEVEL OF APPLICATION

534

1.6.

PROPORTIONALITY

534

1.7.

DEFINITION OF ENCUMBRANCE

534

TEMPLATE-RELATED INSTRUCTIONS

535

2.

PART A: ENCUMBRANCE OVERVIEW

535

2.1.

TEMPLATE AE-ASS. ASSETS OF THE REPORTING INSTITUTION

535

2.1.1.

GENERAL REMARKS

535

2.1.2.

INSTRUCTIONS CONCERNING SPECIFIC ROWS

538

2.1.3.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS

539

2.2.

TEMPLATE: AE-COL. COLLATERAL RECEIVED BY THE REPORTING INSTITUTION

542

2.2.1.

GENERAL REMARKS

542

2.2.2.

INSTRUCTIONS CONCERNING SPECIFIC ROWS

542

2.2.3.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS

544

2.3.

TEMPLATE: AE-NPL. OWN COVERED BONDS AND SECURITISATIONS ISSUED AND NOT YET PLEDGED

546

2.3.1.

GENERAL REMARKS

546

2.3.2.

INSTRUCTIONS CONCERNING SPECIFIC ROWS

546

2.3.3.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS

547

2.4.

TEMPLATE: AE-SOU. SOURCES OF ENCUMBRANCE

548

2.4.1.

GENERAL REMARKS

548

2.4.2.

INSTRUCTIONS CONCERNING SPECIFIC ROWS

548

2.4.3.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS

550

3.

PART B: MATURITY DATA

551

3.1.

GENERAL REMARKS

551

3.2.

TEMPLATE: AE-MAT. MATURITY DATA

551

3.2.1.

INSTRUCTIONS CONCERNING SPECIFIC ROWS

551

3.2.2.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS

552

4.

PART C: CONTINGENT ENCUMBRANCE

553

4.1.

GENERAL REMARKS

553

4.1.1.

SCENARIO A: DECREASE OF 30 % OF ENCUMBERED ASSETS

553

4.1.2.

SCENARIO B: DEPRECIATION OF 10 % IN SIGNIFICANT CURRENCIES

553

4.2.

TEMPLATE: AE-CONT. CONTINGENT ENCUMBRANCE

553

4.2.1.

INSTRUCTIONS CONCERNING SPECIFIC ROWS

553

4.2.2.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS

554

5.

PART D: COVERED BONDS

554

5.1.

GENERAL REMARKS

554

5.2.

TEMPLATE: AE-CB. COVERED BONDS ISSUANCE

554

5.2.1.

INSTRUCTIONS CONCERNING Z-AXIS

555

5.2.2.

INSTRUCTIONS CONCERNING SPECIFIC ROWS

555

5.2.3.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS

555

6.

PART E: ADVANCED DATA

558

6.1.

GENERAL REMARKS

558

6.2.

TEMPLATE: AE-ADV1. ADVANCED TEMPLATE FOR ASSETS OF THE REPORTING INSTITUTION

558

6.2.1.

INSTRUCTIONS CONCERNING SPECIFIC ROWS

558

6.2.2.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS

560

6.3.

TEMPLATE: AE-ADV2. ADVANCED TEMPLATE FOR COLLATERAL RECEIVED BY THE REPORTING INSTITUTION

561

6.3.1.

INSTRUCTIONS CONCERNING SPECIFIC ROWS

561

6.3.2.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS

561

GENERAL INSTRUCTIONS

1.   STRUCTURE AND CONVENTIONS

1.1.   Structure

1.

The framework consists of five sets of templates which comprise a total of nine templates according to the following scheme:

(a)

Part A: Encumbrance overview:

—

AE-ASS template. Assets of the reporting institution;

—

AE-COL template. Collateral received by the reporting institution;

—

AE-NPL template. Own covered bonds and securitisations issued and not yet pledged;

—

AE-SOU template. Sources of encumbrance;

(b)

Part B: Maturity data:

—

AE-MAT template. Maturity data;

(c)

Part C: Contingent encumbrance:

—

AE-CONT template. Contingent encumbrance;

(d)

Part D: Covered bonds:

—

AE-CB template. Covered bonds issuance;

(e)

Part E: Advanced data:

—

AE-ADV-1 template. Advanced template for assets of the reporting institution;

—

AE-ADV-2 template. Advanced template for collateral received by the reporting institution.

2.

For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting.

1.2.   Accounting standard

3.

Institutions shall report carrying amounts under the accounting framework they use for the reporting of financial information in accordance with Articles 11 and 12. Institutions that are not required to report financial information shall use their respective accounting framework. In AE-SOU, institutions shall generally report carrying amounts gross of accounting netting, if any, in line with the reporting on a gross basis of encumbrance of assets and collateral.

4.

For the purposes of this Annex, “IAS” and “IFRS” refer to the international accounting standards as defined in Article 2 of Regulation (EC) No 1606/2002. For institutions which report under IFRS standards, references have been inserted to the relevant IFRS standards.

1.3.   Numbering convention

5.

The following general notation is used in these instructions to refer to the columns, rows and cells of a template: {Template; Row; Column}. An asterisk sign is used to indicate that the validation is applied to the whole row or column. For example {AE-ASS; *; 2} refers to the data point of any row for column 2 of the AE-ASS template.

6.

In the case of validations within a template the following notation is used to refer to data points from that template: {Row; Column}.

1.4.   Sign convention

7.

Templates in Annex XVI shall follow the sign convention described in Annex V, Part 1, points 9 and 10.

1.5.   Level of application

8.

The level of application of the reporting on asset encumbrance follows that of the reporting requirements on own funds under Article 430(1), first subparagraph, point (a), of Regulation (EU) No 575/2013. Consequently, institutions that are not subject to prudential requirements in accordance with Article 7 of that Regulation are not required to report information on asset encumbrance.

1.6.   Proportionality

9.

For the purposes of Article 19(3), point (c), of this Regulation, the asset encumbrance level shall be calculated as follows:

—

Carrying amount of encumbered assets and collateral = {AE-ASS;0010;0010}– {AE-ASS;0015;0010} + {AE-COL;0130;0010};

—

Total assets and collateral = {AE-ASS;0010;0010} + {AE-ASS;0010;0060}– {AE-ASS;0015;0010} + {AE-COL;0130;0010}+{AE-COL;0130;0040};

—

Asset encumbrance ratio = (Carrying amount of encumbered assets and collateral)/(Total assets and collateral).

10.

[Deleted]

1.7.   Definition of encumbrance

11.

For the purposes of this Annex and Annex XVI, an asset shall be treated as encumbered if it has been pledged or if it is subject to any form of arrangement to secure, collateralise or credit enhance any transaction from which it cannot be freely withdrawn.

It is important to note, that assets pledged that are subject to any restrictions in withdrawal, such as assets that require prior approval before withdrawal or replacement by other assets, shall be considered encumbered. The definition is not based on an explicit legal definition, such as title transfer, but rather on economic principles, as the legal frameworks may differ in this respect across countries. The definition is however closely linked to contractual conditions. The EBA sees the following types of contracts being well covered by the definition (this is a non-exhaustive list):

—

secured financing transactions, including repurchase contracts and agreements, securities lending and other forms of secured lending;

—

various collateral agreements, for instance collateral placed for the market value of derivatives transactions;

—

financial guarantees that are collateralised. If there is no impediment to withdrawal of collateral, such as prior approval, for the unused part of guarantee, then only the used amount shall be allocated (on a pro-rata allocation);

—

collateral placed at clearing systems, CCPs and other infrastructure institutions as a condition for access to service. This includes default funds and initial margins;

—

central bank facilities. Pre-positioned assets shall not be considered encumbered, unless the central bank does not allow withdrawal of any assets placed without prior approval. As for unused financial guarantees, the unused part, i.e. above the minimum amount required by the central bank, shall be allocated on a pro-rata basis among the assets placed at the central bank;

—

underlying assets from securitisation structures, where the financial assets have not been de-recognised from the institution’s financial assets. The assets that are underlying retained securities do not count as encumbered, unless those securities are pledged or provided as collateral in any way to secure a transaction;

—

assets in cover pools used for covered bond issuance. The assets that are underlying covered bonds count as encumbered, except in certain situations where the institution holds the corresponding covered bonds (“own-issued bonds”);

—

as a general principle, assets which are being placed at facilities that are not used and can be freely withdrawn shall not be considered encumbered.

TEMPLATE-RELATED INSTRUCTIONS

2.   PART A: ENCUMBRANCE OVERVIEW

12.

The encumbrance overview templates differentiate assets which are used to support funding or collateral needs at the balance sheet date (“point-in time encumbrance”) from those assets which are available for potential funding needs.

13.

The overview template shows the amount of encumbered and non-encumbered assets of the reporting institution in a tabular format by products. The same breakdown also applies to collateral received and own debt securities issued other than covered bonds and securitisations.

2.1.   Template AE-ASS. Assets of the reporting institution

2.1.1.   General remarks

14.

This point sets out instructions that apply to the main types of transaction that are relevant when completing the AE templates:

All transactions that increase the level of encumbrance of an institution have two aspects that shall be reported independently throughout the AE templates. Such transactions shall be reported both as a source of encumbrance and as an encumbered asset or collateral.

The following examples describe how to report a type of transaction of this Part but the same rules apply to the other AE templates.

(a)    Collateralised deposit

A collateralised deposit shall be reported as follows:

(i)

the carrying amount of the deposit is registered as a source of encumbrance in {AE-SOU; r0070; c0010};

(ii)

where the collateral is an asset of the reporting institution: its carrying amount shall be reported in {AE-ASS; *; c0010} and {AE-SOU; r0070; c0030}; its fair value shall be reported in {AE-ASS; *; c0040};

(iii)

where the collateral has been received by the reporting institution, its fair value shall reported in {AE-COL; *; c0010}, {AE-SOU; r0070; c0030} and {AE-SOU; r0070; c0040}.

(b)    Repo/matching repos

A repurchase agreement (hereinafter “repo”) shall be reported as follows:

(i)

the gross carrying amount of the repo shall be reported as a source of encumbrance in {AE-SOU; r0050; c0010};

(ii)

the collateral of the repo shall be reported as follows:

—

where the collateral is an asset of the reporting institution: its carrying amount shall be reported in {AE-ASS; *; c0010} and {AE-SOU; r0050; c0030}; its fair value shall be reported in {AE-ASS; *; c0040};

—

where the collateral has been received by the reporting institution through a previous reverse repurchase agreement (matching repo), its fair value shall be reported in {AE-COL; *; c0010}, {AE-SOU; r0050; c0030} and in {AE-SOU; r0050; c0040}.

(c)    Central bank funding

As collateralised central bank funding is only a specific case of a collateralised deposit or a repo transaction in which the counterparty is a central bank, the rules in this point 14(a) and (b) apply.

For operations where it is not possible to identify the specific collateral to each operation, as collateral is pooled together, the collateral breakdown shall be done on a proportional basis, based on the composition of the pool of collateral.

Assets that have been pre-positioned with central banks are not encumbered assets unless the central bank does not allow withdrawal of any assets placed without prior approval. For unused financial guarantees, the unused part, i.e. the amount above the minimum required by the central bank, is allocated on a pro-rata basis among the assets placed at the central bank.

(d)    Securities lending

For securities lending with cash collateral the rules for repos/matching repos apply.

Securities lending without cash collateral shall be reported as follows:

(i)

the fair value of the securities borrowed shall be reported as a source of encumbrance in {AE-SOU; r0150; c0010}. When the lender does not receive any securities in return for the securities lent but receives a fee instead, {AE-SOU; r0150; c0010} shall reported as zero;

(ii)

where the securities lent as collateral are an asset of the reporting institution: their carrying amount shall be reported in {AE-ASS; *; c0010} and {AE-SOU; r0150; c0030}; their fair value shall reported in {AE-ASS; *; c0040};

(iii)

where the securities lent as collateral are received by the reporting institution, their fair value shall be reported in {AE-COL; *; c0010}, {AE-SOU; r0150; c0030} and {AE-SOU; r0150; c0040}.

(e)    Derivatives (liabilities)

Collateralised derivatives with a negative fair value shall be reported as follows:

(i)

the carrying amount of the derivative shall be reported as a source of encumbrance in {AE-SOU; r0020; c0010};

(ii)

the collateral (initial margins required to open the position and any collateral placed for the market value of derivatives transactions) shall be reported as follows:

—

where it is an asset of the reporting institution: its carrying amount shall be reported in {AE-ASS; *; c0010} and {AE-SOU; r0020; c0030}; its fair value shall be reported in {AE-ASS; *; c0040};

—

where it is collateral received by the reporting institution, its fair value shall be reported in {AE-COL; *; c0010}, {AE-SOU; r0020; c0030} and {AE-SOU; r0020; c0040}.

(f)    Covered bonds

Covered bonds for the entire asset encumbrance reporting are instruments referred to in Article 52(4), first subparagraph, of Directive 2009/65/EU, irrespective of whether those instruments take the legal form of a security or not.

No specific rules apply to covered bonds where there is no retention of part of the securities issued by the reporting institution.

In case of retention of part of the issuance and in order to avoid double counting, the following treatment shall apply:

(i)

where the own covered bonds are not pledged, the amount of the cover pool that is backing those securities retained and not yet pledged shall be reported in the AE-ASS templates as non-encumbered assets. Additional information about the retained covered bonds not yet pledged (underlying assets, fair value and eligibility of those available for encumbrance and nominal of those non-available for encumbrance) shall be reported in the AE-NPL template;

(ii)

where the own covered bonds are pledged, then the amount of the cover pool that is backing those securities retained and pledged shall be included in the AE-ASS template as encumbered assets.

The following table sets out how to report covered bond issuance of EUR 100 of which 15 % is retained and not pledged and 10 % is retained and pledged as collateral in a EUR 11 repo transaction with a central bank, where the cover pool comprises unsecured loans and the carrying amount of the loans is EUR 150.

SOURCES OF ENCUMBRANCE

Type

Amount

Cells

Loans encumbered

Cells

Covered bonds

75 % (100) = 75

{AE-Sources, r110, c010}

75 % (150) = 112.5

{AE-Assets, r100, c010}

{AE-Sources, r110, c030}

Central bank funding

11

{AE-Sources, r060, c010}

10 % (150) = 15

{AE-Assets, r100, c010}

{AE-Sources, r060, c030}

NON ENCUMBRANCE

Type

Amount

Cells

Non-encumbered loans

Cells

Own covered bonds retained

15 % (100) = 15

{AE-Not pledged, r010, c040}

15 % (150) = 22.5

{AE-Assets, r100, c060}

{AE-Not pledged, r020, c010}

(g)    Securitisations

Securitisations mean debt securities held by the reporting institution originated in a securitisation transaction as defined in Article 4(1), point (61), of Regulation (EU) No 575/2013.

For securitisations that remain in the balance sheet (non-derecognised), the rules for covered bonds apply.

For derecognised securitisations, there is no encumbrance where the institution holds some securities. Those securities will appear in the trading book or in the banking book of the reporting institutions as any other security issued by a third party.

2.1.2.   Instructions concerning specific rows

Rows

Legal references and instructions

0010

Assets of the reporting institution

IAS 1.9 (a), Implementation Guidance (IG) 6; total assets of the reporting institution registered in its balance sheet.

0015

Of which: qualifying fiduciary assets

Fiduciary assets which meet all the following conditions:

(a)

they are recognised on the institution’s balance sheet by national generally accepted accounting principles, in accordance with Article 10 of Directive 86/635/EEC;

(b)

they meet the criteria for non-recognition set out in International Financial Reporting Standard (IFRS) 9, as applied in accordance with Regulation (EC) No 1606/2002;

(c)

they meet the criteria for non-consolidation set out in IFRS 10, as applied in accordance with Regulation (EC) No 1606/2002, where applicable.

0020

Loans on demand

IAS 1.54 (i)

Institutions shall report the balances receivable on demand at central banks and other institutions. Cash on hand, that is, the holding of national and foreign banknotes and coins in circulation that are commonly used to make payments shall be included in the row “other assets”.

0030

Equity instruments

Equity instruments held by the reporting institution as defined in IAS 32.1.

0040

Debt securities

Annex V, Part 1, point 31

Institutions shall report debt instruments held by the reporting institution issued as securities that are not loans in accordance with Regulation (EU) 2021/379  ( 1 ) .

0050

of which: covered bonds

Debt securities held by the reporting institution that are bonds referred to in Article 52(4), first subparagraph, of Directive 2009/65/EC.

0060

of which: securitisations

Debt securities held by the reporting institution that are securitisations as defined in Article 4(1), point (61), of Regulation (EU) No 575/2013.

0070

of which: issued by general governments

Debt securities held by the reporting institution which are issued by general governments.

0080

of which: issued by financial corporations

Debt securities held by the reporting institution issued by financial corporations as defined in Annex V, Part 1, point 42, points (c) and d).

0090

of which: issued by non-financial corporations

Debt securities held by the reporting institution issued by non-financial corporations as defined in Annex V, Part 1, point 42, point (e).

0100

Loans and advances other than loans on demand

Loans and advances that are debt instruments other than securities held by the reporting institutions; other than balances receivable on demand.

0110

of which: Loans collateralised with immovable property

Loans and advances other than loans on demand that are collateralised with immovable property according to Annex V, part 2, point 86.

0120

Other assets

Assets of the reporting institution registered in the balance sheet other than those reported in rows 0020 to 0040 and 0100 and different from own debt securities and own debt equity instruments that may not be derecognised from the balance sheet by a non-IFRS institution.

In this case, own debt instruments shall be included in row 0240 of the AE-COL template and own equity instruments excluded from the asset encumbrance reporting.

2.1.3.   Instructions concerning specific columns

Columns

Legal references and instructions

0010

Carrying amount of encumbered assets

Institutions shall report the carrying amount of its assets that are encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex. The carrying amount shall mean the amount reported in the asset side of the balance sheet.

0020

of which: issued by other entities of the group

Carrying amount of encumbered assets held by the reporting institution that are issued by any entity within the prudential scope of consolidation.

0030

of which: central bank eligible

Carrying amount of encumbered assets held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access.

Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

0035

of which notionally eligible EHQLA and HQLA

The carrying amount of encumbered assets which are notionally eligible to the qualification of assets of extremely high liquidity and credit quality (EHQLA) and assets of high liquidity and credit quality (HQLA).

For the purposes of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the assets that are listed in Articles 10 to13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with this Annex.

Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of Delegated Regulation (EU) 2015/61. The carrying amount of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the carrying amount before the application of the haircuts specified in Articles 10 to 16 of that Delegated Regulation.

0040

Fair value of encumbered assets

IFRS 13 and Article 8 of Directive 2013/34/EU for non-IFRS institutions

Institutions shall report the fair value of its debt securities that are encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex.

Fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (see IFRS 13 Fair Value Measurement).

0050

of which: central bank eligible

Fair value of the encumbered debt securities held by the reporting institution, which are eligible for operations with those central banks to which the reporting institution has access.

Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

0055

of which notionally eligible EHQLA and HQLA

Fair value of encumbered assets that are notionally eligible to the qualification of EHQLA and HQLA

For the purposes of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the assets that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with this Annex. Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of that Delegated Regulation.

0060

Carrying amount of non-encumbered assets

Institutions shall report the carrying amount of its assets that are non-encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex.

Carrying amount shall mean the amount reported in the asset side of the balance sheet.

0070

of which: issued by other entities of the group

Carrying amount of non-encumbered assets held by the reporting institution that are issued by any entity within the prudential scope of consolidation.

0080

of which: central bank eligible

Carrying amount of non-encumbered assets held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access.

Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

0085

of which EHQLA and HQLA

Carrying amount of unencumbered EHQLA and HQLA that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, as well as with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of that Delegated Regulation.

The carrying amount of EHQLA and HQLA shall be the carrying amount before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.

0090

Fair value of non-encumbered assets

IFRS 13 and Article 8 of Directive 2013/34/EU for non-IFRS institutions

Institutions shall report the fair value of its debt securities that are non-encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex.

Fair value of a financial instrument shall be the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (see IFRS 13 Fair Value Measurement).

0100

of which: central bank eligible

Fair value of the non-encumbered debt securities held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access.

Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

0105

of which EHQLA and HQLA

Fair value of unencumbered EHQLA and HQLA that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation as well as with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of that Delegated Regulation.

The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.

2.2.   Template: AE-COL. Collateral received by the reporting institution

2.2.1.   General remarks

15.

For the collateral received by the reporting institution and the own debt securities issued other than own covered bonds or securitisations, the category of “non-encumbered” assets is split between those “available for encumbrance” or potentially eligible to be encumbered and those “non-available for encumbrance”.

16.

Assets are “non-available for encumbrance” when they have been received as collateral and the reporting institution is not permitted to sell or re-pledge the collateral, except in the case of a default by the owner of the collateral. Own debt securities issued other than own covered bonds or securitisations are non-available for encumbrance when there is any restriction in the terms of the issuance to sell or re-pledge the securities held.

17.

For the purposes of the asset encumbrance reporting, securities borrowed in exchange for a fee without providing cash-collateral or non-cash collateral shall be reported as collateral received.

2.2.2.   Instructions concerning specific rows

Rows

Legal references and instructions

0130

Collateral received by the reporting institution

All classes of collateral received by the reporting institution

0140

Loans on demand

Collateral received by the reporting institution that comprises loans on demand

See legal references and instructions regarding row 0020 of the AE-ASS template.

0150

Equity instruments

Collateral received by the reporting institution that comprises equity instruments

See legal references and instructions regarding row 0030 of the AE-ASS template.

0160

Debt securities

Collateral received by the reporting institution that comprises debt securities

See legal references and instructions regarding row 0040 of the AE-ASS template.

0170

of which: covered bonds

Collateral received by the reporting institution that comprises covered bonds

See legal references and instructions regarding row 0050 of the AE-ASS template.

0180

of which: securitisations

Collateral received by the reporting institution that comprises securitisations

See legal references and instructions regarding row 0060 of the AE-ASS template.

0190

of which: issued by general governments

Collateral received by the reporting institution that comprises debt securities issued by general governments

See legal references and instructions regarding row 0070 of the AE-ASS template.

0200

of which: issued by financial corporations

Collateral received by the reporting institution that comprises debt securities issued by financial corporations

See legal references and instructions regarding row 0080 of the AE-ASS template.

0210

of which: issued by non-financial corporations

Collateral received by the reporting institution that comprises debt securities issued by non-financial corporations

See legal references and instructions regarding row 0090 of the AE-ASS template.

0220

Loans and advances other than loans on demand

Collateral received by the reporting institution that comprises loans and advances other than loans on demand

See legal references and instructions regarding row 0100 of the AE-ASS template.

0230

Other collateral received

Collateral received by the reporting institution that comprises other assets

See legal references and instructions regarding row 0120 of the AE-ASS template.

0240

Own debt securities issued other than own covered bonds or securitisations

Own debt securities issued retained by the reporting institution that are not own covered bonds issued or own securitisations issued.

As the retained or repurchased own debt securities issued, according to IAS 39.42, decrease the relating financial liabilities, those securities shall not be included in the category of assets of the reporting institution (row 0010 of the AE-ASS template). Own debt securities that may not be derecognised from the balance sheet by a non-IFRS institution shall be included in this row.

Own covered bonds issued or own securitisations issued shall not be reported in this category since different rules apply to those cases to avoid double counting:

(a)

where the own debt securities are pledged, the amount of the cover pool/underlying assets that are backing those securities retained and pledged shall be reported in the AE-ASS template as encumbered assets;

(b)

where the own debt securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities retained and not yet pledged shall be reported in the AE-ASS templates as non-encumbered assets. Additional information about that second type of own debt securities not yet pledged (underlying assets, fair value and eligibility of those available for encumbrance and nominal of those non-available for encumbrance) shall be reported in the AE-NPL template.

0245

Own covered bonds and securitisation issued and not yet pledged

Own covered bonds and securitisations issued that are retained by the reporting institution and not encumbered

To avoid double counting, the following rule applies in relation to own covered bonds and securitisations issued and retained by the reporting institution:

(a)

where those securities are pledged, the amount of the cover pool/underlying assets that are backing them shall be reported in Template AE-ASS (F 32.01) as encumbered assets. The source of funding in the event of pledging own covered bonds and securitisations is the new transaction in which the securities are being pledged (central bank funding or other type of secured funding) and not the original issuance of covered bonds or securitisations;

(b)

where those securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities shall be reported in Template AE-ASS (F 32.01) as non-encumbered assets.

0250

TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED

All assets of the reporting institution registered in its balance sheet, all classes of collateral received by the reporting institution and own debt securities issued retained by the reporting institution that are not own covered bonds issued or own securitisations issued.

2.2.3.   Instructions concerning specific columns

Columns

Legal references and instructions

0010

Fair value of encumbered collateral received or own debt securities issued

Institutions shall report the fair value of the collateral received or own debt securities they hold/retain, which are encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex.

The fair value of a financial instrument shall be the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (see IFRS 13 Fair Value Measurement).

0020

of which: issued by other entities of the group

Fair value of the encumbered collateral received or own debt securities issued held/retained by the reporting institution that are issued by any entity within the prudential scope of consolidation.

0030

of which: central bank eligible

Fair value of the encumbered collateral received or own debt securities issued held/retained by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access.

Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

0035

of which notionally eligible EHQLA and HQLA

Fair value of the encumbered collateral received, including in any securities borrowing transaction, or own debt securities issued held/retained by the institution that are notionally eligible to the qualification of EHQLA and HQLA.

For the purposes of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the items of collateral received or own debt securities issued held/retained by the institution that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with this Annex. Notionally eligible encumbered EHQLA and encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.

0040

Fair value of collateral received or own debt securities issued available for encumbrance

Fair value of the collateral received by the reporting institution that are non-encumbered but are available for encumbrance since the reporting institution is permitted to sell or re-pledge it in absence of default by the owner of the collateral. It also includes the fair value of own debt securities issued, other than own covered bonds or securitisations that are non-encumbered but available for encumbrance.

0050

of which: issued by other entities of the group

Fair value of collateral received or own debt securities issued other than own covered bonds or securitisations available for encumbrance that are issued by any entity within the prudential scope of consolidation.

0060

of which: central bank eligible

Fair value of collateral received or own debt securities issued other than own covered bonds or securitisations available for encumbrance, which are eligible for operations with those central banks to which the reporting institution has access.

Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

0065

of which EHQLA and HQLA

Fair value of the unencumbered collateral received or own debt securities issued held/retained by the institution other than own covered bonds or securitisation positions available for encumbrance which qualify as EHQLA and HQLA that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, as well as with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of that Delegated Regulation.

The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.

0070

Nominal of collateral received or own debt securities issued non available for encumbrance

Nominal amount of the collateral received held by the reporting institution that are non-encumbered and non-available for encumbrance.

It shall include the nominal amount of the own debt securities issued other than own covered bonds or securitisations retained by the reporting institution that are non-encumbered and also non-available for encumbrance.

2.3.   Template: AE-NPL. Own covered bonds and securitisations issued and not yet pledged

2.3.1.   General remarks

18.

To avoid double counting, the following rule applies in relation to own covered bonds and securitisations issued and retained by the reporting institution:

(a)

where those securities are pledged, the amount of the cover pool/underlying assets that are backing them shall be reported in the AE-ASS template as encumbered assets. The source of funding in the event of pledging own covered bonds and securitisations is the new transaction in which the securities are being pledged (central bank funding or other type of secured funding) and not the original issuance of covered bonds or securitisations;

(b)

where those securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities shall be reported in the AE-ASS template as non-encumbered assets.

2.3.2.   Instructions concerning specific rows

Rows

Legal references and instructions

0010

Own covered bonds and securitisations issued and not yet pledged

Own covered bonds and securitisations issued that are retained by the reporting institution and not encumbered.

0020

Retained covered bonds issued

Own covered bonds issued that are retained by the reporting institution and not encumbered.

0030

Retained securitisations issued

Own securitisations issued that are retained by the reporting institution and not encumbered.

0040

Senior

Senior tranches of the own securitisations issued that are retained by the reporting institution and not encumbered

See Article 4(1), point (67), of Regulation (EU) No 575/2013.

0050

Mezzanine

Mezzanine tranches of the own securitisations issued that are retained by the reporting institution and not encumbered

All tranches that are not senior tranches, i.e. the last to absorb the loss or first loss tranches, shall be considered mezzanine tranches. See Article 4(1), point (67), of Regulation (EU) No 575/2013.

0060

First loss

First loss tranches of the own securitisations issued that are retained by the reporting institution and are not encumbered.

See Article 4(1), point (67), of Regulation (EU) No 575/2013.

2.3.3.   Instructions concerning specific columns

Columns

Legal references and instructions

0010

Carrying amount of the underlying pool of assets

Carrying amount of the cover pool/underlying assets that back the own covered bonds and own securitisations retained and are not yet pledged.

0020

Fair value of debt securities issued available for encumbrance

Fair value of the own covered bonds and own securitisations retained that are non-encumbered but available for encumbrance.

0030

Of which: central bank eligible

Fair value of the own covered bonds and own securitisations retained that meet each of the following conditions:

(a)

they are non-encumbered;

(b)

they are available for encumbrance;

(c)

they are eligible for operations with those central banks to which the reporting institution has access

Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

0035

of which notionally eligible EHQLA and HQLA

Fair value of the encumbered collateral received, including in any securities borrowing transaction, or own debt securities issued held/retained by the institution that are notionally eligible to the qualification of EHQLA and HQLA.

For the purposes of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the items of collateral received or own debt securities issued held/retained by the institution that are listed in Articles 10 to13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with this Annex XVII. Notionally eligible encumbered EHQLA and encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.

0040

Nominal of own debt securities issued non-available for encumbrance

Nominal amount of the own covered bonds and own securitisations retained that are non-encumbered and also non-available for encumbrance.

2.4.   Template: AE-SOU. Sources of encumbrance

2.4.1.   General remarks

19.

This template provides information on the importance for the reporting institution of the different sources of encumbrance, including those with no associated funding as loans commitments or financial guarantees received and securities lending with non-cash collateral.

20.

The total amounts of assets and collateral received in the AE-ASS and the AE-COL templates meet the following validation rule: {AE-SOU; r0170; c0030} = {AE-ASS; r0010; c0010} + {AE-COL; r0130; c0010} + {AE-COL; r0240; c0010}.

2.4.2.   Instructions concerning specific rows

Rows

Legal references and instructions

0010

Carrying amount of selected financial liabilities

Carrying amount of selected collateralised financial liabilities of the reporting institution insofar as those liabilities entail asset encumbrance for that institution

0020

Derivatives

Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, that is, with a negative fair value, insofar as those derivatives entail asset encumbrance for that institution

0030

of which: over-the-counter

Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities which are traded over-the-counter, insofar as those derivatives entail asset encumbrance.

0040

Deposits

Carrying amount of the collateralised deposits of the reporting institution insofar as those deposits entail asset encumbrance for that institution.

0050

Repurchase agreements

Gross carrying amount (without any netting allowed in the accounting framework) of the repurchase agreements of the reporting institution insofar as those transactions entail asset encumbrance for that institution.

Repurchase agreements (repos) shall be the transactions in which the reporting institution receives cash in exchange for financial assets sold at a given price under a commitment to repurchase the same (or identical) assets at a fixed price on a specified future date. The following variants of repo-type operations are all required to be reported as repurchase agreements:

(a)

amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral; and

(b)

amounts received in exchange for securities temporarily transferred to a third party in the form of a sale/buy-back agreement.

0060

of which: central banks

Carrying amount of the repurchase agreements of the reporting institution with central banks insofar as those transactions entail asset encumbrance.

0070

Collateralised deposits other than repurchase agreements

Carrying amount of the of the collateralised deposits other than repurchase agreements of the reporting institution insofar as those deposits entail asset encumbrance for that institution.

0080

of which: central banks

Carrying amount of the collateralised deposits other than repurchase agreements of the reporting institution with central banks insofar as those deposits entail asset encumbrance for that institution.

0090

Debt securities issued

Carrying amount of the debt securities issued by the reporting institution insofar as those securities issued entail asset encumbrance for that institution.

The retained part of any issuance shall follow the specific treatment set out in Part A, point 15, point (vi), so that only the percentage of debt securities placed outside the entities of the group are to be included under this category.

0100

of which: covered bonds issued

Carrying amount of covered bonds the assets of which are originated by the reporting institution insofar as those securities issued entail asset encumbrance for that institution.

0110

of which: securitisations issued

Carrying amount of the securitisations issued by the reporting institution insofar as those securities issued entail asset encumbrance for that institution.

0120

Other sources of encumbrance

Amount of collateralised transactions of the reporting institution other than financial liabilities, insofar as those transactions entail asset encumbrance for that institution.

0130

Nominal of loan commitments received

Nominal amount of the loan commitments received by the reporting institution, insofar as those commitments received entail asset encumbrance for that institution.

0140

Nominal of financial guarantees received

Nominal amount of the financial guarantees received by the reporting institution, insofar as those guarantees received entail asset encumbrance for that institution.

0150

Fair value of securities borrowed with non-cash collateral

Fair value of the securities borrowed by the reporting institution without cash collateral, insofar as those transactions entail asset encumbrance for that institution.

0160

Other

Amount of collateralised transactions of the reporting institution other than financial liabilities, not covered by the items listed in rows 0130 to 0150, insofar as those transactions entail asset encumbrance for that institution.

0170

TOTAL SOURCES OF ENCUMBRANCE

Amount of all collateralised transactions of the reporting institution insofar as those transactions entail asset encumbrance for that institution.

2.4.3.   Instructions concerning specific columns

Columns

Legal references and instructions

0010

Matching liabilities, contingent liabilities or securities lent

Amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non-cash collateral, insofar as those transactions entail asset encumbrance for that institution.

Financial liabilities shall be reported at their carrying amount; contingent liabilities shall be reported at their nominal value; and securities lent with non-cash collateral shall be reported at their fair value.

0020

of which: from other entities of the group

Amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non-cash collateral, insofar as the counterparty is any other entity within the prudential scope of consolidation and the transaction entail for the reporting institution asset encumbrance.

For rules applying to amount types, see instructions for column 0010.

0030

Assets, collateral received and own securities issued other than covered bonds and securitisations encumbered

Amount of the assets, collateral received and own securities issued other than covered bonds and securitisations that are encumbered as a result of the different type of transactions specified in the rows.

To ensure consistency with the criteria in the templates AE-ASS and AE-COL, assets of the reporting institution registered in the balance sheet shall be reported at their carrying amount, re-used collateral received and encumbered own securities issued other than covered bonds and securitisations shall be reported at their fair value.

0040

of which: collateral received re-used

Fair value of the collateral received that are re-used/encumbered as a result of the different type of transactions specified in the rows.

050

Of which: own debt securities encumbered

Fair value of the own securities issued other than covered bonds and securitisations that are encumbered as a result of the different type of transactions specified in the rows.

3.   PART B: MATURITY DATA

3.1.   General remarks

21.

The template included in Part B shows a general overview of the amount of encumbered assets and collateral received re-used that fall under the defined intervals of the matching liabilities’ residual maturity.

3.2.   Template: AE-MAT. Maturity data

3.2.1.   Instructions concerning specific rows

Rows

Legal references and instructions

0010

Encumbered assets

For the purposes of this template, encumbered assets shall include all of the following:

(a)

the assets of the reporting institution (see instruction for row 0010 of the AE-ASS template), which shall be reported at their carrying amount;

(b)

own debt securities issued other than covered bonds or securitisations (see instruction for row 240 of the AE-COL template), which shall be reported at fair value.

Those amounts shall be distributed among the set of residual maturity buckets specified in the columns according to the residual maturity of the source of its encumbrance (matching liability, contingent liability or securities lending transaction).

0020

Collateral received re-used (receiving leg)

See instructions for row 130 of the AE-COL template and column 0040 of the AE-SOU template.

Institutions shall report the amounts at fair value and distribute among the set of residual maturity buckets specified in the columns according to the residual maturity of the transaction that generated for the entity the reception of the collateral that is being re-used (receiving leg).

0030

Collateral received re-used (re-using leg)

See instructions for row 130 of the AE-COL template and column 0040 of the AE-SOU template.

Institutions shall report the amounts at fair value and distribute among the set of residual maturity buckets specified in the columns according to the residual maturity of the source of its encumbrance (re-using leg): matching liability, contingent liability or securities lending transaction.

3.2.2.   Instructions concerning specific columns

Columns

Legal references and instructions

0010

Open maturity

On demand, without a specific maturity date

0020

Overnight

Due date earlier or equal to 1 day

0030

> 1 day <=1wk

Due date later than 1 day and earlier than or equal to 1 week

0040

> 1 wk <=2wks

Due date later than 1 week and earlier than or equal to 2 weeks

0050

> 2wks <=1mth

Due date later than 2 weeks and earlier than or equal to 1 month

0060

> 1mth <=3mths

Due date later than 1 month and earlier than or equal to 3 months

0070

> 3mths <=6mths

Due date later than 3 months and earlier than or equal to 6 months

0080

> 6mths <=1yr

Due date later than 6 months and earlier than or equal to 1 year

0090

> 1yr <=2yrs

Due date later than 1 year and earlier than or equal to 2 years

0100

> 2yrs <=3yrs

Due date later than 2 years and earlier than or equal to 3 years

0110

> 3yrs <=5yrs

Due date later than 3 years and earlier than or equal to 5 years

0120

> 5yrs <=10yrs

Due date later than 5 years and earlier than or equal to 10 years

0130

> 10yrs

Due date later than 10 years

4.   PART C: CONTINGENT ENCUMBRANCE

4.1.   General remarks

22.

Institutions shall present in this template the level of asset encumbrance that results in a number of stressed scenarios.

23.

Contingent encumbrance refers to the additional assets which may need to be encumbered when the reporting institutions faces adverse developments triggered by an external event over which the reporting institution has no control (including a downgrade, decrease of the fair value of the encumbered assets or a general loss of confidence). In those cases, the reporting institution will need to encumber additional assets as a consequence of already existing transactions. The additional amount of encumbered assets shall be net of the impact of the institution’s hedge transactions against the events described under the aforementioned stressed scenarios.

24.

This template includes the following two scenarios for reporting contingent encumbrance which are set out in more detail in sections 4.1.1. and 4.1.2. The information reported shall be the institution’s reasonable estimate based on the best available information.

(a)

Decrease of the fair value of the encumbered assets by 30 %. This scenario only covers a change in the underlying fair value of the assets, and not any other change which may affect its carrying amount such as foreign exchange gains or losses or potential impairment. The reporting institution may then be forced to post more collateral in order to keep the value of the collateral constant.

(b)

A 10 % depreciation in each currency in which the institution has aggregate liabilities amounting to or exceeding 5 % of the institution’s total liabilities.

25.

The scenarios shall be reported independently of each other, and significant currency depreciations shall also be reported independently of depreciations of other significant currencies. Consequently, institutions shall not take correlations between the scenarios into account.

4.1.1.   Scenario A: Decrease of 30 % of encumbered assets

26.

It shall be assumed that all encumbered assets decrease 30 % in value. The need of additional collateral arising from such a decrease shall take into account existing levels of over-collateralisation, such that only the minimum collateralisation level is maintained. The need of additional collateral shall also take into account the contractual requirements of the contracts and agreements impacted, including threshold triggers.

27.

Only contracts and agreements, where there is a legal obligation to supply additional collateral shall be included. This shall include covered bond issues where there is a legal requirement to uphold minimum levels of over collateralisation but no requirement to maintain existing rating levels on the covered bond.

4.1.2.   Scenario B: Depreciation of 10 % in significant currencies

28.

A currency shall be a significant currency if the reporting institution has aggregate liabilities in that currency amounting to or exceeding 5 % of the institution’s total liabilities.

29.

The calculation of a 10 % depreciation shall take into account both changes on the asset and liability side, i.e. focus the asset-liability mismatches. For instance a repo transactions in USD based on USD assets does not cause additional encumbrance, whereas a repo transaction in USD based on a EUR asset causes additional encumbrance.

30.

All transactions which have a cross-currency element shall be covered by this calculation.

4.2.   Template: AE-CONT. Contingent encumbrance

4.2.1.   Instructions concerning specific rows

31.

See instructions concerning specific rows of the AE-SOU template in section 2.4.2. The content of the rows in AE-CONT template does not differ from the AE-SOU template.

4.2.2.   Instructions concerning specific columns

Columns

Legal references and instructions

0010

Matching liabilities, contingent liabilities or securities lent

Same instructions and data as for column 0010 of the AE-SOU template; amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non–cash collateral, insofar as those transactions entail asset encumbrance for that institution

As referred for each row in the template, institutions shall report financial liabilities at their carrying amount, contingent liabilities at their nominal and securities lent with non-cash collateral at their fair value.

0020

A.    Additional amount of encumbered assets

Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of occurrence of scenario A.

Following the instructions laid down in Part A, institutions shall report those amounts at their carrying amount if the amount is related to assets of the reporting institution or at their fair value if related to collateral received. Amounts exceeding the non-encumbered assets and collateral of the institution shall be reported at fair value.

0030

B.    Additional amount of encumbered assets. Significant currency 1

Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of a depreciation of significant currency number 1 in scenario B.

See rules for amount types in row 0020.

0040

C.    Additional amount of encumbered assets. Significant currency 2

Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of a depreciation of significant currency number 2 in scenario B.

See rules for amount types in row 0020.

5.   PART D: COVERED BONDS

5.1.   General remarks

32.

The information in this template shall be reported for all UCITS-compliant covered bonds issued by the reporting institution. UCITS-compliant covered bonds are the bonds referred to in Article 52(4), first subparagraph, of Directive 2009/65/EC. Those are covered bonds issued by the reporting institution if the reporting institution is in relation to the covered bond subject by the applicable law to special public supervision designed to protect bond-holders and if for such covered bond it is required that sums deriving from the issue of those bonds shall be invested in accordance with the law in assets which, during the whole period of validity of the bonds, are capable of covering claims attaching to the bonds and which, in the event of failure of the issuer, would be used on a priority basis for the reimbursement of the principal and payment of the accrued interest.

33.

Covered bonds issued by or on behalf of the reporting institution that are not UCITS-compliant covered bonds shall not be reported within the AE-CB templates.

34.

The reporting shall be based on the statutory covered bond regime, i.e. the legal framework which applies the to the covered bond programme.

5.2.   Template: AE-CB. Covered bonds issuance

5.2.1.   Instructions concerning z-axis

z-axis

Legal references and instructions

0010

Cover pool identifier (open)

The cover pool identifier shall consist of the name or unambiguous abbreviation of the cover pool issuing entity and the designation of the cover pool that individually is subject to the relevant covered bond protective measures.

5.2.2.   Instructions concerning specific rows

Rows

Legal references and instructions

0010

Nominal amount

Nominal amount shall be the sum of claims to payment of principal, determined in accordance with the respective statutory covered bond regime’s rules that apply for determining sufficient coverage.

0020

Present value (swap)/Market value

Present value (swap) shall be the sum of claims to payment of principal and interest, as discounted by a foreign exchange-specific risk-free yield curve, determined in accordance with the relevant statutory covered bond regime’s rules that apply for determining sufficient coverage.

For columns 0080 and 0210 referring to cover pool derivative positions, the market value shall be reported.

0030

Asset-specific value

The asset-specific value shall be the economic value of the cover pool assets, as may be described by a fair value in accordance with IFRS 13, a market value observable from executed transactions in liquid markets, or a present value that would discount future cash flows of an asset by an asset-specific interest rate curve.

0040

Carrying amount

Carrying amount of a covered bond liability or a cover pool asset shall be the accounting value at the covered bond issuer.

5.2.3.   Instructions concerning specific columns

Columns

Legal references and instructions

0010

Compliance with Article 129 of Regulation (EU) No 575/2013? [YES/NO]

Institutions shall specify whether the cover pool meets the requirements set out in Article 129 of Regulation (EU) No 575/2013 in order to be eligible for the preferential treatment set out in Article 129(4) and (5) of that Regulation.

0012

If YES, indicate primary asset class of the cover pool

If the cover pool is eligible for the preferential treatment set out in Article 129(4) and (5) of Regulation (EU) No 575/2013 (answer YES in column 0011), the primary asset class of the cover pool shall be indicated in this cell. The classification in Article 129(1) of that Regulation shall be used for that purpose and codes “a”, “b”, “c”, “d”, “e”, “f” and “g” shall be indicated accordingly. Code “h” will be applied when the primary asset class of the cover pool does not fall under any of the previous categories.

0020-0140

Covered bond liabilities

Covered bond liabilities shall be the liabilities of the issuing entity incurred by issuing covered bonds and extends to all positions as defined by the respective statutory covered bond regime that are subject to the relevant covered bond protective measures (this may, for instance, include securities in circulation as well as the position of counterparts of the covered bond issuer in derivative positions with, from the perspective of the covered bond issuer, a negative market value attributed to the cover pool and treated as covered bond liabilities in accordance with the relevant statutory covered bond regime).

0020

Reporting date

Amounts of covered bond liabilities, excluding cover pool derivative positions, according to the different future date ranges.

0030

+ 6 months

The date “+ 6 months” shall be the point in time 6 months after the reporting reference date. Amounts shall be provided assuming no change in covered bond liabilities compared to the reporting reference date except for amortisation. In the absence of a fixed payment schedule, for amounts outstanding at future dates the expected maturity shall be used in a consistent manner.

0040-0070

+ 12 months – + 10 years

As for “+ 6 months” (column 0030) for the respective point in time from the reporting reference date

0080

Cover pool derivative positions with net negative market value

Net negative market value of cover pool derivative positions which from the perspective of the covered bond issuer have a net negative market value

The cover pool derivative positions shall be such net derivative positions that in accordance with the relevant statutory covered bond regime have been included in the cover pool and are subject to the respective covered bond protective measures in that such derivative positions with a negative market value require coverage by eligible cover pool assets.

The net negative market value shall be reported for the reporting reference date only.

0090-0140

External credit rating on covered bond

Institutions shall provide information on external credit ratings on the respective covered bond, as existing on the reporting date.

0090

Credit rating agency 1

If a credit rating of at least one credit rating agency exists as of the reporting date, institutions shall provide the name of one of those credit rating agencies. If credit ratings by more than three credit rating agencies exist as of the reporting date, the three credit rating agencies to whom information is provided shall be selected based on their respective market prevalence.

0100

Credit rating 1

The credit rating issued by the credit rating agency reported in column 0090 on the covered bond as of the reporting reference date

If long- and short-term credit ratings by the same credit rating agency exist, the long-term credit rating shall be reported. The credit rating to be reported shall include any modifiers.

0110, 130

Credit rating agency 2 and credit rating agency 3

As for credit rating agency 1 (column 0090) for further credit rating agencies that have issued credit ratings on the covered bond as of the reporting reference date

0120, 0140

Credit rating 2 and credit rating 3

As for credit rating 1 (column 0100) for further credit ratings issued by credit rating agencies 2 and 3 on the covered bond existing as of the reporting reference date

0150-0250

Cover pool

The cover pool shall consist of all positions, including cover pool derivative positions, from the perspective of the covered bond issuer, with a net positive market value, that are subject to the respective covered bond protective measures.

0150

Reporting date

Amounts of assets in the cover pool, excluding cover pool derivative positions

This amount shall include minimum over-collateralisation requirements plus any additional over-collateralisation in excess of the minimum, to the extent subject to the respective covered bond protective measures.

0160

+ 6 months

The reporting date “+ 6 months” shall be the point in time 6 months after the reporting reference date. Institutions shall report the amounts assuming no change in cover pool compared to the reporting date except for amortisation. In the absence of a fixed payment schedule, for amounts outstanding at future dates expected maturity shall be used in a consistent manner.

0170-0200

+ 12 months – + 10 years

As for “+ 6 months” (column 0160) for the respective point in time from the reporting reference date

0210

Cover pool derivative positions with net positive market value

The net positive market value of cover pool derivative positions which, from the perspective of the covered bond issuer, have a net positive market value

The cover pool derivative positions shall be such net derivative positions that in accordance with the relevant statutory covered bond regime have been included in the cover pool and are subject to the respective covered bond protective measures in that such derivative positions with a positive market value would not form part of the covered bond issuer’s general insolvency estate.

The net positive market value shall be reported for the reporting date only.

0220-0250

Cover pool amounts in excess of minimum coverage requirements

Amounts of cover pool, including cover pool derivative positions with net positive market values, in excess of requirements of minimum coverage (over-collateralisation)

0220

As per the relevant statutory covered bond regime

Amounts of over-collateralisation compared with the minimum coverage required by the relevant statutory covered bond regime

0230-0250

As per credit rating agencies’ methodology to maintain current external credit rating on covered bond

Amounts of over-collateralisation compared with the level that, according to information on the respective credit rating agency’s methodology available to the covered bond issuer, would at a minimum be required to support the existing credit rating issued by the respective credit rating agency

0230

Credit rating agency 1

Amounts of over-collateralisation compared with the level that, according to information on the methodology of credit rating agency 1 (column 0090) available to the covered bond issuer, would at a minimum be required to support credit rating 1 (column 0100).

0240-0250

Credit rating agency 2 and credit rating agency 3

The instructions for credit rating agency 1 (column 0230) shall also apply to credit rating agency 2 (column 0110) and credit rating agency 3 (column 0130).

6.   PART E: ADVANCED DATA

6.1.   General remarks

35.

Part E follows the same structure as in the encumbrance overview templates in Part A with different templates for the encumbrance of the assets of the reporting institution and for the collateral received: AE-ADV1 and AE-ADV2 respectively. Consequently, matching liabilities correspond to the liabilities that are secured by the encumbered assets and no one-to-one relation has to exist.

6.2.   Template: AE-ADV1. Advanced template for assets of the reporting institution

6.2.1.   Instructions concerning specific rows

Rows

Legal references and instructions

0010-0020

Central bank funding (of all types, including repos)

All types of liabilities of the reporting institution in which the counterparty of the transaction is a central bank.

Assets that have been pre-positioned with central banks shall not be treated as encumbered assets unless the central bank does not allow withdrawal of any asset placed without prior approval. For unused financial guarantees, the unused part, i.e., the amount above the minimum required by the central bank, shall be allocated on a pro-rata basis among the assets placed at the central bank.

0030-0040

Exchanged traded derivatives

Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, insofar as those derivatives are listed or traded on a recognised or designated investment exchange and they entail asset encumbrance for that institution.

0050-0060

Over-the counter derivatives

Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, insofar as those derivatives are traded over-the-counter and they entail asset encumbrance for that institution; same instruction in row 030 of the AE-SOU template.

0070-0080

Repurchase agreements

Carrying amount of the repurchase agreements of the reporting institution in which the counterparty of the transaction is not a central bank, insofar as those transactions entail asset encumbrance for that institution.

For tri-party repurchase agreements, the same treatment shall be followed as for the repurchase agreements insofar as those transactions entail asset encumbrance for the reporting institution.

0090-0100

Collateralised deposits other than repurchase agreements

Carrying amount of the collateralised deposits other than repurchase agreements of the reporting institution in which the counterparty of the transaction is not a central bank, insofar as those deposits entail asset encumbrance for that institution.

0110-0120

Covered bonds securities issued

See instructions in row 0100 of the AE-SOU template.

0130-0140

Securitisations issued

See instructions in row 0110 of the AE-SOU template.

0150-0160

Debt securities issued other than covered bonds and securitisations

Carrying amount of the debt securities issued by the reporting institution other than covered bonds and securitisations insofar as those securities issued entail asset encumbrance for that institution

In the event that the reporting institution had retained some of the debt securities issued, either from the issuance date or thereafter as a result of a repurchase, those retained securities shall not be included under this item. Additionally, the collateral assigned to them shall be classified as non-encumbered for the purposes of this template.

0170-0180

Other sources of encumbrance

See instructions in row 0120 of the AE-SOU template.

0190

Total encumbered assets

For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution that are encumbered

0200

of which: central bank eligible

For each type of asset specified in the rows of the AE-ADV1 template, carrying amount of the assets held by the reporting institution that are encumbered and which are eligible for operations with those central banks to which the reporting institution has access.

Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

0210

Total non-encumbered assets

For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution that are non-encumbered.

The carrying amount shall mean the amount reported in the asset side of the balance sheet.

0220

of which: central bank eligible

For each type of asset specified in the rows of the AE-ADV1 template, carrying amount of the assets held by the reporting institution that are non-encumbered and which are eligible for operations with those central banks to which the reporting institution has access

Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

0230

Encumbered + non-encumbered assets

For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution.

6.2.2.   Instructions concerning specific columns

Columns

Legal references and instructions

0010

Loans on demand

See instructions for row 0020 of the AE-ASS template.

0020

Equity instruments

See instructions for row 0030 of the AE-ASS template.

0030

Total

See instructions for row 0040 of the AE-ASS template.

0040

of which: covered bonds

See description instructions for row 0050 of the AE-ASS template.

0050

of which: issued by other entities of the group

Covered bonds as described in the instructions for row 0050 of the AE-ASS template that are issued by any entity within the prudential scope of consolidation

0060

of which: securitisations

See instructions for row 0060 of the AE-ASS template.

0070

of which: issued by other entities of the group

Securitisations as described in the instructions for row 0060 of the AE-ASS template that are issued by any entity within the prudential scope of consolidation.

0080

of which: issued by general governments

See instructions for row 0070 of the AE-ASS template.

0090

of which: issued by financial corporations

See instructions for row 0080 of the AE-ASS template.

0100

of which: issued by non-financial corporations

See instructions for row 0090 of the AE-ASS template.

0110

Central banks and general governments

Loans and advances other than loans on demand to a central bank or a general government

0120

Financial corporations

Loans and advances other than loans on demand to financial corporations

0130

Non-financial corporations

Loans and advances other than loans on demand to non-financial corporations

0140

of which: Loans collateralised with immovable property

Loans and advances other than loans on demand guaranteed with a loan collateralised with immovable property given to non-financial corporations

0150

Households

Loans and advances other than loans on demand given to households

0160

of which: Loans collateralised with immovable property

Loans and advances other than loans on demand guaranteed with a loan collateralised with immovable property given to households

0170

Other assets

See instruction for row 120 of the AE-ASS template.

0180

Total

See instruction for row 010 of the AE-ASS template.

6.3.   Template: AE-ADV2. Advanced template for collateral received by the reporting institution

6.3.1.   Instructions concerning specific rows

36.

See section 6.2.1 as instructions are similar for both templates.

6.3.2.   Instructions concerning specific columns

Columns

Legal references and instructions

0010

Loans on demand

See instructions for row 0140 of the AE-COL template.

0020

Equity instruments

See instructions for row 0150 of the AE-COL template.

0030

Total

See instructions for row 0160 of the AE-COL template.

0040

of which: covered bonds

See instructions in row 0170 of the AE-COL template.

0050

of which: issued by other entities of the group

Collateral received by the reporting institution that are covered bonds issued by any entity within the prudential scope of consolidation

0060

of which: securitisations

See instructions for row 0180 of the AE-COL template.

0070

of which: issued by other entities of the group

Collateral received by the reporting institution that are securitisations issued by any entity within the prudential scope of consolidation

0080

of which: issued by general governments

See instructions for row 0190 of the AE-COL template.

0090

of which: issued by financial corporations

See instructions for row 0200 of the AE-COL template.

0100

of which: issued by non-financial corporations

See instructions for row 0210 of the AE-COL template.

0110

Central banks and general governments

Collateral received by the reporting institution that are loans and advances other than loans on demand to a central bank or a general government

0120

Financial corporations

Collateral received by the reporting institution that are loans and advances other than loans on demand to financial corporations

0130

Non-financial corporations

Collateral received by the reporting institution that are loans and advances other than loans on demand to non-financial corporations

0140

of which: Loans collateralised with immovable property

Collateral received by the reporting institution that are loans and advances collateralised with immovable property given to non-financial corporations, excluding loans on demand

0150

Households

Collateral received by the reporting institution that are loans and advances other than loans on demand given to households

0160

of which: Loans collateralised with immovable property

Collateral received by the reporting institution that are loans and advances other than loans on demand guaranteed with a loan collateralised with immovable property given to households

0170

Other assets

See instructions for row 0230 of the AE-COL template.

0180

Own debt securities issued other than own covered bonds or securitisations

See instructions for row 0240 of the AE-COL template.

0190

Total

See instructions for rows 0130 and 0140 of the AE-COL template.’

( 1 )   Regulation (EU) 2021/379 of the European Central Bank of 22 January 2021 on the balance sheet items of credit institutions and of the monetary financial institutions sector (recast) (ECB/2021/2) ( OJ L 73, 3.3.2021, p. 16–85 )

ANNEX V

ANNEX V

‘ANNEX XVIII

AMM TEMPLATES

Template number

Template code

Name of the template /group of templates

ADDITIONAL MONITORING TOOLS TEMPLATES

67

C 67.00

CONCENTRATION OF FUNDING BY COUNTERPARTY

68

C 68.00

CONCENTRATION OF FUNDING BY PRODUCT TYPE

69

C 69.00

PRICES FOR VARIOUS LENGTHS OF FUNDING

70

C 70.00

ROLL-OVER OF FUNDING

C 67.00 - CONCENTRATION OF FUNDING BY COUNTERPARTY

Total and significant currencies

Concentration of funding by counterparty

Counterparty Name

Code

Type of code

National code

Counterparty Sector

Residence of Counterparty

Product Type

Amount Received

Weighted average original maturity

Weighted average residual maturity

Row

ID

0010

0015

0016

0017

0030

0040

0050

0060

0070

0080

0010

1.

TOP TEN COUNTERPARTIES EACH GREATER THAN 1 % OF TOTAL LIABILITIES

0020

1.01

0030

1.02

0040

1.03

0050

1.04

0060

1.05

0070

1.06

0080

1.07

0090

1.08

0100

1.09

0110

1.10

0120

2.

ALL OTHER FUNDING

C 68.00 - CONCENTRATION OF FUNDING BY PRODUCT TYPE

Total and significant currencies

Concentration of funding by product type

Row

ID

Product Name

Carrying amount received

Amount covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country

Amount not covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country

Weighted average original maturity

Weighted average residual maturity

0010

0020

0030

0040

0050

0010

1

RETAIL FUNDING

0020

1.1

of which sight deposits

0031

1.2

of which term deposits not withdrawable within the following 30 days

0041

1.3

of which term deposits withdrawable within the following 30 days

0070

1.4

Savings accounts

0080

1.4.1

with a notice period for withdrawal greater than 30 days

0090

1.4.2

without a notice period for withdrawal greater than 30 days

0100

2

WHOLESALE FUNDING

0110

2.1

Unsecured wholesale funding

0120

2.1.1

of which loans and deposits from financial customers

0130

2.1.2

of which loans and deposits from non financial customers

0140

2.1.3

of which loans and deposits from intra-group entities

0150

2.2

Secured wholesale funding

0160

2.2.1

of which SFTs

0170

2.2.2

of which covered bond issuance

0180

2.2.3

of which asset backed security issuance

0190

2.2.4

of which financial liabilities other than derivatives and short positions from intra-group entities

C 69.00 - PRICES FOR VARIOUS LENGTHS OF FUNDING

Total and significant currencies

Prices for various lengths of funding

Overnight

1 week

1 month

3 months

6 months

1 year

2 years

5 years

10 years

Spread

Volume

Spread

Volume

Spread

Volume

Spread

Volume

Spread

Volume

Spread

Volume

Spread

Volume

Spread

Volume

Spread

Volume

Row

ID

Item

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0010

1

Total Funding

0020

1.1

Retail funding

0030

1.2

Unsecured wholesale funding

0035

1.2.1

of which: Senior unsecured securities

0045

1.3

Secured funding (non-Central Bank)

0065

1.3.1

of which: Covered bonds

0075

1.3.2

of which: Asset backed securities including ABCP

0080

1.4

Other funding

C 70.00 - ROLL-OVER OF FUNDING

Total and significant currencies

Roll-over of funding

Overnight

> 1 day ≤ 7 days

> 7 days ≤ 14 days

> 14 days ≤ 1 month

> 1 Month ≤ 3 Months

> 3 Months ≤ 6 Months

> 6 Months

Total net cashflows

Average Term (days)

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing Funds Term

Roll-over Funds Term

New Funds Term

Row

ID

Day

Item

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

0010

1.1

1

Total funding

0020

1.1.1

Retail funding

0030

1.1.2

Unsecured wholesale funding

0040

1.1.3

Secured funding

0050

1.2

2

Total funding

0060

1.2.1

Retail funding

0070

1.2.2

Unsecured wholesale funding

0080

1.2.3

Secured funding

0090

1.3

3

Total funding

0100

1.3.1

Retail funding

0110

1.3.2

Unsecured wholesale funding

0120

1.3.3

Secured funding

0130

1.4

4

Total funding

0140

1.4.1

Retail funding

0150

1.4.2

Unsecured wholesale funding

0160

1.4.3

Secured funding

0170

1.5

5

Total funding

0180

1.5.1

Retail funding

0190

1.5.2

Unsecured wholesale funding

0200

1.5.3

Secured funding

0210

1.6

6

Total funding

0220

1.6.1

Retail funding

0230

1.6.2

Unsecured wholesale funding

0240

1.6.3

Secured funding

0250

1.7

7

Total funding

0260

1.7.1

Retail funding

0270

1.7.2

Unsecured wholesale funding

0280

1.7.3

Secured funding

0290

1.8

8

Total funding

0300

1.8.1

Retail funding

0310

1.8.2

Unsecured wholesale funding

0320

1.8.3

Secured funding

0330

1.9

9

Total funding

0340

1.9.1

Retail funding

0350

1.9.2

Unsecured wholesale funding

0360

1.9.3

Secured funding

0370

1.10

10

Total funding

0380

1.10.1

Retail funding

0390

1.10.2

Unsecured wholesale funding

0400

1.10.3

Secured funding

0410

1.11

11

Total funding

0420

1.11.1

Retail funding

0430

1.11.2

Unsecured wholesale funding

0440

1.11.3

Secured funding

0450

1.12

12

Total funding

0460

1.12.1

Retail funding

0470

1.12.2

Unsecured wholesale funding

0480

1.12.3

Secured funding

0490

1.13

13

Total funding

0500

1.13.1

Retail funding

0510

1.13.2

Unsecured wholesale funding

0520

1.13.3

Secured funding

0530

1.14

14

Total funding

0540

1.14.1

Retail funding

0550

1.14.2

Unsecured wholesale funding

0560

1.14.3

Secured funding

0570

1.15

15

Total funding

0580

1.15.1

Retail funding

0590

1.15.2

Unsecured wholesale funding

0600

1.15.3

Secured funding

0610

1.16

16

Total funding

0620

1.16.1

Retail funding

0630

1.16.2

Unsecured wholesale funding

0640

1.16.3

Secured funding

0650

1.17

17

Total funding

0660

1.17.1

Retail funding

0670

1.17.2

Unsecured wholesale funding

0680

1.17.3

Secured funding

0690

1.18

18

Total funding

0700

1.18.1

Retail funding

0710

1.18.2

Unsecured wholesale funding

0720

1.18.3

Secured funding

0730

1.19

19

Total funding

0740

1.19.1

Retail funding

0750

1.19.2

Unsecured wholesale funding

0760

1.19.3

Secured funding

0770

1.20

20

Total funding

0780

1.20.1

Retail funding

0790

1.20.2

Unsecured wholesale funding

0800

1.20.3

Secured funding

0810

1.21

21

Total funding

0820

1.21.1

Retail funding

0830

1.21.2

Unsecured wholesale funding

0840

1.21.3

Secured funding

0850

1.22

22

Total funding

0860

1.22.1

Retail funding

0870

1.22.2

Unsecured wholesale funding

0880

1.22.3

Secured funding

0890

1.23

23

Total funding

0900

1.23.1

Retail funding

0910

1.23.2

Unsecured wholesale funding

0920

1.23.3

Secured funding

0930

1.24

24

Total funding

0940

1.24.1

Retail funding

0950

1.24.2

Unsecured wholesale funding

0960

1.24.3

Secured funding

0970

1.25

25

Total funding

0980

1.25.1

Retail funding

0990

1.25.2

Unsecured wholesale funding

1000

1.25.3

Secured funding

1010

1.26

26

Total funding

1020

1.26.1

Retail funding

1030

1.26.2

Unsecured wholesale funding

1040

1.26.3

Secured funding

1050

1.27

27

Total funding

1060

1.27.1

Retail funding

1070

1.27.2

Unsecured wholesale funding

1080

1.27.3

Secured funding

1090

1.28

28

Total funding

1100

1.28.1

Retail funding

1110

1.28.2

Unsecured wholesale funding

1120

1.28.3

Secured funding

1130

1.29

29

Total funding

1140

1.29.1

Retail funding

1150

1.29.2

Unsecured wholesale funding

1160

1.29.3

Secured funding

1170

1.30

30

Total funding

1180

1.30.1

Retail funding

1190

1.30.2

Unsecured wholesale funding

1200

1.30.3

Secured funding

1210

1.31

31

Total funding

1220

1.31.1

Retail funding

1230

1.31.2

Unsecured wholesale funding

1240

1.31.3

Secured funding

’

ANNEX VI

ANNEX VI

‘ANNEX XIX

INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII

1.   Additional Monitoring Tools

1.1.   General

1.

[empty]

2.

Total funding shall be all financial liabilities other than derivatives and short positions;

3.

Funding of any type with open maturity including on sight deposits shall be considered as maturing overnight.

4.

Original maturity shall represent the time between the date of origination and the date of maturity of funding. The date of the maturity of the funding shall be determined in accordance with point 12 of Annex XXIII. This means that in case of optionality such as in the case of point 12 of Annex XXIII, the original maturity of a funding item can be shorter than the time elapsed since its origination.

5.

Residual maturity shall represent the time between the end of the reporting period and the date of maturity of funding. The date of the maturity of the funding shall be determined in accordance with point 12 of Annex XXIII.

6.

For the purposes of calculating the original or residual weighted average maturity, deposits maturing overnight or funding of any type with open maturity shall be considered to have a one day maturity.

7.

For the purposes of calculating the original and residual maturity, where there is funding with a notice period or a cancellation or early withdrawal clause for the institution’s counterparty, a withdrawal at the first possible date shall be assumed.

8.

For perpetual liabilities, except where subject to optionality as referred to in point12 of Annex XXIII, a fixed 20 years original and residual maturity shall be assumed.

9.

For calculating the percentage threshold referred to in templates C 67.00 by significant currency, institutions shall use a threshold of 1 % of total liabilities in all currencies.

1.2.   Concentration of funding by counterparty (C 67.00)

1.

In order to collect information about the reporting institutions’ concentration of funding by counterparty in template C 67.00, institutions shall apply the instructions contained in this Section.

2.

Institutions shall report the top ten largest counterparties or a group of connected clients as defined in Article 4(1), point (39), of Regulation (EU) No 575/2013, where the funding obtained from each counterparty or group of connected clients exceeds a threshold of 1 % of total liabilities in rows 020 to 110 of Section 1 of the template. The counterparty reported in item 1.01 shall be the largest amount of funding received from one counterparty or group of connected clients, which is above the 1 % threshold as at the reporting date. Item 1.02 shall be the second largest above the 1 % threshold, and similarly with the remaining items.

3.

Where a counterparty belongs to several groups of connected clients, it shall be reported only once in the group with the highest amount of funding.

4.

Institutions shall report the total of all other remaining funding in Section 2

5.

The sum of Section 1 (Top ten Counterparties) and Section 2 (All other funding) shall equal an institution’s total funding as per its balance sheet reported under the financial reporting framework (FINREP - representing financial liabilities adjusted for the exclusion of derivatives and short positions, in line with point2 from Section 1.1) for those reporting periods in which both reports are available (e.g. Finrep Q1 and C 67.00 March/Q1).

6.

For each counterparty, institutions shall report all of the columns 0010 to 0080.

7.

Where funding is obtained in more than one product type, the type reported shall be the product in which the largest proportion of funding was obtained. Identification of the underlying holder of securities may be undertaken on a best efforts basis. Where an institution has information concerning the holder of securities by virtue of its role as the custodian bank, it shall consider that amount for reporting the concentration of counterparties. Where there is no information available on the holder of the securities, the corresponding amount does not have to be reported.

8.

Instructions concerning specific columns:

Column

Legal references and instructions

0010

Counterparty Name

The name of each counterparty from which funding obtained exceeds 1 % of total liabilities shall be recorded in column 0010 in descending order, that is, in the order of the size of funding obtained.

The name of the counterparty, whether a legal entity or a natural person, shall be reported. Where the counterparty is a legal entity, the counterparty name recorded shall be the full name of the legal entity from which the funding is derived including any references to the company type in accordance with the national company law.

In the cases where the group of connected clients does not have a parent, the counterparty that shall be reported shall be the individual entity, which is considered by the institution as the most significant within the group of connected clients. In any other case, it shall correspond to the individual counterparty.

0015

Code

This code is a row identifier and shall be unique for each counterparty. For institutions and insurance undertakings the code shall be the legal entity identifier (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.

0016

Type of code

The institutions shall identify the type of code reported in column 0015 as a “LEI code” or “Non-LEI code”.

The type of code shall always be reported.

0017

National code

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

0030

Counterparty Sector

One sector shall be allocated to each counterparty on the basis of following [FINREP] economic sector classes (part 1, Annex V to this Implementing Regulation):

(i) Central Banks; (ii) General Governments; (iii) Credit institutions; (iv) Other financial corporations; (v) Non-financial corporations; (vi) Households.

For groups of connected clients, no sector shall be reported.

0040

Residence of Counterparty

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 most recent edition of the Eurostat’s “Balance of Payments Vademecum”.

For groups of connected clients, no country shall be reported.

0050

Product Type

Counterparties reported in column 0010 shall be assigned a product type, corresponding to the product issued in which the funding was received or in which the largest proportion of funding was received for mixed product types, using the following codes indicated in bold:

UWF (unsecured wholesale funding obtained from financial customers including interbank money)

UWNF (unsecured wholesale funding obtained from non-financial customers)

SFT (funding obtained from repurchase agreements as defined in Article 4(1), point (82), of Regulation (EU) No 575/2013)

CB (funding obtained from covered bond issuance as defined in Article 129(4) or (5), of Regulation (EU) No 575/2013 or Article 52(4) of Directive 2009/65/EC)

ABS (funding obtained from asset backed security issuance including asset backed commercial paper)

CBM (Central bank funding related to monetary policy operations)

IGUWF (unsecured wholesale funding obtained from intragroup counterparties)

IGSWF (secured wholesale funding obtained from intragroup counterparties)

OSWF (other secured wholesale funding)

OFP (other funding products, e.g. retail funding)

0060

Amount Received

The total amount of funding received from counterparties reported in column 0010 shall be recorded in column 0060 and institutions shall report carrying amounts therein.

0070

Weighted average original maturity

For the amount of funding received reported in column 0060, from the counterparty reported in column 0010, a weighted average original maturity (in days) for that funding shall be recorded in column 0070.

The weighted average original maturity shall be calculated as the average original maturity (in days) of the funding received from that counterparty. The average shall be size weighted, based on the size of different amounts of funding received in proportion to the total funding received from that counterparty.

For perpetual liabilities institutions shall consider a fixed 20 years maturity and a 1 day maturity for on-demand deposits.

0080

Weighted average residual maturity

For the amount of funding received reported in column 0060, from the counterparty reported in column 0010, a weighted average residual maturity, in days, for that funding shall be recorded in column 0080.

The weighted average residual maturity shall be calculated as the average maturity, in remaining days, of the funding received from that counterparty. The average shall be size weighted, based on the size of different amounts of funding received in proportion to the total funding received from that counterparty.

For perpetual liabilities institutions shall consider a fixed 20 years maturity and a 1 day maturity for on-demand deposits.

1.3.   Concentration of funding by product type (C 68.00)

1.

This template collects information about the reporting institutions’ concentration of funding by product type, broken down into the funding types as specified in the following instructions regarding rows:

Row

Legal references and instructions

0010

1.    Retail funding

Retail deposits as defined in Article 411, point (2), of Regulation (EU) No 575/2013, and retail bonds as referred to in Article 28(6), of Commission Delegated Regulation (EU) 2015/61.

0020

1.1

of which sight deposits ;

Of the retail funding of row 0010 those that are sight deposits.

0031

1.2

of which term deposits not withdrawable within the following 30 days ;

Of the retail funding of row 0010 those that are term deposits not withdrawable within the following 30 days.

0041

1.3

of which term deposits withdrawable within the following 30 days ;

Of the retail funding of row 0010 those that are term deposits withdrawable within the following 30 days.

0070

1.4

Savings accounts

Of the retail funding of row 0010 those that are savings accounts with either of the following characteristics:

—

with a notice period for withdrawal greater than 30 days

—

without a notice period for withdrawal which is greater than 30 days.

This row shall not be reported.

0080

1.4.1

with a notice period for withdrawal greater than 30 days;

Of the retail funding of row 0010 those that are savings accounts with a notice period for withdrawal greater than 30 days

0090

1.4.2

without a notice period for withdrawal which is greater than 30 days

Of the retail funding of row 0010 those that are savings accounts without a notice period for withdrawal which is greater than 30 days.

0100

2.    Wholesale funding

All counterparties other than those of retail deposits as defined in Article 411, point (2), of Regulation (EU) No 575/2013.

This row shall not be reported.

0110

2.1

Unsecured wholesale funding ;

All counterparties other than those of retail deposits as defined in Article 411, point (2), of Regulation (EU) No 575/2013, where the funding is unsecured.

0120

2.1.1

of which loans and deposits from financial customers;

Of the funding in row 0110, those that consist of loans and deposits from financial customers.

Funding from central banks shall be excluded from this row.

0130

2.1.2

of which loans and deposits from non-financial customers;

Of the funding in row 0110, those that consist of loans and deposits from non-financial customers.

Funding from central banks shall be excluded from this row.

0140

2.1.3

of which loans and deposits from intra-group entities;

Of the funding in row 0110, those that consist of loans and deposits from intra-group entities, where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 22(7) of Directive 2013/34/EU.

Wholesale funding from intra-group entities shall only be reported on a solo or subconsolidated basis.

0150

2.2

Secured wholesale funding ;

All counterparties other than those of retail deposits as defined in Article 411, point (2), of Regulation (EU) No 575/2013, where the funding is secured.

0160

2.2.1

of which Securities Financing Transactions ;

Of the funding in row 0150, that which is funding obtained from repurchase agreements as defined in Article 4(1), point (82), of Regulation (EU) No 575/2013.

0170

2.2.2

of which covered bond issuances ;

Of the funding in row 0150, that which is funding obtained from covered bond issuance as defined in Article 129(4) or (5) of Regulation (EU) No 575/2013, or referred to in Article 52(4) of Directive 2009/65/EC.

0180

2.2.3

of which asset backed security issuances ;

Of the funding in row 0150, that which is funding obtained from asset backed security issuance including asset backed commercial paper.

0190

2.2.4

of which financial liabilities other than derivatives and short positions from intra-group entities.

Of the funding in row 0150, that which is funding obtained from intra-group entities, where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 22(7) of Directive 2013/34/EU.

Wholesale funding from intra-group entities shall only be reported on a solo or subconsolidated basis.

3.

For each product type, institutions shall report all of the columns 0010 to 0050.

4.

The figures reported in rows 1. “Retail”, 2.1 “Unsecured wholesale funding”, 2.2 “Secured wholesale funding” can include broader product types than the underlying “of which” items.

5.

Equity shall not be reported in this template.

6.

Instructions concerning specific columns:

Column

Legal references and instructions

0010

Carrying amount received

Carrying amount of funding received for each of the product types listed in the “Product name” column shall be reported in column 0010 of the template

0020

Amount covered by a Deposit Guarantee Scheme in accordance with Directive 2014/ 49/ EU or an equivalent deposit guarantee scheme in a third country

Of the total amount of funding received for each of the product types listed in the “Product name” column reported in column 0010, the amount which is covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country.

Note: the amounts reported in column 0020 and column 0030, for each of the product categories listed in the “Product name” column, shall be equal to the total amount received reported in column 0010.

0030

Amount not covered by a Deposit Guarantee Scheme in accordance with Directive 2014/ 49/ EU or an equivalent deposit guarantee scheme in a third country

Of the total amount of funding received for each of the product types listed in the “Product name” column reported in column 0010, the amount which is not covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country.

Note: the amounts reported in column 0020 and column 0030, for each of the product types listed in the “Product name” column, shall be equal to the total amount received reported in column 0010.

0040

Weighted average original maturity

For the amount of funding received reported in column 0010, from the product types listed in the “Product name” column, a weighted average original maturity (in days) for that funding shall be recorded in column 0040.

The weighted average original maturity shall be calculated as the average original maturity (in days) of the funding received for that product type. The average shall be size weighted, based on the size of different amounts of funding received in proportion to the total funding received from all issuances of that product type.

0050

Weighted average residual maturity

For the amount of funding received reported in column 0010, from the product types listed in the “Product name” column, a weighted average residual maturity (in days) for that funding shall be recorded in column 0050.

The weighted average residual maturity shall be calculated as the average maturity (in days) left on the funding received for that product type. The average shall be size weighted, based on the size of different amounts of funding received in proportion, to the total funding received from all issuances of that product type.

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

1.

Institutions shall report the information about the transaction volume and prices paid by institutions for funding obtained during the reporting period and still present at the end of the reporting period in template C 69.00 in accordance with the following original maturities:

(a)

overnight in columns 0010 and 0020;

(b)

greater than overnight and less than or equal to 1 week in columns 0030 and 0040;

(c)

greater than 1 week and less than or equal to 1 month in columns 0050 and 0060;

(d)

greater than 1 month and less than or equal to 3 months in columns 0070 and 0080;

(e)

greater than 3 months and less than or equal to 6 months in columns 0090 and 0100;

(f)

greater than 6 months and less than or equal to 1 year in columns 0110 and 0120;

(g)

greater than 1 year and less than or equal to 2 years in columns 0130 and 0140;

(h)

greater than 2 years and less than or equal to 5 years in columns 0150 and 0160;

(i)

greater than 5 years and less than or equal to 10 years in columns 0170 and 0180.

In case of currency revaluations, no new funding is obtained in the original currency and the reporting institution has not paid anything beyond the original price at the initial deposit of the funds. Thus, a positive increment caused by the currency revaluation is not reported in this template.

Funding sources with original maturity above 10 years shall not be reported.

2.

For the purposes of determining the maturity of the funding obtained, institutions shall ignore the period between trade date and settlement date, e.g. a three-month liability settling in two weeks’ time shall be reported in the 3 months maturity (columns 0070 and 0080).

3.

The spread reported in the left hand column of each time bucket shall be one of the following:

4.

the spread payable by the institution for liabilities less than or equal to one year, if they were to have been swapped to the benchmark overnight index for the appropriate currency no later than close of business on the day of the transaction;

5.

the spread payable by the firm at issuance for liabilities with an original maturity greater than one year, were they to be swapped to the relevant three month benchmark index for the appropriate currency (e.g. such as 3M euribor for EUR), no later than close of business on the day of the transaction.

6.

Solely for the purposes of spread calculation under points a) and b) above, on the basis of historical experience, the institution may determine the original maturity with or without taking into account optionality, as appropriate.

7.

Spreads shall be reported in basis points with a negative sign in case the new funding is cheaper than under the relevant benchmark rate. They shall be calculated on a weighted average basis.

8.

For the purposes of calculating the average spread payable across multiple issuances/deposits/loans, institutions shall calculate the total cost in the currency of issue ignoring any FX swap, but they shall include any premium or discount and fees payable or receivable, taking as a basis the term of any theoretical or actual interest rate swap matching the term of the liability. The spread shall be the liability rate minus the swap rate.

9.

The amount of funding obtained for the funding categories listed in the “Item” column shall be reported in the “volume” column of the applicable time bucket.

10.

In the column “volume”, institutions shall provide the amounts representing the carrying amount of the new funding obtained in the applicable time bucket in accordance with original maturity.

11.

As for all items, also for off-balance sheet commitments, institutions shall only report the related amounts reflected in the balance sheet. An off-balance sheet commitment provided to the institution shall only be reported in C 69.00 after a drawdown. In the case of a drawdown, the volume and spread to be reported shall be the amount drawn and applicable spread at the end of the reporting period. Where the drawdown cannot be rolled-over at the discretion of the institution, the actual maturity of the drawdown shall be reported. Where the institution has already drawn on the facility at the end of the previous reporting period, and where the institution subsequently increases the usage of the facility, only the additional amount drawn shall be reported.

12.

Deposits placed by retail customers shall consist of deposits as defined in Article 411, point (2), of Regulation (EU) No 575/2013.

13.

For funding that has rolled over during the reporting period that is still outstanding at the end of the reporting period the average of spreads applying at that time (i.e. end of reporting period) shall be reported. For the purposes of C 69.00, funding that rolled over and is still there at the end of the reporting period shall be considered to represent new funding.

14.

By way of deviation from the rest of Section 1.4, the volume and spread of sight deposits shall only be reported where the depositor did not have a sight deposit in the preceding reporting period or where there is an increase in the deposit amount compared to the previous reference date, in which case the increment shall be treated as new funding. The spread shall be that of the end of the period.

15.

Where there is nothing to report, cells relating to spreads shall be left empty.

16.

Equity shall not be reported in this template.

17.

Instructions concerning specific rows:

Row

Legal references and instructions

0010

1    Total Funding

Total volume and weighted average spread of all funding shall be obtained for all of the following lengths of time in accordance as follows:

(a)

overnight in columns 0010 and 0020;

(b)

greater than overnight and less than or equal to 1 week in columns 0030 and 0040;

(c)

greater than 1 week and less than or equal to 1 month in columns 0050 and 0060;

(d)

greater than 1 month and less than or equal to 3 months in columns 0070 and 0080;

(e)

greater than 3 months and less than or equal to 6 months in columns 0090 and 0100;

(f)

greater than 6 months and less than or equal to 1 year in columns 0110 and 0120;

(g)

greater than 1 year and less than or equal to 2 years in columns 0130 and 0140;

(h)

greater than 2 years and less than or equal to 5 years in columns 0150 and 0160;

(i)

greater than 5 years and less than or equal to 10 years in columns 0170 and 0180.

0020

1.1    Retail funding

Of the total funding reported in item 1, the total volume and weighted average spread of retail funding obtained.

0030

1.2    Unsecured wholesale funding

Of the total funding in item 1, the total volume and weighted average spread of unsecured wholesale funding obtained.

0035

1.2.1    of which: Senior unsecured securities

Of the unsecured wholesale funding reported in item 1.2, the total volume and weighted average spread rate of senior unsecured securities obtained.

0045

1.3    Secured funding (non-Central Bank)

Of the total funding reported in item 1, the total volume and weighted average spread of secured funding obtained from a counterparty, which is not a Central Bank.

0065

1.3.1    of which: Covered bonds

Of the secured funding reported in item 1.3, the total volume and weighted average spread of all covered bond issuance encumbering the institutions own assets.

0075

1.3.2    of which: Asset backed securities including ABCP

Of the secured funding reported in item 1.3, the total volume and weighted average spread of asset backed securities issued including asset backed commercial paper.

0080

1.4    Other funding

Of the total funding reported in item 1, the total volume and weighted average spread of funding not included in items 1.1 to 1.3, including secured funding from Central Banks.

1.5.   Roll-over of funding (C 70.00)

1.

This template collects information about the volume of funds maturing and new funding obtained i.e. “roll-over of funding” on a daily basis over the month preceding the reporting date.

2.

Institutions shall report, in calendar days, the funding they have maturing in accordance with the following time buckets in accordance with the original maturity:

(a)

overnight in columns 0010 to 0040;

(b)

between 1 and 7 days in columns 0050 to 0080;

(c)

between 7 and 14 days in columns 0090 to 0120;

(d)

between 14 and 1 month in columns 0130 to 0160;

(e)

between 1 and 3 months in columns 0170 to 0200;

(f)

between 3 and 6 months in columns 0210 to 0240;

(g)

in more than 6 months in columns 0250 to 0280.

3.

For each time bucket described in point2, the amount maturing shall be reported in the left-hand column, the amount funds rolled over shall be reported in the “Roll over” column, new funds obtained shall be reported in the “New Funds” column and the net difference between new funds on the one hand and roll-over minus maturing funds on the other shall be reported in the right-hand column.

4.

Total net cash flows shall be reported in column 290 and shall equal the sum of all “Net” columns numbered 0040, 0080, 0120, 0160, 0200, 0240 and 0280.

5.

The average term of funding, in days, for maturing term funds shall be reported in column 0300.

6.

The average term of funding, in days, of funds rolled over shall be reported in column 0310

7.

The average term of funding, in days, for new term funds shall be reported in column 0320.

8.

The “Maturing” amount shall comprise all liabilities that were contractually withdrawable by the provider of the funding or due on the relevant day in the reporting period. It shall always be reported with a positive sign.

9.

The “Roll-over” amount shall comprise the maturing amount as defined in points 2 and 3 that remains with the institution on the relevant day of the reporting period. It shall always be reported with a positive sign. Where the maturity of the funding has changed due to the roll-over event, the “roll-over” amount shall be reported in a time bucket in accordance with the new maturity.

10.

The “New funds” amount shall comprise actual inflows of funding on the relevant day in the reporting period. It shall always be reported with a positive sign.

11.

The “Net” amount shall be considered as a change of funding within a particular original maturity time band on the relevant day of the reporting period, and shall be calculated by adding in the “net” column the new funds plus the roll over funds minus the maturing funds.

12.

Instructions concerning specific columns:

Column

Legal references and instructions

0010 to 0040

Overnight

The total amount of funding maturing on the relevant day of the reporting period with an overnight original maturity shall be reported in column 0010 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.

The total amount of funding rolled-over on the relevant day of the reporting period with an overnight original maturity shall be reported in column 0020 of line item 1.1-1.31.

The total amount of new funding obtained on the relevant day of the reporting period with an overnight original maturity shall be reported in column 0030 of line item 1.1-1.31.

The net difference between, on the one hand, maturing daily funding and, on the other hand, roll-overs plus new daily funding obtained shall be reported in column 0040 of line item 1.1-1.31.

0050 to 0080

> 1 day ≤ 7 days

The total amount of funding maturing on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 0050 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.

The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 0060 of line item 1.1-1.31.

The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 0070 of line item 1.1-1.31.

The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 0080 of line item 1.1-1.31.

0090 to 0120

> 7days ≤ 14 days

The total amount of funding maturing on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 0090 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.

The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 0100 of line item 1.1-1.31.

The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 0110 of line item 1.1-1.31.

The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained, shall be reported in column 0120 of line item 1.1-1.31.

0130 to 0160

> 14 days ≤ 1 month

The total amount of funding maturing on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 0130 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.

The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 0140 of line item 1.1-1.31.

The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 0150 of line item 1.1-1.31.

The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 0160 of line item 1.1-1.31.

0170 to 0200

> 1 Month ≤ 3 Months

The total amount of funding maturing on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 0170 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.

The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 0180 of line item 1.1-1.31.

The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 0190 of line item 1.1-1.31.

The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained, shall be reported in column 0200 of line item 1.1-1.31.

0210 to 0240

> 3 Months ≤ 6 Months

The total amount of funding maturing on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 0210 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.

The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 0220 of line item 1.1-1.31.

The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 0230 of line item 1.1-1.31.

The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained, shall be reported in column 0240 of line item 1.1-1.31.

0250 to 0280

> 6 Months

The total amount of funding maturing on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 0250 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.

The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 0260 of line item 1.1-1.31.

The total amount of new funding obtained on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 0270 of line item 1.1-1.31.

The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained, shall be reported in column 0280 of line item 1.1-1.31.

0290

Total net cash flows

The total net cash flows equal to the sum of all “Net” columns numbered 0040, 0080, 0120, 0160, 0200, 0240, 0280, shall be reported in column 0290.

0300 to 0320

Average Term (days)

The weighted average term, in days, of all funds maturing shall be reported in column 0300. The weighted average term, in days, of all funds rolled over shall be reported in column 0310, the weighted average term, in days, of all new funds shall be reported in column 0320’.

ANNEX VII

ANNEX VII

‘ANNEX XX

REPORTING ON COUNTERBALANCING CAPACITY

AMM TEMPLATES

Template number

Template code

Name of the template /group of templates

CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATES

71

C 71.00

CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER

C 71.00 - CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER

Total and significant currencies

Concentration of counterbalancing capacity by issuer

Issuer

LEI code

Issuer Sector

Residence of Issuer

Product Type

Currency

Credit quality step

MtM value/nominal

Collateral value CB-eligible

Row

ID

0010

0020

0030

0040

0050

0060

0070

0080

0090

0010

1.

TOP TEN ISSUERS

0020

1.01

0030

1.02

0040

1.03

0050

1.04

0060

1.05

0070

1.06

0080

1.07

0090

1.08

0100

1.09

0110

1.10

0120

2.

ALL OTHER ITEMS USED AS COUNTERBALANCING CAPACITY

’

ANNEX VIII

ANNEX VIII

‘ANNEX XXI

INSTRUCTIONS FOR COMPLETING THE CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATE (C 71.00) OF ANNEX XX

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

1.

In order to collect information about the reporting institutions’ concentration of counterbalancing capacity by the ten largest holdings of assets or liquidity lines granted to the institution for this purpose under template C 71.00, institutions shall apply the instructions contained in this Annex.

2.

Where an issuer or counterparty is assigned to more than one product type, currency or credit quality step, the total amount shall be reported. The product type, currency or credit quality step to be reported shall be the ones that are relevant to the largest proportion of the counterbalancing capacity concentration.

3.

The counterbalancing capacity in C 71.00 shall be the same as that in C 66.01 with the qualification that the assets reported as counterbalancing capacity for the purposes of C 71.00 shall be unencumbered to be available for the institution to convert into cash on the reporting reference date.

4.

For calculating the concentrations for the purpose of reporting template C 71.00 by significant currency, institutions shall use the concentrations in all currencies.

5.

When an issuer or counterparty belongs to several groups of connected clients, it shall be reported only once in the group with the higher counterbalancing capacity concentration.

6.

Except for row 0120, concentrations of counterbalancing capacity with a central bank as issuer or counterparty shall not be reported in this template. In the event that an institution has pre-positioned assets at a central bank for standard liquidity operations and to the extent that these assets fall under the top ten issuers or counterparties of unencumbered counterbalancing capacity, the institution shall report the original issuer and the original product type.

Column

Legal references and instructions

0010

Issuer Name

The name of the top ten issuers of unencumbered assets or counterparties of undrawn committed liquidity lines granted to the institution shall be recorded in column 0010 in a descending fashion. The largest item will be recorded in 1.01, the second in line item 1.02, and so on. Issuers and counterparties forming a group of connected clients shall be reported as one single concentration.

The issuer or counterparty name recorded shall be the full name of the legal entity which issued the assets or granted the liquidity lines, including any references to the company type in accordance with the national company law.

0020

LEI code

The legal entity identifier code of the counterparty.

0030

Issuer Sector

One sector shall be allocated to each issuer or counterparty on the basis of following financial reporting ([FINREP]) economic sector classes (part 1 Annex V to this Implementing Regulation):

(i) General Governments; (ii) Credit institutions; (iii) Other financial corporations; (iv) Non-financial corporations; (v) Households.

For groups of connected clients, no sector shall be reported.

0040

Residence of Issuer

ISO code 3166-1-alpha-2 of the country of incorporation of the issuer or counterparty shall be used, including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat’s “Balance of Payments Vademecum”.

For groups of connected clients, no country shall be reported.

0050

Product Type

Issuers/Counterparties recorded in column 0010 shall be assigned a product type corresponding to the product in which the asset is held or the liquidity stand-by facility has been received, using the following codes indicated in bold:

SrB (Senior Bond)

SubB (Subordinated Bond)

CP (Commercial Paper)

CB (Covered Bonds)

US (UCITS-security, i.e. financial instruments representing a share in or asecurity issued by an Undertaking for Collective Investments of transferable securities)

ABS (Asset Backed Security)

CrCl (Credit Claim)

Eq (Equity)

Gold (if physical gold, which can be treated as a single counterparty)

LiqL (Undrawn committed liquidity line granted to the institution)

OPT (Other product type)

0060

Currency

Issuer or counterparties recorded in column 0010 shall be assigned a currency ISO code in column 0060 corresponding to the denomination of the asset received or undrawn committed liquidity lines granted to the institution. The three-letter currency unit code in accordance with ISO 4217 shall be reported.

Where a multicurrency line is part of a concentration in counterbalancing capacity, the line shall be counted in the currency that is the predominant one in the rest of the concentration. With regard to the separate reporting in significant currencies as specified under Article 415(2) of Regulation (EU) No 575/2013, institutions shall make an assessment of the currency in which the flow is likely to occur and shall report the item only in that significant currency, in line with the instructions for the separate reporting of significant currencies in the liquidity coverage requirements (LCR), in accordance with Regulation (EU) 2021/451.

0070

Credit quality step

The appropriate credit quality step shall be assigned in accordance with Regulation (EU) No 575/2013, which shall be the same as that of the items reported in the maturity ladder. Where there is no rating, the step of “non-rated” shall be assigned.

0080

MtM value/nominal

The market value or fair value of the assets, or, where applicable, the nominal value of the undrawn liquidity line granted to the institution.

0090

Collateral value CB-eligible

The collateral value in accordance with the central bank rules for standing facilities for the specific assets.

For assets denominated in a currency included in Commission Implementing Regulation (EU) 2015/233  ( *1 ) as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank’.

( *1 )   Commission Implementing Regulation (EU) 2015/233 of 13 February 2015 laying down implementing technical standards with regard to currencies in which there is an extremely narrow definition of central bank eligibility pursuant to Regulation (EU) No 575/2013 of the European Parliament and of the Council ( OJ L 39, 14.2.2015, p. 11 ).

ANNEX IX

ANNEX IX

‘ANNEX XXII

REPORTING ON AMM MATURITY LADDER

AMM TEMPLATES

Template number

Template code

Name of the template /group of templates

MATURITY LADDER TEMPLATE

66

C 66.01

MATURITY LADDER TEMPLATE

C 66.01 - MATURITY LADDER

Total and significant currencies

Code

ID

Item

Contractual Flow Maturity

0010

0020

0025

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0220

0010-0380

1

OUTFLOWS

Initial stock

Greater than overnight up to 2 days

Greater than 2 days up to 3 days

Greater than 3 days up to 4 days

Greater than 4 days up to 5 days

Greater than 5 days up to 6 days

Greater than 6 days up to 7 days

Greater than 7 days up to 2 weeks

Greater than 2 weeks up to 3 weeks

Greater than 3 weeks up to 30 days

Greater than 30 days up to 5 weeks

Greater than 5 weeks up to 2 months

Greater than 2 months up to 3 months

Greater than 3 months up to 4 months

Greater than 4 months up to 5 months

Greater than 5 months up to 6 months

Greater than 6 months up to 9 months

Greater than 9 months up to 12 months

Greater than 12 months up to 2 years

Greater than 2 years up to 5 years

Greater than 5 years

Overnight

of which: Open Maturity items

0010

1.1

Liabilities resulting from securities issued (if not treated as retail deposits)

0011

1.1.0.1

of which: Intragroup or IPS

0020

1.1.1

unsecured bonds due

0030

1.1.2

regulated covered bonds

0040

1.1.3

securitisations due

0050

1.1.4

other

0065

1.2

Liabilities resulting from secured lending and capital market driven transactions collateralised by (Counterparty is non-Central Bank):

0066

1.2.0.1

of which: Intragroup or IPS

0075

1.2.1

Level 1 tradable assets

0085

1.2.1.1

Level 1 excluding covered bonds

0095

1.2.1.1.1

Level 1 central bank

0105

1.2.1.1.2

Level 1 (CQS 1)

0115

1.2.1.1.3

Level 1 (CQS2, CQS3)

0125

1.2.1.1.4

Level 1 (CQS4+)

0135

1.2.1.2

Level 1 covered bonds (CQS1)

0145

1.2.2

Level 2A tradable assets

0155

1.2.2.1

Level 2A corporate bonds (CQS1)

0165

1.2.2.2

Level 2A covered bonds (CQS1, CQS2)

0175

1.2.2.3

Level 2A public sector (CQS1, CQS2)

0185

1.2.3

Level 2B tradable assets

0195

1.2.3.1

Level 2B Asset Backed Securities (ABS) (CQS1)

0205

1.2.3.2

Level 2B covered bonds (CQS1-6)

0215

1.2.3.3

Level 2B: corporate bonds (CQ1-3)

0225

1.2.3.4

Level 2B shares

0235

1.2.3.5

Level 2B public sector (CQS 3-5)

0245

1.2.4

other tradable assets

0251

1.2.5

other assets

0252

1.2a

Liabilities resulting from secured lending and capital market driven transactions collateralised by (Counterparty is Central Bank):

0253

1.2a.1

Level 1 tradable assets

0254

1.2a.2

Level 2A tradable assets

0255

1.2a.3

Level 2B tradable assets

0256

1.2a.4

other tradable assets

0257

1.2a.5

other assets

0260

1.3

Liabilities not reported in 1.2, resulting from deposits received (excluding deposits received as collateral)

0261

1.3.0.1

of which: Intragroup or IPS

0270

1.3.1

stable retail deposits

0280

1.3.2

other retail deposits

0290

1.3.3

operational deposits

0300

1.3.4

non-operational deposits from credit institutions

0310

1.3.5

non-operational deposits from other financial customers

0320

1.3.6

non-operational deposits from central banks

0330

1.3.7

non-operational deposits from non-financial corporates

0340

1.3.8

non-operational deposits from other counterparties

0350

1.4

FX-swaps maturing

0360

1.5

Derivatives amount payables other than those reported in 1.4

0370

1.6

Other outflows

0380

1.7

Total outflows

0390-0720

2

INFLOWS

Initial stock

Greater than overnight up to 2 days

Greater than 2 days up to 3 days

Greater than 3 days up to 4 days

Greater than 4 days up to 5 days

Greater than 5 days up to 6 days

Greater than 6 days up to 7 days

Greater than 7 days up to 2 weeks

Greater than 2 weeks up to 3 weeks

Greater than 3 weeks up to 30 days

Greater than 30 days up to 5 weeks

Greater than 5 weeks up to 2 months

Greater than 2 months up to 3 months

Greater than 3 months up to 4 months

Greater than 4 months up to 5 months

Greater than 5 months up to 6 months

Greater than 6 months up to 9 months

Greater than 9 months up to 12 months

Greater than 12 months up to 2 years

Greater than 2 years up to 5 years

Greater than 5 years

Overnight

of which: Open Maturity items

0390

2.1

Monies due from secured lending and capital market driven transactions collateralised by:

0391

2.1.0.1

of which: Intragroup or IPS

0400

2.1.1

Level 1 tradable assets

0410

2.1.1.1

Level 1 excluding covered bonds

0420

2.1.1.1.1

Level 1 central bank

0430

2.1.1.1.2

Level 1 (CQS 1)

0440

2.1.1.1.3

Level 1 (CQS2, CQS3)

0450

2.1.1.1.4

Level 1 (CQS4+)

0460

2.1.1.2

Level 1 covered bonds (CQS1)

0470

2.1.2

Level 2A tradable assets

0480

2.1.2.1

Level 2A corporate bonds (CQS1)

0490

2.1.2.2

Level 2A covered bonds (CQS1, CQS2)

0500

2.1.2.3

Level 2A public sector (CQS1, CQS2)

0510

2.1.3

Level 2B tradable assets

0520

2.1.3.1

Level 2B ABS (CQS1)

0530

2.1.3.2

Level 2B covered bonds (CQS1-6)

0540

2.1.3.3

Level 2B: corporate bonds (CQ1-3)

0550

2.1.3.4

Level 2B shares

0560

2.1.3.5

Level 2B public sector (CQS 3-5)

0570

2.1.4

other tradable assets

0580

2.1.5

other assets

0590

2.2

Monies due not reported in 2.1 resulting from loans and advances granted to:

0600

2.2.1

retail customers

0610

2.2.2

non-financial corporates

0620

2.2.3

credit institutions

0621

2.2.3.1

of which: Intragroup or IPS

0630

2.2.4

other financial customers

0640

2.2.5

central banks

0650

2.2.6

other counterparties

0660

2.3

FX-swaps maturing

0670

2.4

Derivatives amount receivables other than those reported in 2.3

0680

2.5

Paper in own portfolio maturing

0690

2.6

Other inflows

0691

2.6.1

of which: Intragroup or IPS

0700

2.7

Total inflows

0710

2.8

Net contractual gap

0720

2.9

Cumulated net contractual gap

0730-1080

3

COUNTERBALANCING CAPACITY

Initial stock

Greater than overnight up to 2 days

Greater than 2 days up to 3 days

Greater than 3 days up to 4 days

Greater than 4 days up to 5 days

Greater than 5 days up to 6 days

Greater than 6 days up to 7 days

Greater than 7 days up to 2 weeks

Greater than 2 weeks up to 3 weeks

Greater than 3 weeks up to 30 days

Greater than 30 days up to 5 weeks

Greater than 5 weeks up to 2 months

Greater than 2 months up to 3 months

Greater than 3 months up to 4 months

Greater than 4 months up to 5 months

Greater than 5 months up to 6 months

Greater than 6 months up to 9 months

Greater than 9 months up to 12 months

Greater than 12 months up to 2 years

Greater than 2 years up to 5 years

Greater than 5 years

Overnight

of which: Open Maturity items

0730

3.1

coins and bank notes

0740

3.2

Withdrawable central bank reserves

0750

3.3

Level 1 tradable assets

0760

3.3.1

Level 1 excluding covered bonds

0770

3.3.1.1

Level 1 central bank

0780

3.3.1.2

Level 1 (CQS 1)

0790

3.3.1.3

Level 1 (CQS2, CQS3)

0800

3.3.1.4

Level 1 (CQS4+)

0810

3.3.2

Level 1 covered bonds (CQS1)

0820

3.4

Level 2A tradable assets

0830

3.4.1

Level 2A corporate bonds (CQS1)

0840

3.4.3

Level 2A covered bonds (CQS 1, CQS2)

0850

3.4.4

Level 2A public sector (CQS1, CQS2)

0860

3.5

Level 2B tradable assets

0870

3.5.1

Level 2B ABS (CQS1)

0880

3.5.2

Level 2B covered bonds (CQS1-6)

0890

3.5.3

Level 2B corporate bonds (CQ1-3)

0900

3.5.4

Level 2B shares

0910

3.5.5

Level 2B public sector (CQS 3-5)

0920

3.6

other tradable assets

0930

3.6.1

central government (CQS1)

0940

3.6.2

central government (CQS 2 & 3)

0950

3.6.3

shares

0960

3.6.4

covered bonds

0970

3.6.5

ABS

0980

3.6.7

other tradable assets

0990

3.7

non tradable assets eligible for central banks

0991

3.7a

own issuances eligible for central banks

1000

3.8

undrawn committed facilities received

1010

3.8.1

Level 1 facilities

1020

3.8.2

Level 2B restricted use facilities

1030

3.8.3

Level 2B IPS facilities

1040

3.8.4

other facilities

1050

3.8.4.1

from intragroup counterparties

1060

3.8.4.2

from other counterparties

1070

3.9

Net change of Counterbalancing Capacity

1080

3.10

Cumulated Counterbalancing Capacity

1090-1140

4

CONTINGENCIES

Initial stock

Greater than overnight up to 2 days

Greater than 2 days up to 3 days

Greater than 3 days up to 4 days

Greater than 4 days up to 5 days

Greater than 5 days up to 6 days

Greater than 6 days up to 7 days

Greater than 7 days up to 2 weeks

Greater than 2 weeks up to 3 weeks

Greater than 3 weeks up to 30 days

Greater than 30 days up to 5 weeks

Greater than 5 weeks up to 2 months

Greater than 2 months up to 3 months

Greater than 3 months up to 4 months

Greater than 4 months up to 5 months

Greater than 5 months up to 6 months

Greater than 6 months up to 9 months

Greater than 9 months up to 12 months

Greater than 12 months up to 2 years

Greater than 2 years up to 5 years

Greater than 5 years

Overnight

of which: Open Maturity items

1090

4.1

Outflows from committed facilities

1091

4.1.0.1

of which: Intragroup or IPS

1100

4.1.1

Committed credit facilities

1110

4.1.1.1

considered as Level 2B by the receiver

1120

4.1.1.2

other

1130

4.1.2

Liquidity facilities

1131

4.1a

Outflows from uncommitted funding facilities

1140

4.2

Outflows due to downgrade triggers

1150-1290

MEMORANDUM ITEMS

Initial stock

Greater than overnight up to 2 days

Greater than 2 days up to 3 days

Greater than 3 days up to 4 days

Greater than 4 days up to 5 days

Greater than 5 days up to 6 days

Greater than 6 days up to 7 days

Greater than 7 days up to 2 weeks

Greater than 2 weeks up to 3 weeks

Greater than 3 weeks up to 30 days

Greater than 30 days up to 5 weeks

Greater than 5 weeks up to 2 months

Greater than 2 months up to 3 months

Greater than 3 months up to 4 months

Greater than 4 months up to 5 months

Greater than 5 months up to 6 months

Greater than 6 months up to 9 months

Greater than 9 months up to 12 months

Greater than 12 months up to 2 years

Greater than 2 years up to 5 years

Greater than 5 years

Overnight

of which: Open Maturity items

1230

13

HQLA central bank eligible - Tradable assets

1241

14

Assets reported in 3.6 that are non-HQLA central bank eligible

1270

17

Behavioural outflows from deposits

1280

18

Behavioural inflows from loans and advances

1290

19

Behavioural draw-downs of committed facilities

’

ANNEX XI

ANNEX XI

‘ANNEX XXVI

SUPPLEMENTARY REPORTING FOR THE PURPOSE OF IDENTIFYING AND ASSIGNING G-SII BUFFER RATES

TEMPLATES

Template number

Template code

Name of the template /group of templates

Short name

G-SII INDICATORS AND EBU ITEMS

1

G 01.00

G-SII INDICATORS AND EBU ITEMS

GSII

G 01.00 - G-SII indicators and EBU items

Rows

Item

Amount

G-SII indicators

0010

Total exposures, including insurance subsidiaries

0020

Intra-financial system assets, including insurance subsidiaries

0030

Intra-financial system liabilities, including insurance subsidiaries

0040

Securities outstanding, including securities issued by insurance subsidiaries

0050

Payments activity

0060

Assets under custody

0070

Underwriting activity

0081

Trading volume - fixed income

0085

Trading volume - equities and other securities

0090

Notional amount of OTC derivatives, including insurance subsidiaries

0100

Trading and AFS securities

0110

Level 3 assets, including insurance subsidiaries

0120

Cross-jurisdictional claims

0130

Cross-jurisdictional liabilities

Items considering the European Banking Union as a single jurisdiction

0140

Total foreign claims on an ultimate risk basis

0150

Foreign derivatives claims on an ultimate risk basis

0160

Foreign liabilities on an immediate risk basis, including derivatives ’

ANNEX XII

ANNEX XII

‘ANNEX XXVII

REPORTING INSTRUCTIONS FOR THE PURPOSE OF IDENTIFYING G-SIIs AND ASSIGNING G-SII BUFFER RATES

Table of Contents

PART I: GENERAL INSTRUCTIONS

691

1.

STRUCTURE AND CONVENTIONS

691

1.1.

STRUCTURE

691

1.2.

NUMBERING CONVENTION

691

1.3.

SIGN CONVENTION

691

PART II: TEMPLATE RELATED INSTRUCTIONS

692

1.

GENERAL REMARKS

692

2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

692

PART I: GENERAL INSTRUCTIONS

1.   Structure and conventions

1.1.   Structure

1.

This reporting requirements aiming to support the identification of globally systemically important institutions (G-SIIs) and assigning corresponding G-SII buffer rates consist of one template capturing information on indicators of global systemic importance and particular items needed for the application of the Union’s methodology for identifying G-SIIs and assigning corresponding G-SII buffer rates.

1.2.   Numbering convention

2.

The document follows the labelling convention set in points 3 to 5, when referring to the columns, rows and cells of the templates. Those numerical codes are extensively used in the validation rules.

3.

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

4.

Where references are made inside a template, and therefore only data points of that template are used, the notation does not include a template: {Row; Column}. Where templates have only one column, only rows are referred to {Template; Row}.

5.

An asterisk sign is used to express that the reference captures the rows or columns specified before.

1.3.   Sign convention

6.

Any amount that increases the value of the indicator, the assets, liabilities or exposures shall be reported as a positive figure. Any amount that reduces the the value of the indicator, the assets, liabilities or exposures 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.

PART II: TEMPLATE RELATED INSTRUCTIONS

1.   General remarks

8.

The template is divided into two sections. The upper section on G-SII indicators includes the indicators for identifying globally systemically important institutions as defined in the methodology developed by the Basel Committee on Banking Supervision. The lower section contains a number of items needed to calculate the relevant indicators in accordance with the methodology defined on the basis of Article 131(18) of Directive 2013/36/EU  ( 1 ) .

9.

Where relevant, the information provided in this template shall be consistent with the information provided to relevant authorities for the purposes of the collection of the indicator values by relevant authorities as set out in Article 3(2) of Commission Delegated Regulation (EU) No 1222/2014  ( 2 ) .

2.   Instructions concerning specific positions

Row

Legal references and instructions

0010 – 0130

G-SII indicators

The definition of the indicators shall be the same as the definition applied for the purposes of determining the information listed in the Annex to Commission Delegated Regulation (EU) No 1222/2014.

In case of changes to the definitions in that methodolgy, those amended definitions in the methodology applicable for determing the indicators values as of the end of the financial year (“year-end methodology”) shall be used for the purposes of reporting information as of the end of the first, second and third quarter of that same financial year. Where the template of Annex XXVI is subject to amendments in the course of the financial year in question, the year-end methodology shall be applied from the first applicable reference dates after the entry into force of the amending Regulation.

Indicators that are flow measures shall be reported on a cumulative basis since the beginning of the calendar or financial year, as applicable.

0010

Total exposures, including insurance subsidiaries

0020

Intra-financial system assets, including insurance subsidiaries

0030

Intra-financial system liabilities, including insurance subsidiaries

0040

Securities outstanding, including securities issued by insurance subsidiaries

0050

Payments activity

0060

Assets under custody

0070

Underwriting activity

0081

Trading volume – fixed income

0085

Trading volume – equities and other securities

0090

Notional amount of OTC derivatives, including insurance subsidiaries

0100

Trading and AFS securities

0110

Level 3 assets, including insurance subsidiaries

0120

Cross-jurisdictional claims

0130

Cross-jurisdictional liabilities

0140 – 0160

Items considering the European Banking Union as a single jurisdiction

For the purposes of determining the items specified below and in the absence of specifications in the instructions below, the definitions and concepts applied shall be aligned, to the extent possible, with the definitions and concepts defined in the Guidelines for reporting the BIS international banking statistics.

By derogation from that, the reporting entities’ activities across participating Member States as referred to in Article 4 of Regulation (EU) No 806/2014 of the European Parliament and of the Council  ( 3 ) shall be excluded, i.e. the Participating Member States shall be considered as one single jurisdiction.

0140

Total foreign claims on an ultimate risk basis

Total foreign claims shall be the sum of cross-border claims and local claims of foreign affiliates in local or foreign currency. Claims from positions in derivative contracts shall be excluded. “Claims”, “cross-border claims”, “local claims of foreign affiliates in foreign and local currency” shall have the same meaning as defined in the Guidelines for reporting the BIS international banking statistics.

“On an ultimate risk basis” shall mean that, for the purposes of determining whether a claim is a cross-border or local claim, the position is allocated to a third party that has contracted to assume the debts or obligations of the primary counterparty if that party fails to perform, where such a third party exists. This allocation shall be made in accordance with the provisions on risk transfers provided in the Guidelines for reporting the BIS international banking statistics.

0150

Foreign derivatives claims on an ultimate risk basis

The positive fair value of all derivative claims that are cross-border claims, or local claims of foreign affiliates in local or foreign currency.

Derivatives include forwards, swaps, and options related to foreign exchange, interest rate, equity, commodity, and credit instruments. This includes purchased credit derivatives that hedge or offset credit protection sold or are held for trading purposes.

In case of such purchased credit derivatives, the value shall not be capped at the value of the immediate claim it was purchased to guarantee.

The positive fair values of derivative contracts may be offset against negative fair values only if the positions were executed with the same counterparty under a legally enforceable netting agreement. Only netting sets with a positive value shall be included in this item.

The derivative claims shall be reported gross of any cash collateral.

For the purposes of reporting information on an ultimate risk basis, the following shall apply:

a)

When the final risk lies with the counterparty, a derivative is considered foreign if the counterparty is not in the reporting entities’ home jurisdiction.

b)

When the final risk lies with the guarantor, a derivative is considered foreign if the guarantor is not in the reporting entities’ home jurisdiction.

0160

Foreign liabilities on an immediate risk basis, including derivatives

Foreign liabilities, including derivatives, shall be the sum of foreign liabilities and foreign liabilities arising from derivatives. Securities liabilities that are tradable financial assets issued by the reporting institution shall be excluded from this item.

The definition of derivatives shall be the same as applied for row 0150.

The negative fair values of derivative contracts may be offset against positive fair values only if the positions were executed with the same counterparty under a legally enforceable netting agreement. Derivatives liabilities shall be reported gross of any collateral (cash and non-cash).

“On an immediate risk basis” shall mean that, for the purposes of determining whether a claim is a cross-border or local claim, the position is allocated to the direct counterparty of the contract.’

( 1 )   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, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC ( OJ L 176 27.6.2013, p. 338 ).

( 2 )   Commission Delegated Regulation (EU) No 1222/2014 of 8 October 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards for the specification of the methodology for the identification of global systemically important institutions and for the definition of subcategories of global systemically important institutions ( OJ L 330, 15.11.2014, p. 27 ).

( 3 )   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 ).