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Document 02014R0680-20180101
Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance)
Consolidated text: Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance)
Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance)
02014R0680 — EN — 01.01.2018 — 007.001
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COMMISSION IMPLEMENTING REGULATION (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191 28.6.2014, p. 1) |
Amended by:
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Official Journal |
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No |
page |
date |
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COMMISSION IMPLEMENTING REGULATION (EU) 2015/79 of 18 December 2014 |
L 14 |
1 |
21.1.2015 |
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COMMISSION IMPLEMENTING REGULATION (EU) 2015/227 of 9 January 2015 |
L 48 |
1 |
20.2.2015 |
|
COMMISSION IMPLEMENTING REGULATION (EU) 2015/1278 of 9 July 2015 |
L 205 |
1 |
31.7.2015 |
|
COMMISSION IMPLEMENTING REGULATION (EU) 2016/313 of 1 March 2016 |
L 60 |
5 |
5.3.2016 |
|
COMMISSION IMPLEMENTING REGULATION (EU) 2016/322 of 10 February 2016 |
L 64 |
1 |
10.3.2016 |
|
COMMISSION IMPLEMENTING REGULATION (EU) 2016/428 of 23 March 2016 |
L 83 |
1 |
31.3.2016 |
|
COMMISSION IMPLEMENTING REGULATION (EU) 2016/1702 of 18 August 2016 |
L 263 |
1 |
29.9.2016 |
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COMMISSION IMPLEMENTING REGULATION (EU) 2017/1443 of 29 June 2017 |
L 213 |
1 |
17.8.2017 |
Corrected by:
COMMISSION IMPLEMENTING REGULATION (EU) No 680/2014
of 16 April 2014
laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council
(Text with EEA relevance)
CHAPTER 1
SUBJECT MATTER AND SCOPE
Article 1
Subject matter and scope
This Regulation lays down uniform requirements in relation to supervisory reporting to competent authorities for the following areas:
(a) own funds requirements and financial information according to Article 99 of Regulation (EU) No 575/2013;
(b) losses stemming from lending collateralised by immovable property according to Article 101(4)(a) of Regulation (EU) No 575/2013;
(c) large exposures and other largest exposures according to Article 394(1) of Regulation (EU) No 575/2013;
(d) leverage ratio according to Article 430 of Regulation (EU) No 575/2013;
(e) liquidity Coverage requirements and Net Stable Funding requirements according to Article 415 of Regulation (EU) No 575/2013;
(f) asset encumbrance according to Article 100 of Regulation (EU) No 575/2013;
(g) additional liquidity monitoring metrics according to Article 415(3)(b) of Regulation (EU) No 575/2013.
CHAPTER 2
REPORTING REFERENCE AND REMITTANCE DATES AND REPORTING THRESHOLDS
Article 2
Reporting reference dates
1. Institutions shall submit information to competent authorities as it stands on the following reporting reference dates:
(a) Monthly reporting: on the last day of each month;
(b) Quarterly reporting: 31 March, 30 June, 30 September and 31 December;
(c) Semi-annual reporting: 30 June and 31 December;
(d) Annual reporting: 31 December.
2. Information submitted pursuant to the templates set out in Annex III and Annex IV according to the instructions in Annex V referring to a certain period shall be reported cumulatively from the first day of the accounting year to the reference date.
3. Where institutions are permitted by national laws to report their financial information based on their accounting year-end which deviates from the calendar year, reporting reference dates may be adjusted accordingly, so that reporting of financial information is done every three, six or twelve months from their accounting year-end, respectively.
Article 3
Reporting remittance dates
1. Institutions shall submit information to competent authorities by close of business of the following remittance dates:
(a) Monthly reporting: 15th calendar day after the reporting reference date;
(b) Quarterly reporting: 12 May, 11 August, 11 November and 11 February;
(c) Semi-annual reporting: 11 August and 11 February;
(d) Annual reporting: 11 February.
2. If the remittance day is a public holiday in the Member State of the competent authority to which the report is to be provided, or a Saturday or a Sunday, data shall be submitted on the following working day.
3. Where institutions report their financial information using adjusted reporting reference dates based on their accounting year-end as set out in Article 2 paragraph 3, the remittance dates may also be adjusted accordingly so that the same remittance period from the adjusted reporting reference date is maintained.
4. Institutions may submit unaudited figures. Where audited figures deviate from submitted unaudited figures, the revised, audited figures shall be submitted without undue delay. Unaudited figures are figures that have not received an external auditor's opinion whereas audited figures are figures audited by an external auditor expressing an audit opinion.
5. Other corrections to the submitted reports shall also be submitted to the competent authorities without undue delay.
Article 4
Reporting thresholds — entry and exit criteria
1. Institutions shall start reporting information subject to thresholds from the next reporting reference date where they have exceeded the threshold on two consecutive reporting reference dates.
2. For the first two reporting reference dates on which institutions have to comply with the requirements of this Regulation, institutions shall report the information subject to thresholds if they exceed the relevant thresholds on the same reporting reference date.
3. Institutions may stop reporting information subject to thresholds from the next reporting reference date where they have fallen below the relevant thresholds on three consecutive reporting reference dates.
CHAPTER 3
FORMAT AND FREQUENCY OF REPORTING ON OWN FUNDS, OWN FUNDS REQUIREMENTS AND FINANCIAL INFORMATION
SECTION 1
Format and frequency of reporting on own funds and own funds requirements
Article 5
Format and frequency of reporting on own funds and on own funds requirements for institutions on an individual basis, except for investment firms subject to article 95 and 96 of Regulation (EU) No 575/2013
In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit all the information listed in paragraphs (a) and (b).
(a) Institutions shall submit the following information with a quarterly frequency:
(1) the information relating to own funds and own funds requirements as specified in templates 1 to 5 of Annex I, according to the instructions in Part II point 1 of Annex II;
(2) the information on credit risk and counterparty credit risk exposures treated under the Standardised Approach as specified in template 7 of Annex I, according to the instructions in Part II point 3.2 of Annex II;
(3) the information on credit risk and counterparty credit risk exposures treated under the Internal Rating Based Approach as specified in template 8 of Annex I, according to the instructions in Part II point 3.3 of Annex II;
(4) the information on the geographical distribution of exposures by country as specified in template 9 of Annex I, according to the instructions in Part II point 3.4 of Annex II, where non-domestic original exposures in all ‘non-domestic’ countries in all exposures classes, as reported in row 850 of template 4 of Annex I, are equal or higher than 10 % of total domestic and non-domestic original exposures as reported in row 860 of template 4 of Annex I. For this purpose exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. The entry and exit criteria of Article 4 shall apply;
(5) the information on equity exposures treated under the Internal Ratings Based Approach as specified in template 10 of Annex I, according to the instructions in Part II point 3.5 of Annex II;
(6) the information on settlement risk as specified in template 11 of Annex I, according to the instructions in Part II point 3.6 of Annex II;
(7) the information on securitisations exposures treated under the Standardised Approach as specified in template 12 of Annex I, according to the instructions in Part II point 3.7 of Annex II;
(8) the information on securitisation exposures treated under the Internal Rating Based Approach as specified in template 13 of Annex I, according to the instructions in Part II point 3.8 of Annex II;
(9) the information on own funds requirements and losses relating to operational risk as specified in template 16 of Annex I, according to the instructions in Part II point 4.1 of Annex II;
(10) the information on own funds requirements relating to market risk as specified in templates 18 to 24 of Annex I, according to the instructions in Part II point 5.1 to 5.7 of Annex II;
(11) the information on own funds requirements relating to credit valuation adjustment risk as specified in template 25 of Annex I, according to the instructions in Part II point 5.8 of Annex II.
(b) Institutions shall submit the following information with a semi-annual frequency:
(1) the information on all securitisation exposures as specified in template 14 of Annex I, according to the instructions in point 3.9 of Part II of Annex II.
Institutions shall be exempted from submitting those securitisation details where they are part of a group in the same country in which they are subject to own funds requirements;
(2) the information on material losses regarding operational risk in the following manner:
(a) institutions which calculate own funds requirements relating to operational risk according to Chapters 3 or 4 of Title III of Part 3 of Regulation (EU) No 575/2013 shall report this information as specified in template 17 of Annex I, according to the instructions in Part II point 4.2 of Annex II;
(b) institutions which calculate own funds requirements relating to operational risk according to Chapter 3 of Title III of Part 3 of Regulation (EU) No 575/2013 and whose ratio of their individual balance sheet total on the sum of individual balance sheet totals of all institutions within the same Member State is below 1 % may only report the information as specified in template 17 of Annex I according to the instructions in paragraph 124 of Part II of Annex II. Balance sheet total figures shall be based on year-end figures for the year before the year preceding the reporting reference date. The entry and exit criteria of Article 4 shall apply;
(c) institutions which calculate the own funds requirements relating to operational risk according to Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 are entirely exempted from reporting information referred to in template 17 of Annex I and point 4.2 of Part II of Annex II.
Article 6
Format and frequency of reporting on own funds and own funds requirements on a consolidated basis, except for groups which only consist of investment firms subject to articles 95 and 96 of Regulation (EU) No 575/2013
In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, institutions in a member state shall submit:
(a) the information specified in Article 5 in the frequency specified therein but on a consolidated basis;
(b) the information specified in template 6 of Annex I according to the instructions provided in point 2 of Part II of Annex II regarding entities included in the scope of consolidation, with a semi-annual frequency.
Article 7
Format and frequency of reporting on own funds and own funds requirements for investment firms subject to Articles 95 and 96 Regulation (EU) No 575/2013 on an individual basis
1. In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, investment firms subject to Article 95 of Regulation (EU) No 575/2013 shall submit the information specified in templates 1 to 5 of Annex I, according to the instructions in point 1 of Part II of Annex II with a quarterly frequency.
2. In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit the information specified in points (a) and (b) (1) of Article 5 of this Regulation with the frequency specified therein.
Article 8
Format and frequency of reporting on own funds and own funds requirements for groups which only consist of investment firms subject to Article 95 and 96 Regulation (EU) No 575/2013 on a consolidated basis
1. In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups which consist only of investment firms subject to Article 95 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:
(a) the information on own funds and own funds requirements as specified in templates 1 to 5 of Annex I according to the instructions in point 1 of Part II of Annex II, with a quarterly frequency;
(b) the information on own funds and own funds requirements regarding entities included in the scope of consolidation as specified in template 6 of Annex I, according to the instructions in point 2 of Part II of Annex II, with a semi-annual frequency.
2. In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups which consist of investment firms subject to both Article 95 and Article 96 as well as groups which consist only of investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:
(a) the information specified in points (a) and (b) (1) of Article 5, with the frequency specified therein;
(b) the information regarding entities included in the scope of consolidation as specified in template 6 of Annex I, according to the instructions of point 2 of Part II of Annex II, with a semi-annual frequency.
SECTION 2
Format and frequency of reporting on financial information on a consolidated basis
Article 9
Format and frequency of reporting on financial information for institutions subject to Article 4 of Regulation (EC) No 1606/2002 and other credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis
1. In order to report financial information on a consolidated basis according to Article 99 (2) of Regulation (EU) No 575/2013, institutions established in a Member State shall submit the information specified in Annex III on a consolidated basis, according to the instructions in Annex V and the information specified in Annex VIII on a consolidated basis, according to the instructions in Annex IX.
2. The information referred to in paragraph 1 shall be submitted according to the following specifications:
(a) the information specified in Part 1 of Annex III with a quarterly frequency;
(b) the information specified in Part 3 of Annex III with a semi-annual frequency;
(c) the information specified in Part 4 of Annex III with an annual frequency;
(d) the information specified in template 20 in Part 2 of Annex III with a quarterly frequency in the manner provided in point (4) of Article 5 (a). The entry and exit criteria referred to in Article 4 shall apply;
(e) the information specified in template 21 in Part 2 of Annex III where tangible assets subject to operating leases are equal or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex III with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;
(f) the information specified in template 22 in Part 2 of Annex III where net fee and commission income is equal or higher than 10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex III with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;
(g) the information specified in Annex VIII for exposures whose exposure value is larger than or equal to EUR 300 million but less than 10 % of the institution's eligible capital with a quarterly frequency.
Article 10
Format and frequency of reporting on financial information for credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis, by virtue of Article 99(3) Regulation (EU) No 575/2013
Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions in a Member State in accordance with Article 99(3) Regulation (EU) No 575/2013, institutions shall submit financial information according to Article 9.
Article 11
Format and frequency of reporting on financial information for institutions applying national accounting frameworks developed under Directive 86/635/EEC on a consolidated basis
1. Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions established in a Member State in accordance with Article 99(6) Regulation (EU) No 575/2013, institutions shall submit the information specified in Annex IV on a consolidated basis, according to the instructions in Annex V and the information specified in Annex VIII on a consolidated basis, according to the instructions in Annex IX.
2. The information referred to in paragraph 1 shall be submitted according to the following specifications:
(a) the information specified in Part 1 of Annex IV with a quarterly frequency;
(b) the information specified in Part 3 of Annex IV with a semi-annual frequency;
(c) the information specified in Part 4 of Annex IV with an annual frequency;
(d) the information specified in template 20 in Part 2 of Annex IV with a quarterly frequency in the manner provided in point (4) of Article 5 (a). The entry and exit criteria referred to in Article 4 shall apply;
(e) the information specified in template 21 in Part 2 of Annex IV where tangible assets subject to operating leases are equal or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex IV with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;
(f) the information specified in template 22 in Part 2 of Annex IV where net fee and commission income is equal or higher than 10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex IV with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;
(g) the information specified in Annex VIII for exposures whose exposure value is larger than or equal to EUR 300 million but less than 10 % of the institution's eligible capital with a quarterly frequency.
CHAPTER 4
FORMAT AND FREQUENCY OF SPECIFIC REPORTING OBLIGATIONS ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY ACCORDING TO ARTICLE 101 OF REGULATION (EU) No 575/2013
Article 12
1. Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on a consolidated basis with a semi-annual frequency.
2. Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on an individual basis with a semi-annual frequency.
3. Branches in another Member State shall also submit to the competent authority of the host Member State information as specified in Annex VI according to the instructions in Annex VII related to that branch with a semi-annual frequency.
CHAPTER 5
FORMAT AND FREQUENCY OF REPORTING ON LARGE EXPOSURES ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
Article 13
1. In order to report information on large exposures to clients and groups of connected clients according to Article 394(1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.
2. In order to report information on the twenty largest exposures to clients or groups of connected clients according to the last sentence of Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions which are subject to Chapter 3 of Title II of Part Three of Regulation (EU) No 575/2013 shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.
3. In order to report information on the ten largest exposures to institutions as well as on the ten largest exposures to unregulated financial entities according to Article 394(2) of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.
CHAPTER 6
FORMAT AND FREQUENCY OF REPORTING ON LEVERAGE RATIO ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
Article 14
1. In order to report information on the leverage ratio according to Article 430 (1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex X according to the instructions in Annex XI, with a quarterly frequency.
2. The reporting of the data shall be based on the methodology used for the calculation of the leverage ratio as end of quarter leverage ratio.
3. Institutions are required to report the information referred to in paragraph 14 of Part II of Annex XI in the next reporting period, where any of the following conditions is met:
(a) the derivatives share referred to in paragraph 7 of Part II of Annex XI exceeds 1,5 %;
(b) the derivatives share referred to in paragraph 7 of Part II of Annex XI exceeds 2,0 %.
The entry criteria set out in Article 4 shall apply, except for point (b) of the first subparagraph of this paragraph where institutions start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date.
4. Institutions for which the total notional value of derivatives as defined in paragraph 9 of Part II of Annex XI exceeds EUR 10 billion shall report the information referred to in paragraph 14 of Part II of Annex XI, irrespective of whether their derivatives share fulfils the conditions referred to in paragraph 3.
The entry criteria set out in Article 4 shall not apply. Institutions shall start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date.
5. Institutions are required to report the information referred to in paragraph 15 of Part II of Annex XI in the next reporting period where any of the following conditions is met:
(a) the credit derivatives volume referred to in paragraph 10 of Part II of Annex XI exceeds EUR 300 million;
(b) the credit derivatives volume referred to in paragraph 10 of Part II of Annex XI exceeds EUR 500 million.
The entry criteria of Article 4 shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date.
▼M6 —————
CHAPTER 7
FORMAT AND FREQUENCY OF REPORTING ON LIQUIDITY AND ON STABLE FUNDING ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
Article 15
Format and frequency of reporting on liquidity coverage requirement
1. In order to report information on the liquidity coverage requirement in accordance with Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall apply the following:
(a) credit institutions shall submit the information specified in Annex XXIV according to the instructions in Annex XXV with a monthly frequency;
(b) all other institutions except those specified in point (a), shall submit the information specified in Annex XII according to the instructions in Annex XIII with a monthly frequency.
2. The information set out in Annexes XII and XXIV shall take into account the information submitted for the reference date and the information on the cash-flows of the institution over the following 30 calendar days.
Article 16
Format and frequency of reporting on stable funding
In order to report information on the stable funding according to Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall submit the information specified in Annex XII according to the instructions in Annex XIII with a quarterly frequency.
CHAPTER 7a
FORMAT AND FREQUENCY OF REPORTING ON ASSET ENCUMBRANCE ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
Article 16a
Format and frequency of reporting on asset encumbrance on an individual and a consolidated basis
1. In order to report information on asset encumbrance in accordance with Article 100 of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XVI to this Regulation according to the instructions set out in Annex XVII to this Regulation.
2. The information referred to in paragraph 1 shall be submitted according to the following specifications:
(a) the information specified in Parts A, B and D of Annex XVI with a quarterly frequency;
(b) the information specified in Part C of Annex XVI with an annual frequency;
(c) the information specified in Part E of Annex XVI with a semi-annual frequency.
3. Institutions shall not be required to report the information in Parts B, C or E of Annex XVI where all of the following conditions are met:
(a) the institution has total assets, as calculated in accordance with paragraph 10 of point 1.6 of Annex XVII, of less than EUR 30 billion;
(b) the asset encumbrance level of the institution, as calculated in accordance with paragraph 9 of point 1.6 of Annex XVII, is below 15 %.
4. Institutions shall only be required to report the information in Part D of Annex XVI where they issue the bonds referred to in the first subparagraph of Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council ( 1 ).
CHAPTER 7b
FORMAT AND FREQUENCY OF REPORTING ON ADDITIONAL LIQUIDITY MONITORING METRICS ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
Article 16b
1. In order to report information on additional liquidity monitoring metrics in accordance with Article 415(3)(b) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit all of the following information with a monthly frequency:
(a) the information specified in Annex XVIII in accordance with the instructions in Annex XIX;
(b) the information specified in Annex XX in accordance with the instructions in Annex XXI.
2. By way of derogation from paragraph 1, an institution may report the information on additional liquidity monitoring metrics with a quarterly frequency where all of the following conditions are met:
(a) the institution does not form part of a group with subsidiaries or parent institutions located in jurisdictions other than that of its competent authority;
(b) the ratio of the individual balance sheet total of the institution to the sum of individual balance sheet totals of all institutions in the respective Member State is below 1 % for two consecutive years preceding the year of reporting;
(c) the institution has total assets, calculated in accordance with Council Directive 86/635/EEC ( 2 ), of less than EUR 30 billion.
For the purposes of point (b), balance sheet total figures for calculating the ratio shall be based on year-end audited figures for the year before the year preceding the reporting reference date.
3. For the purposes of the obligations set out in paragraphs 1 and 2, the first month for which information on additional liquidity monitoring metrics is to be reported shall be April 2016.
CHAPTER 8
IT SOLUTIONS FOR THE SUBMISSION OF DATA FROM INSTITUTIONS TO COMPETENT AUTHORITIES
Article 17
1. Institutions shall submit the information referred to in this Regulation in the data exchange formats and representations specified by competent authorities, respecting the data point definitions included in the single data point model referred to in Annex XIV and the validation rules referred to in Annex XV as well as the following specifications:
(a) information not required or not applicable shall not be included in a data submission;
(b) numeric values shall be submitted as facts according to the following:
(i) data points with the data type ‘Monetary’ shall be reported using a minimum precision equivalent to thousands of units;
(ii) data points with the data type ‘Percentage’ shall be expressed as per unit with a minimum precision equivalent to four decimals;
(iii) data points with the data type ‘Integer’ shall be reported using no decimals and a precision equivalent to units.
2. The data submitted by the institutions shall be associated with the following information:
(a) reporting reference date and reference period;
(b) reporting currency;
(c) accounting standard;
(d) identifier of the reporting institution;
(e) level of application as individual or consolidated.
CHAPTER 9
TRANSITIONAL AND FINAL PROVISIONS
Article 18
Transitional period
The remittance date for data with a quarterly reporting frequency relating to the reference date 31 March 2014 for information to be reported shall be 30 June 2014 at the latest.
For the period from 31 March 2014 to 30 April 2014 as a deviation from point (a) of Article 3(1) the reporting remittance date relating to monthly reporting shall be 30 June 2014.
For the period from 31 May 2014 to 31 December 2014 as a deviation from point (a) of Article 3(1) the reporting remittance date relating to monthly reporting shall be the thirtieth calendar day after the reporting reference date
In respect of information to be reported pursuant to Article 16a, the first reporting reference date shall be 31 December 2014.
Without prejudice to Article 2, the first remittance date for templates 18 and 19 in Annex III shall be 31 December 2014. Rows and columns of templates 6, 9.1, 20.4, 20.5, and 20.7 in Annex III referring to forborne exposures and to non-performing exposures shall be completed for the remittance date 31 December 2014.
By way of derogation from Article 3(1)(a), for the months from April 2016 to October 2016 inclusive, the reporting remittance date relating to the monthly reporting of the additional liquidity monitoring metrics shall be the thirtieth calendar day after the reporting reference date.
For the period from 10 September 2016 to 10 March 2017, as a deviation from point (a) of Article 3(1), the reporting remittance date relating to the monthly reporting of the LCR for credit institutions shall be the 30th calendar day after the reporting reference date.
Article 19
Entry into Force
This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.
This Regulation shall apply from 1 January 2014.
Articles 9, 10 and 11 shall apply from 1 July 2014.
Article 15 shall apply from 1 March 2014.
Article 16a shall apply from 1 December 2014.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
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 |
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 |
|
|
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 |
12 |
C 12.00 |
CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS |
CR SEC SA |
13 |
C 13.00 |
CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS |
CR SEC IRB |
14 |
C 14.00 |
DETAILED INFORMATION ON SECURITISATIONS |
CR SEC Details |
|
|
OPERATIONAL RISK |
OPR |
16 |
C 16.00 |
OPERATIONAL RISK |
OPR |
17 |
C 17.00 |
OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR |
OPR Details |
|
|
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 |
C 01.00 — OWN FUNDS (CA1)
Rows |
ID |
Item |
Amount |
010 |
1 |
OWN FUNDS |
|
015 |
1.1 |
TIER 1 CAPITAL |
|
020 |
1.1.1 |
COMMON EQUITY TIER 1 CAPITAL |
|
030 |
1.1.1.1 |
Capital instruments eligible as CET1 Capital |
|
040 |
1.1.1.1.1 |
Paid up capital instruments |
|
045 |
1.1.1.1.1* |
Of which: Capital instruments subscribed by public authorities in emergency situations |
|
050 |
1.1.1.1.2* |
Memorandum item: Capital instruments not eligible |
|
060 |
1.1.1.1.3 |
Share premium |
|
070 |
1.1.1.1.4 |
(-) Own CET1 instruments |
|
080 |
1.1.1.1.4.1 |
(-) Direct holdings of CET1 instruments |
|
090 |
1.1.1.1.4.2 |
(-) Indirect holdings of CET1 instruments |
|
091 |
1.1.1.1.4.3 |
(-) Synthetic holdings of CET1 instruments |
|
092 |
1.1.1.1.5 |
(-) Actual or contingent obligations to purchase own CET1 instruments |
|
130 |
1.1.1.2 |
Retained earnings |
|
140 |
1.1.1.2.1 |
Previous years retained earnings |
|
150 |
1.1.1.2.2 |
Profit or loss eligible |
|
160 |
1.1.1.2.2.1 |
Profit or loss attributable to owners of the parent |
|
170 |
1.1.1.2.2.2 |
(-) Part of interim or year-end profit not eligible |
|
180 |
1.1.1.3 |
Accumulated other comprehensive income |
|
200 |
1.1.1.4 |
Other reserves |
|
210 |
1.1.1.5 |
Funds for general banking risk |
|
220 |
1.1.1.6 |
Transitional adjustments due to grandfathered CET1 Capital instruments |
|
230 |
1.1.1.7 |
Minority interest given recognition in CET1 capital |
|
240 |
1.1.1.8 |
Transitional adjustments due to additional minority interests |
|
250 |
1.1.1.9 |
Adjustments to CET1 due to prudential filters |
|
260 |
1.1.1.9.1 |
(-) Increases in equity resulting from securitised assets |
|
270 |
1.1.1.9.2 |
Cash flow hedge reserve |
|
280 |
1.1.1.9.3 |
Cumulative gains and losses due to changes in own credit risk on fair valued liabilities |
|
285 |
1.1.1.9.4 |
Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities |
|
290 |
1.1.1.9.5 |
(-) Value adjustments due to the requirements for prudent valuation |
|
300 |
1.1.1.10 |
(-) Goodwill |
|
310 |
1.1.1.10.1 |
(-) Goodwill accounted for as intangible asset |
|
320 |
1.1.1.10.2 |
(-) Goodwill included in the valuation of significant investments |
|
330 |
1.1.1.10.3 |
Deferred tax liabilities associated to goodwill |
|
340 |
1.1.1.11 |
(-) Other intangible assets |
|
350 |
1.1.1.11.1 |
(-) Other intangible assets before deduction of deferred tax liabilities |
|
360 |
1.1.1.11.2 |
Deferred tax liabilities associated to other intangible assets |
|
370 |
1.1.1.12 |
(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities |
|
380 |
1.1.1.13 |
(-) IRB shortfall of credit risk adjustments to expected losses |
|
390 |
1.1.1.14 |
(-) Defined benefit pension fund assets |
|
400 |
1.1.1.14.1 |
(-) Defined benefit pension fund assets |
|
410 |
1.1.1.14.2 |
Deferred tax liabilities associated to defined benefit pension fund assets |
|
420 |
1.1.1.14.3 |
Defined benefit pension fund assets which the institution has an unrestricted ability to use |
|
430 |
1.1.1.15 |
(-) Reciprocal cross holdings in CET1 Capital |
|
440 |
1.1.1.16 |
(-) Excess of deduction from AT1 items over AT1 Capital |
|
450 |
1.1.1.17 |
(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight |
|
460 |
1.1.1.18 |
(-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight |
|
470 |
1.1.1.19 |
(-) Free deliveries which can alternatively be subject to a 1 250 % risk weight |
|
471 |
1.1.1.20 |
(-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250 % risk weight |
|
472 |
1.1.1.21 |
(-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight |
|
480 |
1.1.1.22 |
(-) CET1 instruments of financial sector entites where the institution does not have a significant investment |
|
490 |
1.1.1.23 |
(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences |
|
500 |
1.1.1.24 |
(-) CET1 instruments of financial sector entities where the institution has a significant investment |
|
510 |
1.1.1.25 |
(-) Amount exceeding the 17,65 % threshold |
|
520 |
1.1.1.26 |
Other transitional adjustments to CET1 Capital |
|
524 |
1.1.1.27 |
(-) Additional deductions of CET1 Capital due to Article 3 CRR |
|
529 |
1.1.1.28 |
CET1 capital elements or deductions — other |
|
530 |
1.1.2 |
ADDITIONAL TIER 1 CAPITAL |
|
540 |
1.1.2.1 |
Capital instruments eligible as AT1 Capital |
|
550 |
1.1.2.1.1 |
Paid up capital instruments |
|
560 |
1.1.2.1.2* |
Memorandum item: Capital instruments not eligible |
|
570 |
1.1.2.1.3 |
Share premium |
|
580 |
1.1.2.1.4 |
(-) Own AT1 instruments |
|
590 |
1.1.2.1.4.1 |
(-) Direct holdings of AT1 instruments |
|
620 |
1.1.2.1.4.2 |
(-) Indirect holdings of AT1 instruments |
|
621 |
1.1.2.1.4.3 |
(-) Synthetic holdings of AT1 instruments |
|
622 |
1.1.2.1.5 |
(-) Actual or contingent obligations to purchase own AT1 instruments |
|
660 |
1.1.2.2 |
Transitional adjustments due to grandfathered AT1 Capital instruments |
|
670 |
1.1.2.3 |
Instruments issued by subsidiaries that are given recognition in AT1 Capital |
|
680 |
1.1.2.4 |
Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries |
|
690 |
1.1.2.5 |
(-) Reciprocal cross holdings in AT1 Capital |
|
700 |
1.1.2.6 |
(-) AT1 instruments of financial sector entities where the institution does not have a significant investment |
|
710 |
1.1.2.7 |
(-) AT1 instruments of financial sector entities where the institution has a significant investment |
|
720 |
1.1.2.8 |
(-) Excess of deduction from T2 items over T2 Capital |
|
730 |
1.1.2.9 |
Other transitional adjustments to AT1 Capital |
|
740 |
1.1.2.10 |
Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) |
|
744 |
1.1.2.11 |
(-) Additional deductions of AT1 Capital due to Article 3 CRR |
|
748 |
1.1.2.12 |
AT1 capital elements or deductions — other |
|
750 |
1.2 |
TIER 2 CAPITAL |
|
760 |
1.2.1 |
Capital instruments and subordinated loans eligible as T2 Capital |
|
770 |
1.2.1.1 |
Paid up capital instruments and subordinated loans |
|
780 |
1.2.1.2* |
Memorandum item: Capital instruments and subordinated loans not eligible |
|
790 |
1.2.1.3 |
Share premium |
|
800 |
1.2.1.4 |
(-) Own T2 instruments |
|
810 |
1.2.1.4.1 |
(-) Direct holdings of T2 instruments |
|
840 |
1.2.1.4.2 |
(-) Indirect holdings of T2 instruments |
|
841 |
1.2.1.4.3 |
(-) Synthetic holdings of T2 instruments |
|
842 |
1.2.1.5 |
(-) Actual or contingent obligations to purchase own T2 instruments |
|
880 |
1.2.2 |
Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans |
|
890 |
1.2.3 |
Instruments issued by subsidiaries that are given recognition in T2 Capital |
|
900 |
1.2.4 |
Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries |
|
910 |
1.2.5 |
IRB Excess of provisions over expected losses eligible |
|
920 |
1.2.6 |
SA General credit risk adjustments |
|
930 |
1.2.7 |
(-) Reciprocal cross holdings in T2 Capital |
|
940 |
1.2.8 |
(-) T2 instruments of financial sector entities where the institution does not have a significant investment |
|
950 |
1.2.9 |
(-) T2 instruments of financial sector entities where the institution has a significant investment |
|
960 |
1.2.10 |
Other transitional adjustments to T2 Capital |
|
970 |
1.2.11 |
Excess of deduction from T2 items over T2 Capital (deducted in AT1) |
|
974 |
1.2.12 |
(-) Additional deductions of T2 Capital due to Article 3 CRR |
|
978 |
1.2.13 |
T2 capital elements or deductions — other |
|
C 02.00 – OWN FUNDS REQUIREMENTS (CA2)
Rows |
Item |
Label |
Amount |
010 |
1 |
TOTAL RISK EXPOSURE AMOUNT |
|
020 |
1* |
Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR |
|
030 |
1** |
Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR |
|
040 |
1.1 |
RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES |
|
050 |
1.1.1 |
Standardised approach (SA) |
|
060 |
1.1.1.1 |
SA exposure classes excluding securitisation positions |
|
070 |
1.1.1.1.01 |
Central governments or central banks |
|
080 |
1.1.1.1.02 |
Regional governments or local authorities |
|
090 |
1.1.1.1.03 |
Public sector entities |
|
100 |
1.1.1.1.04 |
Multilateral Development Banks |
|
110 |
1.1.1.1.05 |
International Organisations |
|
120 |
1.1.1.1.06 |
Institutions |
|
130 |
1.1.1.1.07 |
Corporates |
|
140 |
1.1.1.1.08 |
Retail |
|
150 |
1.1.1.1.09 |
Secured by mortgages on immovable property |
|
160 |
1.1.1.1.10 |
Exposures in default |
|
170 |
1.1.1.1.11 |
Items associated with particular high risk |
|
180 |
1.1.1.1.12 |
Covered bonds |
|
190 |
1.1.1.1.13 |
Claims on institutions and corporates with a short-term credit assessment |
|
200 |
1.1.1.1.14 |
Collective investments undertakings (CIU) |
|
210 |
1.1.1.1.15 |
Equity |
|
211 |
1.1.1.1.16 |
Other items |
|
220 |
1.1.1.2 |
Securitisation positions SA |
|
230 |
1.1.1.2* |
of which: resecuritisation |
|
240 |
1.1.2 |
Internal ratings based Approach (IRB) |
|
250 |
1.1.2.1 |
IRB approaches when neither own estimates of LGD nor Conversion Factors are used |
|
260 |
1.1.2.1.01 |
Central governments and central banks |
|
270 |
1.1.2.1.02 |
Institutions |
|
280 |
1.1.2.1.03 |
Corporates - SME |
|
290 |
1.1.2.1.04 |
Corporates - Specialised Lending |
|
300 |
1.1.2.1.05 |
Corporates - Other |
|
310 |
1.1.2.2 |
IRB approaches when own estimates of LGD and/or Conversion Factors are used |
|
320 |
1.1.2.2.01 |
Central governments and central banks |
|
330 |
1.1.2.2.02 |
Institutions |
|
340 |
1.1.2.2.03 |
Corporates - SME |
|
350 |
1.1.2.2.04 |
Corporates - Specialised Lending |
|
360 |
1.1.2.2.05 |
Corporates - Other |
|
370 |
1.1.2.2.06 |
Retail - Secured by real estate SME |
|
380 |
1.1.2.2.07 |
Retail - Secured by real estate non-SME |
|
390 |
1.1.2.2.08 |
Retail - Qualifying revolving |
|
400 |
1.1.2.2.09 |
Retail - Other SME |
|
410 |
1.1.2.2.10 |
Retail - Other non-SME |
|
420 |
1.1.2.3 |
Equity IRB |
|
430 |
1.1.2.4 |
Securitisation positions IRB |
|
440 |
1.1.2.4* |
Of which: resecuritisation |
|
450 |
1.1.2.5 |
Other non credit-obligation assets |
|
460 |
1.1.3 |
Risk exposure amount for contributions to the default fund of a CCP |
|
490 |
1.2 |
TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY |
|
500 |
1.2.1 |
Settlement/delivery risk in the non-Trading book |
|
510 |
1.2.2 |
Settlement/delivery risk in the Trading book |
|
520 |
1.3 |
TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS |
|
530 |
1.3.1 |
Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA) |
|
540 |
1.3.1.1 |
Traded debt instruments |
|
550 |
1.3.1.2 |
Equity |
|
555 |
1.3.1.3 |
Particular approach for position risk in CIUs |
|
556 |
1.3.1.3* |
Memo item: CIUs exclusively invested in traded debt instruments |
|
557 |
1.3.1.3** |
Memo item: CIUs invested exclusively in equity instruments or in mixed instruments |
|
560 |
1.3.1.4 |
Foreign Exchange |
|
570 |
1.3.1.5 |
Commodities |
|
580 |
1.3.2 |
Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM) |
|
590 |
1.4 |
TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR ) |
|
600 |
1.4.1 |
OpR Basic indicator approach (BIA) |
|
610 |
1.4.2 |
OpR Standardised (STA) / Alternative Standardised (ASA) approaches |
|
620 |
1.4.3 |
OpR Advanced measurement approaches (AMA) |
|
630 |
1.5 |
ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS |
|
640 |
1.6 |
TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT |
|
650 |
1.6.1 |
Advanced method |
|
660 |
1.6.2 |
Standardised method |
|
670 |
1.6.3 |
Based on OEM |
|
680 |
1.7 |
TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK |
|
690 |
1.8 |
OTHER RISK EXPOSURE AMOUNTS |
|
710 |
1.8.2 |
Of which: Additional stricter prudential requirements based on Art 458 |
|
720 |
1.8.2* |
Of which: requirements for large exposures |
|
730 |
1.8.2** |
Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property |
|
740 |
1.8.2*** |
Of which: due to intra financial sector exposures |
|
750 |
1.8.3 |
Of which: Additional stricter prudential requirements based on Art 459 |
|
760 |
1.8.4 |
Of which: Additional risk exposure amount due to Article 3 CRR |
|
C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
Rows |
ID |
Item |
Amount |
010 |
1 |
CET1 Capital ratio |
|
020 |
2 |
Surplus(+)/Deficit(-) of CET1 capital |
|
030 |
3 |
T1 Capital ratio |
|
040 |
4 |
Surplus(+)/Deficit(-) of T1 capital |
|
050 |
5 |
Total capital ratio |
|
060 |
6 |
Surplus(+)/Deficit(-) of total capital |
|
Memorandum Items: Capital ratios due to Pillar II adjustments |
|||
070 |
7 |
CET1 capital ratio including Pillar II adjustments |
|
080 |
8 |
Target CET1 capital ratio due to Pillar II adjustments |
|
090 |
9 |
T1 capital ratio including Pillar II adjustments |
|
100 |
10 |
Target T1 capital ratio due to Pillar II adjustments |
|
110 |
11 |
Total capital ratio including Pillar II adjustments |
|
120 |
12 |
Target Total capital ratio due to Pillar II adjustments |
|
C 04.00 - MEMORANDUM ITEMS (CA4)
Row |
ID |
Item |
Column |
Deferred tax assest and liabilities |
010 |
||
010 |
1 |
Total deferred tax assets |
|
020 |
1.1 |
Deferred tax assets that do not rely on future profitability |
|
030 |
1.2 |
Deferred tax assets that rely on future profitability and do not arise from temporary differences |
|
040 |
1.3 |
Deferred tax assets that rely on future profitability and arise from temporary differences |
|
050 |
2 |
Total deferred tax liabilities |
|
060 |
2.1 |
Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability |
|
070 |
2.2 |
Deferred tax liabilities deductible from deferred tax assets that rely on future profitability |
|
080 |
2.2.1 |
Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences |
|
090 |
2.2.2 |
Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences |
|
Credit risk adjustments and expected losses |
|||
100 |
3 |
IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures |
|
110 |
3.1 |
Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount |
|
120 |
3.1.1 |
General credit risk adjustments |
|
130 |
3.1.2 |
Specific credit risk adjustments |
|
131 |
3.1.3 |
Additional value adjustments and other own funds reductions |
|
140 |
3.2 |
Total expected losses eligible |
|
145 |
4 |
IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures |
|
150 |
4.1 |
Specific credit risk adjustments and positions treated similarily |
|
155 |
4.2 |
Total expected losses eligible |
|
160 |
5 |
Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2 |
|
170 |
6 |
Total gross provisions eligible for inclusion in T2 capital |
|
180 |
7 |
Risk weighted exposure amounts for calculating the cap to the provision eligible as T2 |
|
Thresholds for Common Equity Tier 1 deductions |
|||
190 |
8 |
Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment |
|
200 |
9 |
10% CET1 threshold |
|
210 |
10 |
17.65% CET1 threshold |
|
225 |
11.1 |
Eligible capital for the purposes of qualifying holdings outside the financial sector |
|
226 |
11.2 |
Eligible capital for the purposes of large exposures |
|
Investments in the capital of financial sector entities where the institution does not have a significant investment |
|||
230 |
12 |
Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions |
|
240 |
12.1 |
Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |
|
250 |
12.1.1 |
Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |
|
260 |
12.1.2 |
(-) Permitted offsetting short positions in relation to the direct gross holdings included above |
|
270 |
12.2 |
Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |
|
280 |
12.2.1 |
Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |
|
290 |
12.2.2 |
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above |
|
291 |
12.3 |
Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |
|
292 |
12.3.1 |
Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |
|
293 |
12.3.2 |
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |
|
300 |
13 |
Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions |
|
310 |
13.1 |
Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |
|
320 |
13.1.1 |
Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |
|
330 |
13.1.2 |
(-) Permitted offsetting short positions in relation to the direct gross holdings included above |
|
340 |
13.2 |
Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |
|
350 |
13.2.1 |
Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |
|
360 |
13.2.2 |
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above |
|
361 |
13.3 |
Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |
|
362 |
13.3.1 |
Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |
|
363 |
13.3.2 |
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |
|
370 |
14 |
Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions |
|
380 |
14.1 |
Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment |
|
390 |
14.1.1 |
Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment |
|
400 |
14.1.2 |
(-) Permitted offsetting short positions in relation to the direct gross holdings included above |
|
410 |
14.2 |
Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment |
|
420 |
14.2.1 |
Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment |
|
430 |
14.2.2 |
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above |
|
431 |
14.3 |
Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment |
|
432 |
14.3.1 |
Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment |
|
433 |
14.3.2 |
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |
|
Investments in the capital of financial sector entities where the institution has a significant investment |
|||
440 |
15 |
Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions |
|
450 |
15.1 |
Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment |
|
460 |
15.1.1 |
Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment |
|
470 |
15.1.2 |
(-) Permitted offsetting short positions in relation to the direct gross holdings included above |
|
480 |
15.2 |
Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment |
|
490 |
15.2.1 |
Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment |
|
500 |
15.2.2 |
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above |
|
501 |
15.3 |
Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment |
|
502 |
15.3.1 |
Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment |
|
503 |
15.3.2 |
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |
|
510 |
16 |
Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions |
|
520 |
16.1 |
Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment |
|
530 |
16.1.1 |
Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment |
|
540 |
16.1.2 |
(-) Permitted offsetting short positions in relation to the direct gross holdings included above |
|
550 |
16.2 |
Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment |
|
560 |
16.2.1 |
Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment |
|
570 |
16.2.2 |
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above |
|
571 |
16.3 |
Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment |
|
572 |
16.3.1 |
Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment |
|
573 |
16.3.2 |
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |
|
580 |
17 |
Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions |
|
590 |
17.1 |
Direct holdings of T2 capital of financial sector entities where the institution has a significant investment |
|
600 |
17.1.1 |
Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment |
|
610 |
17.1.2 |
(-) Permitted offsetting short positions in relation to the direct gross holdings included above |
|
620 |
17.2 |
Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment |
|
630 |
17.2.1 |
Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment |
|
640 |
17.2.2 |
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above |
|
641 |
17.3 |
Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment |
|
642 |
17.3.1 |
Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment |
|
643 |
17.3.2 |
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |
|
Total risk exposure amounts of holdings not deducted from the corresponding capital category: |
|||
650 |
18 |
Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital |
|
660 |
19 |
Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital |
|
670 |
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 |
|||
680 |
21 |
Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived |
|
690 |
22 |
Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived |
|
700 |
23 |
Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived |
|
710 |
24 |
Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived |
|
720 |
25 |
Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived |
|
730 |
26 |
Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived |
|
Capital buffers |
|||
740 |
27 |
Combined buffer requirement |
|
750 |
|
Capital conservation buffer |
|
760 |
|
Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State |
|
770 |
|
Institution specific countercyclical capital buffer |
|
780 |
|
Systemic risk buffer |
|
790 |
|
Systemical important institution buffer |
|
800 |
|
Global Systemically Important Institution buffer |
|
810 |
|
Other Systemically Important Institution buffer |
|
Pillar II requirements |
|||
820 |
28 |
Own funds requirements related to Pillar II adjustments |
|
Additional information for investment firms |
|||
830 |
29 |
Initial capital |
|
840 |
30 |
Own funds based on Fixed Overheads |
|
Additional information for calculation of reporting thresholds |
|||
850 |
31 |
Non-domestic original exposures |
|
860 |
32 |
Total original exposures |
|
Basel I floor |
|||
870 |
|
Adjustments to total own funds |
|
880 |
|
Own funds fully adjusted for Basel I floor |
|
890 |
|
Own funds requirements for Basel I floor |
|
900 |
|
Own funds requirements for Basel I floor - SA alternative |
|
910 |
|
Deficit of total capital as regards the minimum own funds requirements of the Basel I floor |
|
C 05.01 — TRANSITIONAL PROVISIONS (CA5.1)
|
Adjustments to CET1 |
Adjustments to AT1 |
Adjustments to T2 |
Adjustments included in RWAs |
Memorandum items |
|||
Applicable percentage |
Eligible amount without transitional provisions |
|||||||
Code |
ID |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
010 |
1 |
TOTAL ADJUSTMENTS |
|
|
|
|
|
|
020 |
1.1 |
GRANDFATHERED INSTRUMENTS |
link to {CA1;r220} |
link to {CA1;r660} |
link to {CA1;r880} |
|
|
|
030 |
1.1.1 |
Grandfathered instruments: Instruments constituting state aid |
|
|
|
|
|
|
040 |
1.1.1.1 |
Instruments that qualified as own funds according to 2006/48/EC |
|
|
|
|
|
|
050 |
1.1.1.2 |
Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme |
|
|
|
|
|
|
060 |
1.1.2 |
Instruments not constituting state aid |
link to {CA5.2;r010;c060} |
link to {CA5.2;r020;c060} |
link to {CA5.2;r090;c060} |
|
|
|
070 |
1.2 |
MINORITY INTERESTS AND EQUIVALENTS |
link to {CA1;r240} |
link to {CA1;r680} |
link to {CA1;r900} |
|
|
|
080 |
1.2.1 |
Capital instruments and items that do not qualify as minority interests |
|
|
|
|
|
|
090 |
1.2.2 |
Transitional recognition in consolidated own funds of minority interests |
|
|
|
|
|
|
091 |
1.2.3 |
Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital |
|
|
|
|
|
|
092 |
1.2.4 |
Transitional recognition in consolidated own funds of qualifying Tier 2 capital |
|
|
|
|
|
|
100 |
1.3 |
OTHER TRANSITIONAL ADJUSTMENTS |
link to {CA1;r520} |
link to {CA1;r730} |
link to {CA1;r960} |
|
|
|
110 |
1.3.1 |
Unrealised gains and losses |
|
|
|
|
|
|
120 |
1.3.1.1 |
Unrealised gains |
|
|
|
|
|
|
130 |
1.3.1.2 |
Unrealised losses |
|
|
|
|
|
|
133 |
1.3.1.3. |
Unrealised gains on exposures to central governments classified in the "Available for sale" category of EU-endorsed IAS39 |
|
|
|
|
|
|
136 |
1.3.1.4. |
Unrealised loss on exposures to central governments classified in the "Available for sale" category of EU-endorsed IAS39 |
|
|
|
|
|
|
138 |
1.3.1.5. |
Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities |
|
|
|
|
|
|
140 |
1.3.2 |
Deductions |
|
|
|
|
|
|
150 |
1.3.2.1 |
Losses for the current financial year |
|
|
|
|
|
|
160 |
1.3.2.2 |
Intangible assets |
|
|
|
|
|
|
170 |
1.3.2.3 |
Deferred tax assets that rely on future profitability and do not arise from temporary differences |
|
|
|
|
|
|
180 |
1.3.2.4 |
IRB shortfall of provisions to expected losses |
|
|
|
|
|
|
190 |
1.3.2.5 |
Defined benefit pension fund assets |
|
|
|
|
|
|
194 |
1.3.2.5* |
of which: Introduction of amendments to IAS 19 - positive item |
|
|
|
|
|
|
198 |
1.3.2.5** |
of which: Introduction of amendments to IAS 19 - negative item |
|
|
|
|
|
|
200 |
1.3.2.6 |
Own instruments |
|
|
|
|
|
|
210 |
1.3.2.6.1 |
Own CET1 instruments |
|
|
|
|
|
|
211 |
1.3.2.6.1** |
of which: Direct holdings |
|
|
|
|
|
|
212 |
1.3.2.6.1* |
of which: Indirect holdings |
|
|
|
|
|
|
220 |
1.3.2.6.2 |
Own AT1 instruments |
|
|
|
|
|
|
221 |
1.3.2.6.2** |
of which: Direct holdings |
|
|
|
|
|
|
222 |
1.3.2.6.2* |
of which: Indirect holdings |
|
|
|
|
|
|
230 |
1.3.2.6.3 |
Own T2 instruments |
|
|
|
|
|
|
231 |
1.3.2.6.3* |
of which: Direct holdings |
|
|
|
|
|
|
232 |
1.3.2.6.3** |
of which: Indirect holdings |
|
|
|
|
|
|
240 |
1.3.2.7 |
Reciprocal cross holdings |
|
|
|
|
|
|
250 |
1.3.2.7.1 |
Reciprocal cross holdings in CET1 Capital |
|
|
|
|
|
|
260 |
1.3.2.7.1.1 |
Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment |
|
|
|
|
|
|
270 |
1.3.2.7.1.2 |
Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment |
|
|
|
|
|
|
280 |
1.3.2.7.2 |
Reciprocal cross holdings in AT1 Capital |
|
|
|
|
|
|
290 |
1.3.2.7.2.1 |
Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment |
|
|
|
|
|
|
300 |
1.3.2.7.2.2 |
Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment |
|
|
|
|
|
|
310 |
1.3.2.7.3 |
Reciprocal cross holdings in T2 Capital |
|
|
|
|
|
|
320 |
1.3.2.7.3.1 |
Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment |
|
|
|
|
|
|
330 |
1.3.2.7.3.2 |
Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment |
|
|
|
|
|
|
340 |
1.3.2.8 |
Own funds instruments of financial sector entities where the institution does not have a significant investment |
|
|
|
|
|
|
350 |
1.3.2.8.1 |
CET1 instruments of financial sector entities where the institution does not have a significant investment |
|
|
|
|
|
|
360 |
1.3.2.8.2 |
AT1 instruments of financial sector entities where the institution does not have a significant investment |
|
|
|
|
|
|
370 |
1.3.2.8.3 |
T2 instruments of financial sector entities where the institution does not have a significant investment |
|
|
|
|
|
|
380 |
1.3.2.9 |
Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment |
|
|
|
|
|
|
390 |
1.3.2.10 |
Own funds instruments of financial sector entities where the institution has a significant investment |
|
|
|
|
|
|
400 |
1.3.2.10.1 |
CET1 instruments of financial sector entities where the institution has a significant investment |
|
|
|
|
|
|
410 |
1.3.2.10.2 |
AT1 instruments of financial sector entities where the institution has a significant investment |
|
|
|
|
|
|
420 |
1.3.2.10.3 |
T2 instruments of financial sector entities where the institution has a significant investment |
|
|
|
|
|
|
425 |
1.3.2.11 |
Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items |
|
|
|
|
|
|
430 |
1.3.3 |
Additional filters and deductions |
|
|
|
|
|
|
C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)
CA 5.2 Grandfathered instruments: Instruments not constituting State aid |
Amount of instruments plus related share premium |
Base for calculating the limit |
Applicable percentage |
Limit |
(-) Amount that exceeds the limits for grandfathering |
Total grandfathered amount |
||
Code |
ID |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
010 |
1. |
Instruments that qualified for point a) of Article 57 of 2006/48/EC |
|
|
|
|
|
link to {CA5.1;r060;c010) |
020 |
2. |
Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489 |
|
|
|
|
|
link to {CA5.1;r060;c020) |
030 |
2.1 |
Total instruments without a call or an incentive to redeem |
|
|
|
|
|
|
040 |
2.2. |
Grandfathered instruments with a call and incentive to redeem |
|
|
|
|
|
|
050 |
2.2.1 |
Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 49 of CRR after the date of effective maturity |
|
|
|
|
|
|
060 |
2.2.2 |
Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity |
|
|
|
|
|
|
070 |
2.2.3 |
Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity |
|
|
|
|
|
|
080 |
2.3 |
Excess on the limit of CET1 grandfathered instruments |
|
|
|
|
|
|
090 |
3 |
Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490 |
|
|
|
|
|
link to {CA5.1;r060;c030) |
100 |
3.1 |
Total items without an incentive to redeem |
|
|
|
|
|
|
110 |
3.2 |
Grandfathered items with an incentive to redeem |
|
|
|
|
|
|
120 |
3.2.1 |
Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity |
|
|
|
|
|
|
130 |
3.2.2 |
Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity |
|
|
|
|
|
|
140 |
3.2.3 |
Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity |
|
|
|
|
|
|
150 |
3.3 |
Excess on the limit of AT1 grandfathered instruments |
|
|
|
|
|
|
C 06.01 — GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL)
|
INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP |
CAPITAL BUFFERS |
|||||||||||||||||||||||
TOTAL RISK EXPOSURE AMOUNT |
|
QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS |
|
CONSOLIDATED OWN FUNDS |
|
COMBINED BUFFER REQUIRE-MENTS |
|
||||||||||||||||||
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 |
SYSTEMICAL IMPORTANT INSTITUTION BUFFER |
GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER |
OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER |
|||||||
MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL |
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL |
||||||||||||||||||||||||
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
340 |
350 |
360 |
370 |
380 |
390 |
400 |
410 |
420 |
430 |
440 |
450 |
460 |
470 |
480 |
||
010 |
TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
C 06.02 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
ENTITIES WITHIN SCOPE OF CONSOLIDATION |
INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS |
||||||||||
NAME |
CODE |
LEI code |
INSTITUTION OR EQUIVALENT (YES/NO) |
SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP) |
COUNTRY CODE |
SHARE OF HOLDING (%) |
TOTAL RISK EXPOSURE AMOUNT |
|
|||
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK |
POSITION, FX AND COMMODITIES RISKS |
OPERATIONAL RISK |
OTHER RISK EXPOSURE AMOUNTS |
||||||||
010 |
020 |
025 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
|
|
|
|
|
|
|
|
|
|
|
|
INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS |
||||||||||||
OWN FUNDS |
|
|
||||||||||
TOTAL TIER 1 CAPITAL |
|
|
TIER 2 CAPITAL |
|
||||||||
COMMON EQUITY TIER 1 CAPITAL |
|
ADDITIONAL TIER 1 CAPITAL |
|
|||||||||
OF WHICH: QUALIFYING OWN FUNDS |
RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS |
OF WHICH: QUALIFYING TIER 1 CAPITAL |
RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS |
OF WHICH: MINORITY INTERESTS |
RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES |
OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL |
OF WHICH: QUALIFYING TIER 2 CAPITAL |
|||||
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
|
|
|
|
|
|
|
|
|
|
|
|
|
INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP |
||||||||||||
TOTAL RISK EXPOSURE AMOUNT |
|
QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS |
|
CONSOLIDATED OWN FUNDS |
|
|||||||
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 |
||||
MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL |
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL |
|||||||||||
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
340 |
350 |
360 |
370 |
|
|
|
|
|
|
|
|
|
|
|
|
|
INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP |
CAPITAL BUFFERS |
|||||||||
|
COMBINED BUFFER REQUIRE-MENTS |
|
||||||||
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 |
SYSTEMICAL IMPORTANT INSTITUTION BUFFER |
GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER |
OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER |
|
380 |
390 |
400 |
410 |
420 |
430 |
440 |
450 |
460 |
470 |
480 |
|
|
|
|
|
|
|
|
|
|
|
C 07.00 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)
SA Exposure class
|
|
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
(-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE |
EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE |
NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS |
CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD |
FULLY ADJUSTED EXPOSURE VALUE (E*) |
BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS |
EXPOSURE VALUE |
|
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR |
|
|||||||||||
UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) |
FUNDED CREDIT PROTECTION |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM |
VOLATILITY ADJUSTMENT TO THE EXPOSURE |
(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam) |
0% |
20% |
50% |
100% |
OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK |
OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI |
OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT |
||||||||||||||
(-) GUARANTEES |
(-) CREDIT DERIVATIVES |
(-) FINANCIAL COLLATERAL: SIMPLE METHOD |
(-) OTHER FUNDED CREDIT PROTECTION |
(-) TOTAL OUTFLOWS |
TOTAL INFLOWS (+) |
|
(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS |
||||||||||||||||||
010 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
215 |
220 |
230 |
240 |
||
010 |
TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cell linked to CA |
|
|
015 |
of which: Defaulted exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
020 |
of which: SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
of which: Exposures subject to SME-supporting factor |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
of which: Secured by mortgages on immovable property - Residential property |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
of which: Exposures under the permanent partial use of the standardised approach |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
060 |
of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: |
|||||||||||||||||||||||||
070 |
On balance sheet exposures subject to credit risk |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
080 |
Off balance sheet exposures subject to credit risk |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exposures/Transactions subject to counterparty credit risk |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
090 |
Securities Financing Transactions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100 |
of which: centrally cleared through a QCCP |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
Derivatives & Long Settlement Transactions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
120 |
of which: centrally cleared through a QCCP |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
130 |
From Contractual Cross Product Netting |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: |
|||||||||||||||||||||||||
140 |
0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150 |
2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
160 |
4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
170 |
10% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
180 |
20% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
190 |
35% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
200 |
50% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
210 |
70% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
220 |
75% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
230 |
100% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
240 |
150% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
250 |
250% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
260 |
370% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
270 |
1250% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
280 |
Other risk weights |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MEMORANDUM ITEMS |
|||||||||||||||||||||||||
290 |
Exposures secured by mortgages on commercial immovable property |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
300 |
Exposures in default subject to a risk weight of 100% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
310 |
Exposures secured by mortgages on residential property |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
320 |
Exposures in default subject to a risk weight of 150% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)
IRB Exposure class:
Own estimates of LGD and/or conversion factors:
|
INTERNAL RATING SYSTEM |
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE |
EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS |
|
||||||
UNFUNDED CREDIT PROTECTION |
(-) OTHER FUNDED CREDIT PROTECTION |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM |
|||||||||
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 |
||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
||
010 |
TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
015 |
of which: Exposures subject to SME-supporting factor |
|
|
|
|
|
|
|
|
|
|
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: |
|||||||||||
020 |
On balance sheet items subject to credit risk |
|
|
|
|
|
|
|
|
|
|
030 |
Off balance sheet items subject to credit risk |
|
|
|
|
|
|
|
|
|
|
|
Exposures/Transactions subject to counterparty credit risk |
|
|
|
|
|
|
|
|
|
|
040 |
Securities Financing Transactions |
|
|
|
|
|
|
|
|
|
|
050 |
Derivatives & Long Settlement Transactions |
|
|
|
|
|
|
|
|
|
|
060 |
From Contractual Cross Product Netting |
|
|
|
|
|
|
|
|
|
|
070 |
EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL |
|
|
|
|
|
|
|
|
|
|
080 |
SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL |
|
|
|
|
|
|
|
|
|
|
BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA: |
|||||||||||
090 |
RISK WEIGHT: 0 % |
|
|
|
|
|
|
|
|
|
|
100 |
50 % |
|
|
|
|
|
|
|
|
|
|
110 |
70 % |
|
|
|
|
|
|
|
|
|
|
120 |
Of which: in category 1 |
|
|
|
|
|
|
|
|
|
|
130 |
90 % |
|
|
|
|
|
|
|
|
|
|
140 |
115 % |
|
|
|
|
|
|
|
|
|
|
150 |
250 % |
|
|
|
|
|
|
|
|
|
|
160 |
ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE |
|
|
|
|
|
|
|
|
|
|
170 |
EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS |
|
|
|
|
|
|
|
|
|
|
180 |
DILUTION RISK: TOTAL PURCHASED RECEIVABLES |
|
|
|
|
|
|
|
|
|
|
|
EXPOSURE VALUE |
|
CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT |
|||||||||
OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION |
FUNDED CREDIT PROTECTION |
|||||||||||
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 |
|||||
REAL ESTATE |
OTHER PHYSICAL COLLATERAL |
RECEIVABLES |
||||||||||
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
||
010 |
TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
015 |
of which: Exposures subject to SME-supporting factor |
|
|
|
|
|
|
|
|
|
|
|
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: |
||||||||||||
020 |
On balance sheet items subject to credit risk |
|
|
|
|
|
|
|
|
|
|
|
030 |
Off balance sheet items subject to credit risk |
|
|
|
|
|
|
|
|
|
|
|
|
Exposures/Transactions subject to counterparty credit risk |
|
|
|
|
|
|
|
|
|
|
|
040 |
Securities Financing Transactions |
|
|
|
|
|
|
|
|
|
|
|
050 |
Derivatives & Long Settlement Transactions |
|
|
|
|
|
|
|
|
|
|
|
060 |
From Contractual Cross Product Netting |
|
|
|
|
|
|
|
|
|
|
|
070 |
EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL |
|
|
|
|
|
|
|
|
|
|
|
080 |
SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL |
|
|
|
|
|
|
|
|
|
|
|
BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA: |
||||||||||||
090 |
RISK WEIGHT: 0 % |
|
|
|
|
|
|
|
|
|
|
|
100 |
50 % |
|
|
|
|
|
|
|
|
|
|
|
110 |
70 % |
|
|
|
|
|
|
|
|
|
|
|
120 |
Of which: in category 1 |
|
|
|
|
|
|
|
|
|
|
|
130 |
90 % |
|
|
|
|
|
|
|
|
|
|
|
140 |
115 % |
|
|
|
|
|
|
|
|
|
|
|
150 |
250 % |
|
|
|
|
|
|
|
|
|
|
|
160 |
ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE |
|
|
|
|
|
|
|
|
|
|
|
170 |
EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS |
|
|
|
|
|
|
|
|
|
|
|
180 |
DILUTION RISK: TOTAL PURCHASED RECEIVABLES |
|
|
|
|
|
|
|
|
|
|
|
|
SUBJECT TO DOUBLE DEFAULT TREATMENT |
EXPOSURE WEIGHTED AVERAGE LGD (%) |
EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) |
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR |
MEMORANDUM ITEMS: |
||||
UNFUNDED CREDIT PROTECTION |
EXPECTED LOSS AMOUNT |
(-) VALUE ADJUSTMENTS AND PROVISIONS |
NUMBER OF OBLIGORS |
||||||||
|
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
||||||||||
220 |
230 |
240 |
250 |
255 |
260 |
270 |
280 |
290 |
300 |
||
010 |
TOTAL EXPOSURES |
|
|
|
|
|
Cell linked to CA |
|
|
|
|
015 |
of which: Exposures subject to SME-supporting factor |
|
|
|
|
|
|
|
|
|
|
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: |
|||||||||||
020 |
On balance sheet items subject to credit risk |
|
|
|
|
|
|
|
|
|
|
030 |
Off balance sheet items subject to credit risk |
|
|
|
|
|
|
|
|
|
|
|
Exposures/Transactions subject to counterparty credit risk |
|
|
|
|
|
|
|
|
|
|
040 |
Securities Financing Transactions |
|
|
|
|
|
|
|
|
|
|
050 |
Derivatives & Long Settlement Transactions |
|
|
|
|
|
|
|
|
|
|
060 |
From Contractual Cross Product Netting |
|
|
|
|
|
|
|
|
|
|
070 |
EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL |
|
|
|
|
|
|
|
|
|
|
080 |
SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL |
|
|
|
|
|
|
|
|
|
|
BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA: |
|||||||||||
090 |
RISK WEIGHT: 0 % |
|
|
|
|
|
|
|
|
|
|
100 |
50 % |
|
|
|
|
|
|
|
|
|
|
110 |
70 % |
|
|
|
|
|
|
|
|
|
|
120 |
Of which: in category 1 |
|
|
|
|
|
|
|
|
|
|
130 |
90 % |
|
|
|
|
|
|
|
|
|
|
140 |
115 % |
|
|
|
|
|
|
|
|
|
|
150 |
250 % |
|
|
|
|
|
|
|
|
|
|
160 |
ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE |
|
|
|
|
|
|
|
|
|
|
170 |
EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS |
|
|
|
|
|
|
|
|
|
|
180 |
DILUTION RISK: TOTAL PURCHASED RECEIVABLES |
|
|
|
|
|
|
|
|
|
|
C 08.02 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)
IRB Exposure class:
Own estimates of LGD and/or conversion factors:
OBLIGOR GRADE (ROW IDENTIFIER) |
INTERNAL RATING SYSTEM |
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE |
EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS |
|
EXPOSURE VALUE |
|
CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT |
SUBJECT TO DOUBLE DEFAULT TREATMENT |
EXPOSURE WEIGHTED AVERAGE LGD (%) |
EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) |
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR |
MEMORANDUM ITEMS: |
||||||||||||||||
UNFUNDED CREDIT PROTECTION |
(-) OTHER FUNDED CREDIT PROTECTION |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM |
OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION |
FUNDED CREDIT PROTECTION |
UNFUNDED CREDIT PROTECTION |
EXPECTED LOSS AMOUNT |
(-) VALUE ADJUSTMENTS AND PROVISIONS |
NUMBER OF OBLIGORS |
|||||||||||||||||||||||
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) |
|
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
(-) GUARANTEES |
(-) CREDIT DERIVATIVES |
(-) TOTAL OUTFLOWS |
TOTAL INFLOWS (+) |
OF WHICH: OFF BALANCE SHEET ITEMS |
OF WHICH: OFF BALANCE SHEET ITEMS |
OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK |
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
GUARANTEES |
CREDIT DERIVATIVES |
OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION |
ELIGIBLE FINANCIAL COLLATERAL |
OTHER ELIGIBLE COLLATERAL |
|
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
||||||||||||||
REAL ESTATE |
OTHER PHYSICAL COLLATERAL |
RECEIVABLES |
|||||||||||||||||||||||||||||
005 |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
255 |
260 |
270 |
280 |
290 |
300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
C 09.01 - GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)
Country:
|
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
Exposures in default |
Observed new defaults for the period |
General credit risk adjustments |
Specific credit risk adjustments |
Of which: write off |
Credit risk adjustments/write-offs for observed new defaults |
EXPOSURE VALUE |
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR |
|
010 |
020 |
040 |
050 |
055 |
060 |
070 |
075 |
080 |
090 |
||
010 |
Central governments or central banks |
|
|
|
|
|
|
|
|
|
|
020 |
Regional governments or local authorities |
|
|
|
|
|
|
|
|
|
|
030 |
Public sector entities |
|
|
|
|
|
|
|
|
|
|
040 |
Multilateral Development Banks |
|
|
|
|
|
|
|
|
|
|
050 |
International Organisations |
|
|
|
|
|
|
|
|
|
|
060 |
Institutions |
|
|
|
|
|
|
|
|
|
|
070 |
Corporates |
|
|
|
|
|
|
|
|
|
|
075 |
of which: SME |
|
|
|
|
|
|
|
|
|
|
080 |
Retail |
|
|
|
|
|
|
|
|
|
|
085 |
of which: SME |
|
|
|
|
|
|
|
|
|
|
090 |
Secured by mortgages on immovable property |
|
|
|
|
|
|
|
|
|
|
095 |
of which: SME |
|
|
|
|
|
|
|
|
|
|
100 |
Exposures in default |
|
|
|
|
|
|
|
|
|
|
110 |
Items associated with particularly high risk |
|
|
|
|
|
|
|
|
|
|
120 |
Covered bonds |
|
|
|
|
|
|
|
|
|
|
130 |
Claims on institutions and corporates with a short-term credit assessment |
|
|
|
|
|
|
|
|
|
|
140 |
Collective investments undertakings (CIU) |
|
|
|
|
|
|
|
|
|
|
150 |
Equity exposures |
|
|
|
|
|
|
|
|
|
|
160 |
Other exposures |
|
|
|
|
|
|
|
|
|
|
170 |
Total exposures |
|
|
|
|
|
|
|
|
|
|
C 09.02 - GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)
Country:
|
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
Of which: defaulted |
Observed new defaults for the period |
General credit risk adjustments |
Specific credit risk adjustments |
Of which: write off |
Credit risk adjustments/write-offs for observed new defaults |
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL(%) |
EXPOSURE WEIGHTED AVERAGE LGD (%) |
Of which: defaulted |
EXPOSURE VALUE |
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR |
Of which: defaulted |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR |
EXPECTED LOSS AMOUNT |
|
010 |
030 |
040 |
050 |
055 |
060 |
070 |
080 |
090 |
100 |
105 |
110 |
120 |
125 |
130 |
||
010 |
Central governments or central banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
020 |
Institutions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
Corporates |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
Of Which: Specialised Lending |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
Of Which: SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
060 |
Retail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
070 |
Secured by real estate property |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
080 |
SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
090 |
Non-SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100 |
Qualifying Revolving |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
Other Retail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
120 |
SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
130 |
Non-SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
140 |
Equity |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150 |
Total exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
▼M7 —————
C 09.04 - BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB)
Country:
|
Amount |
Percentage |
Qualitative information |
|
010 |
020 |
030 |
||
Relevant credit exposures - Credit Risk |
|
|
|
|
010 |
Exposure value under the Standardised Approach |
|
|
|
020 |
Exposure value under the IRB Approach |
|
|
|
Relevant credit exposures – Market risk |
|
|
|
|
030 |
Sum of long and short positions of trading book exposures for standardised approaches |
|
|
|
040 |
Value of trading book exposures for internal models |
|
|
|
Relevant credit exposures – Securitisation |
|
|
|
|
050 |
Exposure value of securitisation positions in the banking book under the Standardised Approach |
|
|
|
060 |
Exposure value of securitisation positions in the banking book under the IRB Approach |
|
|
|
Own funds requirements and weights |
|
|
|
|
070 |
Total own funds requirements for CCB |
|
|
|
080 |
Own funds requirements for relevant credit exposures – Credit risk |
|
|
|
090 |
Own funds requirements for relevant credit exposures – Market risk |
|
|
|
100 |
Own funds requirements for relevant credit exposures – Securitisation positions in the banking book |
|
|
|
110 |
Own funds requirements weights |
|
|
|
Countercyclical capital buffer rates |
|
|
|
|
120 |
Countercyclical capital buffer rate set by the Designated Authority |
|
|
|
130 |
Countercyclical capital buffer rate applicable for the country of the institution |
|
|
|
140 |
Institution-specific countercyclical capital buffer rate |
|
|
|
Use of 2 % threshold |
|
|
|
|
150 |
Use of 2 % threshold for general credit exposure |
|
|
|
160 |
Use of 2 % threshold for trading book exposure |
|
|
|
C 10.01 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)
|
INTERNAL RATING SYSTEM |
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE |
EXPOSURE VALUE |
EXPOSURE WEIGHTED AVERAGE LGD (%) |
RISK WEIGHTED EXPOSURE AMOUNT |
MEMORANDUM ITEM: |
|||
UNFUNDED CREDIT PROTECTION |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM |
EXPECTED LOSS AMOUNT |
||||||||
PD ASSIGNED TO THE OBLIGOR GRADE (%) |
(-) GUARANTEES |
(-) CREDIT DERIVATIVES |
(-) TOTAL OUTFLOWS |
|||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
||
010 |
TOTAL IRB EQUITY EXPOSURES |
|
|
|
|
|
|
|
Cell linked to CA |
|
020 |
PD/LGD APRROACH: TOTAL |
|
|
|
|
|
|
|
|
|
050 |
SIMPLE RISK WEIGHT APPROACH: TOTAL |
|
|
|
|
|
|
|
|
|
060 |
BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: |
|||||||||
070 |
RISK WEIGHT: 190 % |
|
|
|
|
|
|
|
|
|
080 |
290 % |
|
|
|
|
|
|
|
|
|
090 |
370 % |
|
|
|
|
|
|
|
|
|
100 |
INTERNAL MODELS APPROACH |
|
|
|
|
|
|
|
|
|
110 |
EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS |
|
|
|
|
|
|
|
|
|
C 10.02 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES (CR EQU IRB 2)
OBLIGOR GRADE (ROW IDENTIFIER) |
INTERNAL RATING SYSTEM |
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE |
EXPOSURE VALUE |
EXPOSURE WEIGHTED AVERAGE LGD (%) |
RISK WEIGHTED EXPOSURE AMOUNT |
MEMORANDUM ITEM: |
||
UNFUNDED CREDIT PROTECTION |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM |
EXPECTED LOSS AMOUNT |
|||||||
PD ASSIGNED TO THE OBLIGOR GRADE (%) |
(-) GUARANTEES |
(-) CREDIT DERIVATIVES |
(-) TOTAL OUTFLOWS |
||||||
005 |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
|
|
|
|
|
|
|
|
|
|
C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT)
|
UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE |
PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS |
OWN FUNDS REQUIREMENTS |
TOTAL SETTLEMENT RISK EXPOSURE AMOUNT |
|
010 |
020 |
030 |
040 |
||
010 |
Total unsettled transactions in the Non-trading Book |
|
|
|
Cell linked to CA |
020 |
Transactions unsettled up to 4 days (Factor 0 %) |
|
|
|
|
030 |
Transactions unsettled between 5 and 15 days (Factor 8 %) |
|
|
|
|
040 |
Transactions unsettled between 16 and 30 days (Factor 50 %) |
|
|
|
|
050 |
Transactions unsettled between 31 and 45 days (Factor 75 %) |
|
|
|
|
060 |
Transactions unsettled for 46 days or more (Factor 100 %) |
|
|
|
|
070 |
Total unsettled transactions in the Trading Book |
|
|
|
Cell linked to CA |
080 |
Transactions unsettled up to 4 days (Factor 0 %) |
|
|
|
|
090 |
Transactions unsettled between 5 and 15 days (Factor 8 %) |
|
|
|
|
100 |
Transactions unsettled between 16 and 30 days (Factor 50 %) |
|
|
|
|
110 |
Transactions unsettled between 31 and 45 days (Factor 75 %) |
|
|
|
|
120 |
Transactions unsettled for 46 days or more (Factor 100 %) |
|
|
|
|
C 12.00 — CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)
|
TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED |
SYNTHETIC SECURITISATIONS: 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*) |
BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS |
EXPOSURE VALUE |
|
BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS |
BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS |
RISK-WEIGHTED EXPOSURE AMOUNT |
OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS |
ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES |
TOTAL RISK-WEIGHTED EXPOSURE AMOUNT |
MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION 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 |
0 % |
> 0 % and <= 20 % |
> 20 % and <= 50 % |
> 50 % and <= 100 % |
(-) DEDUCTED FROM OWN FUNDS |
SUBJECT TO RISK WEIGHTS |
RATED (CREDIT QUALITY STEPS) |
1 250 % |
LOOK-THROUGH |
INTERNAL ASSESMENT APPROACH |
||||||||||||||||||||||||
(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) |
(-) TOTAL OUTFLOWS |
TOTAL INFLOWS |
CQS 1 |
CQS 2 |
CQS 3 |
CQS 4 |
ALL OTHER CQS |
UNRATED |
|
OF WHICH: SECOND LOSS IN ABCP |
OF WHICH: AVERAGE RISK WEIGHT (%) |
|
AVERAGE RISK WEIGHT (%) |
|
OF WHICH: SYNTHETIC SECURITISATIONS |
BEFORE CAP |
AFTER CAP |
|||||||||||||||||||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
340 |
350 |
360 |
370 |
380 |
390 |
||
010 |
TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cell linked to CA |
|
020 |
OF WHICH: RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cell linked to CA |
|
030 |
ORIGINATOR: TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
ON-BALANCE SHEET ITEMS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
060 |
RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
070 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
080 |
SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
090 |
RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100 |
EARLY AMORTISATION |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
INVESTOR: TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
120 |
ON-BALANCE SHEET ITEMS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
130 |
SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
140 |
RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
160 |
SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
170 |
RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
180 |
SPONSOR: TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
190 |
ON-BALANCE SHEET ITEMS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
200 |
SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
210 |
RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
220 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
230 |
SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
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|
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|
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|
|
|
|
|
|
|
|
|
|
|
240 |
RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: |
|||||||||||||||||||||||||||||||||||||||
250 |
CQS 1 |
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|
260 |
CQS 2 |
|
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|
|
270 |
CQS 3 |
|
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|
280 |
CQS 4 |
|
|
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|
|
290 |
ALL OTHER CQS AND UNRATED |
|
|
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|
|
C 13.00 — CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)
|
TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED |
SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES |
SECURITISATION POSITIONS |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE |
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*) |
BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CREDIT CONVERSION FACTORS |
EXPOSURE VALUE |
|
BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS |
(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS |
RISK-WEIGHTED EXPOSURE AMOUNT |
OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS |
ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES |
TOTAL RISK-WEIGHTED EXPOSURE AMOUNT |
MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION 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 |
0 % |
> 0 % and <=20 % |
> 20 % and <=50 % |
> 50 % and <=100 % |
(-) DEDUCTED FROM OWN FUNDS |
SUBJECT TO RISK WEIGHTS |
RATINGS BASED METHOD (CREDIT QUALITY STEPS) |
1 250 % |
SUPERVISORY FORMULA METHOD |
LOOK-THROUGH |
INTERNAL ASSESSMENT APPROACH |
|||||||||||||||||||||||||||||||
(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) |
(-) TOTAL OUTFLOWS |
TOTAL INFLOWS |
CQS 1 & S/T CQS 1 |
CQS 2 |
CQS 3 |
CQS 4 & S/T CQS 2 |
CQS 5 |
CQS 6 |
CQS 7 & S/T CQS 3 |
CQS 8 |
CQS 9 |
CQS 10 |
CQS 11 |
ALL OTHER CQS |
UNRATED |
|
AVERAGE RISK WEIGHT (%) |
|
AVERAGE RISK WEIGHT (%) |
|
AVERAGE RISK WEIGHT (%) |
|
OF WHICH: SYNTHETIC SECURITISATIONS |
BEFORE CAP |
AFTER CAP |
|||||||||||||||||||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
340 |
350 |
360 |
370 |
380 |
390 |
400 |
410 |
420 |
430 |
440 |
450 |
460 |
|||
010 |
TOTAL EXPOSURES |
|
|
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|
|
Cell linked to CA |
|
|
020 |
OF WHICH: RE-SECURITISATIONS |
|
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|
Cell linked to CA |
|
|
030 |
ORIGINATOR: TOTAL EXPOSURES |
|
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|
040 |
ON-BALANCE SHEET ITEMS |
|
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|
050 |
SECURITISATIONS |
A |
|
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060 |
B |
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070 |
C |
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|
080 |
RE-SECURITISATIONS |
D |
|
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090 |
E |
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|
100 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
|
|
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|
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|
110 |
SECURITISATIONS |
A |
|
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|
120 |
B |
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|
130 |
C |
|
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|
140 |
RE-SECURITISATIONS |
D |
|
|
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|
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150 |
E |
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|
160 |
EARLY AMORTISATION |
|
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|
|
170 |
INVESTOR: TOTAL EXPOSURES |
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
180 |
ON-BALANCE SHEET ITEMS |
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
|
|
|
|
|
190 |
SECURITISATIONS |
A |
|
|
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|
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|
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|
|
|
200 |
B |
|
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|
210 |
C |
|
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|
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|
|
220 |
RE-SECURITISATIONS |
D |
|
|
|
|
|
|
|
|
|
|
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|
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|
|
|
230 |
E |
|
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|
|
|
|
|
|
|
|
|
|
|
240 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
250 |
SECURITISATIONS |
A |
|
|
|
|
|
|
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|
|
|
|
|
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|
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|
|
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|
|
|
260 |
B |
|
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|
|
|
|
|
|
270 |
C |
|
|
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|
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|
|
|
|
|
|
|
|
|
|
|
280 |
RE-SECURITISATIONS |
D |
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
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|
|
290 |
E |
|
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|
|
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|
|
|
|
|
|
|
|
|
|
|
300 |
SPONSOR: TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
310 |
ON-BALANCE SHEET ITEMS |
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
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|
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|
|
|
|
|
|
320 |
SECURITISATIONS |
A |
|
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|
330 |
B |
|
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340 |
C |
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350 |
RE-SECURITISATIONS |
D |
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360 |
E |
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370 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
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380 |
SECURITISATIONS |
A |
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390 |
B |
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400 |
C |
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410 |
RE-SECURITISATIONS |
D |
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420 |
E |
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BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: |
|||||||||||||||||||||||||||||||||||||||||||||||
430 |
CQS 1 & S/T CQS 1 |
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440 |
CQS 2 |
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450 |
CQS 3 |
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460 |
CQS 4 & S/T CQS 2 |
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470 |
CQS 5 |
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480 |
CQS 6 |
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490 |
CQS 7 & S/T CQS 3 |
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500 |
CQS 8 |
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510 |
CQS 9 |
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520 |
CQS 10 |
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530 |
CQS 11 |
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540 |
ALL OTHER CQS AND UNRATED |
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C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC Details)
ROW NUMBER |
INTERNAL CODE |
IDENTIFIER OF THE SECURITISATION |
IDENTIFIER OF THE ORIGINATOR |
SECURITISATION TYPE: (TRADITIONAL / SYNTHETIC) |
ACCOUNTING TREATMENT: Securitised exposures are kept or removed from the balance sheet? |
SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements? |
SECURITISATION OR RE-SECURITISATION? |
RETENTION |
ROLE OF THE INSTITUTION: (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR) |
NON ABCP PROGRAMMES |
SECURITISED EXPOSURES |
SECURITISATION STRUCTURE |
SECURITISATION POSITIONS |
(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS |
TOTAL RISK-WEIGHTED EXPOSURE AMOUNT |
SECURITISATION POSITIONS - TRADING BOOK |
||||||||||||||||||||||||||||||||
TYPE OF RETENTION APPLIED |
% OF RETENTION AT REPORTING DATE |
COMPLIANCE WITH THE RETENTION REQUIREMENT? |
ORIGINATION DATE (mm/yyyy) |
TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE |
TOTAL AMOUNT |
INSTITUTION'S SHARE (%) |
TYPE |
APPROACH APPLIED (SA/IRB/MIX) |
NUMBER OF EXPOSURES |
COUNTRY |
ELGD (%) |
(-) VALUE ADJUSTMENTS AND PROVISIONS |
OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) |
ON-BALANCE SHEET ITEMS |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
MATURITY |
ORIGINAL EXPOSURE PRE-CONVERSION FACTORS |
MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
EARLY AMORTISATION |
CTP OR NON-CTP? |
NET POSITIONS |
TOTAL OWN FUNDS REQUIREMENTS (SA) |
||||||||||||||||||||||||||
SENIOR |
MEZZANINE |
FIRST LOSS |
SENIOR |
MEZZANINE |
FIRST LOSS |
FIRST FORESEEABLE TERMINATION DATE |
LEGAL FINAL MATURITY DATE |
ON-BALANCE SHEET ITEMS |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
DIRECT CREDIT SUBSTITUTES |
IRS / CRS |
ELIGIBLE LIQUIDITY FACILITIES |
OTHER (including non-eligible LF) |
CONVERSION FACTOR APPLIED |
||||||||||||||||||||||||||||||||||
SENIOR |
MEZZANINE |
FIRST LOSS |
SENIOR |
MEZZANINE |
FIRST LOSS |
BEFORE CAP |
AFTER CAP |
|||||||||||||||||||||||||||||||||||||||||
LONG |
SHORT |
SPECIFIC RISK |
||||||||||||||||||||||||||||||||||||||||||||||
005 |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
340 |
350 |
360 |
370 |
380 |
390 |
400 |
410 |
420 |
430 |
440 |
450 |
460 |
470 |
480 |
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C 16.00 — OPERATIONAL RISK (OPR)
BANKING ACTIVITIES |
RELEVANT INDICATOR |
LOANS AND ADVANCES (IN CASE OF ASA APPLICATION) |
OWN FUNDS REQUIREMENT |
Total operational risk exposure amount |
AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE |
|||||||||
YEAR-3 |
YEAR-2 |
LAST YEAR |
YEAR-3 |
YEAR-2 |
LAST YEAR |
OF WHICH: DUE TO AN ALLOCATION MECHANISM |
OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES |
(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES |
(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION |
(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS) |
||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
O71 |
080 |
090 |
100 |
110 |
120 |
||
010 |
1. BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA) |
|
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|
Cell linked to CA2 |
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|
020 |
2. BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES |
|
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|
Cell linked to CA2 |
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|
SUBJECT TO TSA: |
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030 |
CORPORATE FINANCE (CF) |
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040 |
TRADING AND SALES (TS) |
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050 |
RETAIL BROKERAGE (RBr) |
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060 |
COMMERCIAL BANKING (CB) |
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070 |
RETAIL BANKING (RB) |
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080 |
PAYMENT AND SETTLEMENT (PS) |
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090 |
AGENCY SERVICES (AS) |
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100 |
ASSET MANAGEMENT (AM) |
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|
SUBJECT TO ASA: |
|
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110 |
COMMERCIAL BANKING (CB) |
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120 |
RETAIL BANKING (RB) |
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|
130 |
3. BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA |
|
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|
Cell linked to CA2 |
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|
C 17.00 — OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR Details)
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 |
|
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
|
010 |
CORPORATE FINANCE [CF] |
Number of events |
|
|
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|
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|
020 |
Total loss amount |
|
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|
030 |
Maximum single loss |
|
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|
040 |
Sum of the five largest losses |
|
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|
050 |
Total loss recovery |
|
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|
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|
|
110 |
TRADING AND SALES [TS] |
Number of events |
|
|
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|
|
120 |
Total loss amount |
|
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|
130 |
Maximum single loss |
|
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|
|
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|
140 |
Sum of the five largest losses |
|
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|
150 |
Total loss recovery |
|
|
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|
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|
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|
|
210 |
RETAIL BROKERAGE [RBr] |
Number of events |
|
|
|
|
|
|
|
|
|
|
220 |
Total loss amount |
|
|
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|
|
|
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|
230 |
Maximum single loss |
|
|
|
|
|
|
|
|
|
|
|
240 |
Sum of the five largest losses |
|
|
|
|
|
|
|
|
|
|
|
250 |
Total loss recovery |
|
|
|
|
|
|
|
|
|
|
|
310 |
COMMERCIAL BANKING [CB] |
Number of events |
|
|
|
|
|
|
|
|
|
|
320 |
Total loss amount |
|
|
|
|
|
|
|
|
|
|
|
330 |
Maximum single loss |
|
|
|
|
|
|
|
|
|
|
|
340 |
Sum of the five largest losses |
|
|
|
|
|
|
|
|
|
|
|
350 |
Total loss recovery |
|
|
|
|
|
|
|
|
|
|
|
410 |
RETAIL BANKING [RB] |
Number of events |
|
|
|
|
|
|
|
|
|
|
420 |
Total loss amount |
|
|
|
|
|
|
|
|
|
|
|
430 |
Maximum single loss |
|
|
|
|
|
|
|
|
|
|
|
440 |
Sum of the five largest losses |
|
|
|
|
|
|
|
|
|
|
|
450 |
Total loss recovery |
|
|
|
|
|
|
|
|
|
|
|
510 |
PAYMENT AND SETTLEMENT [PS] |
Number of events |
|
|
|
|
|
|
|
|
|
|
520 |
Total loss amount |
|
|
|
|
|
|
|
|
|
|
|
530 |
Maximum single loss |
|
|
|
|
|
|
|
|
|
|
|
540 |
Sum of the five largest losses |
|
|
|
|
|
|
|
|
|
|
|
550 |
Total loss recovery |
|
|
|
|
|
|
|
|
|
|
|
610 |
AGENCY SERVICES [AS] |
Number of events |
|
|
|
|
|
|
|
|
|
|
620 |
Total loss amount |
|
|
|
|
|
|
|
|
|
|
|
630 |
Maximum single loss |
|
|
|
|
|
|
|
|
|
|
|
640 |
Sum of the five largest losses |
|
|
|
|
|
|
|
|
|
|
|
650 |
Total loss recovery |
|
|
|
|
|
|
|
|
|
|
|
710 |
ASSET MANAGEMENT [AM] |
Number of events |
|
|
|
|
|
|
|
|
|
|
720 |
Total loss amount |
|
|
|
|
|
|
|
|
|
|
|
730 |
Maximum single loss |
|
|
|
|
|
|
|
|
|
|
|
740 |
Sum of the five largest losses |
|
|
|
|
|
|
|
|
|
|
|
750 |
Total loss recovery |
|
|
|
|
|
|
|
|
|
|
|
810 |
CORPORATE ITEMS [CI] |
Number of events |
|
|
|
|
|
|
|
|
|
|
820 |
Total loss amount |
|
|
|
|
|
|
|
|
|
|
|
830 |
Maximum single loss |
|
|
|
|
|
|
|
|
|
|
|
840 |
Sum of the five largest losses |
|
|
|
|
|
|
|
|
|
|
|
850 |
Total loss recovery |
|
|
|
|
|
|
|
|
|
|
|
910 |
TOTAL BUSINESS LINES |
Number of events. Of which: |
|
|
|
|
|
|
|
|
|
|
911 |
≥ 10 000 and < 20 000 |
|
|
|
|
|
|
|
|
|
|
|
912 |
≥ 20 000 and < 100 000 |
|
|
|
|
|
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|
|
913 |
≥ 100 000 and < 1 000 000 |
|
|
|
|
|
|
|
|
|
|
|
914 |
≥ 1 000 000 |
|
|
|
|
|
|
|
|
|
|
|
920 |
Total loss amount. Of which: |
|
|
|
|
|
|
|
|
|
|
|
921 |
≥ 10 000 and < 20 000 |
|
|
|
|
|
|
|
|
|
|
|
922 |
≥ 20 000 and < 100 000 |
|
|
|
|
|
|
|
|
|
|
|
923 |
≥ 100 000 and < 1 000 000 |
|
|
|
|
|
|
|
|
|
|
|
924 |
≥ 1 000 000 |
|
|
|
|
|
|
|
|
|
|
|
930 |
Maximum single loss |
|
|
|
|
|
|
|
|
|
|
|
940 |
Sum of the five largest losses |
|
|
|
|
|
|
|
|
|
|
|
950 |
Total loss recovery |
|
|
|
|
|
|
|
|
|
|
C 18.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
Currency:
|
POSITIONS |
OWN FUNDS REQUIREMENTS |
TOTAL RISK EXPOSURE AMOUNT |
|||||
ALL POSITIONS |
NET POSITIONS |
POSITIONS SUBJECT TO CAPITAL CHARGE |
||||||
LONG |
SHORT |
LONG |
SHORT |
|||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
||
010 |
TRADED DEBT INSTRUMENTS IN TRADING BOOK |
|
|
|
|
|
|
Cell linked to CA2 |
011 |
General risk |
|
|
|
|
|
|
|
012 |
Derivatives |
|
|
|
|
|
|
|
013 |
Other assets and liabilities |
|
|
|
|
|
|
|
020 |
Maturity-based approach |
|
|
|
|
|
|
|
030 |
Zone 1 |
|
|
|
|
|
|
|
040 |
0 ≤ 1 month |
|
|
|
|
|
|
|
050 |
> 1 ≤ 3 months |
|
|
|
|
|
|
|
060 |
> 3 ≤ 6 months |
|
|
|
|
|
|
|
070 |
> 6 ≤ 12 months |
|
|
|
|
|
|
|
080 |
Zone 2 |
|
|
|
|
|
|
|
090 |
> 1 ≤ 2 (1,9 for cupon of less than 3%) years |
|
|
|
|
|
|
|
100 |
> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years |
|
|
|
|
|
|
|
110 |
> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years |
|
|
|
|
|
|
|
120 |
Zone 3 |
|
|
|
|
|
|
|
130 |
> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3%) years |
|
|
|
|
|
|
|
140 |
> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3%) years |
|
|
|
|
|
|
|
150 |
> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3%) years |
|
|
|
|
|
|
|
160 |
> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years |
|
|
|
|
|
|
|
170 |
> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years |
|
|
|
|
|
|
|
180 |
> 20 (> 10,6 ≤ 12,0 for cupon of less than 3%) years |
|
|
|
|
|
|
|
190 |
(> 12,0 ≤ 20,0 for cupon of less than 3%) years |
|
|
|
|
|
|
|
200 |
(> 20 for cupon of less than 3%) years |
|
|
|
|
|
|
|
210 |
Duration-based approach |
|
|
|
|
|
|
|
220 |
Zone 1 |
|
|
|
|
|
|
|
230 |
Zone 2 |
|
|
|
|
|
|
|
240 |
Zone 3 |
|
|
|
|
|
|
|
250 |
Specific risk |
|
|
|
|
|
|
|
251 |
Own funds requirement for non-securitisation debt instruments |
|
|
|
|
|
|
|
260 |
Debt securities under the first category in Table 1 |
|
|
|
|
|
|
|
270 |
Debt securities under the second category in Table 1 |
|
|
|
|
|
|
|
280 |
With residual term ≤ 6 months |
|
|
|
|
|
|
|
290 |
With a residual term > 6 months and ≤ 24 months |
|
|
|
|
|
|
|
300 |
With a residual term > 24 months |
|
|
|
|
|
|
|
310 |
Debt securities under the third category in Table 1 |
|
|
|
|
|
|
|
320 |
Debt securities under the fourth category in Table 1 |
|
|
|
|
|
|
|
321 |
Rated nth-to default credit derivatives |
|
|
|
|
|
|
|
325 |
Own funds requirement for securitisation instruments |
|
|
|
|
|
|
|
330 |
Own funds requirement for the correlation trading portfolio |
|
|
|
|
|
|
|
350 |
Additional requirements for options (non-delta risks) |
|
|
|
|
|
|
|
360 |
Simplified method |
|
|
|
|
|
|
|
370 |
Delta plus approach - additional requirements for gamma risk |
|
|
|
|
|
|
|
380 |
Delta plus approach - additional requirements for vega risk |
|
|
|
|
|
|
|
390 |
Scenario matrix approach |
|
|
|
|
|
|
|
C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
|
ALL POSITIONS |
(-) POSITIONS DEDUCTED FROM OWN FUNDS |
NET POSITIONS |
BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS |
BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS |
OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS |
BEFORE CAP |
AFTER CAP |
TOTAL OWN FUNDS REQUIREMENTS |
|||||||||||||||||||||||||||||||||||||||||||||||||||||
RISK WEIGHTS < 1 250 % |
1 250 % |
SUPERVISORY FORMULA METHOD |
LOOK-THROUGH |
INTERNAL ASSESMENT APPROACH |
RISK WEIGHTS < 1 250 % |
1 250 % |
SUPERVISORY FORMULA METHOD |
LOOK-THROUGH |
INTERNAL ASSESMENT APPROACH |
|||||||||||||||||||||||||||||||||||||||||||||||||||||
LONG |
SHORT |
(-) LONG |
(-) SHORT |
LONG |
SHORT |
7 - 10 % |
12 - 18 % |
20 - 35 % |
40 - 75 % |
100 % |
150 % |
200 % |
225 % |
250 % |
300 % |
350 % |
425 % |
500 % |
650 % |
750 % |
850 % |
RATED |
UNRATED |
|
AVERAGE RISK WEIGHT (%) |
|
AVERAGE RISK WEIGHT (%) |
7 - 10 % |
12 - 18 % |
20 - 35 % |
40 - 75 % |
100 % |
150 % |
200 % |
225 % |
250 % |
300 % |
350 % |
425 % |
500 % |
650 % |
750 % |
850 % |
RATED |
UNRATED |
|
AVERAGE RISK WEIGHT (%) |
|
AVERAGE RISK WEIGHT (%) |
WEIGHTED NET LONG POSITIONS |
WEIGHTED NET SHORT POSITIONS |
WEIGHTED NET LONG POSITIONS |
WEIGHTED NET SHORT POSITIONS |
SUM OF WEIGHTED NET LONG AND SHORT POSITIONS |
WEIGHTED NET LONG POSITIONS |
WEIGHTED NET SHORT POSITIONS |
SUM OF WEIGHTED NET LONG AND SHORT POSITIONS |
|||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
340 |
350 |
360 |
370 |
380 |
390 |
400 |
410 |
420 |
430 |
440 |
450 |
460 |
470 |
480 |
490 |
500 |
510 |
520 |
530 |
540 |
550 |
560 |
570 |
580 |
590 |
600 |
610 |
||
010 |
TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cell linked to MKR SA TDI {325:060} |
020 |
Of which: RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
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|
|
|
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|
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|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
ORIGINATOR: TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
060 |
INVESTOR: TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
070 |
SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
080 |
RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
090 |
SPONSOR: TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100 |
SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES: |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
120 |
1. Residential mortgages |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
130 |
2. Commercial mortgages |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
140 |
3. Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
150 |
4. Leasing |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
160 |
5. Loans to corporates or SMEs |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
|
|
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|
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|
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|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
170 |
6. Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
180 |
7. Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
190 |
8. Other assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
200 |
9. Covered Bondes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
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|
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|
|
|
|
|
|
|
|
|
|
|
210 |
10. Other liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
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 SA AND IRB RISK WEIGHTS |
BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS |
BEFORE CAP |
AFTER CAP |
TOTAL OWN FUNDS REQUIREMENTS |
||||||||||||||||||||||||||||||||||||||
RISK WEIGHTS < 1 250 % |
1 250 % |
SUPERVISORY FORMULA METHOD |
LOOK-THROUGH |
INTERNAL ASSESMENT APPROACH |
RISK WEIGHTS < 1 250 % |
1 250 % |
SUPERVISORY FORMULA METHOD |
LOOK-THROUGH |
INTERNAL ASSESMENT APPROACH |
|||||||||||||||||||||||||||||||||||||
LONG |
SHORT |
(-) LONG |
(-) SHORT |
LONG |
SHORT |
7 - 10 % |
12 - 18 % |
20 - 35 % |
40 - 75 % |
100 % |
250 % |
350 % |
425 % |
650 % |
Other |
RATED |
UNRATED |
|
AVERAGE RISK WEIGHT (%) |
|
AVERAGE RISK WEIGHT (%) |
7 - 10 % |
12 - 18 % |
20 - 35 % |
40 - 75 % |
100 % |
250 % |
350 % |
425 % |
650 % |
Other |
RATED |
UNRATED |
|
AVERAGE RISK WEIGHT (%) |
|
AVERAGE RISK WEIGHT (%) |
WEIGHTED NET LONG POSITIONS |
WEIGHTED NET SHORT POSITIONS |
WEIGHTED NET LONG POSITIONS |
WEIGHTED NET SHORT POSITIONS |
|||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
340 |
350 |
360 |
370 |
380 |
390 |
400 |
410 |
420 |
430 |
440 |
450 |
||
010 |
TOTAL EXPOSURES |
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Cell linked to MKR SA TDI {330:060} |
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SECURITISATION POSITIONS: |
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020 |
ORIGINATOR: TOTAL EXPOSURES |
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030 |
SECURITISATIONS |
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040 |
OTHER CTP POSITIONS |
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050 |
INVESTOR: TOTAL EXPOSURES |
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060 |
SECURITISATIONS |
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070 |
OTHER CTP POSITIONS |
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080 |
SPONSOR: TOTAL EXPOSURES |
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090 |
SECURITISATIONS |
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100 |
OTHER CTP POSITIONS |
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N-TH-TO-DEFAULT CREDIT DERIVATES: |
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110 |
N-TH-TO-DEFAULT CREDIT DERIVATIVES |
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120 |
OTHER CTP POSITIONS |
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C 21.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
National market:
|
POSITIONS |
OWN FUNDS REQUIREMENTS |
TOTAL RISK EXPOSURE AMOUNT |
|||||
ALL POSITIONS |
NET POSITIONS |
POSITIONS SUBJECT TO CAPITAL CHARGE |
||||||
LONG |
SHORT |
|||||||
LONG |
SHORT |
|||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
||
010 |
EQUITIES IN TRADING BOOK |
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Cell linked to CA |
020 |
General risk |
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021 |
Derivatives |
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022 |
Other assets and liabilities |
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030 |
Exchange traded stock-index futures broadly diversified subject to particular approach |
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040 |
Other equities than exchange traded stock-index futures broadly diversified |
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050 |
Specific risk |
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090 |
Additional requirements for options (non-delta risks) |
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100 |
Simplified method |
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110 |
Delta plus approach - additional requirements for gamma risk |
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120 |
Delta plus approach - additional requirements for vega risk |
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130 |
Scenario matrix approach |
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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 currencies subject to special treatment for matched positions) |
OWN FUNDS REQUIREMENTS |
TOTAL RISK EXPOSURE AMOUNT |
|||||
LONG |
SHORT |
LONG |
SHORT |
LONG |
SHORT |
MATCHED |
||||
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
||
010 |
TOTAL POSITIONS IN NON-REPORTING CURRENCIES |
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Cell linked to CA |
020 |
Currencies closely correlated |
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030 |
All other currencies (including CIUs treated as different currencies) |
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040 |
Gold |
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050 |
Additional requirements for options (non-delta risks) |
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060 |
Simplified method |
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070 |
Delta plus approach — additional requirements for gamma risk |
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080 |
Delta plus approach — additional requirements for vega risk |
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090 |
Scenario matrix approach |
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BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES |
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100 |
Other assets and liabilities other than off-balance sheet items and derivatives |
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110 |
Off-balance sheet items |
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120 |
Derivatives |
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Memorandum items: CURRENCY POSITIONS |
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130 |
Euro |
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140 |
Lek |
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150 |
Argentine Peso |
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160 |
Australian Dollar |
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170 |
Brazilian Real |
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180 |
Bulgarian Lev |
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190 |
Canadian Dollar |
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200 |
Czech Koruna |
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210 |
Danish Krone |
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220 |
Egyptian Pound |
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230 |
Pound Sterling |
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240 |
Forint |
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250 |
Yen |
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270 |
Lithuanian Litas |
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280 |
Denar |
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290 |
Mexican Peso |
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300 |
Zloty |
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310 |
Rumanian Leu |
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320 |
Russian Ruble |
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330 |
Serbian Dinar |
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340 |
Swedish Krona |
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350 |
Swiss Franc |
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360 |
Turkish Lira |
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370 |
Hryvnia |
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380 |
US Dollar |
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390 |
Iceland Krona |
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400 |
Norwegian Krone |
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410 |
Hong Kong Dollar |
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420 |
New Taiwan Dollar |
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430 |
New Zealand Dollar |
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440 |
Singapore Dollar |
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450 |
Won |
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460 |
Yuan Renminbi |
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470 |
Other |
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480 |
Croatian Kuna |
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C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
|
ALL POSITIONS |
NET POSITIONS |
POSITIONS SUBJECT TO CAPITAL CHARGE |
OWN FUNDS REQUIREMENTS |
TOTAL RISK EXPOSURE AMOUNT |
|||
LONG |
SHORT |
|||||||
LONG |
SHORT |
|||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
||
010 |
TOTAL POSITIONS IN COMMODITIES |
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Cell linked to CA |
020 |
Precious metals (except gold) |
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030 |
Base metals |
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040 |
Agricultural products (softs) |
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050 |
Others |
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060 |
Of which energy products (oil, gas) |
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070 |
Maturity ladder approach |
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080 |
Extended maturity ladder approach |
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090 |
Simplified approach: All positions |
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100 |
Additional requirements for options (non-delta risks) |
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110 |
Simplified method |
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120 |
Delta plus approach - additional requirements for gamma risk |
|
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130 |
Delta plus approach - additional requirements for vega risk |
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140 |
Scenario matrix approach |
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|
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 (mc) |
SVaR Multiplication Factor (ms) |
ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP |
ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP |
||||||
MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) |
PREVIOUS DAY (VaRt-1) |
MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) |
LATEST AVAILABLE (SVaRt-1) |
12 WEEKS AVERAGE MEASURE |
LAST MEASURE |
FLOOR |
12 WEEKS AVERAGE MEASURE |
LAST MEASURE |
|||||||||
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
||
010 |
TOTAL POSITIONS |
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|
Cell linked to CA |
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|
Memorandum items: BREAKDOWN OF MARKET RISK |
||||||||||||||||
020 |
Traded debt instruments |
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030 |
TDI - General risk |
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|
040 |
TDI - Specific Risk |
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050 |
Equities |
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|
060 |
Equities - General risk |
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|
070 |
Equities - Specific Risk |
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|
080 |
Foreign Exchange risk |
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090 |
Commodities risk |
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100 |
Total amount for general risk |
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110 |
Total amount for specific risk |
|
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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 (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) |
PREVIOUS DAY (VaRt-1) |
MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) |
LATEST AVAILABLE (SVaRt-1) |
Number of counterparties |
of which: proxy was used to determine credit spread |
INCURRED CVA |
SINGLE NAME CDS |
INDEX CDS |
||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
||
010 |
CVA risk total |
|
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|
|
Link to {CA2;r640;c010} |
|
|
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|
|
020 |
According to Advanced method |
|
|
|
|
|
|
|
|
Link to {CA2;r650;c010} |
|
|
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|
|
030 |
According to Standardised method |
|
|
|
|
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|
|
Link to {CA2;r660;c010} |
|
|
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|
040 |
Based on OEM |
|
|
|
|
|
|
|
|
Link to {CA2;r670;c010} |
|
|
|
|
|
ANNEX II
REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
Table of Contents |
|
PART I: GENERAL INSTRUCTIONS |
|
1. |
STRUCTURE AND CONVENTIONS |
1.1. |
STRUCTURE |
1.2. |
NUMBERING CONVENTION |
1.3. |
SIGN CONVENTION |
PART II: TEMPLATE RELATED INSTRUCTIONS |
|
1. |
CAPITAL ADEQUACY OVERVIEW (CA) |
1.1. |
GENERAL REMARKS |
1.2. |
C 01.00 — OWN FUNDS (CA1) |
1.2.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
1.3. |
C 02.00 — OWN FUNDS REQUIREMENTS (CA2) |
1.3.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
1.4. |
C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3) |
1.4.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
1.5. |
C 04.00 — MEMORANDUM ITEMS (CA4) |
1.5.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
1.6. |
TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5) |
1.6.1. |
GENERAL REMARKS |
1.6.2. |
C 05.01 — TRANSITIONAL PROVISIONS (CA5.1) |
1.6.2.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
1.6.3. |
C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) |
1.6.3.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
2. |
GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) |
2.1. |
GENERAL REMARKS |
2.2. |
DETAILED GROUP SOLVENCY INFORMATION |
2.3. |
INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY |
2.4. |
C 06.01 — GROUP SOLVENCY: INFORMATION ON AFFILIATES — TOTAL (GS TOTAL) |
2.5. |
C 06.02 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) |
3. |
CREDIT RISK TEMPLATES |
3.1. |
GENERAL REMARKS |
3.1.1. |
REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT |
3.1.2. |
REPORTING OF COUNTERPARTY CREDIT RISK |
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 |
3.2.2. |
SCOPE OF THE CR SA TEMPLATE |
3.2.3. |
ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES UNDER THE STANDARDISED APPROACH |
3.2.4. |
CLARIFICATIONS ON THE SCOPE OF SOME SPECIFIC EXPOSURE CLASSES REFERRED TO IN ARTICLE 112 OF CRR |
3.2.4.1. |
EXPOSURE CLASS ‘INSTITUTIONS’ |
3.2.4.2. |
EXPOSURE CLASS ‘COVERED BONDS’ |
3.2.4.3. |
EXPOSURE CLASS ‘COLLECTIVE INVESTMENT UNDERTAKINGS’ |
3.2.5. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
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 |
3.3.2. |
BREAKDOWN OF THE CR IRB TEMPLATE |
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 |
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) |
3.4. |
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN (CR GB) |
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 |
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 |
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 |
3.4.3.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
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 |
3.5.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS (APPLICABLE TO BOTH CR EQU IRB 1 AND CR EQU IRB 2) |
3.6. |
C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT) |
3.6.1. |
GENERAL REMARKS |
3.6.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
3.7. |
C 12.00 — CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA) |
3.7.1. |
GENERAL REMARKS |
3.7.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
3.8. |
C 13.00 — CREDIT RISK — SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB) |
3.8.1. |
GENERAL REMARKS |
3.8.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
3.9. |
C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) |
3.9.1. |
GENERAL REMARKS |
3.9.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
4. |
OPERATIONAL RISK TEMPLATES |
4.1. |
C 16.00 — OPERATIONAL RISK (OPR) |
4.1.1. |
GENERAL REMARKS |
4.1.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
4.2. |
C 17.00 — OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS) |
4.2.1. |
GENERAL REMARKS |
4.2.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
5. |
MARKET RISK TEMPLATES |
5.1. |
C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) |
5.1.1. |
GENERAL REMARKS |
5.1.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
5.2. |
C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC) … |
5.2.1. |
GENERAL REMARKS |
5.2.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
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 |
5.3.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
5.4. |
C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) |
5.4.1. |
GENERAL REMARKS |
5.4.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
5.5. |
C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) |
5.5.1. |
GENERAL REMARKS |
5.5.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
5.6. |
C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) |
5.6.1. |
GENERAL REMARKS |
5.6.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
5.7. |
C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM) |
5.7.1. |
GENERAL REMARKS |
5.7.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
5.8. |
C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA) |
5.8.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
PART I: GENERAL INSTRUCTIONS
1. STRUCTURE AND CONVENTIONS
1.1. STRUCTURE
1. Overall, the framework consists of five blocks of templates:
(a) capital adequacy, an overview of regulatory capital; total risk exposure amount;
(b) group solvency, an overview of the fulfilment of the solvency requirements by all individual entities included in the scope of consolidation of the reporting entity
(c) credit risk (including counterparty, dilution and settlement risks);
(d) market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk);
(e) operational risk.
2. For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as validation rules are included in this part of the Implementing Technical Standard..
3. Institutions 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 the following table, when referring to the columns, rows and cells of the templates. These 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 is 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.
PART II: TEMPLATE RELATED INSTRUCTIONS
1. CAPITAL ADEQUACY OVERVIEW (CA)
1.1. GENERAL REMARKS
10. CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and transitional provisions and is structures in five templates:
a) CA1 template contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount. The amount of own funds obtained includes the aggregate effect of transitional provisions per type of capital
b) CA2 template summarizes the total risk exposures amounts as defined in Article 92(3) of Regulation (EU) No 575/2013 (‘CRR’)
c) CA3 template contains the ratios for which CRR state a minimum level, and some other related data
d) CA4 template contains memorandums items needed for calculating items in CA1 as well as information with regard to the CRD capital buffers.
e) CA5 template contains the data needed for calculating the effect of transitional provisions in own funds. CA5 will cease to exist once the transitional provisions will expire.
11. The templates shall apply to all reporting entities, irrespective of the accounting standards followed, although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount.
12. The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common Equity Tier 1 capital (CET1), Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).
13. Transitional provisions are treated as follows in CA templates:
a) The items in CA1 are generally gross of transitional adjustments. This means that figures in CA1 items are calculated according to the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of the 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 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 articles 36(1) point (j) and 56 point (e) of CRR respectively), and thus the items containing these shortfalls may indirectly reflect the effect of transitional provisions.
c) Template CA5 is exclusively used for reporting the transitional provisions.
14. The treatment of Pillar II requirements can be different within the EU (Article 104(2) CRD IV 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 of CRR. A detailed reporting of Pillar II requirements is not within the mandate of Article 99 CRR.
a) The templates CA1, CA2 or CA5 only contain data on Pillar I issues.
b) The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. One block focuses on the impact of amounts on the ratios, whereas the other block focuses on the ratio itself. Both blocks of ratios do not have any further link to the templates CA1, CA2 or CA5.
c) The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. This cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104(2) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.
1.2. C 01.00 — OWN FUNDS (CA1)
1.2.1. Instructions concerning specific positions
Row |
Legal references and instructions |
010 |
1. Own funds Articles 4(1)(118) and 72 of CRR The own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital. |
015 |
1.1 Tier 1 capital Article 25 of CRR The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital |
020 |
1.1.1 Common Equity Tier 1 capital Article 50 of CRR |
030 |
1.1.1.1 Capital instruments eligible as CET1 capital Articles 26(1) points (a) and (b), 27 to 30, 36(1) point (f) and 42 of CRR |
040 |
1.1.1.1.1 Paid up capital instruments Articles 26(1) point (a) and 27 to 31 of CRR Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of CRR) shall be included. The share premium related to the instruments shall not be included. Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 CRR are fulfilled. |
045 |
1.1.1.1.1* Of which: Capital instruments subscribed by public authorities in emergency situations Article 31 of CRR Capital instruments subscribed by public authorities in emergency situations shall be included in CET1 capital if all conditions of Article 31 CRR are fulfilled. |
050 |
1.1.1.1.2* Memorandum item: Capital instruments not eligible Article 28(1) points (b), (l) and (m) of CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments |
060 |
1.1.1.1.3 Share premium Articles 4(1)(124), 26(1) point (b) of CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’. |
070 |
1.1.1.1.4 (-) Own CET1 instruments Articles 36(1) point (f) and 42 of CRR Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of CRR. Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.1.1.1.4 to 1.1.1.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own CET1 instruments are reported separately in item 1.1.1.1.5. |
080 |
1.1.1.1.4.1 (-) Direct holdings of CET1 instruments Articles 36(1) point (f) and 42 of CRR Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group. The amount to be reported shall include holdings in the trading book calculated on the basis of the net long position, as stated in Article 42 point (a) of CRR. |
090 |
1.1.1.1.4.2 (-) Indirect holdings of CET1 instruments Articles 4(1)(114), 36(1) point (f) and 42 of CRR |
091 |
1.1.1.1.4.3 (-) Synthetic holdings of CET1 instruments Articles 4(1)(126), 36(1) point (f) and 42 of CRR |
092 |
1.1.1.1.5 (-) Actual or contingent obligations to purchase own CET1 instruments Articles 36(1) point (f) and 42 of CRR According to Article 36(1) point (f) of CRR, ‘own Common Equity Tier 1 instruments that an institution is under an actual or contingent obligation to purchase by virtue of an existing contractual obligation’ shall be deducted. |
130 |
1.1.1.2 Retained earnings Articles 26(1) point (c) and 26(2) of CRR Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits |
140 |
1.1.1.2.1 Previous years retained earnings Articles 4(1)(123) and 26(1) c) of CRR Article 4(1)(123) of CRR defines retained earnings as ‘Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting standards’. |
150 |
1.1.1.2.2 Profit or loss eligible Articles 4(1)(121), 26(2) and 36(1) point (a) of CRR Article 26(2) of CRR allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met. On the other hand, losses shall be deducted from CET1, as stated in article 36(1) point (a) of CRR. |
160 |
1.1.1.2.2.1 Profit or loss attributable to owners of the parent Articles 26(2) and 36(1) point (a) of CRR The amount to be reported shall be the profit or loss reported in the accounting income statement. |
170 |
1.1.1.2.2.2 (-) Part of interim or year-end profit not eligible Article 26(2) of CRR This row shall not present any figure if, for the reference period, the institution has reported losses. This is because the losses shall be completely deducted from CET1. If the institution reports profits, it shall be reported the part which is not eligible according to article 26(2) of CRR (i.e. profits not audited and foreseeable charges or dividends) Note that, in case of profits, the amount to be deduced shall be, at least, the interim dividends. |
180 |
1.1.1.3 Accumulated other comprehensive income Articles 4(1)(100) and 26(1) point (d) of CRR The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation, and prior to the application of prudential filters. The amount to be reported shall be determined in accordance with Article 13(4) of Commission Delegated Regulation (EU) No 241/2014. |
200 |
1.1.1.4 Other reserves Articles 4(1)(117) and 26(1) point (e) of CRR Other reserves are defined in CRR as ‘Reserves within the meaning of the applicable accounting standard that are required to be disclosed under that applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings’. The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation. |
210 |
1.1.1.5 Funds for general banking risk Articles 4(1)(112) and 26(1) point (f) of CRR Funds for general banking risk are defined in article 38 of 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. |
220 |
1.1.1.6 Transitional adjustments due to grandfathered CET1 Capital instruments Articles 483(1) to (3), and 484 to 487 of CRR Amount of capital instruments transitionally grandfathered as CET1. The amount to be reported is directly obtained from CA5. |
230 |
1.1.1.7 Minority interest given recognition in CET1 capital Article 4(120) and 84 of CRR Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1. |
240 |
1.1.1.8 Transitional adjustments due to additional minority interests Articles 479 and 480 of CRR Adjustments to the minority interests due to transitional provisions. This item is obtained directly from CA5. |
250 |
1.1.1.9 Adjustments to CET1 due to prudential filters Articles 32 to 35 of CRR |
260 |
1.1.1.9.1 (-) Increases in equity resulting from securitised assets Article 32(1) of CRR The amount to be reported is the increase in the equity of the institution resulting from securitised assets, according to the applicable accounting standard. For example, this item includes the future margin income that results in a gain on sale for the institution, or, for originators, the net gains that arise from the capitalisation of future income from the securitised assets that provide credit enhancement to positions in the securitisation. |
270 |
1.1.1.9.2 Cash flow hedge reserve Article 33(1) point (a) of CRR The amount to be reported could either 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 foreseeable at the moment of the calculation. |
280 |
1.1.1.9.3 Cumulative gains and losses due to changes in own credit risk on fair valued liabilities Article 33(1) point (b) of CRR The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. Unaudited profit shall not be included in this item. |
285 |
1.1.1.9.4 Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities Article 33(1) point (c) and 33(2) of CRR The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. Unaudited profit shall not be included in this item. |
290 |
1.1.1.9.5 (-) Value adjustments due to the requirements for prudent valuation Articles 34 and 105 of CRR Adjustments to the fair value of exposures included in the trading book or non-trading book due to stricter standards for prudent valuation set in Article 105 of CRR |
300 |
1.1.1.10 (-) Goodwill Articles 4(1)(113), 36(1) point (b) and 37 of CRR |
310 |
1.1.1.10.1 (-) Goodwill accounted for as intangible asset Articles 4(1)(113) and 36(1) point (b) of CRR Goodwill has the same meaning as under the applicable accounting standard. The amount to be reported here shall be the same that is reported in the balance sheet. |
320 |
1.1.1.10.2 (-) Goodwill included in the valuation of significant investments Article 37 point (b) and 43 of CRR |
330 |
1.1.1.10.3 Deferred tax liabilities associated to goodwill Article 37 point (a) of CRR Amount of deferred tax liabilities that would be extinguished if the goodwill became impaired or was derecognised under the relevant accounting standard |
340 |
1.1.1.11 (-) Other intangible assets Articles 4(1)(115), 36(1) point (b) and 37 point (a) of CRR Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard. |
350 |
1.1.1.11.1 (-) Other intangible assets before deduction of deferred tax liabilities Articles 4(1)(115) and 36(1) point (b) of CRR Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard. The amount to be reported here shall correspond to the amount reported in the balance sheet of intangible assets others than goodwill. |
360 |
1.1.1.11.2 Deferred tax liabilities associated to other intangible assets Article 37 point (a) of CRR Amount of deferred tax liabilities that would be extinguished if the intangibles assets other than goodwill became impaired or was derecognised under the relevant accounting standard |
370 |
1.1.1.12 (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities Articles 36(1) point (c) and 38 of CRR |
380 |
1.1.1.13 (-) IRB shortfall of credit risk adjustments to expected losses Articles 36(1) point (d), 40, 158 and 159 of CRR The amount to be reported shall not be reduced by a rise in the level of deferred tax assets that rely on future profitability, or other additional tax effect, that could occur if provisions were to rise to the level of expected losses’ (Article 40 of CRR) |
390 |
1.1.1.14 (-) Defined benefit pension fund assets Articles 4(1)(109), 36(1) point (e) and 41 of CRR |
400 |
1.1.1.14.1 (-) Defined benefit pension fund assets Articles 4(1)(109), 36(1) point (e) of CRR Defined benefit pension fund assets are defined as ‘the assets of a defined pension fund or plan, as applicable, calculated after they have been reduced by the amount of obligations under the same fund or plan’ The amount to be reported here shall correspond to the amount reported in the balance sheet (if reported separately). |
410 |
1.1.1.14.2 Deferred tax liabilities associated to defined benefit pension fund assets Articles 4(1)(108) and (109), and 41(1) point (a) of CRR Amount of deferred tax liabilities that would be extinguished if the defined benefit pension fund assets became impaired or were derecognised under the relevant accounting standard. |
420 |
1.1.1.14.3 Defined benefit pension fund assets which the institution has an unrestricted ability to use Articles 4(1)(109) and 41(1) point (b) of CRR This item shall only present any amount if there is a prior consent of the competent authority to reduce the amount of defined benefit pension fund assets to be deducted. The assets included in this row shall receive a risk weight for credit risk requirements. |
430 |
1.1.1.15 (-) Reciprocal cross holdings in CET1 Capital Articles 4(1)(122), 36(1) point (g) and 44 of CRR Holdings in CET1 instruments of financial sector entities (as defined in Article 4(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 1 own-fund insurance items. |
440 |
1.1.1.16 (-) Excess of deduction from AT1 items over AT1 Capital Article 36(1) point (j) of CRR The amount to be reported is directly taken from CA 1 item ‘Excess of deduction from AT1 items over AT1 Capital. The amount has to be deducted from CET1. |
450 |
1.1.1.17 (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1,250 % risk weight Articles 4(1)(36), 36(1) point (k) (i) and 89 to 91 of CRR Qualifying holdings are defined as ‘direct or indirect holding in an undertaking which represents 10 % or more of the capital or of the voting rights or which makes it possible to exercise a significant influence over the management of that undertaking’. According to Article 36(1) point (k) (i) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250 %. |
460 |
1.1.1.18 (-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight Articles 36(1) point (k) (ii), 243(1) point (b), 244(1) point (b), 258 and 266(3) of CRR 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 CRR). In the latter case, they shall be reported in this item. |
470 |
1.1.1.19 (-) Free deliveries which can alternatively be subject to a 1,250 % risk weight Articles 36(1) point (k) (iii) and 379(3) of CRR Free deliveries are subject to a 1 250 % risk weight after 5 days post second contractual payment or delivery leg until the extinction of the transaction, according to the own funds requirements for settlement risk. Alternatively, they are allowed to be deducted from CET1 (Article 36(1) point (k) (iii) of CRR). In the latter case, they shall be reported in this item. |
471 |
1.1.1.20 (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1,250 % risk weight Articles 36(1) point (k) (iv) and 153(8) of CRR According to Article 36(1) point (k) (iv) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250 %. |
472 |
1.1.1.21 (-) Equity exposures under an internal models approach which can alternatively be subject to a 1,250 % risk weight Articles 36(1) point (k) (v) and 155(4) of CRR According to Article 36(1) point (k) (v) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250 %. |
480 |
1.1.1.22 (-) CET1 instruments of financial sector entities where the institution does not have a significant investment Articles 4(1)(27), 36(1) point (h); 43 to 46, 49 (2) and (3) and 79 of CRR Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from CET1 See alternatives to deduction when consolidation is applied (Article 49(2) and (3)) |
490 |
1.1.1.23 (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences Articles 36(1) point (c); 38 and 48(1) point (a) of CRR Part of deferred tax assets that rely in future profitability and arise from temporary differences (net of the part of associated deferred tax liabilities allocated to deferred tax assets that arise from temporary differences, according to article 38(5) point (b) of CRR) which has to be deducted, applying the 10 % threshold in article 48(1) point (a) of CRR. |
500 |
1.1.1.24 (-) CET1 instruments of financial sector entities where the institution has a significant investment Articles 4(1)(27); 36(1) point (i); 43, 45; 47; 48(1) point (b); 49(1) to (3) and 79 of CRR Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 10 % threshold in Article 48(1) point (b) of CRR. See alternatives to deduction when consolidation is applied (article 49(1), (2) and (3)). |
510 |
1.1.1.25 (-) Amount exceeding the 17,65 % threshold Article 48(1) of CRR Part of deferred tax assets that rely in future profitability and arise from temporary differences, and direct and indirect holdings by the institution of the CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 17,65 % threshold in Article 48(1) of CRR. |
520 |
1.1.1.26 Other transitional adjustments to CET1 Capital Articles 469 to 472, 478 and 481 of CRR Adjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5. |
524 |
1.1.1.27 (-) Additional deductions of CET1 Capital due to Article 3 CRR Article 3 CRR |
529 |
1.1.1.28 CET1 capital elements or deductions — other This row is invented 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 respective a deduction of a CET1 element cannot be assigned to one of the rows 020 to 524. This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR). |
530 |
1.1.2 ADDITIONAL TIER 1 CAPITAL Article 61 of CRR |
540 |
1.1.2.1 Capital instruments eligible as AT1 Capital Articles 51 point (a), 52 to 54, 56 point (a) and 57 of CRR |
550 |
1.1.2.1.1 Paid up capital instruments Articles 51 point (a) and 52 to 54 of CRR The amount to be reported shall not include the share premium related to the instruments |
560 |
1.1.2.1.2 (*) Memorandum item: Capital instruments not eligible Article 52(1) points (c), (e) and (f) of CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments |
570 |
1.1.2.1.3 Share premium Article 51 point (b) of CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’. |
580 |
1.1.2.1.4 (-) Own AT1 instruments Articles 52(1) point (b), 56 point (a) and 57 of CRR Own AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 57 of CRR. Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.1.2.1.4 to 1.1.2.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own AT1 instruments are reported separately in item 1.1.2.1.5. |
590 |
1.1.2.1.4.1 (-) Direct holdings of AT1 instruments Articles 4(1)(114) 52 (1) point (b), 56 point (a) and 57 of CRR Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group. |
620 |
1.1.2.1.4.2 (-) Indirect holdings of AT1 instruments Articles 52(1) point (b) (ii), 56 point (a) and 57of CRR |
621 |
1.1.2.1.4.3 (-) Synthetic holdings of AT1 instruments Articles 4(1)(126), 52(1) point (b), 56 point (a) and 57 of CRR |
622 |
1.1.2.1.5 (-) Actual or contingent obligations to purchase own AT1 instruments Articles 56 point (a) and 57 of CRR According to Article 56 point (a) of CRR, ‘own Additional Tier 1 instruments that an institution could be obliged to purchase as a result of existing contractual obligations’ shall be deducted. |
660 |
1.1.2.2 Transitional adjustments due to grandfathered AT1 Capital instruments Articles 483(4) and (5), 484 to 487, 489 and 491 of CRR Amount of capital instruments transitionally grandfathered as AT1. The amount to be reported is directly obtained from CA5. |
670 |
1.1.2.3 Instruments issued by subsidiaries that are given recognition in AT1 Capital Articles 83, 85 and 86 of CRR Sum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated AT1. Qualifying AT1 capital issued by a special purpose entity (Article 83 of CRR) shall be included. |
680 |
1.1.2.4 Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries Article 480 of CRR Adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions. This item is obtained directly from CA5. |
690 |
1.1.2.5 (-) Reciprocal cross holdings in AT1 Capital Articles 4(1)(122), 56 point (b) and 58 of CRR Holdings in AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Additional Tier 1 own-fund insurance items. |
700 |
1.1.2.6 (-) AT1 instruments of financial sector entities where the institution does not have a significant investment Articles 4(1)(27), 56 point (c); 59, 60 and 79 of CRR Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from AT1 |
710 |
1.1.2.7 (-) AT1 instruments of financial sector entities where the institution has a significant investment Articles 4(1)(27), 56 point (d), 59 and 79 of CRR Holdings by the institution of AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment are completely deducted |
720 |
1.1.2.8 (-) Excess of deduction from T2 items over T2 Capital Article 56 point (e) of CRR The amount to be reported is directly taken from CA 1 item ‘Excess of deduction from T2 items over T2 Capital (deducted in AT1). |
730 |
1.1.2.9 Other transitional adjustments to AT1 Capital Articles 474, 475, 478 and 481 of CRR Adjustments due to transitional provisions. The amount to be reported is directly obtained from CA5. |
740 |
1.1.2.10 Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) Article 36(1) point (j) of CRR Additional Tier 1 cannot be negative, but it is possible that AT1 deductions are greater than AT1 Capital plus related share premium. When this happens, AT1 has to be equal to zero, and the excess of AT1 deductions has to be deducted from CET1. With this item, it is achieved that the sum of items 1.1.2.1 to 1.1.2.12 is never lower than zero. Then, if this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure. |
744 |
1.1.2.11 (-) Additional deductions of AT1 Capital due to Article 3 CRR Article 3 CRR |
748 |
1.1.2.12 AT1 capital elements or deductions — other This row is invented 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 respective a deduction of an AT1 element cannot be assigned to one of the rows 530 to 744. This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR)! |
750 |
1.2 TIER 2 CAPITAL Article 71 of CRR |
760 |
1.2.1 Capital instruments and subordinated loans eligible as T2 Capital Articles 62 point (a), 63 to 65, 66 point (a), and 67 of CRR |
770 |
1.2.1.1 Paid up capital instruments and subordinated loans Articles 62 point (a), 63 and 65 of CRR The amount to be reported shall not include the share premium related to the instruments |
780 |
1.2.1.2 (*)Memorandum item: Capital instruments and subordinated loans not eligible Article 63 points (c), (e) and (f); and article 64 of CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments |
790 |
1.2.1.3 Share premium Articles 62 point (b) and 65 of CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’. |
800 |
1.2.1.4 (-) Own T2 instruments Article 63 point (b) (i), 66 point (a), and 67 of CRR Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 67 of CRR. Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.2.1.4 to 1.2.1.4.3 do not include actual or contingent obligations to purchase own T2 instruments. Actual or contingent obligations to purchase own T2 instruments are reported separately in item 1.2.1.5. |
810 |
1.2.1.4.1 (-) Direct holdings of T2 instruments Articles 63 point (b), 66 point (a) and 67 of CRR Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group. |
840 |
1.2.1.4.2 (-) Indirect holdings of T2 instruments Articles 4(1)(114), 63 point (b), 66 point (a) and 67 of CRR |
841 |
1.2.1.4.3 (-) Synthetic holdings of T2 instruments Articles 4(1)(126), 63 point (b), 66 point (a) and 67 of CRR |
842 |
1.2.1.5 (-) Actual or contingent obligations to purchase own T2 instruments Articles 66 point (a) and 67 of CRR According to Article 66 point (a) of CRR, ‘own Tier 2 instruments that an institution could be obliged to purchase as a result of existing contractual obligations’ shall be deducted. |
880 |
1.2.2 Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans Articles 483(6) and (7), 484, 486, 488, 490 and 491 of CRR Amount of capital instruments transitionally grandfathered as T2. The amount to be reported is directly obtained from CA5. |
890 |
1.2.3 Instruments issued by subsidiaries that are given recognition in T2 Capital Articles 83, 87 and 88 of CRR Sum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2. Qualifying Tier 2 capital issued by a special purpose entity (Article 83 of CRR) shall be included. |
900 |
1.2.4 Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries Article 480 of CRR Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions. This item is obtained directly from CA5. |
910 |
1.2.5 IRB Excess of provisions over expected losses eligible Article 62 point (d) of CRR For institutions calculating risk-weighted exposure amounts in accordance with IRB approach, this item contains the positive amounts resulting from comparing the provisions and expected losses which are eligible as T2 capital. |
920 |
1.2.6 SA General credit risk adjustments Article 62 point (c) of CRR For institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item contains the general credit risk adjustments eligible as T2 capital. |
930 |
1.2.7 (-) Reciprocal cross holdings in T2 Capital Articles 4(1)(122), 66 point (b) and 68 of CRR Holdings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution. The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 2 and Tier 3 own-fund insurance items. |
940 |
1.2.8 (-) T2 instruments of financial sector entities where the institution does not have a significant investment Articles 4(1)(27), 66 point (c), 68 to 70 and 79 of CRR Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from T2. |
950 |
1.2.9 (-) T2 instruments of financial sector entities where the institution has a significant investment Articles 4(1)(27), 66 point (d), 68, 69 and 79 of CRR Holdings by the institution of T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment shall be completely deducted. |
960 |
1.2.10 Other transitional adjustments to T2 Capital Articles 476 to 478 and 481 of CRR Adjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5. |
970 |
1.2.11 Excess of deduction from T2 items over T2 Capital (deducted in AT1) Article 56 point (e) of CRR Tier 2 cannot be negative, but it is possible that T2 deductions are greater than T2 Capital plus related share premium. When this happens, T2 shall be equal to zero, and the excess of T2 deductions shall be deducted from AT1. With this item, the sum of items 1.2.1 to 1.2.13 is never lower than zero. If this item shows a positive figure, item 1.1.2.8 shall be the inverse of that figure. |
974 |
1.2.12 (-) Additional deductions of T2 Capital due to Article 3 CRR Article 3 CRR |
978 |
1.2.13 T2 capital elements or deductions — other This row is invented 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 T2 capital element respective a deduction of a T2 element cannot be assigned to one of the rows 750 to 974. This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR). |
1.3. C 02.00 — OWN FUNDS REQUIREMENTS (CA2)
1.3.1. Instructions concerning specific positions
Row |
Legal references and instructions |
010 |
1. TOTAL RISK EXPOSURE AMOUNT Articles 92(3), 95, 96 and 98 of CRR |
020 |
1* Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR For investment firms under Article 95(2) and Article 98 of CRR |
030 |
1** Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR For investment firms under Article 96(2) and Article 97 of CRR |
040 |
1.1 RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES Article 92(3) points (a) and (f) of CRR |
050 |
1.1.1 Standardised approach (SA) CR SA and SEC SA templates at the level of total exposures. |
060 |
1.1.1.1 SA exposure classes excluding securitisations positions CR SA template at the level of total exposures. The SA exposure classes are those mentioned in Article 112 of CRR excluding securitisation positions. |
070 |
1.1.1.1.01 Central governments or central banks See CR SA template |
080 |
1.1.1.1.02 Regional governments or local authorities See CR SA template |
090 |
1.1.1.1.03 Public sector entities See CR SA template |
100 |
1.1.1.1.04 Multilateral Development Banks See CR SA template |
110 |
1.1.1.1.05 International Organisations See CR SA template |
120 |
1.1.1.1.06 Institutions See CR SA template |
130 |
1.1.1.1.07 Corporates See CR SA template |
140 |
1.1.1.1.08 Retail See CR SA template |
150 |
1.1.1.1.09 Secured by mortgages on immovable property See CR SA template |
160 |
1.1.1.1.10 Exposures in default See CR SA template |
170 |
1.1.1.1.11 Items associated with particular high risk See CR SA template |
180 |
1.1.1.1.12 Covered bonds See CR SA template |
190 |
1.1.1.1.13 Claims on institutions and corporate with a short-term credit assessment See CR SA template |
200 |
1.1.1.1.14 Collective investments undertakings (CIU) See CR SA template |
210 |
1.1.1.1.15 Equity See CR SA template |
211 |
1.1.1.1.16 Other items See CR SA template |
220 |
1.1.1.2 Securitisations positions SA CR SEC SA template at the level of total securitisation types |
230 |
1.1.1.2.* Of which: resecuritisation CR SEC SA template at the level of total securitisation types |
240 |
1.1.2 Internal ratings based Approach (IRB) |
250 |
1.1.2.1 IRB approaches when neither own estimates of LGD nor Conversion Factors are used CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are not used) |
260 |
1.1.2.1.01 Central governments and central banks See CR IRB template |
270 |
1.1.2.1.02 Institutions See CR IRB template |
280 |
1.1.2.1.03 Corporates — SME See CR IRB template |
290 |
1.1.2.1.04 Corporates – Specialised Lending See CR IRB template |
300 |
1.1.2.1.05 Corporates – Other See CR IRB template |
310 |
1.1.2.2 IRB approaches when own estimates of LGD and/or Conversion Factor are used CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are used) |
320 |
1.1.2.2.01 Central governments and central banks See CR IRB template |
330 |
1.1.2.2.02 Institutions See CR IRB template |
340 |
1.1.2.2.03 Corporates — SME See CR IRB template |
350 |
1.1.2.2.04 Corporates – Specialised Lending See CR IRB template |
360 |
1.1.2.2.05 Corporates – Other See CR IRB template |
370 |
1.1.2.2.06 Retail – secure by real estate SME See CR IRB template |
380 |
1.1.2.2.07 Retail – secure by real estate non-SME See CR IRB template |
390 |
1.1.2.2.08 Retail – Qualifying revolving See CR IRB template |
400 |
1.1.2.2. 09 Retail – Other SME See CR IRB template |
410 |
1.1.2.2.10 Retail – Other non-SME See CR IRB template |
420 |
1.1.2.3 Equity IRB See CR EQU IRB template |
430 |
1.1.2.4 Securitisations positions IRB CR SEC IRB template at the level of total securitisation types |
440 |
1.1.2.4* Of which: resecuritisation CR SEC IRB template at the level of total securitisation types |
450 |
1.1.2.5 Other non credit-obligation assets The amount to be reported is the risk weighted exposure amount as calculated according to Article 156 of CRR. |
460 |
1.1.3 Risk exposure amount for contributions to the default fund of a CCP Articles 307 to 309 of CRR |
490 |
1.2 TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY Articles 92(3) point (c) (ii) and 92(4) point (b) of CRR |
500 |
1.2.1 Settlement/delivery risk in the non-Trading book See CR SETT template |
510 |
1.2.2 Settlement/delivery risk in the Trading book See CR SETT template |
520 |
1.3 TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS Articles 92(3) points (b) (i) and (c) (i) and (iii), and 92(4) point (b) of CRR |
530 |
1.3.1 Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA) |
540 |
1.3.1.1 Traded debt instruments MKR SA TDI template at the level of total currencies. |
550 |
1.3.1.2 Equity MKR SA EQU template at the level of total national markets. |
555 |
1.3.1.3 Particular approach for position risk in CIUs Articles 348(1), 350 (3) c) and 364 (2) a) CRR Total risk exposure amount for positions in CIUs if capital requirements are calculated according to Article 348(1) CRR either immediately or as a consequence of the cap defined in Article 350(3) c) CRR. The CRR does not explicitly assign those positions to either the interest rate risk or the equity risk. If the particular approach according to Article 348(1) sentence 1 of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question, multiplied by 12,5. If the particular approach according to Article 348(1) sentence 2 of CRR is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure, multiplied by 12,5 respectively. |
556 |
1.3.1.3.* Memo item: CIUs exclusively invested in traded debt instruments Total risk exposure amount for positions in CIUs if the CIU is invested exclusively in instruments subject to interest rate risk. |
557 |
1.3.1.3.** CIUs invested exclusively in equity instruments or in mixed instruments Total risk exposure amount for positions in CIUs if the CIU is invested either exclusively in instruments subject to equity risk or in mixed instruments or if the constituents of the CIU are unknown. |
560 |
1.3.1.4 Foreign Exchange See MKR SA FX template |
570 |
1.3.1.5 Commodities See MKR SA COM template |
580 |
1.3.2 Risk exposure amount for positions, foreign exchange and commodity risks under internal models (IM) See MKR IM template |
590 |
1.4 TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR) Article 92(3) point (e) and 92(4) point (b) of CRR For investment firms under Article 95(2), Article 96(2) and Article 98 of CRR this element shall be zero. |
600 |
1.4.1 OpR Basic Indicator approach (BIA) See OPR template |
610 |
1.4.2 OpR Standardised (TSA)/Alternative Standardised (ASA) approaches See OPR template |
620 |
1.4.3 OpR Advanced measurement approaches (AMA) See OPR template |
630 |
1.5 ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS Articles 95(2), 96(2), 97 and 98(1) point (a) of CRR Only for investment firms under Article 95(2), Article 96(2) and Article 98 of CRR. See also Article 97 of CRR Investment firms under Article 96 of CRR shall report the amount referred to in Article 97 multiplied by 12.5. Investment firms under Article 95 of CRR shall report: — If the amount referred to in article 95(2) point (a) of CRR is greater than the amount referred to in article 95(2) point (b) of CRR, the amount to be reported is zero. — If the amount referred to in article 95(2) point (b) of CRR is greater than the amount referred to in article 95(2) point (a) of CRR, the amount to be reported is the result of subtracting the latter amount from the former. |
640 |
1.6 TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT Article 92(3) point (d) of CRR See CVA template. |
650 |
1.6.1 Advanced method Own funds requirements for credit valuation adjustment risk according to Article 383 of CRR. See CVA template. |
660 |
1.6.2 Standardised method Own funds requirements for credit valuation adjustment risk according to Article 384 of CRR. See CVA template. |
670 |
1.6.3. Based on OEM Own funds requirements for credit valuation adjustment risk according to Article 385 of CRR. See CVA template. |
680 |
1.7 TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK Articles 92(3) point (b) (ii) and 395 to 401 of CRR |
690 |
1.8 OTHER RISK EXPOSURE AMOUNTS Articles 3, 458 and 459 of CRR and risk exposure amounts which cannot be assigned to one of the items from 1.1 to 1.7. Institutions shall report the amounts needed to comply with the following: — Stricter prudential requirements imposed by the Commission, in accordance with Article 458 and 459 of CRR — Additional risk exposure amounts due to Article 3 CRR This item does not have a link to a details template. |
710 |
1.8.2 Of which: Additional stricter prudential requirements based on Art 458 Article 458 of CRR |
720 |
1.8.2* Of which: requirements for large exposures Article 458 of CRR |
730 |
1.8.2** Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property Article 458 of CRR |
740 |
1.8.2*** Of which: Of which: due to intra financial sector exposures Article 458 of CRR |
750 |
1.8.3 Of which: Additional stricter prudential requirements based on Art 459 Article 459 of CRR |
760 |
1.8.4 Of which: Additional risk exposure amount due to Article 3 CRR Article 3 CRR The additional risk exposure amount has to be reported. shall only include the additional amounts (e.g. if an exposure of 100 has a risk-weight of 20 % and the institutions applies a risk weight of 50 % based on article 3 CRR, the amount to be reported is 30). |
1.4. C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
1.4.1. Instructions concerning specific positions
Rows |
|
010 |
1 CET1 Capital ratio Article 92(2) point (a) of CRR The CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount. |
020 |
2 Surplus(+)/Deficit(-) of CET1 capital This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirement set in Article 92(1) point (a) of CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio. |
030 |
3 T1 Capital ratio Article 92(2) point (b) of CRR The T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount. |
040 |
4 Surplus(+)/Deficit(-) of T1 capital This item shows, in absolute figures, the amount of T1 capital surplus or deficit relating to the requirement set in Article 92(1) point (b) of CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio. |
050 |
5 Total capital ratio Article 92(2) point (c) of CRR The total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount. |
060 |
6 Surplus(+)/Deficit(-) of total capital This item shows, in absolute figures, the amount of own funds surplus or deficit relating to the requirement set in Article 92(1) point (c) of CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio. |
070 |
CET1 capital ratio including Pillar II adjustments Article 92(2) point (a) of CRR and Article 104(2) CRD IV This cell only has to be populated if a decision of a competent authority has an impact on the CET1 capital ratio. |
080 |
Target CET1 capital ratio due to Pillar II adjustments Article 104(2) CRD IV This cell only has to be populated if a competent authority decides that an institution has to meet a higher target CET1capital ratio. |
090 |
T1 capital ratio including Pillar II adjustments Article 92(2) point (b) of CRR and Article 104(2) CRD IV This cell only has to be populated if a decision of a competent authority has an impact on the T1 capital ratio. |
100 |
Target T1 capital ratio due to Pillar II adjustments Article 104(2) CRD IV This cell only has to be populated if a competent authority decides that an institution has to meet a higher target T1 capital ratio. |
110 |
Total capital ratio including Pillar II adjustments Article 92(2) point (c) of CRR and Article 104(2) CRD IV This cell only has to be populated if a decision of a competent authority has an impact on the total capital ratio. |
120 |
Target Total capital ratio due to Pillar II adjustments Article 104(2) CRD IV This cell only has to be populated if a competent authority decides that an institution has to meet a higher target total capital ratio. |
1.5. C 04.00 — MEMORANDUM ITEMS (CA4)
1.5.1. Instructions concerning specific positions
Rows |
|
010 |
1. Total deferred tax assets The amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet. |
020 |
1.1 Deferred tax assets that do not rely on future profitability Article 39 of CRR Deferred tax assets that do not rely on future profitability, and thus are subject to the application of a risk weight. |
030 |
1.2 Deferred tax assets that rely on future profitability and do not arise from temporary differences Articles 36(1) point (c) and 38 of CRR Deferred tax assets that rely on future profitability, but do not arise from temporary differences, and thus are not subject to any threshold (i.e. are completely deducted from CET1). |
040 |
1.3 Deferred tax assets that rely on future profitability and arise from temporary differences Articles 36(1) point (c); 38 and 48(1) point (a) of CRR Deferred tax assets that rely on future profitability and arise from temporary differences, and thus, their deduction from CET1 is subject to 10 % and 17,65 % thresholds in Article 48 of CRR. |
050 |
2. Total deferred tax liabilities The amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet. |
060 |
2.1 Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability Article 38(3) and (4) of CRR Deferred tax liabilities for which conditions in Article 38(3) and (4) of CRR are not met. Hence, this item shall include the deferred tax liabilities that reduce the amount of goodwill, other intangible assets or defined benefit pension fund assets required to be deducted, which are reported, respectively, in CA1 items 1.1.1.10.3, 1.1.1.11.2 and 1.1.1.14.2. |
070 |
2.2 Deferred tax liabilities deductible from deferred tax assets that rely on future profitability Article 38 of CRR |
080 |
2.2.1 Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences Article 38(3), (4) and (5) of CRR Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are not allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR |
090 |
2.2.2 Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences Article 38(3), (4) and (5) of CRR Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR |
100 |
3. IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR This item shall only be reported by IRB institutions. |
110 |
3.1 Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount Article 159 of CRR This item shall only be reported by IRB institutions. |
120 |
3.1.1 General credit risk adjustments Article 159 of CRR This item shall only be reported by IRB institutions. |
130 |
3.1.2 Specific credit risk adjustments Article 159 of CRR This item shall only be reported by IRB institutions. |
131 |
3.1.3 Additional value adjustments and other own funds reductions Articles 34, 110 and 159 of CRR This item shall only be reported by IRB institutions. |
140 |
3.2 Total expected losses eligible Articles 158(5), (6) and (10), and 159 of CRR This item shall only be reported by IRB institutions. Only the expected loss related to non defaulted exposures shall be reported. |
145 |
4. IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR This item shall only be reported by IRB institutions. |
150 |
4.1 Specific credit risk adjustments and positions treated similarily Article 159 of CRR This item shall only be reported by IRB institutions. |
155 |
4.2 Total expected losses eligible Articles 158(5), (6) and (10), and 159 of CRR This item shall only be reported by IRB institutions. Only the expected loss related to defaulted exposures shall be reported. |
160 |
5 Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2 Article 62 point (d) of CRR For IRB institutions, according to Article 62 point (d) of CRR, 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. The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 0,6 %) which is the base for calculating the cap. |
170 |
6 Total gross provisions eligible for inclusion in T2 capital Article 62 point (c) of CRR This item includes the general credit risk adjustments that are eligible for inclusion in T2 capital, before cap. The amount to be reported shall be gross of tax effects. |
180 |
7 Risk weighted exposure amounts for calculating the cap to the provision eligible as T2 Article 62 point (c) of CRR According to Article 62 point (c) of CRR, the credit risk adjustments eligible for inclusion in Tier 2 capital is capped at 1,25 % of risk-weighted exposure amounts. The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 1,25 %) which is the base for calculating the cap. |
190 |
8 Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment Article 46(1) point (a) of CRR This item contains the threshold up to which holdings in a financial sector entity where an institution does not have a significant investment are not deducted. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %. |
200 |
9 10 % CET1 threshold Article 48(1) points (a) and (b) of CRR This item contains the 10 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %. |
210 |
10 17,65 % CET1 threshold Article 48(1) of CRR This item contains the 17,65 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences, to be applied after the 10 % threshold. The threshold is calculated so that the amount of the two items that is recognised must not exceed 15 % of the Common Equity Tier 1 capital, calculated after all deductions, not including any adjustment due to transitional provisions. |
225 |
11.1 Eligible capital for the purposes of qualifying holdings outside the financial sector Article 4(1)(71)(a) |
226 |
11.2 Eligible capital for the purposes of large exposures Article 4(1)(71)(b) |
230 |
12 Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 44 to 46 and 49 of CRR |
240 |
12.1 Direct holdings of CET1 capital 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 CRR |
250 |
12.1.1 Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 44, 46 and 49 of CRR Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer; b) The amounts relating to the investments for which any alternative in article 49 is applied; and c) Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR |
260 |
12.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 45 of CRR Article 45 of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
270 |
12.2 Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(114), 44 and 45 of CRR |
280 |
12.2.1 Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(114), 44 and 45 of CRR The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included |
290 |
12.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Articles 4(1)(114) and 45 of CRR Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
291 |
12.3.1 Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 44 and 45 of CRR |
292 |
12.3.2 Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 44 and 45 of CRR |
293 |
12.3.3 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 45 of CRR |
300 |
13 Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 58 to 60 of CRR |
310 |
13.1 Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 58, 59 and 60(2) of CRR |
320 |
13.1.1 Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 58 and 60(2) of CRR Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer; and b) Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR |
330 |
13.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 59 of CRR Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
340 |
13.2 Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(114), 58 and 59 of CRR |
350 |
13.2.1 Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(114), 58 and 59 of CRR The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included |
360 |
13.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Articles 4(1)(114) and 59 of CRR Article 59 (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
361 |
13.3 Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 58 and 59 of CRR |
362 |
13.3.1 Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 58 and 59 of CRR |
363 |
13.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 59 of CRR |
370 |
14. Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 68 to 70 of CRR |
380 |
14.1 Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 68, 69 and 70(2) of CRR |
390 |
14.1.1 Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 68 and 70(2) of CRR Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer; and b) Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR |
400 |
14.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 69 of CRR Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
410 |
14.2 Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment Article 4(1)(114), 68 and 69 of CRR |
420 |
14.2.1 Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(114), 68 and 69 of CRR The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included |
430 |
14.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Articles 4(1)(114) and 69 of CRR Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
431 |
14.3 Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 68 and 69 of CRR |
432 |
14.3.1 Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 68 and 69 of CRR |
433 |
14.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 69 of CRR |
440 |
15 Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions Articles 44, 45, 47 and 49 of CRR |
450 |
15.1 Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 44, 45, 47 and 49 of CRR |
460 |
15.1.1 Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 44, 45, 47 and 49 of CRR Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer; b) The amounts relating to the investments for which any alternative in article 49 is applied; and c) Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR |
470 |
15.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 45 of CRR Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
480 |
15.2 Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 44 and 45 of CRR |
490 |
15.2.1 Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 44 and 45 of CRR The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included. |
500 |
15.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Articles 4(1)(114) and 45 of CRR Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
501 |
15.3 Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 44 and 45 of CRR |
502 |
15.3.1 Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 44 and 45 of CRR |
503 |
15.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 45 of CRR |
510 |
16 Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions Articles 58 and 59 of CRR |
520 |
16.1 Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 58 and 59 of CRR |
530 |
16.1.1 Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment Article 58 of CRR Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer (Article 56 point (d); and b) Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR |
540 |
16.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 59 of CRR Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
550 |
16.2 Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 58 and 59 of CRR |
560 |
16.2.1 Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 58 and 59 of CRR The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included. |
570 |
16.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Article 4(1)(114) and 59 of CRR Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
571 |
16.3 Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 58 and 59 of CRR |
572 |
16.3.1 Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 58 and 59 of CRR |
573 |
16.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 59 of CRR |
580 |
17 Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions Articles 68 and 69 of CRR |
590 |
17.1 Direct holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 68 and 69 of CRR |
600 |
17.1.1 Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment Article 68 of CRR Direct holdings of T2 capital of financial sector entities where the institution has a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer (Article 66 point (d); and b) Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR |
610 |
17.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 69 of CRR Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
620 |
17.2 Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 68 and 69 of CRR |
630 |
17.2.1 Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 68 and 69 of CRR The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included |
640 |
17.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Articles 4(1)(114), 69 of CRR Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
641 |
17.3 Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 68 and 69 of CRR |
642 |
17.3.1 Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 68 and 69 of CRR |
643 |
17.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 69 of CRR |
650 |
18 Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution’s CET1 capital Article 46(4), 48(4) and 49(4) of CRR |
660 |
19 Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution’s AT1 capital Article 60(4) of CRR |
670 |
20 Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution’s T2 capital Article 70(4) of CRR |
680 |
21 Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, 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 12.1. |
690 |
22 Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, 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 15.1. |
700 |
23 Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 13.1. |
710 |
24 Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 16.1. |
720 |
25 Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis 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 these instruments shall also be reported on item 14.1. |
730 |
26 Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis 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 these instruments shall also be reported on item 17.1. |
740 |
27 Combined buffer requirement Article 128 point (6) of CRD |
750 |
Capital conservation buffer Articles 128 point (1) and 129 of CRD According to Article 129(1) 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. |
760 |
Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State Article 458(2) point d (iv) of CRR In this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 CRR in addition to the capital conservation buffer shall be reported. |
770 |
Institution specific countercyclical capital buffer Articles 128 point (2), 130, 135-140 of CRD |
780 |
Systemic risk buffer Articles 128 point (5), 133 and 134 of CRD |
790 |
Systemically important institution buffer Article 131 of CRD Institutions shall report the amount of the Systemically important institution buffer which is applicable on a consolidated basis. |
800 |
Global Systemically Important Institution buffer Articles 128 point (3) and 131 of CRD |
810 |
Other Systemically Important Institution buffer Articles 128 point (4) and 131 of CRD |
820 |
28 Own funds requirements related to Pillar II adjustments Article 104(2) of CRD. If a competent authority decides that an institution has to calculate additional own funds requirements for Pillar II reasons, those additional own funds requirements shall be reported in this cell. |
830 |
29 Initial capital Articles 12, 28 to 31of CRD and Article 93 of CRR |
840 |
30 Own funds based on Fixed Overheads Articles 96(2) point (b), 97 and 98(1) point (a) of CRR |
850 |
31 Non-domestic original exposures Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of ITS. The calculation of the threshold shall be done at the basis of the original exposure pre conversion factor. Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. |
860 |
32 Total original exposures Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of ITS. The calculation of the threshold shall be done at the basis of the original exposure pre conversion factor. Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. |
870 |
Adjustments to total own funds Article 500(4) of CRR The difference between the amount reported in position 880 and the total own funds pursuant to CRR has to be reported in this position. If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty. |
880 |
Own funds fully adjusted for Basel I floor Article 500(4) of CRR Total own funds pursuant to CRR adjusted as required by Article 500(4) of CRR (i.e. fully adjusted to reflect differences in the calculation of own funds under Directive 93/6/EEC and Directive 2000/12/EC as those Directives stood prior to 1 January 2007 and the calculation of own funds under CRR deriving from the separate treatments of expected loss and unexpected loss under Part Three, Title II, Chapter 3, of CRR) have to be reported in this position. If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty. |
890 |
Own funds requirements for Basel I floor Article 500(1) point (b) of CRR The amount of own funds required by Article 500(1)(b) of CRR to be hold (i.e. 80 % of the total minimum amount of own funds that the institution would be required to hold under Article 4 of Directive 93/6/EEC as that Directive and Directive 2000/12/EC of the European Parliament and of the Council of 20 March 2000 relating to the taking up and pursuit of the business of credit institutions as those Directives stood prior to January 2007) has to be reported in this position. |
900 |
Own funds requirements for Basel I floor — SA alternative Article 500(2) and (3) of CRR The amount of own funds required by Article 500(2) of CRR to be hold (i.e. 80 % of the own funds that the institution would be required to hold under Article 92 calculating risk-weighted exposure amounts in accordance with Part Three, Title II, Chapter 2, and Part Three, Title III, Chapter 2 or 3 of CRR, as applicable, instead of in accordance with Part Three, Title II, Chapter 3, or Part Three, Title III, Chapter 4 of CRR, as applicable) has to be reported in this position. |
910 |
Deficit of total own funds as regards the own funds requirements of the Basel I floor or SA alternative Articles 500(1) point (b) and 500 (2) CRR This row has to be filled with: — if Article 500(1)(b) CRR is applied and row 880 < row 890: the difference between row 890 and row 880 — or if Article 500(2) CRR is applied and row 010 of C 01.00 < row 900 of C 04.00: the difference between row 900 of C 04.00 and row 010 of C 01.00 |
1.6. TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5)
1.6.1. General remarks
15. CA5 summarizes the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491 of CRR.
16. CA5 is structured as follows:
a. Template 5.1 summarizes the total adjustments which need to be made to the different components of own funds (reported in CA1 according to the final provisions) as a consequence of the application of the transitional provisions. The elements of this table are presented as ‘adjustments’ to the different capital components in CA1, in order to reflect in own funds components the effects of the transitional provisions.
b. Template 5.2 provides further details on the calculation of those grandfathered instruments which do not constitute state aid.
17. Institutions shall report in the first four columns the adjustments to Common Equity Tier 1 capital, Additional Tier 1 capital and Tier 2 capital as well as the amount to be treated as risk weighted assets. Institutions are also required to report the applicable percentage in column 050 and the eligible amount without the recognition of transitional provisions in column 060.
18. Institutions shall only report elements in CA5 during the period where transitional provisions in accordance with Part Ten of CRR apply.
19. Some of the transitional provisions require a deduction from Tier 1. If this is the case the residual amount of a deduction or deductions is applied to Tier 1 and there is insufficient AT1 to absorb this amount then the excess shall be deducted from CET1.
1.6.2. C 05.01 — Transitional provisions (CA5.1)
20. Institutions shall report in Table 5.1 the transitional provisions to own funds components as laid down in Articles 465 to 491 of CRR, compared to applying the final provisions laid down in Title II of Part Two of CRR.
21. Institutions shall report in rows 020 to 060 information in relation with the transitional provisions of grandfathered instruments. The figures to be reported in columns 010 to 030 of row 060 of CA 5.1 can be derived from the respective sections of CA 5.2.
22. Institutions shall report in rows 070 to 092 information in relation with 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 CRR).
23. In rows 100 onwards institutions shall report information in relation with the transitional provisions of unrealized gains and losses, deductions as well as additional filters and deductions.
24. There might be cases where the transitional deductions of CET1, AT1 or T2 capital exceed the CET1, AT1 or T2 capital of an institution. This 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 do not include any spill-over effects in the case of insufficient capital available.
1.6.2.1. Instructions concerning specific positions
Columns |
|
010 |
Adjustments to CET1 |
020 |
Adjustments to AT1 |
030 |
Adjustments to T2 |
040 |
Adjustments included in RWAs Column 040 includes the relevant residual amount, i.e. prior the application of provisions of Chapter 2 or 3 of Part Three of CRR. Whereas columns 010 to 030 have a direct link to the CA1 template, the adjustments included in RWA do not have a direct link to the relevant templates for credit risk. If there are adjustments stemming from the transitional provisions to the RWA, those adjustments shall be included directly in the CR SA, CR IRB or CR EQU IRB. Additionally, those effects shall be reported in column 040 of CA5.1. As a consequence, those amounts are only memorandum items. |
050 |
Applicable percentage |
060 |
Eligible amount without transitional provisions Column 060 includes the amount of each instrument prior the application of transitional provisions. I.e. the basis amount relevant to calculate the adjustments. |
Rows |
|
010 |
1. Total adjustments This row reflects the overall effect of transitional adjustments in the different types of capital, plus the risk weighted amounts arising from these adjustments |
020 |
1.1 Grandfathered instruments Articles 483 to 491 of CRR This row reflects the overall effect of instruments transitionally grandfathered in the different types of capital. |
030 |
1.1.1 Grandfathered instruments: Instruments constituting state aid Article 483 CRR |
040 |
1.1.1.1 Instruments that qualified as own funds according to 2006/48/EC Article 483(1) (2), (4) and (6) of CRR |
050 |
1.1.1.2 Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme Article 483(1), (3), (5), (7) and (8) of CRR |
060 |
1.1.2 Instruments not constituting state aid The amounts to be reported shall be obtained from column 060 of table CA 5.2. |
070 |
1.2 Minority interests and equivalents Articles 479 and 480 of CRR This row reflects the effects of transitional provisions in the minority interests eligible as CET1; the qualifying T1 instruments eligible as consolidated AT1; and the qualifying own funds eligible as consolidated T2. |
080 |
1.2.1 Capital instruments and items that do not qualify as minority interests Articles 479 of CRR The amount to be reported in column 060 of this row shall be the amount qualifying as consolidated reserves in accordance with prior regulation. |
090 |
1.2.2 Transitional recognition in consolidated own funds of minority interests Articles 84 and 480 of CRR The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions. |
091 |
1.2.3 Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital Article 85 and 480 of CRR The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions. |
092 |
1.2.4 Transitional recognition in consolidated own funds of qualifying Tier 2 capital Article 87 and 480 of CRR The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions. |
100 |
1.3 Other transitional adjustments Articles 467 to 478 and 481 of CRR This row reflects the overall effect of transitional adjustments in the deduction to different types of capital, unrealised gains and losses, additional filters and deductions plus the risk weighted amounts arising from these adjustments. |
110 |
1.3.1 Unrealised gains and losses Articles 467 and 468 of CRR This row reflects the overall effect of transitional provisions on unrealized gains and losses measured at fair value. |
120 |
1.3.1.1 Unrealised gains Article 468(1) of CRR |
130 |
1.3.1.2 Unrealised losses Article 467(1) of CRR |
133 |
1.3.1.3 Unrealised gains on exposures to central governments classified in the ‘Available for sale’ category of EU-endorsed IAS39 Article 468 of CRR |
136 |
1.3.1.4 Unrealised loss on exposures to central governments classified in the ‘Available for sale’ category of EU-endorsed IAS39 Article 467 of CRR |
138 |
1.3.1.5 Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities Article 468 of CRR |
140 |
1.3.2 Deductions Articles 36(1), 469 to 478 of CRR This row reflects the overall effect of transitional provisions on deductions. |
150 |
1.3.2.1. Losses for the current financial year Articles 36(1) point (a), 469 (1), 472 (3) and 478 of CRR The amount to be reported in column 060 of this row shall be the original deduction according to Article 36(1)(a) of CRR. Where firms have only been required to deduct material losses: — where the total interim net loss was ‘material’, the full residual amount would be deducted from Tier 1, or — where the whole total interim net loss was not ‘material’, no deduction of residual amount would be made. |
160 |
1.3.2.2. Intangible assets Articles 36(1) point (b), 469 (1), 472 (4) and 478 of CRR When determining the amount of intangible assets to be deducted, institutions shall take into account the provisions of Article 37 of CRR. The amount to be reported in column 060 of this row shall be the original deduction according to Article 36(1)(b) of CRR. |
170 |
1.3.2.3. Deferred tax assets that rely on future profitability and do not arise from temporary differences Articles 36(1) point (c), 469 (1), 472 (5) and 478 of CRR When determining the amount of the above-mentioned deferred tax assets (DTA) to be deducted, institutions shall take into account the provisions of Article 38 of CRR relating to the reduction of DTA by deferred tax liabilities. The amount to be reported in column 060 of this row: Total amount according to Article 469(1) c) of CRR. |
180 |
1.3.2.4. IRB shortfall of provisions to expected losses Articles 36(1) point (d), 469 (1), 472 (6) and 478 of CRR When determining the amount of the above-mentioned IRB shortfall of provisions to expected losses to be deducted, institutions shall take into account the provisions of Article 40 of CRR. The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(d) of CRR |
190 |
1.3.2.5. Defined benefit pension fund assets Articles 33(1) point (e), 469 (1), 472 (7), 473 and 478 of CRR When determining the amount of the above-mentioned defined benefit pension fund assets to be deducted, institutions shall take into account the provisions of Article 41 of CRR. The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(e) of CRR |
194 |
1.3.2.5.* of which: Introduction of amendments to IAS 19 – positive item Article 473 of CRR |
198 |
1.3.2.5.** of which: Introduction of amendments to IAS 19 – negative item Article 473 of CRR |
200 |
1.3.2.6. Own instruments Articles 36(1) point (f), 469 (1), 472 (8) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(f) of CRR |
210 |
1.3.2.6.1 Own CET1 instruments Articles 36(1) point (f), 469 (1), 472 (8) and 478 of CRR When determining the amount of the above-mentioned Own Common Equity Tier 1 instruments to be deducted, institutions shall take into account the provisions of Article 42 of CRR. Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument, institutions shall break down holdings in own Common Equity instruments according to ‘direct’ and ‘indirect’ holdings. The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(f) of CRR. |
211 |
1.3.2.6.1** of which: Direct holdings Article 469(1)(b), 472 (8) (a) of CRR The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation. |
212 |
1.3.2.6.1* of which: Indirect holdings Article 469(1)(b), 472 (8) (b) of CRR The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation. |
220 |
1.3.2.6.2 Own AT1 instruments Articles 56 point (a), 474, 475(2) and 478 of CRR When determining the amount of the above-mentioned holdings to be deducted, institutions shall take into account the provisions of Article 57 of CRR. Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument (Article 475(2) of CRR), institutions shall break down the above-mentioned holdings according to ‘direct’ and ‘indirect’ own Additional Tier 1 holdings. The amount to be reported in column 060 of this row: Original deduction according to Article 56 (a) of CRR. |
221 |
1.3.2.6.2** of which: Direct holdings The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 474 (b) and 475 (2) (a) of CRR. |
222 |
1.3.2.6.2* of which: Indirect holdings The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Article 474 (b), 475 (2) (b) of CRR. |
230 |
1.3.2.6.3 Own T2 instruments Articles 66 point (a), 476, 477(2) and 478 of CRR When determining the amount of the holdings to be deducted, institutions shall take into account the provisions of Article 67 of CRR. Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument (Article 477(2) of CRR), institutions shall break down the above-mentioned holdings according to ‘direct’ and ‘indirect’ own Tier 2 holdings. The amount to be reported in column 060 of this row: Original deduction0 according to Article 66 (a) of CRR. |
231 |
of which: Direct holdings The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 476 (b) and 477 (2) (a) of CRR |
232 |
of which: Indirect holdings The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 476 (b) and 477 (2) (b) of CRR |
240 |
1.3.2.7. Reciprocal cross holdings Given that the treatment of the ‘residual amount’ differs depending whether the holding of Common Equity Tier 1, Additional Tier 1 or Tier 2 in the financial sector entity is to be considered being significant or not (Articles 472(9), 475 (3) and 477 (3) of CRR), institutions shall break down reciprocal cross holdings according to significant investments and non-significant investments. |
250 |
1.3.2.7.1 Reciprocal cross holdings in CET1 Capital Articles 36(1) point (g), 469 (1), 472(9) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(g) of CRR |
260 |
1.3.2.7.1.1 Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment Articles 36(1) point (g), 469 (1), 472(9) point (a) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 469(1)(b) of CRR |
270 |
1.3.2.7.1.2 Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment Articles 36(1) point (g), 469 (1), 472(9) point (b) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 469(1)(b) of CRR |
280 |
1.3.2.7.2 Reciprocal cross holdings in AT1 Capital Articles 56 point (b), 474, 475(3) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 56 (b) of CRR |
290 |
1.3.2.7.2.1 Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment Articles 56 point (b), 474, 475(3) point (a) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 475(3) of CRR |
300 |
1.3.2.7.2.2 Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment Articles 56 point (b), 474, 475(3) point (b) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 475(3) of CRR |
310 |
1.3.2.7.3 Reciprocal cross holdings in T2 Capital Articles 66 point (b), 476, 477(3) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 66 (b) of CRR |
320 |
1.3.2.7.3.1 Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment Articles 66 point (b), 476, 477(3) point (a) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 477(3) of CRR |
330 |
1.3.2.7.3.2 Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment Articles 66 point (b), 476, 477(3) point (b) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 477(3) of CRR |
340 |
1.3.2.8. Own funds instruments of financial sector entities where the institution does not have a significant investment |
350 |
1.3.2.8.1 CET1 instruments of financial sector entities where the institution does not have a significant investment Articles 36(1) point (h), 469 (1), 472(10) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(h) of CRR |
360 |
1.3.2.8.2 AT1 instruments of financial sector entities where the institution does not have a significant investment Articles 56 point (c), 474, 475(4) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 56 (c) of CRR |
370 |
1.3.2.8.3 T2 instruments of financial sector entities where the institution does not have a significant investment Articles 66 point (c), 476, 477(4) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 66 (c) of CRR |
380 |
1.3.2.9 Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment Article 470(2) and (3) of CRR The amount to be reported in column 060 of this row: Article 470(1) of CRR |
390 |
1.3.2.10 Own funds instruments of financial sector entities where the institution has a significant investment |
400 |
1.3.2.10.1 CET1 instruments of financial sector entities where the institution has a significant investment Articles 36(1) point (i), 469 (1), 472(11) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(i) of CRR |
410 |
1.3.2.10.2 AT1 instruments of financial sector entities where the institution has a significant investment Articles 56 point (d), 474, 475(4) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 56 (d) of CRR |
420 |
1.3.2.10.2 T2 instruments of financial sector entities where the institution has a significant investment Articles 66 point (d), 476, 477(4) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 66 (d) of CRR |
425 |
1.3.2.11 Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items Article 471 of CRR |
430 |
1.3.3 Additional filters and deductions Article 481 of CRR This row reflects the overall effect of transitional provisions on additional filters and deductions. In accordance with Article 481 of CRR, institutions shall report in item 1.3.3 information relating to the filters and deductions required under the national transposition measures for Articles 57 and 66 of Directive 2006/48/EC and for Articles 13 and 16 of Directive 2006/49/EC, and which are not required in accordance with Part Two. |
1.6.3. C 05.02 — Grandfathered instruments: instruments not constituing state aid (CA5.2)
25. Institutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting state aid (Article 484 to 491 of CRR).
1.6.3.1. Instructions concerning specific positions
Columns |
|
010 |
Amount of instruments plus related share premium Article 484(3) to (5) of CRR Instruments which are eligible for each respective row, including their related share premiums. |
020 |
Base for calculating the limit Articles 486(2) to (4) of CRR |
030 |
Applicable percentage Article 486(5) of CRR |
040 |
Limit Article 486(2) to (5) of CRR |
050 |
(-) Amount that exceeds the limits for grandfathering Article 486(2) to (5) of CRR |
060 |
Total grandfathered amount The amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA 5.1. |
Rows |
|
010 |
1. Instruments that qualified for point (a) of Article 57 of 2006/48/EC Article 484(3) of CRR The amount to be reported shall include the related share premium accounts. |
020 |
2. Instruments that qualified for point (ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489 Article 484(4) of CRR |
030 |
2.1 Total instruments without a call or an incentive to redeem Article 489 of CRR The amount to be reported shall include the related share premium accounts. |
040 |
2.2 Grandfathered instruments with a call and incentive to redeem Article 489 of CRR |
050 |
2.2.1 Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 49 of CRR after the date of effective maturity Articles 489(3), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts. |
060 |
2.2.2 Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity Articles 489(5), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts. |
070 |
2.2.3 Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity Articles 489(6) and 491 point (c) of CRR The amount to be reported shall include the related share premium accounts |
080 |
2.3 Excess on the limit of CET1 grandfathered instruments Article 487(1) of CRR The excess on the limit of CET1 grandfathered instruments may be treated as instruments which can be grandfathered as AT1 instruments. |
090 |
3. Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490 Article 484(5) of CRR |
100 |
3.1 Total items without an incentive to redeem Article 490 of CRR |
110 |
3.2 Grandfathered items with an incentive to redeem Article 490 of CRR |
120 |
3.2.1 Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity Articles 490(3), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts. |
130 |
3.2.2 Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity Articles 490(5), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts. |
140 |
3.2.3 Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity Articles 490(6) and 491 point (c) of CRR The amount to be reported shall include the related share premium accounts. |
150 |
3.3 Excess on the limit of AT1 grandfathered instruments Article 487(2) of CRR The excess on the limit of AT1 grandfathered instruments may be treated as instruments which can be grandfathered as T2 instruments. |
2. GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
2.1. GENERAL REMARKS
26. Templates C 06.01 and C 06.02 shall be reported if own funds requirements are calculated on a consolidated basis. This template consists of four parts in order to gather different information on all individual entities (including the reporting institution) included in the scope of consolidation.
a) Entities within the scope of consolidation;
b) Detailed group solvency information;
c) Information on the contribution of individual entities to group solvency;
d) Information on capital buffers;
27. Institutions waived according to Article 7 of CRR shall only report the columns 010 to 060 and 250 to 400.
2.2. DETAILED GROUP SOLVENCY INFORMATION
28. The second part of this template (detailed group solvency information) in columns 070 to 210 is designed to gather information on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for each risk category and the own funds for solvency purposes.
29. 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
30. The objective of the third part of this template (information on the contributions of all entities within CRR scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 250 to 400, is to identify which entities within the group generate the risks and raise own funds from the market, based on data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared to each other.
31. The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds.
32. 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.
33. 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. In cases where the 1 % threshold is not exceeded a direct link to the CA template is not possible.
34. 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.
35. It is possible for one consolidated group to be included within another consolidated group. This 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. If the subgroup is subject to reporting requirements, it 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.
36. 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. This threshold does not apply in the case of subsidiaries or subgroups that provide own funds (in the form of minority interests or qualifying AT1 or T2 instruments included in own funds) to the group.
2.4. C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL)
Columns |
Instructions |
250 - 400 |
ENTITIES WITHIN SCOPE OF CONSOLIDATION See instructions for C 06.02 |
410-480 |
CAPITAL BUFFERS See instructions for C 06.02 |
Rows |
Instructions |
010 |
TOTAL The Total shall represent the sum of the values reported in all rows of template C 06.02. |
2.5. C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
Columns |
Instructions |
010-060 |
ENTITIES WITHIN SCOPE OF CONSOLIDATION This template is designed to gather information on all entities on an entity-by-entity-basis within the scope of consolidation according to Chapter 2 of Title II of Part One of CRR. |
010 |
NAME Name of the entity within the scope of consolidation. |
020 |
CODE This code is a row identifier and shall be unique for each row in the table. Code assigned to the entity within the scope of consolidation. The actual composition of the code depends on the national reporting system. |
025 |
LEI CODE LEI code stands for Legal Entity Identification code which is a reference code proposed by the Financial Stability Board (FSB) and endorsed by the G20, aimed at achieving a unique and worldwide identification of parties to financial transactions. Until the global LEI system is fully operational, pre-LEI codes are being assigned to counterparties by a Local Operational Unit that has been endorsed by Regulatory Oversight Committee (ROC, detailed information may be found at the following website: www.leiroc.org)). Where a Legal Entity Identification code (LEI code) exists for a given counterparty, it shall be used to identify that counterparty. |
030 |
INSTITUTION OR EQUIVALENT (YES/NO) ‘YES’ shall be reported in case the entity is subject to own funds requirements according to CRD or provisions at least equivalent to Basel provisions. ‘NO’ shall be reported otherwise. Minority interests: 81(1) point (a) (ii) and 82(1) point (a) (ii) 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 by virtue of applicable national law to the requirements of CRR. |
040 |
SCOPE OF DATA: solo fully consolidated (SF) OR solo partially consolidated (SP) ‘SF’ shall be reported for individual subsidiaries fully consolidated. ‘SP’ shall be reported for individual subsidiaries partially consolidated. |
050 |
COUNTRY CODE Institutions shall report the two-letter country code according to ISO 3166-2. |
060 |
SHARE OF HOLDING (%) This percentage refers to the actual share of capital the parent undertaking holds in subsidiaries. In case of full consolidation of a direct subsidiary, the actual share is e.g. 70 %. In accordance with Article 4(16) of CRR, the share of holding of a subsidiary of a subsidiary to be reported results from a multiplication of the shares between the subsidiaries concerned. |
070-240 |
INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT The section of detailed information (i.e. columns 070 to 240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Chapter 2 of Title II of Part One of CRR), are effectively subject to solvency requirements according to CRR or provisions at least equivalent to Basel provisions (i.e, reported yes in column 030). Information shall be included about all individual institutions of a consolidated group that are subject to own funds requirements, regardless where they are located. The information reported in this part shall be according to the local solvency rules where the institution is operating (therefore for this template it is not necessary to do a double calculation on an individual basis according to the parent institution’s rules). When local solvency rules differ from CRR and a comparable breakdown is not given, the information shall be completed where data is 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 according to Articles 95, 96, 97 and 98 of CRR. The part of the total risk exposure amount related to fixed overheads shall be reported in column 100 of part 2 of this template. |
070 |
TOTAL RISK EXPOSURE AMOUNT The sum of the columns 080 to 110 shall be reported. |
080 |
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK The amount to be reported in this column corresponds to the sum of risk weighted exposure amounts that are equal or equivalent to the ones that must be reported in row 040 ‘RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES’ and the amounts of own funds requirements that are equal or equivalent to the ones that must be reported in row 490 ‘TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS’ of the template CA2. |
090 |
POSITION, FX AND COMMODITY RISKS The amount to be reported in this column corresponds to the amount of own funds requirements that are equal or equivalent to the ones that must be reported in row 520 ‘TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS’ of the template CA2. |
100 |
OPERATIONAL RISK The amount to be reported in this column corresponds to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 590 ‘TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR)’ of the template CA2. Fixed overheads shall be included in this column including the row 630 ‘ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS’ of the template CA2. |
110 |
OTHER RISK EXPOSURE AMOUNTS The amount to be reported in this column corresponds to the risk exposure amount not especially listed above. It is the sum of the amounts of rows 640, 680 and 690 of the template CA2. |
120-240 |
DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS The information reported in the following columns shall be according to the local solvency rules where the entity or subgroup is operating. |
120 |
OWN FUNDS The amount to be reported in this column corresponds to the amount of own funds that are equal or equivalent to the ones that must be reported in row 010 ‘OWN FUNDS’ of the template CA1. |
130 |
OF WHICH: QUALIFYING OWN FUNDS Article 82 of CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which 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 included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting. |
140 |
RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES Article 87(1)(b) of CRR |
150 |
TOTAL TIER 1 CAPITAL Article 25 of CRR |
160 |
OF WHICH: QUALIFYING TIER 1 CAPITAL Article 82 of CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions. Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting. |
170 |
RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS Article 85(1)(b) of CRR |
180 |
COMMON EQUITY TIER 1 CAPITAL Article 50 of CRR |
190 |
OF WHICH: MINORITY INTERESTS Article 81 of CRR This column shall only be reported for subsidiaries fully consolidated which are institutions, except subsidiaries referred to in article 84(3) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 84 of CRR, if relevant, in accordance with article 84(2), otherwise on a solo basis. To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the CET1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting. |
200 |
RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES Article 84(1)(b) of CRR |
210 |
ADDITIONAL TIER 1 CAPITAL Article 61 of CRR |
220 |
OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL Articles 82 and 83 of CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated which are institutions, except subsidiaries referred to in Article 85(2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 85 of CRR, if relevant, in accordance with article 85(2), otherwise on a solo basis. To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the AT1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting. |
230 |
TIER 2 CAPITAL Article 71 of CRR |
240 |
OF WHICH: QUALIFYING TIER 2 CAPITAL Articles 82 and 83 of CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions, except subsidiaries referred to in Article 87(2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 87 of CRR, if relevant, in accordance with article 87(2) of CRR, otherwise on a solo basis. To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the T2 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision, i.e. it has to be the eligible amount in the date of reporting. |
250-400 |
INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP |
250-290 |
CONTRIBUTION TO RISKS The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution. |
250 |
TOTAL RISK EXPOSURE AMOUNT The sum of the columns 260 to 290 shall be reported. |
260 |
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK The amount to be reported shall be the risk weighted exposure amounts for credit risk and own funds requirements of settlement/delivery risk as per CRR, excluding any amount related to transactions with other entities included in the Group consolidated solvency ratio computation. |
270 |
POSITION, FX AND COMMODITY RISKS Risk exposure amounts for market risks are to be computed at each entity level following CRR. Entities shall report the contribution to the total risk exposure amounts for position, FX and commodity risk of the group. The sum of amounts reported here corresponds to the amount reported in row 520 ‘TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS’ of the consolidated report. |
280 |
OPERATIONAL RISK In case of AMA, the reported risk exposure amounts for operational risk include the effect of diversification. Fixed overheads shall be included in this column. |
290 |
OTHER RISK EXPOSURE AMOUNTS The amount to be reported in this column corresponds to the risk exposure amount not especially listed above. |
300-400 |
CONTRIBUTION TO OWN FUNDS This part of the template does not intend to impose that institutions perform a full computation of the total capital ratio at the level of each entity. Columns 300 to 350 shall be reported for those consolidated entities which contribute to own funds by minority interest, whereas columns 360 to 400 shall be reported by all other 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, that is mainly the own funds raised from third parties and accumulated reserves. The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution. |
300-350 |
QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS The amount to be reported as ‘QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS’ shall be the amount as derived from Title II of Part Two of CRR, excluding any fund brought in by other group entities. |
300 |
QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS Article 87 of CRR |
310 |
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL Article 85 of CRR |
320 |
MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL Article 84 of CRR The amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated CET1 according to the CRR. |
330 |
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL Article 86 of CRR The amount to be reported is the amount of qualifying T1 capital of a subsidiary that is included in consolidated AT1 according to the CRR. |
340 |
QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL Article 89 of CRR The amount to be reported is the amount of qualifying own funds of a subsidiary that is included in consolidated T2 according to the CRR. |
350 |
MEMORANDUM ITEM: GOODWILL (-)/(+) NEGATIVE GOODWILL |
360-400 |
CONSOLIDATED OWN FUNDS Article 18 CRR The amount to be reported as ‘CONSOLIDATED OWN FUNDS’ is the amount as derived from the balance sheet, excluding any fund brought in by other group entities. |
360 |
CONSOLIDATED OWN FUNDS |
370 |
OF WHICH: COMMON EQUITY TIER 1 |
380 |
OF WHICH: ADDITIONAL TIER 1 |
390 |
OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT The contribution of each entity to the consolidated result (profit or loss (-)) is reported. This includes the results attributable to minority interests. |
400 |
OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL Goodwill or negative goodwill of the reporting entity on the subsidiary is reported here. |
410-480 |
CAPITAL BUFFERS The structure of the reporting of capital buffers for the GS template follows 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 following the calculating of the buffer requirements, that means depending whether the requirements shall be calculated on consolidated, sub-consolidated or individual level. |
410 |
COMBINED BUFFER REQUIREMENTS Article 128 point (6) of CRD |
420 |
CAPITAL CONSERVATION BUFFER Article 128 point (1) and 129 of CRD According to Article 129(1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this cell. |
430 |
INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER Article 128 point (2), Article 130 and 135-140 of CRD In this cell the concrete amount of the countercyclical buffer shall be reported. |
440 |
CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE Article 458(2) point d (iv) of CRR In this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 of CRR in addition to the capital conservation buffer shall be reported. |
450 |
SYSTEMIC RISK BUFFER Articles 128 point (5), 133 and 134 of CRD In this cell the amount of the systemic risk buffer shall be reported. |
460 |
SYSTEMICAL IMPORTANT INSTITUTION BUFFER Article 131 of CRD In this cell the amount of the Systemically important institution buffer shall be reported. |
470 |
GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER Articles 128 point (3) and 131 of CRD In this cell the amount of the Global Systemically Important Institution buffer shall be reported. |
480 |
OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER Articles 128 point (4) and 131 of CRD In this cell the amount of the Other Systemically Important Institution buffer shall be reported. |
3. CREDIT RISK TEMPLATES
3.1. GENERAL REMARKS
37. 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 as set out in Article 5(a)(4) is exceeded.
3.1.1. Reporting of CRM techniques with substitution effect
38. Article 235 of CRR describes the computation procedure of the exposure which is fully protected by unfunded protection.
39. Article 236 of CRR describes the computation procedure of exposure which is fully protected by unfunded protection in the case of full protection/partial protection — equal seniority.
40. Articles 196, 197 and 200 of CRR regulate the funded credit protection.
41. Reporting of exposures to obligors (immediate counterparties) and protection providers which are assigned to the same exposure class shall be done as an inflow as well as an outflow to the same exposure class.
42. The exposure type does not change because of unfunded credit protection.
43. If an exposure is secured by an unfunded credit protection, the secured part is assigned as an outflow e.g. in the exposure class of the obligor and as an inflow in the exposure class of the protection provider. However, the type of the exposure does not change due to the change of the exposure class.
44. 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 is risk weighted according to the SA approach and shall be reported in the CR SA template.
3.1.2. Reporting of Counterparty Credit Risk
45. 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
46. The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk according to 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
47. According to Article 112 of CRR each SA exposure shall be assigned to one of the 16 SA exposure classes in order to calculate the own funds requirements.
48. The information in CR SA is requested for the total exposure classes and individually for each of the exposure classes as defined for the standardised approach. The total figures as well as the information of each exposure class are reported in a separate dimension.
49. However the following positions are not within the scope of CR SA:
a) Exposures assigned to exposure class ‘items representing securitisation positions’ according to Article 112 (m) of CRR which shall be reported in the CR SEC templates.
b) Exposures deducted from own funds.
50. The scope of the CR SA template covers the following own funds requirements:
a) Credit risk in accordance with Chapter 2 (Standardised Approach) of Title II of Part Three of CRR in the banking book, among which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the banking book;
b) Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the trading book;
c) Settlement risk arising from free deliveries in accordance with Article 379 of CRR in respect of all the business activities.
51. The scope of the template are all exposures for which the own funds requirements are calculated according to part 3 title II chapter 2 of CRR in conjunction with part 3 title II chapter 4 and 6 of CRR. Institutions that apply Article 94(1) of CRR also need to report their trading book positions in this template when they apply part 3 title II chapter 2 of CRR to calculate the own funds requirements thereof (part 3 title II chapter 2 and 6 and title V of CRR). Therefore the template provides not only 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.
52. In addition CR SA includes memorandum items in rows 290 to 320 in order to collect further information about exposures secured by mortgages on immovable property and exposures in default.
53. These memorandum items shall only be reported for the following exposure classes:
a) Central governments or central banks (Article 112 point (a) of CRR)
b) Regional governments or local authorities (Article 112 point (b) of CRR)
c) Public sector entities (Article 112 point (c) of CRR)
d) Institutions (Article 112 point (f) of CRR)
e) Corporates (Article 112 point (g) of CRR)
f) Retail (Article 112 point (h) of CRR).
54. The reporting of the memorandum items affect neither the calculation of the risk weighted exposure amounts of the exposure classes according to Article 112 points a) to c) and f) to h) of CRR nor of the exposure classes according to Article 112 points i) and j) of CRR reported in CR SA.
55. 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 wherethe 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’. However the figures reported are the same as used to calculate the risk weighted exposure amounts in the exposure classes ‘in default’ or ‘secured by immovable property.
56. E.g. if an exposure, the risk exposure amounts of which are calculated subject to Article 127 of CRR and the value adjustments are less than 20 %, then this information is reported in CR SA, row 320 in the total and in the exposure class ‘in default’. If this exposure, before it defaulted, was an exposure to an institution then this information shall also be reported in row 320 of exposure class ‘institutions’.
3.2.3. Assignment of exposures to exposure classes under the Standardised Approach
57. In order to ensure a consistent categorisation of exposures into the different exposure classes as defined in Article 112 of CRR the following sequential approach shall be applied:
a) In the first step the Original exposure pre conversion factors is classified into the corresponding (original) exposure class as referred to in Article 112 of CRR, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.
b) In a second step the exposures may be redistributed to other exposure classes due to the application of credit risk mitigation (CRM) techniques with substitution effects on the exposure (e.g. guarantees, credit derivatives, financial collateral simple method) via inflows and outflows.
58. The following criteria apply 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.
59. 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 mentioned in Article 112 point (i) of CRR (exposures secured by mortgages on immovable property).
60. Article 112 of CRR does not provide criteria for disjoining the exposure classes. This might imply that one exposure could potentially be classified in different exposure classes if no prioritisation in the assessment criteria for the classification is provided. The most obvious case arises between exposures to institutions and corporate with a short-term credit assessment (Article 112 point (n) of CRR) and exposures to institutions (Article 112 point (f) of CRR)/exposures to corporates (Article 112 point (g) of CRR). In this case it is clear that there is an implicit prioritisation in the CRR since it shall be assessed first if a certain exposure fit for being assigned to Short-term exposures to institutions and corporate and only afterwards do the same process for exposures to institutions and exposures to corporates. Otherwise it is obvious that the exposure class mentioned in Article 112 point (n) of CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but 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.
61. 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 the CRR for an exposure to fit in a certain exposure class and, if it is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. As such, the outcome of the exposure assignment process for reporting purposes would be in line with CRR provisions. This does not preclude institutions to apply other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora.
62. 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 it, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. This would be the case when in the absence of prioritisation criteria one exposure class would be a subset of others. As such the criteria graphically depicted in the following decision tree would work on a sequential process.
63. With this background the assessment ranking in the decision tree mentioned below would 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.
64. In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach (Article 132(3) to (5) of CRR) is used, the underlying individual exposures shall be considered and classified into their corresponding risk weight line according to their treatment, but all the individual exposures shall be classified within the exposure class of exposures in the form of units or shares in collective investment undertakings (‘CIU’).
65. In the case of ‘nth’ to default credit derivatives specified in Article 134(6) of CRR, if they are rated, they shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the ‘Other items’ exposure class. In this 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 CRR.
66. 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 ACCORDING TO CRR
Original exposure pre conversion factors |
|
|
Does it fit for being assigned to the exposure class of Article 112 (m)? |
YES |
Securitisation positions |
NO |
|
|
Does it fit for being assigned to the exposure class of Article 112point (k)? |
YES |
Items associated with particular high risk (also see Article 128) |
NO |
|
|
Does it fit for being assigned to the exposure class of Article 112 point (p)? |
YES |
Equity exposures (also see Article 133) |
NO |
|
|
Does it fit for being assigned to the exposure class of Article 112 point (j)? |
YES |
Exposures in default |
NO |
|
|
Does it fit for being assigned to the exposure classes of Article 112 points (l) and (o)? |
YES |
Exposures in the form of units or shares in collective investment undertakings (CIU) Exposures in the form of covered bonds (also see Article 129) 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)? |
YES |
Exposures secured by mortgages on immovable property (also see Article 124) |
NO |
|
|
Does it fit for being assigned to the exposure class of Article 112 point (q)? |
YES |
Other items |
NO |
|
|
Does it fit for being assigned to the exposure class of Article 112 point (n)? |
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 CRR
3.2.4.1. Exposure Class ‘Institutions’
67. Reporting of intra-group exposures according to Article 113(6) to (7) of CRR shall be done as follows:
68. Exposures which fulfil the requirements of Article 113(7) of CRR shall be reported in the respective exposure classes where they would be reported if they were no intra-group exposures.
69. According Article 113(6) and (7) of CRR ‘an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of this 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.’ This 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 Directive 83/349/EEC. Therefore intra-group exposures shall be reported in the corresponding exposure class.
3.2.4.2. Exposure Class ‘Covered Bonds’
70. The assignment of SA exposures to the exposure class ‘covered bonds’ shall be done as follows:
71. Bonds as defined in Article 52(4) of Directive 2009/65/EC shall fulfil the requirements of Article 129(1) to (2) of CRR to be classified in the exposure class ‘Covered Bonds’. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds according to Article 52(4) of Directive 2009/65/EC and issued before 31 December 2007, are also assigned to the exposure class ‘Covered Bonds’ because of Article 129(6) of CRR.
3.2.4.3. Exposure class ‘Collective Investment Undertakings’
72. Where the possibility according to Article 132(5) of CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items according to Article 111(1) sentence 1 of CRR.
3.2.5. Instructions concerning specific positions
Columns |
|
010 |
ORIGINAL EXPOSURE PRE CONVERSION FACTORS Exposure value according to Article 111 of CRR without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) of CRR: For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR or subject to Article 92(3) point (f) of CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 of CRR. Exposure values for leases are subject to Article 134(7) of CRR. In case of on-balance sheet netting laid down in Article 219 of CRR the exposure values shall be reported according to the received cash collateral. In the case of master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market driven transactions subject to part 3 title II chapter 6 of CRR, the effect of Funded Credit Protection in the form of master netting agreements as under Article 220(4) of CRR shall be included in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to the provisions in part 3 title II chapter 6 of CRR, E* as calculated under Articles 220 and 221 of CRR shall be reported in column 010 of the CR SA template. |
030 |
(-) Value adjustments and provision associated with the original exposure Article 24 and 111 of CRR Value adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject to. |
040 |
Exposure net of value adjustments and provisions Sum of columns 010 and 030. |
050 - 100 |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Credit risk mitigation techniques as defined in Article 4(57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in Substitution of the exposure due to CRM. If collateral has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value. Items to be reported here: — collateral, incorporated according to Financial Collateral Simple Method; — eligible unfunded credit protection. Please also see instructions of point 4.1.1. |
050 - 060 |
Unfunded credit protection: adjusted values (Ga) Article 235 of CRR Article 239(3) of CRR defines the adjusted value Ga of an unfunded credit protection. |
050 |
Guarantees — Article 203 of CRR — Unfunded Credit Protection as defined in Article 4(59) of CRR different from Credit Derivatives. |
060 |
Credit derivatives Article 204 of CRR. |
070 – 080 |
Funded credit protection These columns refer to funded credit protection according to Article 4(58) of CRR and Articles 196, 197 and 200 of CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre conversion factors). Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR shall be treated as cash collateral. |
070 |
Financial collateral: simple method Article 222(1) to (2) of CRR. |
080 |
Other funded credit protection Article 232 of CRR. |
090 - 100 |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM Articles 222(3), Article 235(1) to (2) and Article 236 of CRR. Outflows 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. This amount shall be considered as an Inflow into the protection provider’s exposure class. Inflows and outflows within the same exposure classes shall also be reported. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account. |
110 |
NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS Amount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE |
120 - 140 |
CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD Articles 223, 224, 225, 226, 227 and 228 of CRR. It also includes credit linked notes (Article 218 of CRR) Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR are 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, is calculated according to Articles 223, 224, 225, 226, 227 and 228 of CRR. |
120 |
Volatility adjustment to the exposure Article 223(2) to (3) of CRR. The amount to be reported is given by the impact of the volatility adjustment to the exposure (EVA-E) = E*He |
130 |
(-) Financial collateral adjusted value (Cvam) Article 239(2) of CRR. For trading book operations includes financial collateral and commodities eligible for trading book exposures according to Article 299(2) points (c) to (f) of CRR. 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 3 title II chapter 4 section 4 and 5 of CRR. |
140 |
(-) Of which: Volatility and maturity adjustments Article 223(1) of CRR and Article 239(2) of CRR. The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva) = C*(1-Hc-Hfx)*[(t-t*)/(T-t*)-1] |
150 |
Fully adjusted exposure value (E*) Article 220(4), Article 223(2) to (5) and Article 228(1) of CRR. |
160 - 190 |
Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors Article 111(1) and Article 4(56) of CRR. See also Article 222(3) and Article 228(1) of CRR. The figures reported shall be the fully adjusted exposure values before application of the conversion factor. |
200 |
Exposure value Article 111 of CRR and Part 3 title II chapter 4 section 4 of CRR. Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights according to Article 113 and part 3 title II chapter 2 section 2 of CRR. |
210 |
Of which: Arising from Counterparty Credit Risk For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR, the exposure value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 2, 3, 4, 5 of CRR. |
215 |
Risk weighted exposure amount pre SME-supporting factor Article 113(1) to (5) of CRR without taking into account the SME-supporting factor according to Article 501 of CRR. |
220 |
Risk weighted exposure amount after SME-supporting factor Article 113(1) to (5) of CRR taking into account the SME-supporting factor according to Article 500 of CRR. |
230 |
Of which: with a credit assessment by a nominated ECAI |
240 |
Of which: with a credit assessment derived from central government |
rows |
Instructions |
010 |
Total exposures |
015 |
of which: Defaulted exposures Article 127 CRR This row shall only be reported in exposure classes ‘Items associated with a particular high risk’ and ‘Equity exposures’. If an exposure is either listed in Article 128(2) of CRR or meets the criteria set in Articles 128(3) or 133 of CRR, it shall be assigned to the exposure class ‘Items associated with particular high risk’ or ‘Equity exposures’. Consequently, there should be no other allocation, even if the exposure is defaulted according to Article 127 of CRR. |
020 |
of which: SME All exposures to SME shall be reported here. |
030 |
of which: Exposures subject to the SME-supporting factor Only exposures which meet the requirements of Article 501 CRR shall be reported here. |
040 |
of which: Secured by mortgages on immovable property — Residential property Article 125 of CRR. Only reported in exposure class ‘Secured by mortgages on immovable property’ |
050 |
of which: Exposures under the permanent partial use of the standardised approach Exposures treated under Article 150(1) of the CRR |
060 |
of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation Exposures treated under Article 148(1) of the CRR |
070 - 130 |
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES Reporting institution's ‘banking book’ positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk. Reporting institution's ‘trading book’ counterparty credit risk positions according to Article 92(3) point (f) and Article 299(2) of CRR are assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) of CRR also break down their ‘trading book’ positions following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk. |
070 |
On balance sheet exposures subject to credit risk Assets referred to in Article 24 of CRR not included in any other category. Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 090, 110 and 130, and therefore shall not be reported in this row. Free deliveries according to Article 379(1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row. Exposures arising from assets posted to a CCP according to Article 4(90) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if not reported in row 030. |
080 |
Off balance sheet exposures subject to credit risk Off-balance sheet positions comprise those items listed in Annex I of CRR. Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040, 060 and, therefore, not reported in this row. Exposures arising from assets posted to a CCP according to Article 4(90) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if they are considered as off-balance sheet items. |
090 - 130 |
Exposures/Transactions subject to counterparty credit risk |
090 |
Securities Financing Transactions Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document ‘The Application of Basel II to Trading Activities and the Treatment of Double Default Effects’, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4(82) of CRR as well as securities or commodities lending and borrowing transactions; (ii) margin lending transactions as defined in Article 272(3) of CRR. |
100 |
Of which: centrally cleared through a QCCP Article 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR. Trade exposures to a CCP according to Article 4(91) of CRR |
110 |
Derivatives and Long Settlement Transactions Derivatives comprise those contract listed in Annex II of CRR. Long Settlement Transactions as defined in Article 272(2) of CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 130, shall not be reported in this row. |
120 |
Of which: centrally cleared through a QCCP Article 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR Trade exposures to a CCP according to Article 4(91) of CRR |
130 |
From Contractual Cross Product Netting Exposures that due to the existence of a contractual cross product netting (as defined in Article 272(11) of CRR) cannot be assigned to either Derivatives & Long Settlement Transactions or Securities Financing Transactions, shall be included in this row. |
140-280 |
BREAKDOWN OF EXPOSURES BY RISK WEIGHTS |
140 |
0 % |
150 |
2 % Article 306(1) of CRR |
160 |
4 % Article 305(3) of CRR |
170 |
10 % |
180 |
20 % |
190 |
35 % |
200 |
50 % |
210 |
70 % Article 232(3) point (c) of CRR. |
220 |
75 % |
230 |
100 % |
240 |
150 % |
250 |
250 % Article 133(2) of CRR |
260 |
370 % Article 471 of CRR |
270 |
1 250 % Article 133(2) of CRR |
280 |
Other risk weights This row is not available for exposure classes Government, Corporates, Institutions and Retail. For reporting those exposures not subject to the risk weights listed in the template. Article 113(1) to (5) of CRR. Unrated nth to default credit derivatives under the Standardized Approach (Article 134(6) of CRR) shall be reported in this row under the exposure class ‘Other items’. See also Article 124(2) and Article 152(2) point (b) of CRR. |
290-320 |
Memorandum Items See also the explanation of the purpose of the memorandum items in the general section of the CR SA. |
290 |
Exposures secured by mortgages on commercial immovable property Article 112 point (i) of CRR This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property according to Article 124 and 126 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by commercial real estate. |
300 |
Exposures in default subject to a risk weight of 100 % Article 112 point (j) of CRR. Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default. |
310 |
Exposures secured by mortgages on residential property Article 112 point (i) of CRR. This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property according to Article 124 and 125 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by real estate property. |
320 |
Exposures in default subject to a risk weight of 150 % Article 112 point (j) of CRR. Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default. |
3.3. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)
3.3.1. Scope of the CR IRB template
73. The scope of the CR IRB template covers own funds requirements for:
i. Credit risk in the banking book, among which:
— Counterparty credit risk in the banking book;
— Dilution risk for purchased receivables;
ii. Counterparty credit risk in the trading book;
iii. Free deliveries resulting from all business activities..
74. The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated according to Articles 151 to 157 Part Three Title II Chapter 3 CRR (IRB approach).
75. 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 SA, CR SEC IRB and/or CR SEC Details templates;
iii. ‘Other non-obligation assets’, according to Article 147(2) point (g) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, according to Article 156 CRR. The risk weighted exposure amounts for this exposure class are 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 is reported in the template CR GB.
76. 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) |
In any case, for the reporting of the retail portfolios ‘YES’ has to be reported.
In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as uses 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
77. The CR IRB consists of two templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate total risk exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools. The templates CR IRB 1 and CR IRB 2 shall be reported separately for the following exposure and sub-exposure classes:
1. Total
(The Total template must be reported for the Foundation IRB and, separately for the Advanced IRB approach.)
2. Central banks and central governments
(Article 147(2)(a) CRR)
3. Institutions
(Article 147(2) point (b) CRR)
4.1) Corporate – SME
(Article 147(2) point (c) CRR
4.2) Corporate – Specialised lending
(Article 147(8) CRR)
4.3) Corporate – Other
(All corporates according to Article 147(2) point (c), not reported under 4.1 and 4.2).
5.1) Retail – Secured by immovable property SME
(Exposures reflecting Article 147(2) point (d) in conjunction with Article 154(3) CRR which are secured by immovable property).
5.2) Retail – Secured by immovable property non-SME
(Exposures reflecting Article 147(2) point (d) CRR which are secured by immovable property and not reported under 5.1).
5.3) Retail – Qualifying revolving
(Article 147(2) point (d) in conjunction with Article 154(4) CRR).
5.4) Retail – Other SME
(Article 147(2) point (d) not reported under 5.1 and 5.3).
5.5) Retail – Other non – SME
(Article 147(2) point (d) CRR which were not reported under 5.2 and 5.3).
3.3.3. C 08.01 — Credit and counterparty credit risks and free deliveries: IRB Approach to Capital Requirements (CR IRB 1)
3.3.3.1. Instructions concerning specific positions
Columns |
Instructions |
010 |
INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of CRR. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the exposure-weighted average PD. For each individual grade or pool the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale is used. Otherwise, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. Institutions shall contact their competent authority in advance, if they want to report a different number of grades in comparison with the internal number of grades. For the purposes of weighting the average PD the exposure value reported in column 110 is used. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD (e.g. for ‘total exposure’). Defaulted exposures are those assigned to the last rating grade/s with a PD of 100 %. |
020 |
ORIGINAL EXPOSURE PRE CONVERSION FACTORS Institutions 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 CRR and Article 166(1) and (2) and (4) to (7) of CRR. The effect resulting from Article 166(3) of CRR (effect of on balance sheet netting of loans and deposits) is reported separately as Funded Credit Protection and therefore shall not reduce the Original Exposure. |
030 |
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the original exposure pre conversion factor for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR. |
040 – 080 |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Credit risk mitigation techniques as defined in Article 4(57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in ‘SUBSTITUTION OF THE EXPOSURE DUE TO CRM’. |
040 – 050 |
UNFUNDED CREDIT PROTECTION Unfunded credit protection: Values as they are defined in Article 4(59) of CRR. If collateral has an effect on the exposure (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value. |
040 |
GUARANTEES: When own estimates of LGD are not used, the Adjusted Value (Ga) as defined in Article 236 of CRR shall be provided. When Own estimates of LGD are used, (Article 183 of CRR, except paragraph 3), the relevant value used in the internal model shall be reported. Guarantees shall be reported in column 040 when the adjustment is not made in the LGD. When the adjustment is made in the LGD, the amount of the guarantee shall be reported in column 150. Regarding exposures subject to the double default treatment, the value of unfunded credit protection is re-ported in column 220. |
050 |
CREDIT DERIVATIVES: When own estimates of LGD are not used, the Adjusted Value (Ga) as defined in Article 216 of CRR shall be provided. When own estimates of LGD are used (Article 183 of CRR), the relevant value used in the internal modelling shall be reported. When the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 160 Regarding exposures subject to the double default treatment the value of unfunded credit protection shall be reported in column 220. |
060 |
OTHER FUNDED CREDIT PROTECTION If collateral has an effect on the exposure (e.g. if used for credit risk mitigation techniques with substitution effects of the exposure), it shall be capped at the exposure value. When own estimates of LGD are not used, Article 232 of CRR shall be applied. When own estimates of LGD are used, those credit risk mitigants that comply with the criteria in Article 212 of the CRR shall be reported. The relevant value used in the internal model shall be reported. To be reported in column 060 when the adjustment is not made in the LGD. When an adjustment is made in the LGD the amount shall be reported in column 170. |
070-080 |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor’s exposure class and, when relevant, obligor grade or pool, and subsequently assigned to the protection provider’s exposure class and, when relevant, obligor grade or pool. This amount shall be considered as an Inflow into the protection provider’s exposure class and, when relevant, obligor grades or pools. Inflows and outflows within the same exposure classes and, when relevant, obligor grades or pools shall also be considered. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account. |
090 |
EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure. |
100, 120 |
Of which: Off Balance Sheet Items See CR-SA instructions |
110 |
EXPOSURE VALUE The value in accordance with Article 166 of CRR and Article 230(1) sentence 2 of CRR are reported. For the instruments as defined in Annex I, the credit conversion factors (Article 166(8) to (10) of CRR) irrespective the approach chosen by the institution, are applied. For rows 040-060 (securities financing transactions, derivatives and long settlement transactions and exposures from contractual cross-product netting) subject to part 3 title II chapter 6 of CRR, the Exposure Value is the same as the value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 3, 4, 5, 6 and 7 of CRR. These values are reported in this column and not column 130 ‘Of which: arising from counterparty credit risk’. |
130 |
Of which: Arising from counterparty Credit Risk See CR SA instructions. |
140 |
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the exposure value for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR. |
150-210 |
CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT CRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques shall not be included in these columns. Where own estimates of LGD are not used: Articles 228(2), 230 (1) and (2), 231 of the CRR Where own estimates of LGD are used: — Regarding unfunded credit protection, for exposures to central government and central banks, institutions and corporates: Article 161 paragraph 3 of the CRR. For retail exposures Article 164 paragraph 2 of the CRR. — Regarding funded credit protection collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of the CRR. |
150 |
GUARANTEES See instructions to column 040. |
160 |
CREDIT DERIVATIVES See instructions to column 050. |
170 |
OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION The relevant value used in the internal modelling of the institution. Those credit risk mitigants that comply with the criteria in Article 212 of the CRR. |
180 |
ELIGIBLE FINANCIAL COLLATERAL For trading book operations includes financial instruments and commodities eligible for trading book exposures according to Article 299 paragaph 2 point. (c) to (f) of CRR Credit linked Notes and on -balance sheet netting according to Part 3 Title II Chapter 4 Section 4 of CRR are treated as cash collateral. When own estimates of LGD are not used: values in accordance with Article 193(1) to (4) and Article 194(1) of CRR. The adjusted value (Cvam) as set out in Article 223(2) of CRR is reported. When own estimates of LGD are used: financial collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of CRR. The amount to be reported shall be the estimated market value of the collateral. |
190-210 |
OTHER ELIGIBLE COLLATERAL Where own estimates of LGD are not used: Article 199(1) to (8) of CRR and Article 229 of CRR. Where own estimates of LGD are used: other collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of CRR. |
190 |
REAL ESTATE Where own estimates of LGD are not used, values in accordance with Article 199(2) to (4) of CRR shall be reported. Leasing of real estate property is also included (see Article 199(7) of CRR). See also Article 229 of CRR. When own estimates of LGD are used the amount to be reported shall be the estimated market value. |
200 |
OTHER PHYSICAL COLLATERAL Where own estimates of LGD are not used, values in accordance with Article 199(6) and (8) of CRR shall be reported. Leasing of property different from real estate is also included (see Article 199(7) of CRR). See also Article 229(3) of CRR. Where own estimates of LGD are used the amount to be reported shall be the estimated market value of collateral. |
210 |
RECEIVABLES When own estimates of LGD are not used, values in accordance with Articles 199(5), 229 (2) of CRR are reported. When own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral. |
220 |
SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION Guarantees and credit derivatives covering exposures subject to the double default treatment reflecting Articles 202 and 217 (1) of CRR. See also columns 040 ‘Guarantees’ and 050 ‘Credit derivatives’. |
230 |
EXPOSURE WEIGHTED AVERAGE LGD (%) All the impact of CRM techniques on LGD values as specified in Part 3 Title II Chapters 3 and 4 of CRR shall be considered. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161(4) of CRR. For defaulted exposures, provisions laid down in Article 181(1) point (h) of CRR shall be considered. The definition of exposure value as in Column 110 shall be used for the calculation of the exposure-weighted averages. All effects shall be considered (so the floor applicable to mortgages shall be included in the reporting). For institutions applying the IRB approach but not using their own estimates of LGD the risk mitigation effects of financial collateral are reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* according to Article 228(2) CRR. The exposure weighted average LGD associated to each PD ‘obligor grade or pool’ shall result from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, weighted by the respective exposure value of Column 110. If own estimates of LGD are applied Article 175 and Article 181(1) and (2) of CRR shall be considered. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161(4) of CRR. The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating system approved by the respective competent authority. Data shall not be reported for specialized lending exposures referred to in Article 153(5). Exposure and the respective LGD's for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, they shall only be included in the calculation of column 240. |
240 |
EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Exposure weighted average LGD (%) for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR. |
250 |
EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) The value reported reflects Article 162 of CRR. The exposure value (Column 110) shall be used for the calculation of the exposure-weighted averages. The average maturity is 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. This means that this column shall not be filled in for the exposure class ‘retail’. |
255 |
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR For Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR. The SME-supporting factor according to Article 501 of CRR shall not be taken into account. |
260 |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR For Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR. The SME-supporting factor according to Article 501 of CRR shall be taken into account. |
270 |
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the risk weighted exposure amount after SME supporting factor for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR. |
280 |
EXPECTED LOSS AMOUNT For the definition of Expected Loss see Article 5(3) of CRR and, for calculation see Article 158 of CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating system approved by the respective competent authority. |
290 |
(-) VALUE ADJUSTMENTS AND PROVISIONS Value Adjustments as well as specific and general provisions under Article 159 CRR are reported. General provisions shall be reported by assigning the amount pro rata — according to the expected loss of the different obligor grades. |
300 |
NUMBER OF OBLIGORS Articles 172(1) and (2) of CRR. For all exposure classes except retail, 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 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 CRR applies, an obligor may be considered in more than one grade. As this column deals with an element of the structure of the rating systems, it relates to the original exposures pre conversion factor assigned to each obligor grade or pool without taking into account the effect of CRM techniques (in particular redistribution effects). |
Rows |
Instructions |
010 |
TOTAL EXPOSURES |
015 |
of which: Exposures subject to SME-supporting factor Only exposures which meet the requirements of Article 501 CRR shall be reported here. |
020-060 |
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: |
020 |
On balance sheet items subject to credit risk Assets referred to in Article 24 of CRR not included in any other category. Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row. Free deliveries according to Article 379(1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row. Exposures arising from assets posted to a CCP according to Article 4(91) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if not reported in row 030. |
030 |
Off balance sheet items subject to credit risk Off-balance sheet positions comprise those items listed in Annex I of CRR. Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row. Exposures arising from assets posted to a CCP according to Article 4(91) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if they are considered as off-balance sheet items. |
040-060 |
Exposures/Transactions subject to counterparty credit risk |
040 |
Securities Financing Transactions Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document ‘The Application of Basel II to Trading Activities and the Treatment of Double Default Effects’, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4(82) of CRR as well as securities or commodities lending and borrowing transactions and (ii) margin lending transactions as defined in Article 272(3) of CRR. Securities Financing Transactions, which are included in a Cross Product Netting and therefore reported in row 060, shall not be reported in this row. |
050 |
Derivatives and Long Settlement Transactions Derivatives comprise those contracts listed in Annex II of CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 060 shall not be reported in this row. |
060 |
From Contractual Cross Product Netting See CR SA instructions |
070 |
EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL For exposures to corporates, institutions and Central governments and Central Banks see Article 142(1) point (6) and Article 170(1) point (c) of CRR. For retail exposures see Article 170(3) point (b) of CRR. For Exposures arising from purchased receivables see Article 166(6) of CRR. Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 180. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. A master scale is not used. Instead, institutions shall determine the scale to be used themselves. |
080 |
SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL Article 153(5) of CRR. This only applies to the corporates, institutions and central governments and central banks exposure classes. |
090 - 150 |
BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA: |
120 |
Of which: In category 1 Article 153(5) table 1 of CRR. |
160 |
ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE Articles 193(1) and (2), 194 (1) to (7) and 230 (3) of CRR. |
170 |
EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS Exposures arising from free deliveries for which the alternative treatment referred to in Article 379(2) first subparagraph, last sentence of CRR is used or for which a 100 % risk weight is applied according to a Article 379(2) last subparagraph of CRR. Unrated nth to default credit derivatives under Article 153(8) of CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row. |
180 |
DILUTION RISK: TOTAL PURCHASED RECEIVABLES See Article 4(53) of CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157(1) of CRR. According to Article 166(6) of CRR the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation. |
3.3.4. C 08.02 — Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (breakdown by obligor grades or pools (CR IRB 2 template)
Column |
Instructions |
005 |
Obligor grade (row identifier) This is a row identifier and shall be unique for each row on a particular sheet of the table. It shall follow the numerical order 1, 2, 3, etc. |
010-300 |
Instructions for each of these columns are the same as for the corresponding numbered columns in table CR IRB 1. |
Row |
Instructions |
010-001 – 010-NNN |
Values reported in these rows must be in ordered from the lower to the higher according 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 according to the PD of the obligor and not reported in this template. |
3.4. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN
78. Institutions fulfilling the threshold set in Article 5 (a) (4) of this Regulation shall submit information regarding the domestic country as well as any non-domestic country. The threshold is only applicable to Table 1 and Table 2. Exposures to supranational organisations shall be assigned to the geographical area ‘other countries’.
79. 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 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.
80. Data regarding ‘original exposure pre conversion factors’ shall be reported referring to the country of residence of the immediate obligor. Data regarding ‘exposure value’ and ‘Risk weighted exposure amounts’ shall be reported as of the country of residence of the ultimate obligor.
3.4.1. C 09.01 – Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1)
3.4.1.1. Instructions concerning specific positions
Columns |
|
010 |
ORIGINAL EXPOSURE PRE CONVERSION FACTORS Same definition as for column 010 of CR SA template |
020 |
Exposures in default Original exposure pre conversion factors for those exposures which have been classified as ‘defaulted exposures’. This ‘memorandum item’ provides additional information about the obligor structure of the exposure class ‘in default’. Exposures shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes ‘in default’. This information is a ‘memorandum item’ – hence does not affect the calculation of risk weighted exposure amounts of exposure class ‘in default’ according to Article 112 point (j) of CRR. |
040 |
Observed new defaults for the period The amount of original exposures which have moved into exposure class ‘Exposures in default’ during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged. |
050 |
General credit risk adjustments Credit risk adjustments according to Article 110 of CRR. |
055 |
Specific credit risk adjustments Credit risk adjustments according to Article 110 of CRR. |
060 |
Write-offs Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)]. |
070 |
Credit risk adjustments/write-offs for observed new defaults Sum of credit risk adjustments and write-offs for those exposures which were classified as ‘defaulted exposures’ during the 3-month period since the last data submission. |
075 |
Exposure value Same definition as for column 200 of CR SA template |
080 |
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR Same definition as for column 215 of CR SA template |
090 |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR Same definition as for column 220 of CR SA template |
Rows |
|
010 |
Central governments or central banks Article 112 point (a) of CRR. |
020 |
Regional governments or local authorities Article 112 point (b) of CRR. |
030 |
Public sector entities Article 112 point (c) of CRR. |
040 |
Multilateral developments banks Article 112 point (d) of CRR. |
050 |
International organisations Article 112 point (e) of CRR. |
060 |
Institutions Article 112 point (f) of CRR. |
070 |
Corporates Article 112 point (g) of CRR. |
075 |
of which: SME Same definition as for row 020of CR SA template |
080 |
Retail Article 112 point (h) of CRR. |
085 |
of which: SME Same definition as for row 020of CR SA template |
090 |
Secured by mortgages on immovable property Article 112 point (i) of CRR. |
095 |
of which: SME Same definition as for row 020of CR SA template |
100 |
Exposures in default Article 112 point (j) of CRR. |
110 |
Items associated with particularly high risk Article 112 point (k) of CRR. |
120 |
Covered bonds Article 112 point (l) of CRR. |
130 |
Claims on institutions and corporates with a short-term credit assessment Article 112 point (n) of CRR. |
140 |
Collective investments undertakings (CIU) Article 112 point (o) of CRR. |
150 |
Equity exposures Article 112 point (p) of CRR. |
160 |
Other exposures Article 112 point (q) of CRR. |
170 |
Total exposures |
3.4.2. C 09.02 – Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2)
3.4.2.1. Instructions concerning specific positions
Columns |
|
010 |
ORIGINAL EXPOSURE PRE CONVERSION FACTORS Same definition as for column 020 of CR IRB template |
030 |
Of which defaulted Original exposure value for those exposures which have been classified as ‘defaulted exposures’ according to CRR article 178. |
040 |
Observed new defaults for the period The amount of original exposures which have moved into exposure class ‘Exposures in default’ during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged. |
050 |
General credit risk adjustments Credit risk adjustments according to Article 110of CRR. |
055 |
Specific credit risk adjustments Credit risk adjustments according to Article 110 of CRR. |
060 |
Write-offs Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)]. |
070 |
Credit risk adjustments/write-offs for observed new defaults Sum of credit risk adjustments and write-offs for those exposures which were classified as ‘defaulted exposures’ during the 3-month period since the last data submission. |
080 |
INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) Same definition as for column 010 of CR IRB template |
090 |
EXPOSURE WEIGHTED AVERAGE LGD (%) Same definition as for column 230 of CR IRB template. Provisions laid down in Article 181(1) point (h) of CRR shall apply. Data shall not be reported for specialized lending exposures referred to in Article 153(5). |
100 |
Of which: defaulted Exposure weighted LGD for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR. |
105 |
Exposure value Same definition as for column 110 of CR IRB template. |
110 |
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR Same definition as for column 255 of CR IRB template |
120 |
Of which defaulted Risk weighted exposure amount for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR. |
125 |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR Same definition as for column 260 of CR IRB template |
130 |
EXPECTED LOSS AMOUNT Same definition as for column 280 of CR IRB template |
Rows |
|
010 |
Central banks and central governments (Article 147(2)(a) CRR) |
020 |
Institutions (Article 147(2) point (b) CRR) |
030 |
Corporates (All corporates according to Article 147(2) point (c).) |
040 |
Of which: Specialized lending (Article 147(8) a CRR) Data shall not be reported for specialized lending exposures referred to in Article 153(5). |
050 |
Of which: SME (Article 147(2) point (c) CRR) |
060 |
Retail All Retail exposures according to Article 147(2) point (d) |
070 |
Retail – Secured by real estate property Exposures reflecting Article 147(2) point (d) CRR which are secured by real estate. |
080 |
SME Retail exposures reflecting Article 147(2) point (d) in conjunction with Article 153(3) CRR which are secured by real estate. |
090 |
non-SME Retail exposures reflecting Article 147(2) point (d) CRR which are secured by real estate. |
100 |
Retail – Qualifying revolving (Article 147(2) point (d) in conjunction with Article 154(4) CRR). |
110 |
Other Retail Other retail exposures according to Article 147(2) point (d) not reported in rows 070 - 100. |
120 |
SME Other retail exposures reflecting Article 147(2) point (d) in conjunction with Article 153(3) CRR. |
130 |
non-SME Other retail exposures reflecting Article 147(2) point (d) CRR. |
140 |
Equity Equity exposures reflecting Article 147(2) point (e) CRR. |
150 |
Total exposures |
3.4.3. C 09.04 – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB)
3.4.3.1. General remarks
81. This table is implemented in order to receive more information regarding the elements of the institution specific countercyclical capital buffer. The information requested refers to the own funds requirements determined in accordance with Part Three, Title II and Title IV of the CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution specific counter-cyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit exposures).
82. Information in template C 09.04 is requested for the ‘Total’ of relevant credit exposures across all jurisdictions where these 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 are reported in a separate dimension.
83. The threshold set in Article 5 (a) (4) of this Regulation is not relevant for the reporting of this breakdown.
84. In order to determine the geographical location, the exposures are allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 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. Therefore CRM techniques do not change the allocation of an exposure to its geographical location for the purpose of reporting information set out in this template.
3.4.3.2. Instructions concerning specific positions
Columns |
|
010 |
Amount The value of the relevant credit exposures and their associated own-funds requirements determined in accordance with the instructions for the respective row. |
020 |
Percentage |
030 |
Qualitative Information This information shall only be reported for the country of residence of the institution (the jurisdiction corresponding to its home Member State) and the ‘Total’ of all countries. Institutions shall report either {y} or {n} in accordance with the instructions for the relevant row. |
Rows |
|
010-020 |
Relevant credit exposures – Credit risk Relevant credit exposures defined in accordance with Article 140(4)(a) CRD. |
010 |
Exposure value under the Standardised Approach Exposure value determined in accordance with Article 111 CRR for relevant credit exposures defined in accordance with Article 140(4)(a) CRD. The exposure value of securitisation positions in the banking book under the Standardised Approach shall be excluded from this row and reported in row 050. |
020 |
Exposure value under the IRB Approach Exposure value determined in accordance with Article 166 CRR for relevant credit exposures defined in accordance with Article 140(4)(a) CRD. The exposure value of securitisation positions in the banking book under the IRB Approach shall be excluded from this row and reported in row 060 |
030-040 |
Relevant credit exposures – Market risk Relevant credit exposures defined in accordance with Article 140(4)(b) CRD. |
030 |
Sum of long and short positions of trading book exposures for standardised approaches Sum of net long and net short positions according to Article 327 CRR of relevant credit exposures defined in accordance with Article 140(4)(b) CRD under Part Three, Title IV, Chapter 2 CRR: — exposures to debt instruments other than securitisation, — exposures to securitisation positions in the trading book, — exposures to correlation trading portfolios, — exposures to equity securities, and — exposures to CIUs if capital requirements are calculated according to Article 348 CRR. |
040 |
Value of trading book exposures under internal model approaches For relevant credit exposures defined in accordance with Article 140(4)(b) CRD under Part Three, Title IV, Chapter 2 and Chapter 5 CRR, the sum of the following shall be reported: — Fair value of non-derivative positions, that represent relevant credit exposures as defined in Article 140(4)(b) CRD, determined in accordance with Article 104 CRR. — Notional value of derivatives, that represent relevant credit exposures as defined in accordance with Article 140(4)(b) CRD. |
050-060 |
Relevant credit exposures – Securitisation positions in the banking book Relevant credit exposures defined in accordance with Article 140(4)(c) CRD. |
050 |
Exposure value of securitisation positions in the banking book under the Standardised Approach Exposure value determined in accordance with Article 246 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD. |
060 |
Exposure value of securitisation positions in the banking book under the IRB Approach Exposure value determined in accordance with Article 246 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD. |
070-110 |
Own funds requirements and weights |
070 |
Total own funds requirements for CCB The sum of rows 080, 090 and 100. |
080 |
Own funds requirements for relevant credit exposures – Credit risk Own funds requirements determined in accordance with Part Three, Title II, Chapter 1 to 4 and Chapter 6 CRR for relevant credit exposures, defined in accordance with Article 140(4)(a) of CRD, in the country in question. Own fund requirements for securitisation positions in the banking book shall be excluded from this row and reported in row 100. The own-funds requirements are 8 % of the risk-weighted exposure amount determined according to the provisions of Part Three, Title II, Chapter 1 to 4 and Chapter 6 of the CRR. |
090 |
Own funds requirements for relevant credit exposures – Market risk Own funds requirements determined in accordance with Part Three, Title IV, Chapter 2 of CRR for specific risk, or in accordance with Part Three, Title IV, Chapter 5 of CRR for incremental default and migration risk for relevant credit exposures, defined in accordance with Article 140(4)(b) of CRD, in the country in question. The own funds requirements for relevant credit exposures under the market risk framework include, among others, the own fund requirements for securitisation positions under Part Three, Title IV, Chapter 2 CRR and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 CRR. |
100 |
Own funds requirements for relevant credit exposures – Securitisation positions in the banking book Own funds requirements determined in accordance with Part Three, Title II, Chapter 5 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD in the country in question. The own-funds requirements are 8 % of the risk-weighted exposure amount determined according to the provisions of Part Three, Title II, Chapter 5 CRR. |
110 |
Own funds requirements weights The weight applied to the countercyclical buffer rate in each country is calculated as a ratio of own fund requirements, determined as follows: Numerator: The total own funds requirements that relates to the relevant credit exposures in the country in question [r070; c010 country sheet], Denominator: The total own funds requirements that relate to all credit exposures relevant for the calculation of the countercyclical buffer in accordance with Article 140(4) of CRD [r070;c010; ‘Total’]. Information on the Own fund requirements weights shall not be reported for the ‘Total’ of all countries. |
120-140 |
Countercyclical buffer rates |
120 |
Countercyclical capital buffer rate set by the Designated Authority Countercyclical capital buffer rate set for the country in question by the Designated Authority of that country in accordance with Article 136, 137, 138 and 139 CRD. This row should be left empty when no countercyclical buffer rate was set for the country in question by the Designated Authority of that country. Countercyclical capital buffer rates that were set by the Designated Authority, but are not yet applicable in the country in question at the reporting reference date shall not be reported. Information on the Countercyclical capital buffer rate set by the Designated Authority shall not be reported for the ‘Total’ of all countries. |
130 |
Countercyclical capital buffer rate applicable for the country of the institution Countercyclical capital buffer rate applicable for the country in question which was set by the Designated Authority of the country of residence of the institution, in accordance with Article 137, 138, 139 and Article 140(1), (2) and (3) CRD. Countercyclical capital buffer rates that are not yet applicable at the reporting reference date shall not be reported. Information on the Countercyclical capital buffer rate applicable in the country of the institution shall not be reported for the ‘Total’ of all countries. |
140 |
Institution-specific countercyclical capital buffer rate Institution-specific countercyclical capital buffer rate, determined in accordance with Article 140(1) CRD. The institution-specific countercyclical capital buffer rate is 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(2) or (3) CRD. The relevant countercyclical buffer rate is reported in [r120; c020; country sheet], or [r130; c020; country sheet] as applicable. The weight applied to the countercyclical buffer rate in each country is the share of own funds requirements in total own funds requirements, and is reported in [r110; c020; country sheet]. Information on the institution-specific countercyclical capital buffer rate shall only be reported for the ‘Total’ of all countries and not for each country separately. |
150 - 160 |
Use of the 2 % threshold |
150 |
Use of 2 % threshold for general credit exposure In accordance with Article 2(5)(b) of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, whose aggregate 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 is 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 table for the jurisdiction corresponding to its home Member State and for the ‘Total’ of all countries. If an institution does not make use of this derogation, it shall indicate ‘n’ in the respective cell. |
160 |
Use of 2 % threshold for trading book exposure In accordance with Article 3(3) of Commission Delegated Regulation (EU) No 1152/2014, institutions may allocate trading book exposures to their home Member State, if 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 table 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
85. 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.
86. The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (Article 92(3) point (a) of CRR) according to the IRB method (Part Three, Title II, Chapter 3 of CRR) for equity exposures referred to in Article 147(2) point (e) of CRR.
87. According to Article 147(6) of CRR, the following exposures shall be assigned to the equity exposure class:
a) non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer; or
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).
88. Collective investment undertakings treated according to the simple risk weight approach as referred to in Article 152 of CRR shall also be reported in the CR EQU IRB template.
89. In accordance with Article 151(1) of CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 of CRR:
— the Simple Risk Weight approach,
— the PD/LGD approach, or
— the Internal Models approach.
Moreover, institutions applying the IRB approach shall also report in the CR EQU IRB template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach (e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) of CRR, respectively a risk-weight of 370 % in accordance with Article 471(2) of CRR))).
90. The following equity claims shall not be reported in the CR EQU IRB template:
— Equity exposures in the trading book (in case where institutions are not exempted from calculating own funds requirements for trading book positions according to Article 94 of CRR).
— Equity exposures subject to the partial use of the standardised approach (Article 150 of CRR), including:
— Grandfathered equity exposures according to Article 495(1) of CRR,
— Equity exposures to entities whose credit obligations 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 CRR),
— Equity exposures incurred under legislated programmes to promote specified sectors of the economy that provide significant subsidies for the investment to the institution and involve some form of government oversight and restrictions on the equity investments (Article 150(1) point (h) of CRR).
— Equity exposures to ancillary services undertakings whose risk weighted exposure amounts may be calculated according to the treatment of ‘other non credit-obligation assets’ (in accordance with Article 155(1) of CRR).
— Equity claims deducted from own funds in accordance with Articles 46 and 48 of the CRR.
3.5.2. Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2)
Columns |
|
005 |
OBLIGOR GRADE (ROW IDENTIFIER) The obligor grade is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc. |
010 |
INTERNAL RATING SYSTEM PD ASSIGNED TO THE OBLIGOR GRADE (%) Institutions applying the PD/LGD approach report in column 010 the probability of default (PD) calculated in accordance with the provisions referred to in Article 165(1) of CRR. The PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements as laid down in Part Three, Title II, Chapter 3, Section 6 of CRR. For each individual grade or pool, the PD assigned to that specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. For figures corresponding to an aggregation of obligor grades or pools (e.g. ‘total exposures’) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD. For the calculation of the exposure-weighted average PD, the exposure value taking into account unfunded credit protection (column 060) shall be used for weighting purposes. |
020 |
ORIGINAL EXPOSURE PRE CONVERSION FACTORS Institutions report in column 020 the original exposure value (pre conversion factors). According to the provisions laid down in Article 167 of CRR, the exposure value for equity exposures shall be the accounting value remaining after specific credit risk adjustments. The exposure value of off-balance sheet equity exposures shall be its nominal value after specific credit risk adjustments. Institutions also include in column 020 off balance sheet items referred to in Annex I of CRR assigned to the equity exposure class (e.g. ‘the unpaid portion of partly-paid shares’). Institutions applying the Simple Risk Weight approach or the PD/LGD approach (as referred to in Article 165(1) also consider the offsetting provisions referred to in Article 155(2) of CRR. |
030-040 |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE UNFUNDED CREDIT PROTECTION GUARANTEES CREDIT DERIVATIVES Irrespective of the approach adopted for the calculation of risk weighted exposure amounts for equity exposures, institutions may recognize unfunded credit protection obtained on equity exposures (Article 155(2),(3) and (4) of CRR). Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in columns 030 and 040 the amount of unfunded credit protection under the form of guarantees (column 030) or credit derivatives (column 040) recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR. |
050 |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE SUBSTITUTION OF THE EXPOSURE DUE TO CRM (-) TOTAL OUTFLOWS Institutions report in column 050 the part of the original exposure pre conversion factors covered by unfunded credit protection recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR. |
060 |
EXPOSURE VALUE Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in column 060 the exposure value taking into account substitution effects stemming from unfunded credit protection (Article 155(2) and (3), Article 167 of CRR). As a reminder, 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 CRR). |
070 |
EXPOSURE WEIGHTED AVERAGE LGD (%) Institutions applying the PD/LGD approach report in column 070 of the CR EQU IRB 2 template the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation; the same applies for row 020 of the CR EQU IRB template. The exposure value taking into account unfunded credit protection (column 060) shall be used for the calculation of the exposure-weighted average LGD. Institutions shall take into accounts the provisions laid down in Article 165(2) of CRR. |
080 |
RISK WEIGHTED EXPOSURE AMOUNT Institutions report risk-weighted exposure amounts for equity exposures in column 080, calculated in accordance with the provisions laid down in Article 155 of CRR. In case where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 of CRR, a scaling factor of 1.5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) of CRR). With regard to the input parameter M (Maturity) to the risk-weight function, the maturity assigned to equity exposures equals 5 years (Article 165(3) of CRR). |
090 |
MEMORANDUM ITEM: EXPECTED LOSS AMOUNT Institutions report in column 090 the expected loss amount for equity exposures calculated in accordance with Article 158(4), (7), (8) and (9) of CRR. |
91. In accordance with Article 155 of CRR, institutions may employ different approaches (Simple Risk Weight approach, PD/LGD approach or Internal Models approach) to different portfolios when they use these different approaches internally. Institutions shall also report in the CR EQU IRB 1 template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised approach).
Rows |
|
CR EQU IRB 1 — row 020, |
PD/LGD APRROACH: TOTAL Institutions applying the PD/LGD approach (Article 155(3) of CRR) report the requested information in row 020 of the CR EQU IRB 1 template. |
CR EQU IRB 1 — rows 050- 090 |
SIMPLE RISK WEIGHT APPROACH: TOTAL BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: Institutions applying the Simple Risk Weight approach (Article 155(2) of CRR) report the requested information according to the characteristics of the underlying exposures in rows 050 to 090. |
CR EQU IRB 1 — row 100 |
INTERNAL MODELS APPROACH Institutions applying the Internal Models approach (Article 155(4) of CRR) report the requested information in row 100. |
CR EQU IRB 1 — row 110 |
EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS Institutions applying the IRB approach shall report risk weighted exposure amounts for those equity exposures which attract a fixed risk weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach). As an example, — the risk weighted exposure amount of equity positions in financial sector entities treated in accordance with Article 48(4) of the CRR, as well as — equity positions risk-weighted with 370 % in accordance with Article 471(2) CRR shall be reported in row 110. |
CR EQU IRB 2 |
BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: Institutions applying the PD/LGD approach (Article 155(3) of CRR) report the requested information in the CR EQU IRB 2 template. In case where institutions using the PD/LGD approach apply a unique rating system or are able to report according to an internal master scale, they report in CR EQU IRB 2 the rating grades or pools associated to this unique rating system/masterscale. In any other case, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades or pools of the different rating systems shall be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher. |
3.6. C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)
3.6.1. General remarks
92. 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 according to Articles 92(3) point (c) ii) and 378 of CRR.
93. Institutions 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.
94. According to Article 378 of CRR, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates are nevertheless subject to own funds requirements for settlement/delivery risk as determined in Article 378 of CRR.
95. In the case of unsettled transactions after the due delivery date, institutions calculate the price difference to which they are exposed. This 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.
96. Institutions multiply this difference by the appropriate factor of Table 1 of Article 378 of CRR to determine the corresponding own funds requirements.
97. According to Article 92(4) Point (b), the own funds requirements for settlement/delivery risk shall be multiplied by 12.5 to calculate the risk exposure amount.
98. Note that own funds requirements for free deliveries as laid down in Article 379 of CRR are not within the scope of the CR SETT template; the latter shall be reported in the credit risk templates (CR SA, CR IRB).
3.6.2. Instructions concerning specific positions
Columns |
|
010 |
UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE In accordance with Article 378 of CRR, institutions report in this column 010 the unsettled transactions after their due delivery date at the respective agreed settlement prices. All unsettled transactions shall be included in this column 010, irrespective of whether or not they are at a gain or at a loss after the due settlement date. |
020 |
PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS In accordance with Article 378 of CRR, institutions report in column 020 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. Only unsettled transactions at a loss after the due settlement date shall be reported in column 020 |
030 |
OWN FUNDS REQUIREMENTS Institutions report in column 030 the own funds requirements calculated in accordance with Article 378 of CRR. |
040 |
TOTAL SETTLEMENT RISK EXPOSURE AMOUNT In accordance with Article 92(4) point (b) of CRR, institutions multiply their own funds requirements reported in column 030 by 12.5 in order to obtain the settlement risk exposure amount. |
Rows |
|
010 |
Total unsettled transactions in the Non-trading Book Institutions report in row 010 aggregated information in relation with settlement/delivery risk for non-trading book positions (in accordance with Articles 92(3) point (c) ii) and 378 of CRR). Institutions report in 010/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions report in 010/020 the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions report in 010/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR). |
020 to 060 |
Transactions unsettled up to 4 days (Factor 0 %) Transactions unsettled between 5 and 15 days (Factor 8 %) Transactions unsettled between 16 and 30 days (Factor 50 %) Transactions unsettled between 31 and 45 days (Factor 75 %) Transactions unsettled for 46 days or more (Factor 100 %) Institutions report the information in relation with settlement/delivery risk for non-trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 020 to 060. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date. |
070 |
Total unsettled transactions in the Trading Book Institutions report in row 070 aggregated information in relation with settlement/delivery risk for trading book positions (in accordance with Articles 92(3) point (c) ii) and 378 of CRR). Institutions report in 070/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions report in 070/020 the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions report in 070/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR). |
080 to 120 |
Transactions unsettled up to 4 days (Factor 0 %) Transactions unsettled between 5 and 15 days (Factor 8 %) Transactions unsettled between 16 and 30 days (Factor 50 %) Transactions unsettled between 31 and 45 days (Factor 75 %) Transactions unsettled for 46 days or more (Factor 100 %) Institutions report the information in relation with settlement/delivery risk for trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 080 to 120. 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 12.00 – CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)
3.7.1. General remarks
99. The information in this template is requested for all securitisations for which a significant risk transfer is recognised and in which the reporting institution is involved in a securitisation treated under the Standardised Approach. The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.
100. The CR SEC SA template gathers joint information on both traditional and synthetic securitisations held in the banking book, as defined in Article 242(10) and (11) of CRR, respectively.
3.7.2. Instructions concerning specific positions
Columns |
|
010 |
TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED Originator institutions must 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 the case of traditional securitisations where the originator does not hold any position, then the originator shall not consider that securitisation in the reporting of the CR SEC SA or CR SEC IRB templates. For this purpose securitisation positions held by the originator include early amortisation provisions in a securitisation of revolving exposures, as defined under Article 242(12) of CRR. |
020-040 |
SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES Following the provisions in Articles 249 and 250 of CRR the credit protection to the securitised exposures shall be as if there was no maturity mismatch. |
020 |
(-) FUNDED CREDIT PROTECTION (CVA) The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which is expected to be reported in this column is established in Article 223(2) of CRR. |
030 |
(-) 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 relevant for 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 established in Article 233(3) of CRR. |
040 |
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. |
050 |
SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS Securitisation positions held by the reporting institution, calculated according to Article 246(1)(a), (c) and (e), and (2) of CRR, without applying credit conversion factors and any credit risk adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement. Value adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitised positions are not considered. In case of early amortization clauses, institutions must specify the amount of ‘originator’s’ interest’ as defined in Article 256(2) of CRR. In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest (early amortisation) shall be the result of the aggregation of columns 010 to 040. |
060 |
(-) VALUE ADJUSTMENTS AND PROVISIONS Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized 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 exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items. |
070 |
EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS Securitisation positions according to Article 246(1) and (2) of CRR, without applying conversion factors. This piece of information is related to column 040 of the CR SA Total template. |
080-110 |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Article 4(57) and Part Three, Title II, Chapter 4 of CRR. This block of columns gathers 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). See CR SA instructions (Reporting of CRM techniques with substitution effect). |
080 |
(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA) Unfunded credit protection is defined in Article 4(59) and regulated in Article 235 of CRR. See CR SA instructions (Reporting of CRM techniques with substitution effect). |
090 |
(-) FUNDED CREDIT PROTECTION Funded credit protection is defined in Article 4(58) and regulated in Articles 195, 197 and 200 of CRR. Credit linked notes and on-balance sheet netting according to Articles 218-236 of CRR are treated as cash collateral. See CR SA instructions (Reporting of CRM techniques with substitution effect). |
100-110 |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM: Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported. |
100 |
(-) TOTAL OUTFLOWS Articles 222(3) and 235 (1) and (2). Outflows correspond to the covered part of the ‘Exposure net of value adjustments and provisions’, that is deducted from the obligor’s exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider’s exposure class and, when relevant, risk weight or obligor grade. This amount shall be considered as an Inflow into the protection provider’s exposure class and, when relevant, risk weights or obligor grades. This piece of information is related to column 090 [(-) Total Outflows] of the CR SA Total template. |
110 |
TOTAL INFLOWS Securitisation positions which are debt securities and are eligible financial collateral according to Article 197(1) of CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column. This piece of information is related to column 100 (Total Inflows) of the CR SA Total template. |
120 |
NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS Exposure 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’. This piece of information is related to column 110 of the CR SA Total template. |
130 |
(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM) This item also includes credit linked notes (Article 218 of CRR). This piece of information is related to columns 120 and 130 of the CR SA Total template. |
140 |
FULLY ADJUSTED EXPOSURE VALUE (E*) Securitisation positions according to Article 246 of CRR, therefore without applying the conversion figures laid down in Article 246(1) point (c) of CRR. This piece of information is related to column 150 of the CR SA Total template. |
150-180 |
BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS Article 246(1) point (c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion factor. This conversion figure shall be 100 % unless otherwise specified in the CRR. See columns 160 to 190 of the CR SA Total template. For reporting purposes, fully adjusted exposure values (E*) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %, [0 %, 20 %], [20 %, [50 %] and [50 %, 100 %]. |
190 |
EXPOSURE VALUE Securitisation positions according to Article 246 of CRR. This piece of information is related to column 200 of the CR SA Total template. |
200 |
(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS Article 258 of CRR envisages that in case of a securitisation position in respect of which a 1 250 % risk weight is assigned, 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. |
210 |
EXPOSURE VALUE SUBJECT TO RISK WEIGHTS Exposure value minus the exposure value deducted from own funds. |
220-320 |
BREAKDOWN OF EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS |
220-260 |
RATED Article 242(8) of CRR defines rated positions. Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the SA in Article 251 (Table 1) of CRR. |
270 |
1 250 % (UNRATED) Article 242(7) of CRR defines unrated positions. |
280 |
LOOK-THROUGH Articles 253, 254 and 256(5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio). |
290 |
LOOK-THROUGH — OF WHICH: SECOND LOSS IN ABCP Exposure value subject to the treatment of securitisation positions in a second loss tranche or better in an ABCP programme is set in 254 of CRR. Article 242(9) of CRR defines Asset-backed commercial paper (ABCP) programme. |
300 |
LOOK-THROUGH OF WHICH: AVERAGE RISK WEIGHT (%) Exposure value weighted average risk weight shall be provided. |
310 |
INTERNAL ASSESSMENT APPROACH (IAA) Articles 109(1) and 259 (3) of CRR. Exposure value of securitisation positions under the internal assessment approach. |
320 |
IAA: AVERAGE RISK WEIGHT (%) Exposure value weighted average risk weight shall be provided. |
330 |
RISK-WEIGHTED EXPOSURE AMOUNT Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template. |
340 |
OF WHICH: SYNTHETIC SECURITISATIONS For synthetic securitisations, the amount to be reported in this column shall ignore any maturity mismatch. |
350 |
OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS Articles 14(2), 406(2) and 407 of CRR require that whenever certain requirements in Articles 405, 406 or 409 of CRR are not met by the institution, Member States shall ensure that the competent authorities 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 CRR. Such an additional risk weight may not only be imposed to investor institutions, but also to originators, sponsors and original lenders. |
360 |
ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250 % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 330 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates. |
370-380 |
TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/AFTER CAP Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (column 370)/after (column 380) applying the limits specified in Articles 252 -securitisation of items currently in default or associated with particular high risk items- or 256 (4) -additional own funds requirements for securitisations of revolving exposures with early amortisation provisions- of CRR. |
390 |
MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION 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. |
101. The CR SEC SA 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 is broken down by on-balance sheet items and off-balance sheet items and derivatives as well as by securitisations and re-securitisations.
102. Total exposures (at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.
Rows |
|
010 |
TOTAL EXPOSURES Total exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows. |
020 |
OF WHICH: RE-SECURITISATIONS Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR. |
030 |
ORIGINATOR: TOTAL EXPOSURES This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(1)(13) of CRR. |
040-060 |
ON-BALANCE SHEET ITEMS Article 246(1) point (a) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the Standardised Approach, the exposure value of an on-balance sheet securitisation position shall be its accounting value after application of specific credit risk adjustments. On-balance sheet items are broken down by securitisations (row 050) and re-securitisations (row 060). |
070-090 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES These rows 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 figure unless otherwise specified. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR. For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount. For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template. Off-balance sheet items and derivatives are broken down by securitisations (row 080) and re-securitisations (row 090) as in Article 251 Table 1 of CRR. |
100 |
EARLY AMORTISATION This row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242(13) and (14) of CRR. |
110 |
INVESTOR: TOTAL EXPOSURES This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor. The CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor. |
120-140 |
ON-BALANCE SHEET ITEMS The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here. |
150-170 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here. |
180 |
SPONSOR: TOTAL EXPOSURES This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator’s rows the information regarding its own securitised assets. |
190-210 |
ON-BALANCE SHEET ITEMS The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here. |
220-240 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here. |
250-290 |
BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION These rows gather information on outstanding positions (at reporting date) according to credit quality steps (envisaged for the SA in Article 251 (Table 1) of CRR) applied at origination date (inception). In the absence of this information, the earliest CQS-equivalent data available shall be reported. These rows are only to be reported for columns 190 to 270 and columns 330 to 340. |
3.8. C 13.00 — CREDIT RISK – SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)
3.8.1. General remarks
103. The information in this template is requested for all securitisations for which a significant risk transfer is recognised and in which the reporting institution is involved in a securitisation treated under the Internal Ratings Based Approach.
104. The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.
105. The CR SEC IRB template has the same scope as the CR SEC SA, it gathers joint information on both traditional and synthetic securitisations held in the banking book.
3.8.2. Instructions concerning specific positions
Columns |
|
010 |
TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED For the row total on balance sheet items the amount reported under this column corresponds to the outstanding amount of securitised exposures at the reporting date. See column 010 of CR SEC SA. |
020-040 |
SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES Articles 249 and 250 of CRR. Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure. |
020 |
(-) FUNDED CREDIT PROTECTION (CVA) The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which is expected to be reported in this column is established in Article 223(2) of CRR. |
030 |
(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) Following the general rule for ‘inflows’ and ‘outflows’ the amounts reported under column 030 of the CR SEC IRB template shall appear as ‘inflows’ in the corresponding credit risk template (CR SA or CR IRB) and exposure class relevant for 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 established in Article 233(3) of CRR. |
040 |
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. |
050 |
SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS Securitisation positions held by the reporting institution, calculated according to Article 246(1)(b), (d) and (e), and (2) of CRR, without applying credit conversion factors and gross of value adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement. Value adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitized positions are not considered. In case of early amortisation clauses, institutions must specify the amount of ‘originator’s’ interest’ as defined in Article 256(2) of CRR. In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest (early amortisation) shall be the result of the aggregation of columns 010 to 040. |
060-090 |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE See Article 4(1)(57) and Part Three, Title II, Chapter 4 of CRR. This block of columns gathers 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). |
060 |
(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA) Unfunded credit protection is defined in Article 4(1)(59) of CRR. Article 236 of CRR describes the computation procedure of GA in the case of full protection/partial protection — equal seniority. This piece of information is related to columns 040 and 050 of the CR IRB template. |
070 |
(-) FUNDED CREDIT PROTECTION Funded credit protection is defined in Article 4(1)(58) of CRR. Since the Financial Collateral Simple Method is not applicable, only funded credit protection according to Article 200 of CRR shall be reported in this column. This piece of information is related to column 060 of the CR IRB template. |
080-090 |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM: Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported. |
080 |
(-) TOTAL OUTFLOWS Article 236 of CRR. Outflows correspond to the covered part of the ‘Exposure net of value adjustments and provisions’, that is deducted from the obligor’s exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider’s exposure class and, when relevant, risk weight or obligor grade. This amount shall be considered as an Inflow into the protection provider’s exposure class and, when relevant, risk weights or obligor grades. This piece of information is related to column 070 of the CR IRB template. |
090 |
TOTAL INFLOWS This piece of information is related to column 080 of the CR IRB template. |
100 |
EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS Exposure 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’. This piece of information is related to column 090 of the CR IRB template. |
110 |
(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM) Articles 218 to 222 of CRR. This item also includes credit linked notes (Article 218 of CRR). |
120 |
FULLY ADJUSTED EXPOSURE VALUE (E*) Securitisation positions according to Article 246 of CRR, therefore without applying the conversion factors laid down in Article 246(1) point (c) of CRR. |
130-160 |
BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS Article 246(1) point (c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion figure. This conversion figure shall be 100 % unless otherwise specified. In this respect, Article 4(1)(56) of CRR defines conversion factor. For reporting purposes, fully adjusted exposure values (E*) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %, (0 %, 20 %], (20 %, 50 %] and (50 %, 100 %]. |
170 |
EXPOSURE VALUE Securitisation positions according to Article 246 of CRR. This piece of information is related to column 110 of the CR IRB template. |
180 |
(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS Article 266(3) of CRR foresees that in case of a securitisation position in respect of 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. |
190 |
EXPOSURE VALUE SUBJECT TO RISK WEIGHTS |
200-320 |
RATINGS BASED METHOD (CREDIT QUALITY STEPS) Article 261 of CRR. IRB-Securitisation positions with an inferred rating according to Article 259(2) of CRR shall be reported as positions with a rating. Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the IRB Approach Article 261(1) Table 4 of CRR. |
330 |
SUPERVISORY FORMULA METHOD For the Supervisory Formula Method (SFM), Article 262 of CRR. The risk weight for a securitisation position shall be the greater of 7 % or the risk weight to be applied in accordance with the formulas provided. |
340 |
SUPERVSIORY FORMULA METHOD: AVERAGE RISK WEIGHT Credit risk mitigation on securitisation positions may be recognised in accordance with Article 264 of CRR. In this case, the institution shall indicate the ‘effective risk weight’ of the position when full protection has been received, according to what is established in Article 264(2) of CRR (the effective risk weight equals the risk-weighted exposure amount of the position divided by the exposure value of the position, multiplied by 100). When the position benefits from partial protection, the institution must apply the Supervisory Formula Method using the ‘T’ adjusted according to what is established in Article 264(3) of CRR. Weighted average risk weights shall be reported in this column. |
350 |
LOOK-THROUGH The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (highest risk weight of the pool). Article 263(2) and (3) of CRR envisage an exceptional treatment where Kirb cannot be calculated. The undrawn amount of the liquidity facilities shall be reported under ‘Off balance sheet items and derivatives’. As long as an originator would be under the exceptional treatment where Kirb cannot be calculated, then column 350 would be the right column to use for the reporting of the risk weighting treatment given to the exposure value of a liquidity facility subject to the treatment laid down in Article 263 of CRR. For early amortisations see Articles 256(5) and 265 of CRR. |
360 |
LOOK-THROUGH: AVERAGE RISK WEIGHT Exposure value weighted average risk weight shall be provided. |
370 |
INTERNAL ASSESSMENT APPROACH Article 259(3) and (4) of CRR envisages the ‘Internal Assessment Approach’ (IAA) for positions in ABCP programmes. |
380 |
IAA: AVERAGE RISK WEIGHT Weighted average risk weights shall be reported in this column. |
390 |
(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS Institutions applying the IRB Approach shall follow Article 266(1) (only applicable for originators, when the exposure has not been deducted from own funds) and (2) of CRR. Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized 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 exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items. |
400 |
RISK-WEIGHTED EXPOSURE AMOUNT Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template. |
410 |
RWEA OF WHICH: SYNTHETIC SECURITISATIONS For synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch. |
420 |
OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS Articles 14(2), 406(2) and 407 of CRR foresee that whenever certain requirements are not met by the institution, Member States shall ensure that the competent authorities 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 CRR. |
430 |
ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250 % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 400 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates. Negative values shall be reported in this column. |
440-450 |
TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/AFTER CAP Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (col 440)/after (col 450) applying the limits specified in Article 260 of CRR. Additionally Article 265 of CRR (additional own funds requirements for securitisations of revolving exposures with early amortisation provisions) has to be considered. |
460 |
MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION 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. |
106. The CR SEC IRB 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 is broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as by risk weight groupings of securitisations and re-securitisations.
107. Total exposures (at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.
Rows |
|
010 |
TOTAL EXPOSURES Total exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows. |
020 |
OF WHICH: RE-SECURITISATIONS Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR. |
030 |
ORIGINATOR: TOTAL EXPOSURES This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(1)(13) of CRR. |
040-090 |
ON-BALANCE SHEET ITEMS Article 246(1) lit b) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the IRB Approach, the exposure value of an on-balance sheet securitisation position shall be the accounting value without taking into account any credit risk adjustments made. On-balance sheet items are broken down according to risk weight groupings of securitisations (A-B-C), in rows 050-070, and re-securitisations (D-E), in rows 080-090, as stated in Article 261(1) Table 4 of CRR. |
100-150 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES These rows 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 of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR. For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount. For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template. Off-balance sheet items are broken down according to risk weight groupings of securitisations (A-B-C), in rows 110-130, and re-securitisations (D-E), in rows 140-150, as stated in Article 261(1) Table 4 of CRR. |
160 |
EARLY AMORTISATION This row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242(13) and (14) of CRR. |
170 |
INVESTOR: TOTAL EXPOSURES This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor. The CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor. |
180-230 |
ON-BALANCE SHEET ITEMS The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items for originators shall be applied here. |
240-290 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here. |
300 |
SPONSOR: TOTAL EXPOSURES This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4(1)(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets. |
310-360 |
ON-BALANCE SHEET ITEMS The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items and derivatives for originators shall be applied here. |
370-420 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here. |
430-540 |
BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION These rows gather information on outstanding positions (at reporting date) according to credit quality steps (envisaged for the IRB in Article 261 Table 4 of CRR) applied at origination date (inception). In the absence of this information, the earliest CQS-equivalent data available shall be reported. These rows are only to be reported for columns 170 to 320 and columns 400 to 410. |
3.9. C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)
3.9.1. General remarks
108. This template gathers information on a transaction basis (versus the aggregate information reported in CR SEC SA, CR SEC IRB, MKR SA SEC and MKR SA CTP templates) on all securitisations the reporting institution is involved. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements are requested.
109. This template is to be reported for:
a. Securitisations originated/sponsored by the reporting institution in case it holds at least one position in the securitisation. This means that, 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 405 of CRR.
b. Securitisations originated/sponsored by the reporting institution during the year of report ( 3 ), in case it holds no position.
c. Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. This underlying could include covered bonds or other liabilities and shall be identified as such in column 160.
d. Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).
110. This template shall be reported by consolidated groups and stand alone institutions ( 4 ) 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.
111. On account of Article 406(1) of CRR, 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 is applied to a limited extent to investors. In particular, they shall report columns 010-040; 070-110; 160; 190; 290-400; 420-470.
112. Institutions playing the role of original lenders (not performing also the role of originators or sponsors in the same securitisation) shall generally report the template to the same extent as investors.
3.9.2. Instructions concerning specific positions
Columns |
|
005 |
ROW NUMBER The row number is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc. |
010 |
INTERNAL CODE Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation. |
020 |
IDENTIFIER OF THE SECURITISATION (Code/Name) Code used for the legal registration of the securitisation or, if not available, the name by which the securitisation is known in the market. When 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. |
030 |
IDENTIFIER OF THE ORIGINATOR (Code/Name) The code given by the supervisory authority to the originator or, if not available, the name of the institution itself shall be reported for this column. In the case of multi-seller securitisations the reporting entity shall provide the identifier of all the entities within its consolidated group that are involved (as originator, sponsor or original lender) in the transaction. Whenever the code is not available or is not known by the reporting entity, the name of the institution shall be reported. |
040 |
SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC) Report the following abbreviations: — ‘T’ for Traditional; — ‘S’ for Synthetic. The definitions of ‘traditional securitisation’ and ‘synthetic securitisation’ is provided in Article 242(10) and (11) of CRR. |
050 |
ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET? Originators, sponsors and original lenders shall report one of the following abbreviations: — ‘K’ if entirely recognised — ‘P’ if partially derecognised — ‘R’ if entirely derecognised — ‘N’ if not applicable. This column summarises the accounting treatment of the transaction. In case of synthetic securitisations, originators shall report that securitised exposures are removed from the balance sheet. In case of the securitisations of liabilities originators shall not report this column. Option ‘P’ (partially removed) shall be reported when the securitised assets are recognized in the balance sheet to the extent of the reporting entity’ continuing involvement as regulated in IAS 39.30-35. |
060 |
SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS? Originators, only, shall report the following abbreviations: — ‘N’ not subject to own funds requirements; — ‘B’ banking book; — ‘T’ trading book; — ‘A’ partly in both books. Articles 109, 243 and 244 of CRR. This column summarises the solvency treatment of the securitisation scheme by the originator. It indicates whether own funds requirements are computed according to securitised exposures or securitisation positions (banking book/trading book). If own funds requirements are based on securitised exposures (for not being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SA template, in case the Standardised Approach is used, or in the CR IRB template, in case the Internal Ratings Based Approach is used by the institution. Conversely, if own funds requirements are based on securitisation positions held in the banking book (for being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SEC SA template or in the CR SEC IRB template. In the case of securitisation positions held in the trading book the computation 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. |
070 |
SECURITISATION OR RE-SECURITISATION? According to definitions of ‘securitisation’ and ‘re-securitisation’ are provided in Article 4(1)(61) and (62) to (64) of CRR, report the type of underlying using the following abbreviations: — ‘S’ for securitisation; — ‘R’ for re-securitisation. |
080-100 |
RETENTION Articles 404 to 410 of CRR. |
080 |
TYPE OF RETENTION APPLIED For each securitisation scheme originated, it shall be reported the relevant type of retention of net economic interest, as envisaged in Article 405 of CRR: 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 provisions in Article 405(3) of CRR. N — Not applicable. This code shall be reported for those securitisations affected by provisions in Article 404 of CRR. U — In breach or unknown. This code shall be reported when the reporting does not know with certain which type of retention is being applied or in case of non-compliance. |
090 |
% OF RETENTION AT REPORTING DATE The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be no less than 5 % (at origination date). Notwithstanding Article 405(1) of CRR, measurement of retention at origination can typically be interpreted as being when the exposures were first securitised, and not when the exposures were first created (for instance, not when the underlying loans were first extended). Measurement of retention at origination means that 5 % is the retention percentage that is required at the point in time when such retention level was measured and the requirement fulfilled (for instance, when the exposures were first securitised); dynamic re-measurement and readjustment of the retained percentage throughout the life of the transaction is not required. This column shall not be reported in case codes ‘E’ (exempted) or ‘N’ (not applicable) are reported under column 080 (Type of retention applied). |
100 |
COMPLIANCE WITH THE RETENTION REQUIREMENT? Article 405(1) of CRR. Report the following abbreviations: Y — Yes; N — No. This column shall not be reported in case codes ‘E’ (exempted) or ‘N’ (not applicable) are reported under column 080 (Type of retention applied). |
110 |
ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR) Report the following abbreviations: — ‘O’ for Originator; — ‘S’ for Sponsor; — ‘L’ for Original Lender; — ‘I’ for Investor. See definitions in Article 4(1)(13) (Originator) and Article 4(1)(14) (Sponsor) of CRR. Investors are assumed to be those institutions to which provisions in Articles 406 and 407of CRR apply. |
120-130 |
NON ABCP PROGRAMS Because of their special character because they comprise of several single securitisation positions, ABCP programs (defined in Article 242(9) of CRR) are exempted from reporting in columns 120 and 130. |
120 |
ORIGINATION DATE (mm/yyyy) The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported according to 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 when the reporting entity does not hold any positions in the securitisation. |
130 |
TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE This column gathers the amount (according to original exposures pre conversion factors) of the securitised portfolio at the origination date. In case of securitisation schemes backed by open pools the amount referring to the origination date of the first issuance of securities shall be reported. 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 the securitisation of liabilities only the amounts issued by the reporting entity shall be reported. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. |
140-220 |
SECURITISED EXPOSURES Columns 140 to 220 request information on several features of the securitised portfolio by the reporting entity. |
140 |
TOTAL AMOUNT Institutions shall report the value of the securitised portfolio at reporting date, i.e. the outstanding amount of the securitised exposures. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. In the case of securitisation schemes backed by closed pools (i.e. the portfolio of securitised assets cannot be enlarged after the origination date) the amount will progressively be reduced. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. |
150 |
INSTITUTION’S SHARE (%) It shall be reported the institution’s share (percentage with two decimals) at reporting date in the securitised portfolio. The figure to be reported in this column is, by default, 100 % except for multi-seller securitisation schemes. In that case the reporting entity shall report its current contribution to the securitised portfolio (equivalent to column 140 in relative terms). This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. |
160 |
TYPE This column gathers information on the type of assets (‘1’ to ‘8’) or liabilities (‘9’ and ‘10’) of the securitised portfolio. The institution must report one of the following number codes: 1 — Residential mortgages; 2 — Commercial mortgages; 3 — Credit card receivables; 4 — Leasing; 5 — Loans to corporates or SMEs (treated as corporates); 6 — Consumer loans; 7 — Trade receivables; 8 — Other assets; 9 — Covered bonds; 10 — Other liabilities. In case the pool of securitised exposures is a mix of the previous types, the institution shall indicate the most important type. In case of re-securitisations, the institution shall refer to the ultimate underlying pool of assets. Type ‘10’ (Other liabilities) includes treasury bonds and credit linked notes. For securitisation schemes backed by closed pools the type cannot change between reporting dates. |
170 |
APPROACH APPLIED (SA/IRB/MIX) This column gathers information on the approach that at reporting date the institution would apply to the securitised exposures. Report the following abbreviations: ‘S’ for Standardised Approach; ‘I’ for Internal Ratings Based Approach; ‘M’ for a combination of both approaches (SA/IRB). If under SA, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC SA template. If under IRB, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC IRB template. If under combination of SA and IRB, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in both the CR SEC SA and CR SEC IRB templates. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Nevertheless, this column does not apply to securitisations of liabilities. Sponsors shall not report this column. |
180 |
NUMBER OF EXPOSURES Article 261(1) of CRR. This column is only compulsory for those institutions using the IRB approach to the securitisation positions (and, therefore, reporting ‘I’ in column 170). The institution shall report the effective number of exposures. This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled when the reporting entity does not hold any positions in the securitisation. This column shall not be fulfilled by investors. |
190 |
COUNTRY 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). In case the pool of the securitisation consists of different countries, the institution shall indicate the most important country. If no country exceeds a 20 % threshold based on the amount of assets/liabilities, then ‘OT’ (other) shall be reported. |
200 |
ELGD (%) The exposure-weighted average loss-given-default (ELGD) shall only be reported by those institutions applying the Supervisory Formula Method (and, therefore, reporting ‘I’ in column 170). The ELGD is to be calculated as indicated in Article 262(1) of CRR. This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled either when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column. |
210 |
(-) VALUE ADJUSTMENTS AND PROVISIONS Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized 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 exposures purchased when in default according to Article 166(1) of CRR. Provisions 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 case of securitisation of liabilities. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column. |
220 |
OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) This column gathers information on the own funds requirements of the securitised portfolio in case there had been no securitisation plus the expected losses related to those risks (Kirb), as a percentage (with two decimals) on the total of securitised exposures at origination date. Kirb is defined in Article 242(4) of CRR. This column shall not be reported in case of securitisation of liabilities. In case of the securitisation of assets, this piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column. |
230-300 |
SECURITISATION STRUCTURE This block of six columns gathers information on the structure of the securitisation according to on/off balance sheet positions, tranches (senior/mezzanine/first loss) and maturity. In the case of multi-seller securitisations, for the first loss tranche only the amount corresponding or attributed to the reporting institution shall be reported. |
230-250 |
ON-BALANCE SHEET ITEMS This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss). |
230 |
SENIOR All tranches that do not qualify as mezzanine or first loss shall be included in this category. |
240 |
MEZZANINE See Articles 243(3) (traditional securitisations) and 244 (3) (synthetic securitisations) of CRR. |
250 |
FIRST LOSS First loss tranche is defined in Article 242(15) of CRR. |
260-280 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES This block of columns gathers information on off-balance sheet items and derivatives broken down by tranches (senior/mezzanine/first loss). The same criteria of classification among tranches used for on-balance sheet items shall be applied here. |
290 |
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 (defined in Article 242(2) of CRR) might first be exercised taking into account the maturity of the underlying exposure(s) as well as their expected pre-payment rate or potential re-negotiation activities; (ii) the date on which the originator may first exercise any other call option embedded in the contractual clauses of the securitisation which would result in the total redemption of the securitisation. The day, month and year of the first foreseeable termination date shall be reported. The exact day shall be reported if this data is available, otherwise the first day of the month shall be reported. |
300 |
LEGAL FINAL MATURITY DATE The date upon which all principal and interest of the securitisation must be legally repaid (based on the transaction documentation). The day, month and year of the legal final maturity date shall be reported. The exact day shall be reported if this data is available, otherwise the first day of the month shall be reported. |
310-400 |
SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS This block of columns gathers information on the securitisation positions according to on/off balance sheet positions and the tranches (senior/mezzanine/first loss) at reporting date. |
310-330 |
ON-BALANCE SHEET ITEMS The same criteria of classification among tranches used for on-balance sheet items shall be applied here. |
340-360 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among tranches used for off-balance sheet items shall be applied here. |
370-400 |
MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES This block of columns gathers additional information on the total off-balance sheet items and derivatives (which are already reported under a different breakdown in columns 340-360). |
370 |
DIRECT CREDIT SUBSTITUTES (DCS) This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS). According to Annex I of CRR the following full risk off-balance sheet items are regarded as DCS: — Guarantees having the character of credit substitutes. — Irrevocable standby letters of credit having the character of credit substitutes. |
380 |
IRS/CRS IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. These derivatives are listed in Annex II of CRR. |
390 |
ELIGIBLE LIQUIDITY FACILITIES Liquidity facilities (LF), defined in Article 242(3) of CRR must satisfy a list of six conditions established in Article 255(1) of CRR to be considered as eligible (regardless of the method applied by the institution -SA or IRB-). |
400 |
OTHER (INCLUDING NON-ELIGIBLE LF) This column is devoted to remaining off-balance sheet items such as non-eligible liquidity facilities (i.e. those LF that do not meet the conditions listed in Article 255(1) of CRR). |
410 |
EARLY AMORTISATION: CONVERSION FACTOR APPLIED Articles 242(12) and 256(5) (SA) and Article 265(1) (IRB) of CRR envisage a set of conversion factors to be applied to amount of the investors’ interest (in order to calculate risk-weighted exposure amounts). This column applies to securitisation schemes with early amortisation clauses (i.e. revolving securitisations). According to Article 256(6) of CRR, the conversion figure to be applied shall be determined by the level of the actual three month average excess spread. In the case of the securitisations of liabilities this column shall not be reported. This piece of information is related to row 100 in CR SEC SA and row 160 in the CR SEC IRB template. |
420 |
(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS This piece of information is closely related to column 200 in the CR SEC SA template and column 180 in the CR SEC IRB template. A negative figure shall be reported in this column. |
430 |
TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP This column gathers information on the risk weighted exposure amount before cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount computed according securitised exposures) no data shall be reported in this column. In the case of the securitisations of liabilities this column shall not be reported. |
440 |
TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP This column gathers information on the risk weighted exposure amount after cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. own funds requirements computed according securitised exposures) no data shall be reported in this column. In the case of the securitisations of liabilities this column shall not be reported. |
450-510 |
SECURITISATION POSITIONS — TRADING BOOK |
450 |
CTP OR NON-CTP? Report the following abbreviations: C — Correlation Trading Portfolio (CTP); N — Non-CTP |
460-470 |
NET POSITIONS — LONG/SHORT See columns 050/060 of MKR SA SEC or MKR SA CTP, respectively. |
480 |
TOTAL OWN FUNDS REQUIREMENTS (SA) - SPECIFIC RISK See column 610 of MKR SA SEC, or column 450 of MKR SA CTP, respectively. |
4. OPERATIONAL RISK TEMPLATES
4.1. C 16.00 – OPERATIONAL RISK (OPR)
4.1.1. General Remarks
113. This template provides information on the calculation of own funds requirements according to Articles 312 to 324 of CRR for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA). An institution cannot apply TSA and ASA for the business lines retail banking and commercial banking at the same time at solo level
114. Institutions using the BIA, TSA and/or ASA shall calculate their own funds requirement, based on the information at financial year end. When audited figures are not available, institutions may use business estimates. If audited figures are used, institutions shall report the audited figures which should 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.
115. If 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. Also the competent authority may on its own initiative, require an institution to modify the calculation. Where an institution has been in operation for less than three years it may use forward looking business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as they are available.
116. 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. If applicable, it must be detailed which part of this 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.
117. By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA.
118. This template shall be submitted by all institutions subject to operational risk own funds requirement.
4.1.2. Instructions concerning specific positions
Columns |
|
010 – 030 |
RELEVANT INDICATOR Institutions using the relevant indicator to calculate the own funds requirement for operational risk (BIA, TSA and ASA) report relevant indicator for the respective years in columns 010 to 030. Moreover, in the case of a combined use of different approaches as referred in Article 314 of CRR, institutions also report, for information purposes, relevant indicator for the activities subject to AMA. It is also the case 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 defined in Article 316 point 1, Table1 of CRR. If 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 table. If, for instance, historical data for only one year is available, it shall be reported in column 030. If it seems reasonable, the forward looking estimates shall then be included in column 020 (estimate of next year) and column 010 (estimate of year +2). Furthermore if there are no historical data on ‘relevant indicator’ available the institution may use forward-looking business estimates. |
040 - 060 |
LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION) These columns shall be used to report the amounts of the loans and advances for business lines ‘Commercial banking’ and ‘Retail banking’, as referred to in Article 319(1) point (b) of CRR. These amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to ASA (Article 319(1) point (a) of CRR). For the ‘commercial banking’ business line, securities held in the non-trading book shall also be included. |
070 |
OWN FUND REQUIREMENT The own fund requirement is calculated according to the approach used, following Articles 312 to 324 of CRR The resulting amount is reported in column 070. |
071 |
TOTAL OPERATIONAL RISK EXPOSURE AMOUNT Article 92(4) of CRR. Own funds requirements in column 070 multiplied by 12.5. |
080 |
OF WHICH: DUE TO AN ALLOCATION MECHANISM Article 18(1) of CRR (related to the inclusion, in the application referred to in Article 312(2) of CRR) of the methodology used for allocating operational risk capital between the different entities of the group and of whether and how diversification effects are intended to be factored 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 EU parent mixed financial holding company. |
090 - 120 |
AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE |
090 |
OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES The own funds requirement reported in column 090 is the one of column 070 but calculated before taking into account the alleviation effects due to expected loss, diversification and risk mitigation techniques (see below). |
100 |
(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES In column 100 the alleviation of own funds requirements due to expected loss captured in internal business practices (as referred to in Article 322(2) point (a) of CRR) is reported. |
110 |
(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION The diversification effect in column 110 is 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 when the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is computed as the sum of the individual operational risk measures of the chosen risk classes. In this case the correlation between the risk classes is assumed of 100 % and the value in the column has to be set to zero. Conversely, when the institution computes 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 that 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 the column 110 the amount by which the assumed correlation structure decreases the AMA capital relative to the assumption of 100 % correlation has to be reported. |
120 |
(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS) In column 120 the impact of insurance and other risk transfer mechanisms according to Article 323(1) to (5) of CRR is reported. |
Rows |
|
010 |
BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA) This row shall present the amounts corresponding to activities subject to the BIA to calculate the own funds requirement for operational risk (Articles 315 and 316 of CRR). |
020 |
BANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ALTERNATIVE STANDARDISED (ASA) APPROACHES The own funds requirement calculated according to the TSA and ASA (Articles 317 to 319 of CRR) shall be reported. |
030 - 100 |
SUBJECT TO TSA In the case of using the TSA, relevant indicator for each respective year shall be distributed in rows 030 to 100 amongst the business lines defined in Article 317, Table 2 of CRR. The mapping of activities into business lines shall follow the principles described in Article 318 of CRR. |
110 - 120 |
SUBJECT TO ASA Institutions using the ASA (Article 319 of CRR) shall report for the respective years the relevant indicator separately for each business line in the rows 030 to 050 and 080 to 100 and in the rows 110 and 120 for business lines ‘Commercial banking’ and ‘Retail banking’. Rows 110 and 120 shall present the amount of relevant indicator of activities subject to ASA distinguishing between those corresponding to the business line ‘Commercial banking’ and those corresponding to the business line ‘Retail banking’ (Article 319 of CRR). There can be amounts for the rows corresponding to ‘Commercial banking’ and ‘Retail banking’ under the TSA (rows 060 and 070) as well as under the ASA rows 110 and 120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA). |
130 |
BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA The relevant data for AMA institutions (Article 312 point 2 and Article 321 to 323 of CRR) shall be reported. In the case of combined use of different approaches as indicated in Article 314 of CRR, information on relevant indicator for activities subject to AMA shall be reported. It is also the case for all other AMA banks. |
4.2. C 17.00 – OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS)
4.2.1. General Remarks
119. This template summarises the information on the gross losses and loss recoveries registered by an institution in the last year according to event types and business lines.
120. ‘Gross loss’ means a loss stemming from an operational risk event or event type — as referred to in Article 322(3)(b) of Regulation (EU) No 575/2013 — before recoveries of any type, without prejudice to 122.
121. ‘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.
122. ‘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, as well as into the OPR Details reporting at all.
123. ‘Date of accounting’ means the date when a loss or reserve/provision was first recognized in the Profit and Loss statement, against an operational risk loss. This date logically follows 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).
124. The Number of events is the number of operational risk events accounted for the first time within the reporting period.
125. The Total loss amount is the algebraic sum of the following elements:
i. The gross loss amounts pertinent to operational risk events ‘accounted for the first time’ within the reporting period (e.g. direct charges, provisions, settlements);
ii. the gross loss amounts pertinent to positive loss adjustments made within the reporting period (e.g. increase of provisions, linked loss events, additional settlements) of operational risk events ‘accounted for the first time’ in previous reporting periods; and
iii. the gross loss amounts pertinent to negative loss adjustments made within the reporting period — due to decrease of provisions — of operational risk events ‘accounted for the first time’ in previous reporting periods.
126. The Number of events shall conventionally include also the events accounted for the first time in previous reporting periods and not yet reported in previous supervisory reports. The Total loss amount shall conventionally include also the elements as of Paragraph 124 pertinent to previous reporting periods and not yet reported in previous supervisory reports.
127. The Maximum single loss is the largest single amount among those included in 124.i or 124.ii above.
128. The Sum of the five largest losses is the sum of the five largest amounts among those included in 124.i or 124.ii above.
129. The Total loss recovery is the sum of all the recoveries accounted within the reporting period and pertinent to operational risk events accounted for the first time within the reporting period or in previous reporting periods.
130. The figures reported in June of the respective year are interim figures, while the final figures are reported in December. Therefore the figures in June have a six-month reference period (i.e. from 1/1 to 30/6 of the calendar year) while the figures in December have a twelve-month reference period (i.e. from 1/1 to 31/12 of the calendar year).
131. The information is presented by distributing the losses and recoveries above internal thresholds amongst business lines (as defined in Article 317 of CRR, Table 2 of CRR including the additional business line ‘Corporate items’ as referred to in Article 322(3) point (b) of CRR) and event types (as defined in Article 324 of CRR), being possible that the losses corresponding to one event are distributed amongst several business lines.
132. Columns present the different 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 if there is more than one threshold.
133. Rows present the business lines, and within each business line, information on the number of events, the total loss amount, the maximum single loss, the sum of the five largest losses and the total loss recovery.
134. For the total business lines, data on the number of events and the total loss amount are also requested for certain ranges based on preset thresholds, 10 000 , 20 000 , 100 000 , and 1 000 000 . The thresholds are set in Euro amounts and are included for comparability purposes of the reported losses among institutions; therefore they do not necessarily relate with the minimum loss thresholds used for the internal loss data collection, to be reported in another section of the template.
135. Where the algebraic sum of the elements of the total loss amount, as indicated in paragraph 124 above, determines a negative value for some business lines/event types combinations, the value of 0 shall be reported in the pertinent cells.
136. This template shall be reported by institutions using AMA or TSA/ASA for the calculation of their own funds requirements.
137. In order to verify the conditions envisaged by Article 5 point (b) (2) (b), the institutions shall use the latest statistics as available in the Supervisory Disclosure webpage of the EBA to get ‘the sum of individual balance sheet totals of all institutions within the same Member State’.
138. Institutions subject to Article 5(b)(2)(b) of this Regulation may only report the following information for the sum of all event types (column 080) of the OPR Details template:
(a) number of events (row 910);
(b) total loss amount (row 920);
(c) maximum single loss (row 930);
(d) sum of the five largest losses (row 940) and
(e) total loss recovery (row 950).
4.2.2. Instructions concerning specific positions
Columns |
|
010 -070 |
EVENT TYPES Institutions report the losses in the respective columns 010 to 070 according to the event types as defined in Article 324 of CRR. Institutions that calculate their own funds requirement according to TSA or ASA can report the losses for which the event type is not identified in column 080. |
080 |
TOTAL EVENT TYPES In column 080, for each business line, institutions report the total ‘number of events’, the total of ‘total loss amount’ and the total of ‘total loss recovery’ as the simple aggregation of the number of loss events, the total gross loss amounts and the total loss recovery amounts reported in columns 010 to 070. The ‘maximum single loss’ in column 080 is the maximum of the ‘maximum single gross losses’ reported in columns 010 to 070. For the sum of the five largest losses, in column 080 the sum of the five largest losses within one business line is reported. |
090 - 100 |
MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION Institutions report in the columns 090 and 100 the minimum loss thresholds they are using for the internal loss data collection in accordance with Article 322(3) point (c) of CRR, last sentence of CRR. If the institution applies only one threshold for in each business line, only the column 090 shall be filled in. In the case where there are different thresholds applied within the same regulatory business line, then the highest applicable threshold (column 100) shall be filled in as well. |
Rows |
|
010 - 850 |
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 as defined in Article 317(4) table 2 of CRR, including the additional business line ‘Corporate items’ as referred to in Article 322(3) point (b) of CRR, and for each event type, the institution shall report, according to the internal thresholds the following information: number of events, total loss amount, maximum single loss, sum of the five largest losses and total loss recovery. For a loss event that affects more than one business line the ‘total loss amount’ is distributed among all the affected business lines. |
910 - 950 |
TOTAL BUSINESS LINES For each event type (column 010 to 080), the following information (Article 322(3) points b), c) and e) of CRR on total business lines (rows 910 to 950) has to be reported: — Number of events (row 910): the number of events above the internal threshold by event types for the total business lines shall be reported. This figure may be lower than the aggregation of the number of events by business lines since the events with multiple impacts (impacts in different business lines) shall be considered as one. — Number of events. Of which, ≥ 10,000 and < 20,000, ≥ 20,000 and < 100,000, ≥ 100,000 and < 1 000 000 , ≥ 1 000 000 (rows 911 to 914): the number of internal events included in the ranges defined in the pertinent rows shall be reported. — Total loss amount (row 920): the total loss amount is the simple aggregation of the total loss amount for each business line. — Total loss amount, Of which, ≥ 10,000 and < 20,000, ≥ 20,000 and < 100,000, ≥ 100,000 and < 1 000 000 , ≥ 1 000 000 (rows 921 to 924): the total loss amount included in the ranges defined in the pertinent rows shall be reported. — Maximum single loss (row 930): the maximum single loss is the maximum loss over the internal threshold for each event type and amongst all business lines. These figures may be higher than the highest single loss recorded in each business line if an event impacts different business lines. — Sum of the five largest losses (row 940): the sum of the five largest gross losses for each event type and amongst all business lines is reported. This sum may be higher than the highest sum of the five largest losses recorded in each business line. This sum has to be reported regardless the number of losses. — Total loss recovery (row 950): the total loss recovery is the simple aggregation of the total loss recovery for each business line. |
910-950/080 |
TOTAL BUSINESS LINES — TOTAL EVENT TYPES — Number of events: for each row from 910 to 914, the number of events is equal to the horizontal aggregation of the number of events in the corresponding row, given that in those figures the events with impacts in different business lines shall have already been considered as one event. The number in row 910 shall not necessarily be equal to the vertical aggregation of the number of events which are included in column 080, given that one event can have an impact in different business lines simultaneously. — Total loss amount: for each row from 920 to 924, the total loss amount is equal to both the horizontal aggregation of total loss amounts by event type in the corresponding row. The total loss amount in row 920 is equal to the vertical aggregation of total loss amounts by business line in column 080. — Maximum single loss: as previously mentioned, when an event has impact in different business lines, it may be that the amount for ‘Maximum single loss’ in ‘Total Business lines’ for that particular event type is higher than the amounts of ‘Maximum single loss’ in each business line. Hence, the amount in this cell shall be equal to the highest of the values of ‘Maximum single loss’ in ‘Total Business lines’, which may not necessarily be equal to the highest value of ‘Maximum single loss’ across business lines in column 080. — Sum of the five largest losses: it is the sum of the five largest losses in the whole matrix, which means that it may not necessarily be equal to neither the maximum value of ‘sum of the five largest losses’ in ‘Total Business lines’ nor the maximum value of ‘sum of the five largest losses’ in column 080. — Total loss recovery: it is equal to both the horizontal aggregation of total loss recoveries by event type in row 950 and the vertical aggregation of total loss recoveries by business line in column 080. |
5. MARKET RISK TEMPLATES
139. These instructions refer to the templates reporting of the calculation of own funds requirements according to 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 reporting of the calculation of own funds requirements according to the internal models approach (MKR IM) are included in this part.
140. 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 — this 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 — this 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 CRR.
5.1. C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
5.1.1. General Remarks
141. This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the standardised approach (Articles 102 and 105 (1) of CRR). The different risks and methods available under the CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP only has to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {325;060} (securitisations) and {330;060} (CTP) respectively..
142. The template has to be filled out separately for the ‘Total’, plus a pre-defined list of following currencies: EUR, ALL, BGN, CZK, DKK, EGP, GBP, HRK, HUF, ISK, JPY, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.
5.1.2. Instructions concerning specific positions
Columns |
|
010 - 020 |
ALL POSITIONS (LONG AND SHORT) Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR. |
030 – 040 |
NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR. |
050 |
POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge. |
060 |
OWN FUNDS REQUIREMENTS The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR. |
070 |
TOTAL RISK EXPOSURE AMOUNT Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5. |
Rows |
|
010 – 350 |
TRADED DEBT INSTRUMENTS IN TRADING BOOK Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk according to Article 92(3) point (b) (i) CRR and Part 3 Title IV Chapter 2 of CRR are reported depending on risk category, maturity and approach used. |
011 |
GENERAL RISK. |
012 |
Derivatives Derivatives included in the calculation of interest rate risk of trading book positions taking into account Articles 328 to 331, if applicable. |
013 |
Other assets and liabilities Instruments other than derivatives included in the calculation of interest rate risk of trading book positions. |
020-200 |
MATURITY BASED APPROACH Positions in traded debt instruments subject to the maturity-based approach according to Article 339(1) to (8) of CRR and the correspondent own funds requirements set up in Article 339(9) of CRR. The position shall be split by zones 1, 2 and 3 and these by the maturity of the instruments. |
210 - 240 |
GENERAL RISK. DURATION BASED APPROACH Positions in traded debt instruments subject to the duration-based approach according to Article 340(1) to (6) of CRR and the correspondent own funds requirements set up in Article 340(7) of CRR. The position shall be split by zones 1, 2 and 3. |
250 |
SPECIFIC RISK Sum of amounts reported in rows 251, 325 and 330. Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to Article 92(3) lit. b and 335, 336 (1) to (3), 337 and 338 of CRR. Be also aware of last sentence in Article 327(1) of CRR. |
251 - 321 |
Own funds requirement for non-securitisation debt instruments Sum of the amounts reported in rows 260 to 321. The own funds requirement of the n-th to default credit derivatives which are not rated externally has to be computed by summing up the risk weights of the reference entities (Article 332(1) point (e) para 1 and 2 CRR – ‘look-through’). N-th-to-default credit derivatives which are rated externally (Article 332(1) point (e) para 3 CRR) shall be reported separately in line 321. Reporting of positions subject to Article 336(3) CRR: There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book according to Article 129(3) CRR (covered bonds). The specific own funds requirements is half of the percentage of the second category of table 1 of Article 336 CRR. Those positions have to be assigned to rows 280-300 according to the residual term to final maturity. If the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 shall be applied. |
325 |
Own funds requirement for securitisation instruments Total own funds requirements reported in column 610 of template MKR SA SEC. It shall only be reported on Total level of the MKR SA TDI. |
330 |
Own funds requirement for the correlation trading portfolio Total own funds requirements reported in column 450 of template MKR SA CTP. It shall only be reported on Total level of the MKR SA TDI. |
350 - 390 |
ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 329(3) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation. |
5.2. C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
5.2.1. General Remarks
143. 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.
144. The MKR SA SEC template determines the own funds requirement only for the specific risk of securitisation positions according to Articles 335 in connection with 337 CRR. If securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.
145. Positions which receive a risk weight of 1,250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.
5.2.2. Instructions concerning specific positions
Columns |
|
010 - 020 |
ALL POSITIONS (LONG AND SHORT) Articles 102 and 105 (1) of CRR in connection with Article 337 of CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR. |
030 - 040 |
(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Article 258 of CRR. |
050 - 060 |
NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR. |
070 - 520 |
BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS Articles 251 (Table 1) and 261 (1) (Table 4) of CRR. The breakdown has to be done separately for long and short positions. |
230-240 and 460-470 |
1 250 % Articles 251 (Table 1) and 261 (1) (Table 4) of CRR. |
250-260 and 480-490 |
SUPERVISORY FORMULA METHOD Article 337(2) of CRR in connection with Article 262 of CRR. These columns shall be reported when the institutions uses the alternative Supervisory Formula Approach (SFA), which determines the own funds requirements as a function of the characteristics of the collateral pool and contractual properties of the tranche. |
270 and 500 |
LOOK THROUGH SA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio). IRB: Articles 263(2) and (3) of CRR. For early amortisations see Article 265(1) and 256 (5) of CRR. |
280-290/510-520 |
INTERNAL ASSESSMENT APPROACH Article 109(1) sentence 2 and Article 259(3) and (4) of CRR. These columns shall be reported when the institution uses the internal assessment approach for determining capital charges for liquidity facilities and credit enhancements that banks (including third-party banks) extend to ABCP conduits. The IAA, based on ECAI’s methodologies, is applicable only to exposures to ABCP conduits that have an internal rating equivalent of investment-grade at inception. |
530 - 540 |
OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS Article 337(3) of CRR in connection with Article 407 of CRR. Article 14(2) of CRR |
550 - 570 |
BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS Article 337 of CRR without taking into account the discretion of Article 335 of CRR, that allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss. |
580 - 600 |
AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS Article 337 of CRR taking into account the discretion of Article 335 of CRR. |
610 |
TOTAL OWN FUNDS REQUIREMENTS According to Article 337(4) of CRR for a transitional period ending 31 December 2014, the institution shall sum separately its weighted net long positions (column 580) and its weighted net short positions (column 590). The larger of those sums (after cap) shall constitute the own funds requirement. From 2015 onwards according to Article 337(4) of CRR, the institution shall sum its weighted net positions, regardless whether they are long or short (column 600), in order to calculate the own funds requirements. |
Rows |
|
010 |
TOTAL EXPOSURES Total amount of outstanding securitisations (held in the trading book) reported by the institution playing the role/s of originator and/or investor and/or sponsor. |
040,070 and 100 |
SECURITISATIONS Article 4(61) and (62) of CRR. |
020,050, 080 and110 |
RE-SECURITISATIONS Article 4(63) of CRR. |
030-050 |
ORIGINATOR Article 4(13) of CRR |
060-080 |
INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor |
090-110 |
SPONSOR Article 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets |
120-210 |
BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES Article 337(4), last sentence of CRR. The breakdown of the underlying assets follows the classification used in the SEC Details template (Column ‘Type’): — 1–residential mortgages; — 2–commercial mortgages; — 3–credit card receivables; — 4–leasing; — 5–loans to corporates or SMEs (treated as corporates); — 6–consumer loans; — 7–trade receivables; — 8–other assets; — 9–covered bonds; — 10–other liabilities. For each securitisation, in case the pool consists of different types of assets, the institution shall consider the most important type. |
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
146. This template requests information on positions of the CTP (comprising securitisations, nth-to-default credit derivatives and other CTP positions included according to Article 338(3)) and the corresponding own funds requirements under the standardised approach.
147. The MKR SA CTP template determines the own funds requirement only for the specific risk of positions assigned to the Correlation Trading Portfolio according to Articles 335 in connection with 338 (2) and (3) of CRR. If CTP- positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all CTP-positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.
148. This structure of the template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. As a result, securitisation positions shall always be reported in rows 030, 060 or 090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in line 110. The ‘other CTP-positions’ are neither securitisation positions nor n-th to default credit derivatives (see definition in Article 338(3) CRR), but they are explicitly ‘linked’ (because of the hedging intent) to one of these two positions. That is why they are assigned either under the sub-heading ‘securitisation’ or ‘n-th to default credit derivative’.
149. Positions which receive a risk weight of 1,250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.
5.3.2. Instructions concerning specific positions
Columns |
|
010 - 020 |
ALL POSITIONS (LONG AND SHORT) Articles 102 and 105 (1) of CRR in connection with positions assigned to the Correlation Trading Portfolio according to Article 338(2) and (3) of CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR. |
030 - 040 |
(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Article 258 of CRR. |
050 - 060 |
NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR. |
070 - 400 |
BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS (SA AND IRB) Articles 251 (Table 1) and 261 (1) (Table 4) of CRR. |
160 and 330 |
OTHER Other risk weights not explicitly mentioned in the previous columns. For n-th-to-default credit derivatives only those which are not externally rated. Externally rated n-th to default credit derivatives are either to be reported in the MKR SA TDI template (row 321) or – if they are incorporated into the CTP – shall be assigned to the column of the respective risk weight. |
170 - 180 and 360 - 370 |
1 250 % Articles 251 (Table 1) and 261 (1) (Table 4) of CRR. |
190 - 200 and 340 - 350 |
SUPERVISORY FORMULA METHOD Article 337(2) of CRR in connection with Article 262 of CRR. |
210/380 |
LOOK THROUGH SA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio). IRB: Articles 263(2) and (3) of CRR. For early amortisations see Article 265(1) and 256 (5) of CRR. |
220 – 230 and 390 - 400 |
INTERNAL ASSESSMENT APPROACH Article 259(3) and (4) of CRR. |
410 -420 |
BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS Article 338 without taking into account the discretion of Article 335 of CRR. |
430 – 440 |
AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS Article 338 taking into account the discretion of Article 335 of CRR. |
450 |
TOTAL OWN FUNDS REQUIREMENTS The own funds requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (column 430) or (ii) the specific risk charge that would apply just to the net short positions (column 440). |
Rows |
|
010 |
TOTAL EXPOSURES Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor. |
020-040 |
ORIGINATOR Article 4(13) of CRR |
050-070 |
INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor |
080-100 |
SPONSOR Article 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets |
030,060 and 090 |
SECURITISATIONS The correlation trading portfolio comprises securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set in Article 338(2) and (3) of CRR. Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row ‘Other CTP positions’. |
110 |
N-TH-TO-DEFAULT CREDIT DERIVATIVES N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives according to Article 347 CRR shall both be reported here. The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives. |
040,070, 100 and120 |
OTHER CTP POSITIONS The positions in: — 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; — CTP positions hedged by credit derivatives according to Article 346 CRR; — Other positions that satisfy Article 338(3) of CRR; are included. |
5.4. C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
5.4.1. General Remarks
150. 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.
151. The template has to be filled out separately for the ‘Total’, plus a static, pre-defined list of 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).
5.4.2. Instructions concerning specific positions
Columns |
|
010 – 020 |
ALL POSITIONS (LONG AND SHORT) Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR). |
030 – 040 |
NET POSITIONS (LONG AND SHORT) Articles 327, 329, 332, 341 and 345 of CRR. |
050 |
POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge. The capital charge has to be calculated for each national market separately. Positions in stock-index futures according to the second sentence of Article 344(4) CRR shall not be included in this column. |
060 |
OWN FUNDS REQUIREMENTS The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR. |
070 |
TOTAL RISK EXPOSURE AMOUNT Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5. |
Rows |
|
010 - 130 |
EQUITIES IN TRADING BOOK Own funds requirements for position risk according to Article 92(3) point (b) (i) CRR and Part 3 Title IV Chapter 2 Section 3 of CRR. |
020 – 040 |
GENERAL RISK Positions in equities subject to general risk (Article 343 of CRR) and their correspondent own funds requirement according to Part 3 Title IV Chapter 2 Section 3 of CRR. Both breakdowns (021/022 as well as 030/040) are a breakdown related to all positions subject to general risk. Rows 021 and 022 requests information on the breakdown according to instruments. Only the breakdown in rows 030 and 040 is used as a basis for the calculation of own funds requirements. |
021 |
Derivatives Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332, if applicable. |
022 |
Other assets and liabilities Instruments other than derivatives included in the calculation of equity risk of trading book positions. |
030 |
Exchange traded stock-index futures broadly diversified and subject to a particular approach Exchange traded stock-index futures broadly diversified and subject to a particular approach according to Article 344(1) and (4) of CRR. These positions are only subject to general risk and, accordingly, must not be reported in row (050). |
040 |
Other equities than exchange traded stock-index futures broadly diversified Other positions in equities subject to specific risk and the correspondent own funds requirements according to Article 343 and 344 (3) of CRR. |
050 |
SPECIFIC RISK Positions in equities subject to specific risk and the correspondent own funds requirement according to Articles 342 and 344 (4) CRR. |
090 - 130 |
ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 329(2) and (3) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation. |
5.5. C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
5.5.1. General Remarks
152. Institutions shall report information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange treated under the standardised approach. The position is calculated for each currency (including euro), gold, and positions to CIUs. Rows 100 to 470 of this template shall be reported even if institutions are not required to calculate own funds requirements for foreign exchange risk according to Article 351 of CRR.
153. The memorandum items of the template shall be filled out separately for All currencies of the Member States of the European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.
5.5.2. Instructions concerning specific positions
Columns |
|
020-030 |
ALL POSITIONS (LONG AND SHORT) Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) of CRR. According to Article 352(2) 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) and positions related to items that are already deducted in the calculation of own funds shall not be reported. |
040-050 |
NET POSITIONS (LONG AND SHORT) Articles 352(3) and (4), first and second sentences, and 353 of CRR. The net positions are calculated by each currency, accordingly there may be simultaneous long and short positions. |
060-080 |
POSITIONS SUBJECT TO CAPITAL CHARGE Articles 352(4), third sentence, 353 and 354 of CRR. |
060-070 |
POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT) The long and short net positions for each currency are calculated by deducting the total of short positions from the total of long positions. Long net positions for each operation in a currency are added to obtain the long net position in that currency. Short net positions for each operation in a currency are added to obtain the short net position in that currency. Unmatched positions are added to positions subject to capital charges for other currencies (row 030) in column (060) or (070) depending on their short or long arrangement. |
080 |
POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED) Matched positions for closely correlated currencies |
|
RISK CAPITAL CHARGE (%) As defined in Articles 351 and 354, the risk capital charges in percentage. |
090 |
OWN FUNDS REQUIREMENTS The capital charge for any relevant position according to Part 3 Title IV Chapter 3 of CRR. |
100 |
TOTAL RISK EXPOSURE AMOUNT Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5. |
Rows |
|
010 |
TOTAL POSITIONS IN NON REPORTING CURRENCIES Positions in non-reporting currencies and their correspondent own funds requirements according to Article 92(3) point (c) (i) and Article 352(2) and (4) of CRR (for conversion into the reporting currency). |
020 |
CURRENCIES CLOSELY CORRELATED Positions and their correspondent own funds requirements for currencies referred to in Article 354 of CRR. |
030 |
ALL OTHER CURRENCIES (including CIU's treated as different currencies) Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR. Reporting of CIU's treated as separate currencies according to Article 353 CRR: There are two different treatments of CIU's treated as separate currencies for calculating the capital requirements: 1. The modified gold method, if the direction of the CIU's investment is not available (those CIU's shall be added to an institution's overall net foreign-exchange position) 2. If the direction of the CIU's investment is available, those CIU's 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 follows the calculation of the capital requirements accordingly. |
040 |
GOLD Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR. |
050 - 090 |
ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 352(5) and (6) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation. |
100-120 |
Breakdown of total positions (reporting currency included) by exposure types Total positions shall be broken down according to derivatives, other assets and liabilities and off-balance sheet items. |
100 |
Other assets and liabilities other than off-balance sheet items and derivatives Positions not included in row 110 or 120 shall be included here. |
110 |
Off-balance sheet items Items included in Annex I of CRR except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting. |
120 |
Derivatives Positions valued according to Articles 352 CRR. |
130-480 |
MEMORANDUM ITEMS: CURRENCY POSITIONS The memorandum items of the template shall be filled out separately for All currencies of the Member States of the European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies. |
5.6. C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
5.6.1. General Remarks
154. This template request information on the positions in commodities and the corresponding own funds requirements treated under the standardised approach.
5.6.2. Instructions concerning specific positions
Columns |
|
010 - 020 |
All POSITIONS (LONG AND SHORT) Gross long/short positions considered positions in the same commodity according to Article 357(1) and (4) of CRR (see also Article 359(1) of CRR). |
030 – 040 |
NET POSITIONS (LONG AND SHORT) As defined in Article 357(3) of CRR. |
050 |
POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 4 of CRR, receive a capital charge. |
060 |
OWN FUNDS REQUIREMENTS The capital charge for any relevant position according to Part 3 Title IV Chapter 4 of CRR. |
070 |
TOTAL RISK EXPOSURE AMOUNT Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5. |
Rows |
|
010 |
TOTAL POSITIONS IN COMMODITIES Positions in commodities and their correspondent own funds requirements for market risk according to Article 92(3) point (c) (iii) CRR and Part 3 Title IV Chapter 4 of CRR. |
020 – 060 |
POSITIONS BY CATEGORY OF COMMODITY For reporting purposes commodities are grouped in the four main groups of commodities referred to in Table 2 of Article 361 CRR. |
070 |
MATURITY LADDER APPROACH Positions in commodities subject to the Maturity Ladder approach as referred to in Article 359 of CRR. |
080 |
EXTENDED MATURITY LADDER APPROACH Positions in commodities subject to the Extended Maturity Ladder approach as referred to in Article 361 of CRR |
090 |
SIMPLIFIED APPROACH Positions in commodities subject to the Simplified approach as referred to in Article 360 of CRR. |
100-140 |
ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 358(4) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation |
5.7. C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM)
5.7.1. General Remarks
155. This template provides a breakdown of VaR and stressed VaR (sVaR) figures according to the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements.
156. Generally the reporting depends on the structure of the model of the institutions whether they report the figures for general and specific risk separately or together. 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 resign to report the decompositions mentioned above if it proves that a reporting of these figures would be unduly burdensome.
5.7.2. Instructions concerning specific positions
Columns |
|
030-040 |
VaR It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon. |
030 |
Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg) Articles 364(1) point (a) (ii) and 365 (1) of CRR. |
040 |
Previous day VaR (VaRt-1) Articles 364(1) point (a) (i) and 365 (1) of CRR. |
050-060 |
Stressed VaR It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution’s portfolio. |
050 |
Multiplication factor (ms) x Average of previous 60 working days (SVaRavg) Articles 364(1) point (b) (ii) and 365 (1) of CRR. |
060 |
Latest available (SVaRt-1) Articles 364(1) point (b) (i) and 365 (1) of CRR. |
070-080 |
INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE It means the maximum potential loss that would result from a price change linked to default and migration risks calculated accordingly to Article 364(2) point (b) in connection with Part Three Title IV Chapter 5 Section 4 of CRR. |
070 |
12 weeks average measure Article 364(2) point (b) (ii) in connection with Part Three Title IV Chapter 5 Section 4 of CRR. |
080 |
Last Measure Article 364(2) point (b) (i) in connection with Part Three Title IV Chapter 5 Section 4 of CRR. |
090-110 |
ALL PRICE RISKS CAPITAL CHARGE FOR CTP |
090 |
FLOOR Article 364(3) point (c) of CRR. = 8 % of the capital charge that would be calculated in accordance with Article 338(1) of CRR for all positions in the ‘all price risks’ capital charge. |
100-110 |
12 WEEKS AVERAGE MEASURE AND LAST MEASURE Article 364(3) point (b). |
110 |
LAST MEASURE Article 364(3) point (a) |
120 |
OWN FUNDS REQUIREMENTS Referred to in Article 364 of CRR of all risk factors taking into account correlation effects, if 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 Article 364(2) of CRR. |
130 |
TOTAL RISK EXPOSURE AMOUNT Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5. |
140 |
Number of overshootings (during previous 250 working days) Referred to in Article 366 of CRR. |
150-160 |
VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms) As referred to in Article 366 of CRR. |
170 - 180 |
ASSUMED CHARGE FOR CTP FLOOR — WEIGHTED NET LONG/SHORT POSITIONS AFTER CAP The amounts reported and serving as the basis to calculate the floor capital charge for all price risks according to Article 364(3) point (c) of CRR take into account the discretion of Article 335 of CRR which says that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss. |
Rows |
|
010 |
TOTAL POSITIONS Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) of CRR linked to the risk factors specified in Article 367(2) of CRR. Concerning the columns 030 to 060 (VAR and Stress-VAR) the figures in the total row is not equal to the decomposition of the figures for the VAR/Stress-VAR of the relevant risk components. Hence the decomposition are memorandum items. |
020 |
TRADED DEBT INSTRUMENTS Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the interest rates risk factors as specified in Article 367(2) of CRR. |
030 |
TDI – GENERAL RISK General risk defined in Article 362 of CRR. |
040 |
TDI – SPECIFIC RISK Specific risk defined in Article 362 of CRR. |
050 |
EQUITIES Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the equity risk factors as specified in Article 367(2) of CRR. |
060 |
EQUITIES – GENERAL RISK General risk defined in Article 362 of CRR. |
070 |
EQUITIES – SPECIFIC RISK Specific risk defined in Article 362 of CRR. |
080 |
FOREIGN EXCHANGE RISK Articles 363(1) and 367 (2) of CRR. |
090 |
COMMODITY RISK Articles 363(1) and 367 (2) of CRR. |
100 |
TOTAL AMOUNT FOR GENERAL RISK Market risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VAR for general risk of all risk factors (taking into account correlation effects if applicable). |
110 |
TOTAL AMOUNT FOR SPECIFIC RISK Specific risk component of traded debt instruments and equities. VAR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects if applicable). |
5.8. C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA)
5.8.1. Instructions concerning specific positions
Columns |
|
010 |
Exposure value Article 271 of CRR in accordance with article 382 of CRR Total EAD from all transactions subject to CVA charge |
020 |
Of which: OTC derivatives Article 271 of CRR in accordance with Article 382(1) of CRR The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set |
030 |
Of which: SFT Article 271 of CRR in accordance with Article 382(2) of CRR The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set |
040 |
MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) Article 383 of CRR in accordance with Article 363(1)(d) of CRR VaR calculation based on internal models for market risk |
050 |
PREVIOUS DAY (VaRt-1) See instructions referring to column 040 |
060 |
MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) See instructions referring to column 040 |
070 |
LATEST AVAILABLE (SVaRt-1) See instructions referring to column 040 |
080 |
OWN FUNDS REQUIREMENTS Article 92(3) d) of CRR Own funds requirements for CVA Risk calculated via the chosen method |
090 |
TOTAL RISK EXPOSURE AMOUNT Article 92(4) b) of CRR Own funds requirements multiplied by 12,5. |
|
Memorandum items |
100 |
Number of counterparties Article 382 of CRR Number of counterparties included in calculation of own funds for CVA risk Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are simply the other contracting party. |
110 |
Of which: proxy was used to determine credit spread number of counterparties where the credit spread was determined using a proxy instead of directly observed market data |
120 |
INCURRED CVA Accounting provisions due to decreased credit worthiness of derivatives counterparties |
130 |
SINGLE NAME CDS Article 386(1) lit. a of CRR Total notional amounts of single name CDS used as hedge for CVA risk |
140 |
INDEX CDS Article 386(1) lit. b) of CRR Total notional amounts of index CDS used as hedge for CVA risk |
Rows |
|
010 |
CVA risk total Sum of rows 020-040 as applicable |
020 |
According to Advanced method Advanced CVA risk method as prescribed by Article 383 of CRR |
030 |
According to Standardised method Standardised CVA risk method as prescribed by Article 384 of CRR |
040 |
Based on OEM Amounts subject to the application of Article 385 of CRR |
ANNEX III
REPORTING FINANCIAL INFORMATION ACCORDING TO IFRS
FINREP TEMPLATES FOR IFRS |
||
TEMPLATE NUMBER |
TEMPLATE CODE |
NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE |
|
|
PART 1 [QUARTERLY FREQUENCY] |
Balance Sheet Statement [Statement of Financial Position] |
||
1.1 |
F 01.01 |
Balance Sheet Statement: assets |
1.2 |
F 01.02 |
Balance Sheet Statement: liabilities |
1.3 |
F 01.03 |
Balance Sheet Statement: equity |
2 |
F 02.00 |
Statement of profit or loss |
3 |
F 03.00 |
Statement of comprehensive income |
Breakdown of financial assets by instrument and by counterparty sector |
||
4.1 |
F 04.01 |
Breakdown of financial assets by instrument and by counterparty sector: financial assets held for trading |
4.2.1 |
F 04.02.1 |
Breakdown of financial assets by instrument and by counterparty sector: non-trading financial assets mandatorily at fair value through profit or loss |
4.2.2 |
F 04.02.2 |
Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss |
4.3.1 |
F 04.03.1 |
Breakdown of financial assets by instrument and by counterparty sector: financial assets at fair value through other comprehensive income |
4.4.1 |
F 04.04.1 |
Breakdown of financial assets by instrument and by counterparty sector: financial assets at amortised cost |
4.5 |
F 04.05 |
Subordinated financial assets |
5.1 |
F 05.01 |
Breakdown of non-trading Loans and advances by product |
6.1 |
F 06.01 |
Breakdown of loans and advances other than held for trading to non-financial corporations by NACE codes |
|
F 07.00 |
Financial assets subject to impairment that are past due |
7.1 |
F 07.01 |
Financial assets subject to impairment that are past due |
Breakdown of financial liabilities |
||
8.1 |
F 08.01 |
Breakdown of financial liabilities by product and by counterparty sector |
8.2 |
F 08.02 |
Subordinated financial liabilities |
Loan commitments, financial guarantees and other commitments |
||
9.1.1 |
F 09.01.1 |
Off-balance sheet exposures : loan commitments, financial guarantees and other commitments given |
9.2 |
F 09.02 |
Loan commitments, financial guarantees and other commitments received |
10 |
F 10.00 |
Derivatives - Trading and economic hedges |
Hedge accounting |
||
11.1 |
F 11.01 |
Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge |
11.3 |
F 11.03 |
Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge |
11.4 |
F 11.04 |
Hedged items in fair value hedges |
Movements in allowances and provisions for credit losses |
||
12.1 |
F 12.01 |
Movements in allowances and provisions for credit losses |
12.2 |
F 12.02 |
Transfers between impairment stages (gross basis presentation) |
Collateral and guarantees received |
||
13.1 |
F 13.01 |
Breakdown of collateral and guarantees by loans and advances other than held for trading |
13.2 |
F 13.02 |
Collateral obtained by taking possession during the period [held at the reporting date] |
13.3 |
F 13.03 |
Collateral obtained by taking possession [tangible assets] accumulated |
14 |
F 14.00 |
Fair value hierarchy: financial instruments at fair value |
15 |
F 15.00 |
Derecognition and financial liabilities associated with transferred financial assets |
Breakdown of selected statement of profit or loss items |
||
16.1 |
F 16.01 |
Interest income and expenses by instrument and counterparty sector |
16.2 |
F 16.02 |
Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument |
16.3 |
F 16.03 |
Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument |
16.4 |
F 16.04 |
Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk |
16.4.1 |
F 16.04.1 |
Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument |
16.5 |
F 16.05 |
Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument |
16.6 |
F 16.06 |
Gains or losses from hedge accounting |
16.7 |
F 16.07 |
Impairment on non-financial assets |
Reconciliation between accounting and CRR scope of consolidation: Balance Sheet |
||
17.1 |
F 17.01 |
Reconciliation between accounting and CRR scope of consolidation: Assets |
17.2 |
F 17.02 |
Reconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures - loan commitments, financial guarantees and other commitments given |
17.3 |
F 17.03 |
Reconciliation between accounting and CRR scope of consolidation: Liabilities |
18 |
F 18.00 |
Performing and non-performing exposures |
19 |
F 19.00 |
Forborne exposures |
|
|
PART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING] |
Geographical breakdown |
||
20.1 |
F 20.01 |
Geographical breakdown of assets by location of the activities |
20.2 |
F 20.02 |
Geographical breakdown of liabilities by location of the activities |
20.3 |
F 20.03 |
Geographical breakdown of main statement of profit or loss items by location of the activities |
20.4 |
F 20.04 |
Geographical breakdown of assets by residence of the counterparty |
20.5 |
F 20.05 |
Geographical breakdown of off-balance sheet exposures by residence of the counterparty |
20.6 |
F 20.06 |
Geographical breakdown of liabilities by residence of the counterparty |
20.7.1 |
F 20.07.1 |
Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes |
21 |
F 21.00 |
Tangible and intangible assets: assets subject to operating lease |
Asset management, custody and other service functions |
||
22.1 |
F 22.01 |
Fee and commission income and expenses by activity |
22.2 |
F 22.02 |
Assets involved in the services provided |
|
|
PART 3 [SEMI-ANNUAL] |
Off-balance sheet activities: interests in unconsolidated structured entities |
||
30.1 |
F 30.01 |
Interests in unconsolidated structured entities |
30.2 |
F 30.02 |
Breakdown of interests in unconsolidated structured entities by nature of the activities |
Related parties |
||
31.1 |
F 31.01 |
Related parties: amounts payable to and amounts receivable from |
31.2 |
F 31.02 |
Related parties: expenses and income generated by transactions with |
|
|
PART 4 [ANNUAL] |
Group structure |
||
40.1 |
F 40.1 |
Group structure: "entity-by-entity" |
40.2 |
F 40.02 |
Group structure: "instrument-by-instrument" |
Fair value |
||
41.1 |
F 41.01 |
Fair value hierarchy: financial instruments at amortised cost |
41.2 |
F 41.02 |
Use of the Fair Value Option |
42 |
F 42.00 |
Tangible and intangible assets: carrying amount by measurement method |
43 |
F 43.00 |
Provisions |
Defined benefit plans and employee benefits |
||
44.1 |
F 44.01 |
Components of net defined benefit plan assets and liabilities |
44.2 |
F 44.02 |
Movements in defined benefit plan obligations |
44.3 |
F 44.03 |
Memo items [related to staff expenses] |
Breakdown of selected items of statement of profit or loss |
||
45.1 |
F 45.01 |
Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio |
45.2 |
F 45.02 |
Gains or losses on derecognition of non-financial assets other than held for sale and investments in subsidiaries, joint ventures and associates |
45.3 |
F 45.03 |
Other operating income and expenses |
46 |
F 46.00 |
Statement of changes in equity |
1. Balance Sheet Statement [Statement of Financial Position]
1.1 Assets
|
References |
Breakdown in table |
Carrying amount |
|
Annex V.Part 1.27 |
||||
010 |
||||
010 |
Cash, cash balances at central banks and other demand deposits |
IAS 1.54 (i) |
|
|
020 |
Cash on hand |
Annex V.Part 2.1 |
|
|
030 |
Cash balances at central banks |
Annex V.Part 2.2 |
|
|
040 |
Other demand deposits |
Annex V.Part 2.3 |
5 |
|
050 |
Financial assets held for trading |
IFRS 9.Appendix A |
|
|
060 |
Derivatives |
IFRS 9.Appendix A |
10 |
|
070 |
Equity instruments |
IAS 32.11 |
4 |
|
080 |
Debt securities |
Annex V.Part 1.31 |
4 |
|
090 |
Loans and advances |
Annex V.Part 1.32 |
4 |
|
096 |
Non-trading financial assets mandatorily at fair value through profit or loss |
IFRS 7.8(a)(ii); IFRS 9.4.1.4 |
4 |
|
097 |
Equity instruments |
IAS 32.11 |
4 |
|
098 |
Debt securities |
Annex V.Part 1.31 |
4 |
|
099 |
Loans and advances |
Annex V.Part 1.32 |
4 |
|
100 |
Financial assets designated at fair value through profit or loss |
IFRS 7.8(a)(i); IFRS 9.4.1.5 |
4 |
|
120 |
Debt securities |
Annex V.Part 1.31 |
4 |
|
130 |
Loans and advances |
Annex V.Part 1.32 |
4 |
|
141 |
Financial assets at fair value through other comprehensive income |
IFRS 7.8(h); IFRS 9.4.1.2A |
4 |
|
142 |
Equity instruments |
IAS 32.11 |
4 |
|
143 |
Debt securities |
Annex V.Part 1.31 |
4 |
|
144 |
Loans and advances |
Annex V.Part 1.32 |
4 |
|
181 |
Financial assets at amortised cost |
IFRS 7.8(f); IFRS 9.4.1.2 |
4 |
|
182 |
Debt securities |
Annex V.Part 1.31 |
4 |
|
183 |
Loans and advances |
Annex V.Part 1.32 |
4 |
|
240 |
Derivatives – Hedge accounting |
IFRS 9.6.2.1; Annex V.Part 1.22 |
11 |
|
250 |
Fair value changes of the hedged items in portfolio hedge of interest rate risk |
IAS 39.89A(a); IFRS 9.6.5.8 |
|
|
260 |
Investments in subsidiaries, joint ventures and associates |
IAS 1.54(e); Annex V.Part 1.21, Part 2.4 |
40 |
|
270 |
Tangible assets |
|
|
|
280 |
Property, Plant and Equipment |
IAS 16.6; IAS 1.54(a) |
21, 42 |
|
290 |
Investment property |
IAS 40.5; IAS 1.54(b) |
21, 42 |
|
300 |
Intangible assets |
IAS 1.54(c); CRR art 4(1)(115) |
|
|
310 |
Goodwill |
IFRS 3.B67(d); CRR art 4(1)(113) |
|
|
320 |
Other intangible assets |
IAS 38.8,118 |
21, 42 |
|
330 |
Tax assets |
IAS 1.54(n-o) |
|
|
340 |
Current tax assets |
IAS 1.54(n); IAS 12.5 |
|
|
350 |
Deferred tax assets |
IAS 1.54(o); IAS 12.5; CRR art 4(1)(106) |
|
|
360 |
Other assets |
Annex V.Part 2.5 |
|
|
370 |
Non-current assets and disposal groups classified as held for sale |
IAS 1.54(j); IFRS 5.38, Annex V.Part 2.7 |
|
|
380 |
TOTAL ASSETS |
IAS 1.9(a), IG 6 |
|
|
1.2 Liabilities
|
References |
Breakdown in table |
Carrying amount |
|
Annex V.Part 1.27 |
||||
010 |
||||
010 |
Financial liabilities held for trading |
IFRS 7.8 (e) (ii); IFRS 9.BA.6 |
8 |
|
020 |
Derivatives |
IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) |
10 |
|
030 |
Short positions |
IFRS 9.BA7(b) |
8 |
|
040 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
8 |
|
050 |
Debt securities issued |
Annex V.Part 1.37 |
8 |
|
060 |
Other financial liabilities |
Annex V.Part 1.38-41 |
8 |
|
070 |
Financial liabilities designated at fair value through profit or loss |
IFRS 7.8 (e)(i); IFRS 9.4.2.2 |
8 |
|
080 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
8 |
|
090 |
Debt securities issued |
Annex V.Part 1.37 |
8 |
|
100 |
Other financial liabilities |
Annex V.Part 1.38-41 |
8 |
|
110 |
Financial liabilities measured at amortised cost |
IFRS 7.8(g); IFRS 9.4.2.1 |
8 |
|
120 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
8 |
|
130 |
Debt securities issued |
Annex V.Part 1.37 |
8 |
|
140 |
Other financial liabilities |
Annex V.Part 1.38-41 |
8 |
|
150 |
Derivatives – Hedge accounting |
IFRS 9.6.2.1; Annex V.Part 1.26 |
11 |
|
160 |
Fair value changes of the hedged items in portfolio hedge of interest rate risk |
IAS 39.89A(b), IFRS 9.6.5.8 |
|
|
170 |
Provisions |
IAS 37.10; IAS 1.54(l) |
43 |
|
180 |
Pensions and other post employment defined benefit obligations |
IAS 19.63; IAS 1.78(d); Annex V.Part 2.9 |
43 |
|
190 |
Other long term employee benefits |
IAS 19.153; IAS 1.78(d); Annex V.Part 2.10 |
43 |
|
200 |
Restructuring |
IAS 37.71, 84(a) |
43 |
|
210 |
Pending legal issues and tax litigation |
IAS 37.Appendix C. Examples 6 and 10 |
43 |
|
220 |
Commitments and guarantees given |
IFRS 9.4.2.1(c),(d), 9.5.5, 9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.11 |
9 12 43 |
|
230 |
Other provisions |
IAS 37.14 |
43 |
|
240 |
Tax liabilities |
IAS 1.54(n-o) |
|
|
250 |
Current tax liabilities |
IAS 1.54(n); IAS 12.5 |
|
|
260 |
Deferred tax liabilities |
IAS 1.54(o); IAS 12.5; CRR art 4(1)(108) |
|
|
270 |
Share capital repayable on demand |
IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12 |
|
|
280 |
Other liabilities |
Annex V.Part 2.13 |
|
|
290 |
Liabilities included in disposal groups classified as held for sale |
IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 |
|
|
300 |
TOTAL LIABILITIES |
IAS 1.9(b);IG 6 |
|
|
1.3 Equity
|
References |
Breakdown in table |
Carrying amount |
|
010 |
||||
010 |
Capital |
IAS 1.54(r), BAD art 22 |
46 |
|
020 |
Paid up capital |
IAS 1.78(e) |
|
|
030 |
Unpaid capital which has been called up |
Annex V.Part 2.14 |
|
|
040 |
Share premium |
IAS 1.78(e); CRR art 4(1)(124) |
46 |
|
050 |
Equity instruments issued other than capital |
Annex V.Part 2.18-19 |
46 |
|
060 |
Equity component of compound financial instruments |
IAS 32.28-29; Annex V.Part 2.18 |
|
|
070 |
Other equity instruments issued |
Annex V.Part 2.19 |
|
|
080 |
Other equity |
IFRS 2.10; Annex V.Part 2.20 |
|
|
090 |
Accumulated other comprehensive income |
CRR art 4(1)(100) |
46 |
|
095 |
Items that will not be reclassified to profit or loss |
IAS 1.82A(a) |
|
|
100 |
Tangible assets |
IAS 16.39-41 |
|
|
110 |
Intangible assets |
IAS 38.85-87 |
|
|
120 |
Actuarial gains or (-) losses on defined benefit pension plans |
IAS 1.7, IG6; IAS 19.120(c) |
|
|
122 |
Non-current assets and disposal groups classified as held for sale |
IFRS 5.38, IG Example 12 |
|
|
124 |
Share of other recognised income and expense of investments in subsidaries, joint ventures and associates |
IAS 1.IG6; IAS 28.10 |
|
|
320 |
Fair value changes of equity instruments measured at fair value through other comprehensive income |
IAS 1.7(d); IFRS 9 5.7.5, B5.7.1; Annex V.Part 2.21 |
|
|
330 |
Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income |
IAS 1.7(e);IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.22 |
|
|
340 |
Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item] |
IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.22 |
|
|
350 |
Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument] |
IAS 1.7(e);IFRS 9.5.7.5;.6.5.8(a);Annex V.Part 2.57 |
|
|
360 |
Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk |
IAS 1.7(f); IFRS 9 5.7.7;Annex V.Part 2.23 |
|
|
128 |
Items that may be reclassified to profit or loss |
IAS 1.82A(a) (ii) |
|
|
130 |
Hedge of net investments in foreign operations [effective portion] |
IFRS9.6.5.13(a); IFRS7.24B(b)(ii)(iii); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.24 |
|
|
140 |
Foreign currency translation |
IAS 21.52(b); IAS 21.32, 38-49 |
|
|
150 |
Hedging derivatives. Cash flow hedges reserve [effective portion] |
IAS 1.7 (e); IFRS 7.24B(b)(ii)(iii); IFRS 7.24C(b)(i);.24E; IFRS 9.6.5.11(b); Annex V.Part 2.25 |
|
|
155 |
Fair value changes of debt instruments measured at fair value through other comprehensive income |
IAS 1.7(da); IFRS 9.4.1.2A; 5.7.10; Annex V.Part 2.26 |
|
|
165 |
Hedging instruments [not designated elements] |
IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24 E (b)(c); Annex V.Part 2.60 |
|
|
170 |
Non-current assets and disposal groups classified as held for sale |
IFRS 5.38, IG Example 12 |
|
|
180 |
Share of other recognised income and expense of investments in subsidaries, joint ventures and associates |
IAS 1.IG6; IAS 28.10 |
|
|
190 |
Retained earnings |
CRR art 4(1)(123) |
|
|
200 |
Revaluation reserves |
IFRS 1.30, D5-D8; Annex V.Part 2.28 |
|
|
210 |
Other reserves |
IAS 1.54; IAS 1.78(e) |
|
|
220 |
Reserves or accumulated losses of investments in subsidaries, joint ventures and associates accounted for using the equity method |
IAS 28.11; Annex V.Part 2.29 |
|
|
230 |
Other |
Annex V.Part 2.29 |
|
|
240 |
(-) Treasury shares |
IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.30 |
46 |
|
250 |
Profit or loss attributable to owners of the parent |
IAS 1.81B (b)(ii) |
2 |
|
260 |
(-) Interim dividends |
IAS 32.35 |
|
|
270 |
Minority interests [Non-controlling interests] |
IAS 1.54(q) |
|
|
280 |
Accumulated Other Comprehensive Income |
CRR art 4(1)(100) |
46 |
|
290 |
Other items |
|
46 |
|
300 |
TOTAL EQUITY |
IAS 1.9(c), IG 6 |
46 |
|
310 |
TOTAL EQUITY AND TOTAL LIABILITIES |
IAS 1.IG6 |
|
|
2. Statement of profit or loss
|
References |
Breakdown in table |
Current period |
|
010 |
||||
010 |
Interest income |
IAS 1.97; Annex V.Part 2.31 |
16 |
|
020 |
Financial assets held for trading |
IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34 |
|
|
025 |
Non-trading financial assets mandatorily at fair value through profit or loss |
IFRS 7.20(a)(i), B5(e), IFRS 9.5.7.1 |
|
|
030 |
Financial assets designated at fair value through profit or loss |
IFRS 7.20(a)(i), B5(e) |
|
|
041 |
Financial assets at fair value through other comprehensive income |
IFRS 7.20(b); IFRS 9.5.7.10-11; IFRS 9.4.1.2A |
|
|
051 |
Financial assets at amortised cost |
IFRS 7.20(b);IFRS 9.4.1.2; IFRS 9.5.7.2 |
|
|
070 |
Derivatives - Hedge accounting, interest rate risk |
IFRS 9.Appendix A; .B6.6.16; Annex V.Part 2.35 |
|
|
080 |
Other assets |
Annex V.Part 2.36 |
|
|
085 |
Interest income on liabilities |
IFRS 9.5.7.1, Annex V.Part 2.37 |
|
|
090 |
(Interest expenses) |
IAS 1.97; Annex V.Part 2.31 |
16 |
|
100 |
(Financial liabilities held for trading) |
IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34 |
|
|
110 |
(Financial liabilities designated at fair value through profit or loss) |
IFRS 7.20(a)(i), B5(e) |
|
|
120 |
(Financial liabilities measured at amortised cost) |
IFRS 7.20(b); IFRS 9.5.7.2 |
|
|
130 |
(Derivatives - Hedge accounting, interest rate risk) |
IAS 39.9; Annex V.Part 2.35 |
|
|
140 |
(Other liabilities) |
Annex V.Part 2.38 |
|
|
145 |
(Interest expense on assets) |
IFRS 9.5.7.1, Annex V.Part 2.39 |
|
|
150 |
(Expenses on share capital repayable on demand) |
IFRIC 2.11 |
|
|
160 |
Dividend income |
Annex V.Part 2.40 |
31 |
|
170 |
Financial assets held for trading |
IFRS 7.20(a)(i), B5(e); Annex V.Part 2.40 |
|
|
175 |
Non-trading financial assets mandatorily at fair value through profit or loss |
IFRS 7.20(a)(i), B5(e),IFRS 9.5.7.1A; Annex V.Part 2.40 |
|
|
191 |
Financial assets at fair value through other comprehensive income |
IFRS 7.20(a)(ii); IFRS 9.4.1.2A; IFRS 9.5.7.1A; Annex V.Part 2.41 |
|
|
192 |
Investments in subsidiaries, joint ventures and associates accounted for using other than equity method |
Annex V Part 2 .42 |
|
|
200 |
Fee and commission income |
IFRS 7.20(c) |
22 |
|
210 |
(Fee and commission expenses) |
IFRS 7.20(c) |
22 |
|
220 |
Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net |
Annex V.Part 2.45 |
16 |
|
231 |
Financial assets at fair value through other comprehensive income |
IFRS 9.4.12A; IFRS 9.5.7.10-11 |
|
|
241 |
Financial assets at amortised cost |
IFRS 7.20(a)(v);IFRS 9.4.1.2; IFRS 9.5.7.2 |
|
|
260 |
Financial liabilities measured at amortised cost |
IFRS 7.20(a)(v); IFRS 9.5.7.2 |
|
|
270 |
Other |
|
|
|
280 |
Gains or (-) losses on financial assets and liabilities held for trading, net |
IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 46 |
16 |
|
287 |
Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net |
IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.46 |
|
|
290 |
Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net |
IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.44 |
16, 45 |
|
300 |
Gains or (-) losses from hedge accounting, net |
Annex V.Part 2.47 |
16 |
|
310 |
Exchange differences [gain or (-) loss], net |
IAS 21.28, 52 (a) |
|
|
330 |
Gains or (-) losses on derecognition of non-financial assets, net |
IAS 1.34; Annex V. Part 2.48 |
45 |
|
340 |
Other operating income |
Annex V.Part 2.314-316 |
45 |
|
350 |
(Other operating expenses) |
Annex V.Part 2.314-316 |
45 |
|
355 |
TOTAL OPERATING INCOME, NET |
|
|
|
360 |
(Administrative expenses) |
|
|
|
370 |
(Staff expenses) |
IAS 19.7; IAS 1.102, IG 6 |
44 |
|
380 |
(Other administrative expenses) |
|
|
|
390 |
(Depreciation) |
IAS 1.102, 104 |
|
|
400 |
(Property, Plant and Equipment) |
IAS 1.104; IAS 16.73(e)(vii) |
|
|
410 |
(Investment Properties) |
IAS 1.104; IAS 40.79(d)(iv) |
|
|
420 |
(Other intangible assets) |
IAS 1.104; IAS 38.118(e)(vi) |
|
|
425 |
Modification gains or (-) losses, net |
IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49 |
|
|
426 |
Financial assets at fair value through other comprehensive income |
IFRS 7.35J |
|
|
427 |
Financial assets at amortised cost |
IFRS 7.35J |
|
|
430 |
(Provisions or (-) reversal of provisions) |
IAS 37.59, 84; IAS 1.98(b)(f)(g) |
9 12 43 |
|
440 |
(Commitments and guarantees given) |
IFRS 9.4.2.1(c),(d),9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.50 |
|
|
450 |
(Other provisions) |
|
|
|
460 |
(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) |
IFRS 7.20(a)(viii); IFRS 9.5.4.4; Annex V Part 2.51, 53 |
12 |
|
481 |
(Financial assets at fair value through other comprehensive income) |
IFRS 9.5.4.4, 9.5.5.1, 9.5.5.2, 9.5.5.8 |
12 |
|
491 |
(Financial assets at amortised cost) |
IFRS 9.5.4.4, 9.5.5.1, 9.5.5.8 |
12 |
|
510 |
(Impairment or (-) reversal of impairment of investments in subsidiaries, joint ventures and associates) |
IAS 28.40-43 |
16 |
|
520 |
(Impairment or (-) reversal of impairment on non-financial assets) |
IAS 36.126(a)(b) |
16 |
|
530 |
(Property, plant and equipment) |
IAS 16.73(e)(v-vi) |
|
|
540 |
(Investment properties) |
IAS 40.79(d)(v) |
|
|
550 |
(Goodwill) |
IFRS 3.Appendix B67(d)(v); IAS 36.124 |
|
|
560 |
(Other intangible assets) |
IAS 38.118 (e)(iv)(v) |
|
|
570 |
(Other) |
IAS 36.126 (a)(b) |
|
|
580 |
Negative goodwill recognised in profit or loss |
IFRS 3.Appendix B64(n)(i) |
|
|
590 |
Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates accounted for using the equity method |
Annex V.Part 2.54 |
|
|
600 |
Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations |
IFRS 5.37; Annex V.Part 2.55 |
|
|
610 |
PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS |
IAS 1.102, IG 6; IFRS 5.33 A |
|
|
620 |
(Tax expense or (-) income related to profit or loss from continuing operations) |
IAS 1.82(d); IAS 12.77 |
|
|
630 |
PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS |
IAS 1, IG 6 |
|
|
640 |
Profit or (-) loss after tax from discontinued operations |
IAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56 |
|
|
650 |
Profit or (-) loss before tax from discontinued operations |
IFRS 5.33(b)(i) |
|
|
660 |
(Tax expense or (-) income related to discontinued operations) |
IFRS 5.33 (b)(ii),(iv) |
|
|
670 |
PROFIT OR (-) LOSS FOR THE YEAR |
IAS 1.81A(a) |
|
|
680 |
Attributable to minority interest [non-controlling interests] |
IAS 1.81B (b)(i) |
|
|
690 |
Attributable to owners of the parent |
IAS 1.81B (b)(ii) |
|
|
3. Statement of comprehensive income
|
References |
Current period |
|
010 |
|||
010 |
Profit or (-) loss for the year |
IAS 1.7, IG6 |
|
020 |
Other comprehensive income |
IAS 1.7, IG6 |
|
030 |
Items that will not be reclassified to profit or loss |
IAS 1.82A(a)(i) |
|
040 |
Tangible assets |
IAS 1.7, IG6; IAS 16.39-40 |
|
050 |
Intangible assets |
IAS 1.7; IAS 38.85-86 |
|
060 |
Actuarial gains or (-) losses on defined benefit pension plans |
IAS 1.7, IG6; IAS 19.120(c) |
|
070 |
Non-current assets and disposal groups held for sale |
IFRS 5.38 |
|
080 |
Share of other recognised income and expense of entities accounted for using the equity method |
IAS 1.IG6; IAS 28.10 |
|
081 |
Fair value changes of equity instruments measured at fair value through other comprehensive income |
IAS 1.7(d) |
|
083 |
Gains or (-) losses from hedge accounting of equity instruments at fair value through other comprehensive income, net |
IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.57 |
|
084 |
Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item] |
IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.57 |
|
085 |
Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument] |
IFRS 9.5.7.5;.6.5.8(a); Annex V.Part 2.57 |
|
086 |
Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk |
IAS 1.7(f) |
|
090 |
Income tax relating to items that will not be reclassified |
IAS 1.91(b); Annex V.Part 2.66 |
|
100 |
Items that may be reclassified to profit or loss |
IAS 1.82A(a)(ii) |
|
110 |
Hedge of net investments in foreign operations [effective portion] |
IFRS 9.6.5.13(a); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.58 |
|
120 |
Valuation gains or (-) losses taken to equity |
IAS 1.IG6;IFRS 9.6.5.13(a); IFRS 7.24C(b)(i);.24E(a); Annex V.Part 2.58 |
|
130 |
Transferred to profit or loss |
IAS 1.7, 92-95; IAS 21.48-49; IFRS 9.6.5.14; Annex V.Part 2.59 |
|
140 |
Other reclassifications |
Annex V.Part 2.65 |
|
150 |
Foreign currency translation |
IAS 1.7, IG6; IAS 21.52(b) |
|
160 |
Translation gains or (-) losses taken to equity |
IAS 21.32, 38-47 |
|
170 |
Transferred to profit or loss |
IAS 1.7, 92-95; IAS 21.48-49 |
|
180 |
Other reclassifications |
Annex V.Part 2.65 |
|
190 |
Cash flow hedges [effective portion] |
IAS 1.7, IG6; IAS 39.95(a)-96 IFRS 9.6.5.11(b); IFRS 7.24C(b)(i);.24E(a); |
|
200 |
Valuation gains or (-) losses taken to equity |
IAS 1.7(e),IG6; IFRS 9.6.5.11(a)(b)(d); IFRS 7.24C(b)(i), .24E(a) |
|
210 |
Transferred to profit or loss |
IAS 1.7, 92-95, IG6; IFRS 9.6.5.11(d)(ii)(iii);IFRS 7.24C(b)(iv),.24E(a) Annex V.Part 2.59 |
|
220 |
Transferred to initial carrying amount of hedged items |
IAS 1.IG6;IFRS 9.6.5.11(d)(i) |
|
230 |
Other reclassifications |
Annex V.Part 2.65 |
|
231 |
Hedging instruments [not designated elements] |
IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E(b)(c); Annex V.Part 2.60 |
|
232 |
Valuation gains or (-) losses taken to equity |
IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E (b)(c) |
|
233 |
Transferred to profit or loss |
IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E(b)(c); Annex V.Part 2.61 |
|
234 |
Other reclassifications |
Annex V.Part 2.65 |
|
241 |
Debt instruments at fair value through other comprehensive income |
IAS 1.7(da), IG 6; IAS 1.IG6; IFRS 9.5.6.4; Annex V.Part 2.62-63 |
|
251 |
Valuation gains or (-) losses taken to equity |
IFRS 7.20(a)(ii); IAS 1.IG6; IFRS 9.5.6.4 |
|
261 |
Transferred to profit or loss |
IAS 1.7, IAS 1.92-95, IAS 1.IG6; IFRS 9.5.6.7; Annex V.Part 2.64 |
|
270 |
Other reclassifications |
IFRS 5.IG Example 12;IFRS 9.5.6.5; Annex V.Part 2.64-65 |
|
280 |
Non-current assets and disposal groups held for sale |
IFRS 5.38 |
|
290 |
Valuation gains or (-) losses taken to equity |
IFRS 5.38 |
|
300 |
Transferred to profit or loss |
IAS 1.7, 92-95; IFRS 5.38 |
|
310 |
Other reclassifications |
IFRS 5.IG Example 12 |
|
320 |
Share of other recognised income and expense of Investments in subsidaries, joint ventures and associates |
IAS 1.IG6; IAS 28.10 |
|
330 |
Income tax relating to items that may be reclassified to profit or (-) loss |
IAS 1.91(b), IG6; Annex V.Part 2.66 |
|
340 |
Total comprehensive income for the year |
IAS 1.7, 81A(a), IG6 |
|
350 |
Attributable to minority interest [Non-controlling interest] |
IAS 1.83(b)(i), IG6 |
|
360 |
Attributable to owners of the parent |
IAS 1.83(b)(ii), IG6 |
|
4. Breakdown of financial assets by instrument and by counterparty sector
4.1 Financial assets held for trading
|
References |
Carrying amount |
|
Annex V.Part 1.27 |
|||
010 |
|||
005 |
Derivatives |
|
|
010 |
Equity instruments |
IAS 32.11, Annex V.Part 1.44(b) |
|
030 |
of which: credit institutions |
Annex V.Part 1.42(c) |
|
040 |
of which: other financial corporations |
Annex V.Part 1.42(d) |
|
050 |
of which: non-financial corporations |
Annex V.Part 1.42(e) |
|
060 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
070 |
Central banks |
Annex V.Part 1.42(a) |
|
080 |
General governments |
Annex V.Part 1.42(b) |
|
090 |
Credit institutions |
Annex V.Part 1.42(c) |
|
100 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
110 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
120 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
130 |
Central banks |
Annex V.Part 1.42(a) |
|
140 |
General governments |
Annex V.Part 1.42(b) |
|
150 |
Credit institutions |
Annex V.Part 1.42(c) |
|
160 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
170 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
180 |
Households |
Annex V.Part 1.42(f) |
|
190 |
FINANCIAL ASSETS HELD FOR TRADING |
IFRS 9.Appendix A |
|
4.2.1 Non-trading financial assets mandatorily at fair value through profit or loss
|
References |
Carrying amount |
Accumulated negative changes in fair value due to credit risk on non-performing exposures |
|
Annex V.Part 1.27 |
Annex V.Part 2.69 |
|||
010 |
020 |
|||
010 |
Equity instruments |
IAS 32.11, Annex V.Part 1.44(b) |
|
|
020 |
of which: credit institutions |
Annex V.Part 1.42(c) |
|
|
030 |
of which: other financial corporations |
Annex V.Part 1.42(d) |
|
|
040 |
of which: non-financial corporations |
Annex V.Part 1.42(e) |
|
|
050 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
060 |
Central banks |
Annex V.Part 1.42(a) |
|
|
070 |
General governments |
Annex V.Part 1.42(b) |
|
|
080 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
090 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
100 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
110 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
120 |
Central banks |
Annex V.Part 1.42(a) |
|
|
130 |
General governments |
Annex V.Part 1.42(b) |
|
|
140 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
150 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
160 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
170 |
Households |
Annex V.Part 1.42(f) |
|
|
180 |
NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS |
IFRS 7.8(a)(ii); IFRS 9.4.1.4 |
|
|
4.2.2 Financial assets designated at fair value through profit or loss
|
References |
Carrying amount |
Accumulated negative changes in fair value due to credit risk on non-performing exposures |
|
Annex V.Part 1.27 |
Annex V.Part 2.69 |
|||
010 |
020 |
|||
060 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
070 |
Central banks |
Annex V.Part 1.42(a) |
|
|
080 |
General governments |
Annex V.Part 1.42(b) |
|
|
090 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
100 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
110 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
120 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
130 |
Central banks |
Annex V.Part 1.42(a) |
|
|
140 |
General governments |
Annex V.Part 1.42(b) |
|
|
150 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
160 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
170 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
180 |
Households |
Annex V.Part 1.42(f) |
|
|
190 |
FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS |
IFRS 7.8(a)(i); IFRS 9.4.1.5 |
|
|
4.3.1 Financial assets at fair value through other comprehensive income
|
References |
Carrying amount |
Gross carrying amount Annex V.Part 1.34(b) |
Accumulated impairment Annex V.Part 2.70(b), 71 |
Accumulated partial write-offs |
Accumulated total write-offs |
||||||
|
Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Credit-impaired assets (Stage 3) |
Assets without significant increase in credit risk since initial recognition (Stage 1) |
Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Credit-impaired assets (Stage 3) |
|||||||
Assets without significant increase in credit risk since initial recognition (Stage 1) |
of which: instruments with low credit risk |
|||||||||||
Annex V.Part 1.27 |
IFRS 9.5.5.5; IFRS 7.35M(a) |
IFRS 9.B5.5.22-24; Annex V.Part 2.75 |
IFRS 9.5.5.3, IFRS 7.35M(b)(i) |
IFRS 9.5.5.1, 7.35M(b)(ii) |
IFRS 9.5.5.5; IFRS7.35H(a), IFRS 7.16A |
IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i), IFRS 7.16A |
IFRS 9.5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii), IFRS 7.16A |
IFRS 9.5.4.4 and B5.4.9 ; Annex V.Part 2.72-74 |
IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74 |
|||
010 |
015 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
|||
010 |
Equity instruments |
IAS 32.11; Annex V.Part 1.44(b) |
|
|
|
|
|
|
|
|
|
|
020 |
of which: credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
030 |
of which: other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
040 |
of which: non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
050 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
060 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
070 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
080 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
090 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
100 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
110 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
120 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
130 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
140 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
150 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
160 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
170 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
180 |
FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME |
IFRS 7.8(h); IFRS 9.4.1.2A |
|
|
|
|
|
|
|
|
|
|
190 |
of which: purchased credit-impaired financial assets |
IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.77 |
|
|
|
|
|
|
|
|
|
|
4.4.1 Financial assets at amortised cost
|
References |
Carrying amount |
Gross carrying amount Annex V.Part 1.34(b) |
Accumulated impairment Annex V.Part 2.70(a), 71 |
Accumulated partial write-offs |
Accumulated total write-offs |
||||||
|
Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Credit-impaired assets (Stage 3) |
Assets without significant increase in credit risk since initial recognition (Stage 1) |
Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Credit-impaired assets (Stage 3) |
|||||||
Assets without significant increase in credit risk since initial recognition (Stage 1) |
of which: instruments with low credit risk |
|||||||||||
Annex V.Part 1.27 |
IFRS 9.5.5.5; IFRS 7.35M(a) |
IFRS 9.B5.5.22-24; Annex V.Part 2.75 |
IFRS 9.5.5.3, IFRS 7.35M(b)(i) |
IFRS 9.5.5.1, 7.35M(b)(ii) |
IFRS 9.5.5.5; IFRS7.35H(a) |
IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i) |
IFRS 5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii) |
IFRS 9.5.4.4 and B5.4.9 ; Annex V.Part 2.72-74 |
IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74 |
|||
010 |
015 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
|||
010 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
020 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
030 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
040 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
050 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
060 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
070 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
080 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
090 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
100 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
110 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
120 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
130 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
140 |
FINANCIAL ASSETS AT AMORTISED COST |
IFRS 7.8(f); IFRS 9.4.1.2 |
|
|
|
|
|
|
|
|
|
|
150 |
of which: purchased credit-impaired financial assets |
IFRS 9.5.13 and IFRS 7.35M(c); Annex V.Part 2.77 |
|
|
|
|
|
|
|
|
|
|
4.5 Subordinated financial assets
|
References |
Carrying amount |
|
Annex V.Part 1.27 |
|||
010 |
|||
010 |
Loans and advances |
Annex V.Part 1.32 |
|
020 |
Debt securities |
Annex V.Part 1.31 |
|
030 |
SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS |
Annex V.Part 2.78, 100 |
|
5. Breakdown of non-trading Loans and advances by product
5.1 Loans and advances other than held for trading and trading assets by product
|
|
References |
Gross carrying amount |
Carrying amount Annex V.Part 1.27 |
||||||
Central banks |
General governments |
Credit institutions |
Other financial corporations |
Non-financial corporations |
Households |
|||||
Annex V.Part 1.34 |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(f) |
||||
005 |
010 |
020 |
030 |
040 |
050 |
060 |
||||
By product |
010 |
On demand [call] and short notice [current account] |
Annex V.Part 2.85(a) |
|
|
|
|
|
|
|
020 |
Credit card debt |
Annex V.Part 2.85(b) |
|
|
|
|
|
|
|
|
030 |
Trade receivables |
Annex V.Part 2.85(c) |
|
|
|
|
|
|
|
|
040 |
Finance leases |
Annex V.Part 2.85(d) |
|
|
|
|
|
|
|
|
050 |
Reverse repurchase loans |
Annex V.Part 2.85(e) |
|
|
|
|
|
|
|
|
060 |
Other term loans |
Annex V.Part 2.85(f) |
|
|
|
|
|
|
|
|
070 |
Advances that are not loans |
Annex V.Part 2.85(g) |
|
|
|
|
|
|
|
|
080 |
LOANS AND ADVANCES |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
By collateral |
090 |
of which: Loans collateralized by immovable property |
Annex V.Part 2.86(a), 87 |
|
|
|
|
|
|
|
100 |
of which: other collateralized loans |
Annex V.Part 2.86(b), 87 |
|
|
|
|
|
|
|
|
By purpose |
110 |
of which: credit for consumption |
Annex V.Part 2.88(a) |
|
|
|
|
|
|
|
120 |
of which: lending for house purchase |
Annex V.Part 2.88(b) |
|
|
|
|
|
|
|
|
By subordination |
130 |
of which: project finance loans |
Annex V.Part 2.89; CRR Art 147(8) |
|
|
|
|
|
|
|
6. Breakdown of non-trading loans and advances to non-financial corporations by NACE codes
6.1 Breakdown of loans and advances other than held for trading to non-financial corporations by NACE codes
|
References |
Non-financial corporations Annex V.Part 1.42(e), Part 2.91 |
|||||
|
Accumulated impairment |
Accumulated negative changes in fair value due to credit risk on non-performing exposures |
|||||
Gross carrying amount |
of which: loans and advances subject to impairment |
Of which: non-performing |
|||||
Annex V.Part 1.34 |
Annex V.Part 2.93 |
Annex V.Part 2. 213-232 |
Annex V.Part 2.70-71 |
Annex V.Part 2.69 |
|||
010 |
011 |
012 |
021 |
022 |
|||
010 |
A Agriculture, forestry and fishing |
NACE Regulation |
|
|
|
|
|
020 |
B Mining and quarrying |
NACE Regulation |
|
|
|
|
|
030 |
C Manufacturing |
NACE Regulation |
|
|
|
|
|
040 |
D Electricity, gas, steam and air conditioning supply |
NACE Regulation |
|
|
|
|
|
050 |
E Water supply |
NACE Regulation |
|
|
|
|
|
060 |
F Construction |
NACE Regulation |
|
|
|
|
|
070 |
G Wholesale and retail trade |
NACE Regulation |
|
|
|
|
|
080 |
H Transport and storage |
NACE Regulation |
|
|
|
|
|
090 |
I Accommodation and food service activities |
NACE Regulation |
|
|
|
|
|
100 |
J Information and communication |
NACE Regulation |
|
|
|
|
|
105 |
K Financial and insurance activities |
NACE Regulation, Annex V.Part 2.92 |
|
|
|
|
|
110 |
L Real estate activities |
NACE Regulation |
|
|
|
|
|
120 |
M Professional, scientific and technical activities |
NACE Regulation |
|
|
|
|
|
130 |
N Administrative and support service activities |
NACE Regulation |
|
|
|
|
|
140 |
O Public administration and defence, compulsory social security |
NACE Regulation |
|
|
|
|
|
150 |
P Education |
NACE Regulation |
|
|
|
|
|
160 |
Q Human health services and social work activities |
NACE Regulation |
|
|
|
|
|
170 |
R Arts, entertainment and recreation |
NACE Regulation |
|
|
|
|
|
180 |
S Other services |
NACE Regulation |
|
|
|
|
|
190 |
LOANS AND ADVANCES |
Annex V.Part 1.32, Part 2.90 |
|
|
|
|
|
7. Financial assets subject to impairment that are past due
7.1 Financial assets subject to impairment that are past due
|
References |
Carrying amount Annex V.Part 1.27 |
|||||||||
Assets without significant increase in credit risk since initial recognition (Stage 1) |
Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Credit-impaired assets (Stage 3) |
|||||||||
≤ 30 days |
> 30 days ≤ 90 days |
> 90 days |
≤ 30 days |
> 30 days ≤ 90 days |
> 90 days |
≤ 30 days |
> 30 days ≤ 90 days |
> 90 days |
|||
IFRS 9.5.5.11;B5.5.37; IFRS 7.B8I, Annex V.Part 2.96 |
|||||||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
|||
060 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
070 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
080 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
090 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
100 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
110 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
120 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
130 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
140 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
150 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
160 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
170 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
180 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
190 |
TOTAL DEBT INSTRUMENTS |
Annex V Part 2.94-95 |
|
|
|
|
|
|
|
|
|
|
Loans and advances by product, by collateral and by subordination |
|
|||||||||
200 |
On demand [call] and short notice [current account] |
Annex V.Part 2.85(a) |
|
|
|
|
|
|
|
|
|
210 |
Credit card debt |
Annex V.Part 2.85(b) |
|
|
|
|
|
|
|
|
|
220 |
Trade receivables |
Annex V.Part 2.85(c) |
|
|
|
|
|
|
|
|
|
230 |
Finance leases |
Annex V.Part 2.85(d) |
|
|
|
|
|
|
|
|
|
240 |
Reverse repurchase loans |
Annex V.Part 2.85(e) |
|
|
|
|
|
|
|
|
|
250 |
Other term loans |
Annex V.Part 2.85(f) |
|
|
|
|
|
|
|
|
|
260 |
Advances that are not loans |
Annex V.Part 2.85(g) |
|
|
|
|
|
|
|
|
|
270 |
of which: Loans collateralized by immovable property |
Annex V.Part 2.86(a), 87 |
|
|
|
|
|
|
|
|
|
280 |
of which: other collateralized loans |
Annex V.Part 2.86(b), 87 |
|
|
|
|
|
|
|
|
|
290 |
of which: credit for consumption |
Annex V.Part 2.88(a) |
|
|
|
|
|
|
|
|
|
300 |
of which: lending for house purchase |
Annex V.Part 2.88(b) |
|
|
|
|
|
|
|
|
|
310 |
of which: project finance loans |
Annex V.Part 2.89; CRR Art 147(8) |
|
|
|
|
|
|
|
|
|
8. Breakdown of financial liabilities
8.1 Breakdown of financial liabilities by product and by counterparty sector
|
References National GAAP compatible IFRS |
Carrying amount Annex V.Part 1.27 |
Accumulated changes in fair value due to credit risk |
||||
Held for trading |
Designated at fair value through profit or loss |
Amortised cost |
Hedge accounting |
||||
IFRS 7.8(e)(ii); IFRS 9 Appendix A, IFRS 9.BA.6-BA.7, IFRS 9.6.7 |
IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5 |
IFRS 7.8(g); IFRS 9.4.2.1 |
IFRS 7.24A(a); IFRS 9.6 |
CRR art 33(1)(b), art 33(1)(c); Annex V.Part 2.101 |
|||
010 |
020 |
030 |
037 |
040 |
|||
010 |
Derivatives |
IFRS 9.BA.7(a) |
|
|
|
|
|
020 |
Short positions |
FRS 9.BA.7(b) |
|
|
|
|
|
030 |
Equity instruments |
IAS 32.11 |
|
|
|
|
|
040 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
050 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
|
|
060 |
Central banks |
Annex V.Part 1.42(a), 44(c) |
|
|
|
|
|
070 |
Current accounts / overnight deposits |
ECB/2013/33 Annex 2.Part 2.9.1 |
|
|
|
|
|
080 |
Deposits with agreed maturity |
ECB/2013/33 Annex 2.Part 2.9.2 |
|
|
|
|
|
090 |
Deposits redeemable at notice |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
|
|
|
|
|
100 |
Repurchase agreements |
ECB/2013/33 Annex 2.Part 2.9.4 |
|
|
|
|
|
110 |
General governments |
Annex V.Part 1.42(b), 44(c) |
|
|
|
|
|
120 |
Current accounts / overnight deposits |
ECB/2013/33 Annex 2.Part 2.9.1 |
|
|
|
|
|
130 |
Deposits with agreed maturity |
ECB/2013/33 Annex 2.Part 2.9.2 |
|
|
|
|
|
140 |
Deposits redeemable at notice |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
|
|
|
|
|
150 |
Repurchase agreements |
ECB/2013/33 Annex 2.Part 2.9.4 |
|
|
|
|
|
160 |
Credit institutions |
Annex V.Part 1.42(c),44(c) |
|
|
|
|
|
170 |
Current accounts / overnight deposits |
ECB/2013/33 Annex 2.Part 2.9.1 |
|
|
|
|
|
180 |
Deposits with agreed maturity |
ECB/2013/33 Annex 2.Part 2.9.2 |
|
|
|
|
|
190 |
Deposits redeemable at notice |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
|
|
|
|
|
200 |
Repurchase agreements |
ECB/2013/33 Annex 2.Part 2.9.4 |
|
|
|
|
|
210 |
Other financial corporations |
Annex V.Part 1.42(d),44(c) |
|
|
|
|
|
220 |
Current accounts / overnight deposits |
ECB/2013/33 Annex 2.Part 2.9.1 |
|
|
|
|
|
230 |
Deposits with agreed maturity |
ECB/2013/33 Annex 2.Part 2.9.2 |
|
|
|
|
|
240 |
Deposits redeemable at notice |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
|
|
|
|
|
250 |
Repurchase agreements |
ECB/2013/33 Annex 2.Part 2.9.4 |
|
|
|
|
|
260 |
Non-financial corporations |
Annex V.Part 1.42(e), 44(c) |
|
|
|
|
|
270 |
Current accounts / overnight deposits |
ECB/2013/33 Annex 2.Part 2.9.1 |
|
|
|
|
|
280 |
Deposits with agreed maturity |
ECB/2013/33 Annex 2.Part 2.9.2 |
|
|
|
|
|
290 |
Deposits redeemable at notice |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
|
|
|
|
|
300 |
Repurchase agreements |
ECB/2013/33 Annex 2.Part 2.9.4 |
|
|
|
|
|
310 |
Households |
Annex V.Part 1.42(f), 44(c) |
|
|
|
|
|
320 |
Current accounts / overnight deposits |
ECB/2013/33 Annex 2.Part 2.9.1 |
|
|
|
|
|
330 |
Deposits with agreed maturity |
ECB/2013/33 Annex 2.Part 2.9.2 |
|
|
|
|
|
340 |
Deposits redeemable at notice |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
|
|
|
|
|
350 |
Repurchase agreements |
ECB/2013/33 Annex 2.Part 2.9.4 |
|
|
|
|
|
360 |
Debt securities issued |
Annex V.Part 1.37, Part 2.98 |
|
|
|
|
|
370 |
Certificates of deposits |
Annex V.Part 2.98(a) |
|
|
|
|
|
380 |
Asset-backed securities |
CRR art 4(1)(61) |
|
|
|
|
|
390 |
Covered bonds |
CRR art 129 |
|
|
|
|
|
400 |
Hybrid contracts |
Annex V.Part 2.98(d) |
|
|
|
|
|
410 |
Other debt securities issued |
Annex V.Part 2.98(e) |
|
|
|
|
|
420 |
Convertible compound financial instruments |
IAS 32.AG 31 |
|
|
|
|
|
430 |
Non-convertible |
|
|
|
|
|
|
440 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
|
|
|
450 |
FINANCIAL LIABILITIES |
|
|
|
|
|
|
8.2 Subordinated financial liabilities
|
References |
Carriyng amount |
||
Designated at fair value through profit or loss |
At amortized cost |
|||
IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5 |
IFRS 7.8(g); IFRS 9.4.2.1 |
|||
010 |
020 |
|||
010 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
020 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
030 |
SUBORDINATED FINANCIAL LIABILITIES |
Annex V.Part 2.99-100 |
|
|
9. Loan commitments, financial guarantees and other commitments
9.1.1 Off-balance sheet exposures : Loan commitments, financial guarantees and other commitments given
|
References National GAAP compatible IFRS |
Nominal amount of off-balance sheet commitments and financial guarantees under IFRS 9 impairment Annex V.Part 2.107-108, 118 |
Provisions on off-balance sheet commitments and financial guarantees under IFRS 9 impairment Annex V Part 2.106-109 |
Other commitments measured under IAS 37 and financial guarantees measured under IFRS 4 |
Commitments and financial guarantees measured at fair value |
|||||||
Instruments without significant increase in credit risk since initial recognition (Stage 1) |
Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Credit-impaired instruments (Stage 3) |
Instruments without significant increase in credit risk since initial recognition (Stage 1) |
Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Credit-impaired instruments (Stage 3) |
Nominal amount |
Provision |
Nominal amount |
Accumulated negative changes in fair value due to credit risk on non-performing commitments |
|||
IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35M |
IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35M |
IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS9.B2.5; IFRS 7.35M |
IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(a) |
IFRS 9.2.1(e),(g), IFRS 9.4.2.(c),IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(i) |
IFRS 9.2.1(e),(g), IFRS 9.4.2.(c),IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(ii) |
IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.111, 118 |
IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.106, 111 |
IFRS 9.2.3(a), 9.B2.5; Annex V Part 2.110, 118 |
Annex V Part 2.69 |
|||
010 |
020 |
030 |
040 |
050 |
060 |
100 |
110 |
120 |
130 |
|||
010 |
Loan commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 |
|
|
|
|
|
|
|
|
|
|
021 |
of which: non-performing |
Annex V.Part 2.117 |
|
|
|
|
|
|
|
|
|
|
030 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
040 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
050 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
060 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
070 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
080 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
090 |
Financial guarantees given |
IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 |
|
|
|
|
|
|
|
|
|
|
101 |
of which: non-performing |
Annex V.Part 2.117 |
|
|
|
|
|
|
|
|
|
|
110 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
120 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
130 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
140 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
150 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
160 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
170 |
Other Commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 |
|
|
|
|
|
|
|
|
|
|
181 |
of which: non-performing |
Annex V.Part 2.117 |
|
|
|
|
|
|
|
|
|
|
190 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
200 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
210 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
220 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
230 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
240 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
9.2 Loan commitments, financial guarantees and other commitments received
|
References |
Maximum amount of the guarantee that can be considered |
Nominal amount |
|
IFRS 7.36 (b); Annex V.Part 2.119 |
Annex V.Part 2.119 |
|||
010 |
020 |
|||
010 |
Loan commitments received |
IFRS 9.2.1(g), .BCZ2.2; Annex V.Part 1.44(h), Part 2.102-103, 113 |
|
|
020 |
Central banks |
Annex V.Part 1.42(a) |
|
|
030 |
General governments |
Annex V.Part 1.42(b) |
|
|
040 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
050 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
060 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
070 |
Households |
Annex V.Part 1.42(f) |
|
|
080 |
Financial guarantees received |
IFRS 9.2.1(e ), .B2.5, .BC2.17, IFRS 8.Appendix A; IFRS 4 Annex A; Annex V.Part 1.44(h), Part 2.102-103, 114 |
|
|
090 |
Central banks |
Annex V.Part 1.42(a) |
|
|
100 |
General governments |
Annex V.Part 1.42(b) |
|
|
110 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
120 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
130 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
140 |
Households |
Annex V.Part 1.42(f) |
|
|
150 |
Other Commitments received |
Annex V.Part 1.44(h), Part 2.102-103, 115 |
|
|
160 |
Central banks |
Annex V.Part 1.42(a) |
|
|
170 |
General governments |
Annex V.Part 1.42(b) |
|
|
180 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
190 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
200 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
210 |
Households |
Annex V.Part 1.42(f) |
|
|
10. Derivatives - Trading and economic hedges
By type of risk / By product or by type of market |
References |
Carrying amount |
Notional amount |
|||
Financial assets Held for trading and trading |
Financial liabilities Held for trading and trading |
Total Trading |
of which: sold |
|||
Annex V.Part 2.120, 131 |
IFRS 9.BA.7 (a); Annex V.Part 2.120, 131 |
Annex V.Part 2.133-135 |
Annex V.Part 2.133-135 |
|||
010 |
020 |
030 |
040 |
|||
010 |
Interest rate |
Annex V.Part 2.129(a) |
|
|
|
|
020 |
of which: economic hedges |
Annex V.Part 2.137-139 |
|
|
|
|
030 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
040 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
050 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
060 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
070 |
Equity |
Annex V.Part 2.129(b) |
|
|
|
|
080 |
of which: economic hedges |
Annex V.Part 2.137-139 |
|
|
|
|
090 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
100 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
110 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
120 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
130 |
Foreign exchange and gold |
Annex V.Part 2.129(c) |
|
|
|
|
140 |
of which: economic hedges |
Annex V.Part 2.137-139 |
|
|
|
|
150 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
160 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
170 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
180 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
190 |
Credit |
Annex V.Part 2.129(d) |
|
|
|
|
195 |
of which: economic hedges with use of the fair value option |
IFRS 9.6.7.1; Annex V.Part 2.140 |
|
|
|
|
201 |
of which: other economic hedges |
Annex V.Part 2.137-140 |
|
|
|
|
210 |
Credit default swap |
|
|
|
|
|
220 |
Credit spread option |
|
|
|
|
|
230 |
Total return swap |
|
|
|
|
|
240 |
Other |
|
|
|
|
|
250 |
Commodity |
Annex V.Part 2.129(e) |
|
|
|
|
260 |
of which: economic hedges |
Annex V.Part 2.137-139 |
|
|
|
|
270 |
Other |
Annex V.Part 2.129(f) |
|
|
|
|
280 |
of which: economic hedges |
Annex V.Part 2.137-139 |
|
|
|
|
290 |
DERIVATIVES |
IFRS 9.Appendix A |
|
|
|
|
300 |
of which: OTC - credit institutions |
Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142 |
|
|
|
|
310 |
of which: OTC - other financial corporations |
Annex V.Part 1.42(d), 44(e), Part 2.141(b) |
|
|
|
|
320 |
of which: OTC - rest |
Annex V.Part 1.44(e), Part 2.141(c) |
|
|
|
|
11. Hedge accounting
11.1 Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge
By product or by type of market |
References |
Carrying amount |
Notional amount |
|||
Assets |
Liabilities |
Total Hedging |
of which: sold |
|||
IFRS 7.24A; Annex V.Part 2.120, 131 |
IFRS 7.24A; Annex V.Part 2.120, 131 |
Annex V.Part 2.133-135 |
Annex V.Part 2.133-135 |
|||
010 |
020 |
030 |
040 |
|||
010 |
Interest rate |
Annex V.Part 2.129(a) |
|
|
|
|
020 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
030 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
040 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
050 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
060 |
Equity |
Annex V.Part 2.129(b) |
|
|
|
|
070 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
080 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
090 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
100 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
110 |
Foreign exchange and gold |
Annex V.Part 2.129(c) |
|
|
|
|
120 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
130 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
140 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
150 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
160 |
Credit |
Annex V.Part 2.129(d) |
|
|
|
|
170 |
Credit default swap |
Annex V.Part 2.136 |
|
|
|
|
180 |
Credit spread option |
Annex V.Part 2.136 |
|
|
|
|
190 |
Total return swap |
Annex V.Part 2.136 |
|
|
|
|
200 |
Other |
Annex V.Part 2.136 |
|
|
|
|
210 |
Commodity |
Annex V.Part 2.129(e) |
|
|
|
|
220 |
Other |
Annex V.Part 2.129(f) |
|
|
|
|
230 |
FAIR VALUE HEDGES |
IFRS 7.24A; IAS 39.86(a); IFRS 9.6.5.2(a) |
|
|
|
|
240 |
Interest rate |
Annex V.Part 2.129(a) |
|
|
|
|
250 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
260 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
270 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
280 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
290 |
Equity |
Annex V.Part 2.129(b) |
|
|
|
|
300 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
310 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
320 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
330 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
340 |
Foreign exchange and gold |
Annex V.Part 2.129(c) |
|
|
|
|
350 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
360 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
370 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
380 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
390 |
Credit |
Annex V.Part 2.129(d) |
|
|
|
|
400 |
Credit default swap |
Annex V.Part 2.136 |
|
|
|
|
410 |
Credit spread option |
Annex V.Part 2.136 |
|
|
|
|
420 |
Total return swap |
Annex V.Part 2.136 |
|
|
|
|
430 |
Other |
Annex V.Part 2.136 |
|
|
|
|
440 |
Commodity |
Annex V.Part 2.129(e) |
|
|
|
|
450 |
Other |
Annex V.Part 2.129(f) |
|
|
|
|
460 |
CASH FLOW HEDGES |
IFRS 7.24A; IAS 39.86(b); IFRS 9.6.5.2(b) |
|
|
|
|
470 |
HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION |
IFRS 7.24A; IAS 39.86(c); IFRS 9.6.5.2(c) |
|
|
|
|
480 |
PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK |
IAS 39.71, 81A, 89A, AG 114-132 |
|
|
|
|
490 |
PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK |
IAS 39.71 |
|
|
|
|
500 |
DERIVATIVES-HEDGE ACCOUNTING |
IFRS 7.24A; IAS 39.9; IFRS 9.6.1 |
|
|
|
|
510 |
of which: OTC - credit institutions |
Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142 |
|
|
|
|
520 |
of which: OTC - other financial corporations |
Annex V.Part 1.42(d), 44(e), Part 2.141(b) |
|
|
|
|
530 |
of which: OTC - rest |
Annex V.Part 1.44(e), Part 2.141(c) |
|
|
|
|
11.3 Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge
|
References |
Carrying amount |
|||
Fair value hedge |
Cash flow hedge |
Hedge of net investment in a foreign operation |
|||
Annex V.Part 2.145 |
Annex V.Part 2.145 |
Annex V.Part 2.145 |
|||
010 |
020 |
030 |
|||
010 |
Non-derivative financial assets |
IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2 |
|
|
|
020 |
of which: Financial assets held for trading |
IFRS 9.Appendix A |
|
|
|
030 |
of which: Non-trading financial assets mandatorily at fair value through profit or loss |
IFRS 9.4.1.4; IFRS 7.8(a)(ii) |
|
|
|
040 |
of which: Financial assets designated at fair value through profit or loss |
IFRS 9.4.1.5; IFRS 7.8(a)(i) |
|
|
|
050 |
Non-derivative financial liabilities |
IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2 |
|
|
|
060 |
Financial liabilities held for trading |
IFRS 9.Appendix A |
|
|
|
070 |
Financial liabilities designated at fair value through profit or loss |
IFRS 9.4.2.1; IFRS 9.6.2.2 |
|
|
|
080 |
Financial assets at amortised cost |
IFRS 9.4.2.1; IFRS 9.6.2.2 |
|
|
|
F11.4 Hedged items in fair value hedges
|
References |
Micro-hedges |
Micro-hedges - Net position hedge |
Hedge adjustments on micro-hedges |
Macro hedges |
||
Carrying amount |
Assets or liabilities included in hedge of a net position (before netting) |
Hedge adjustments included in the carrying amount of assets/liabilities |
Remaining adjustments for discontinued micro hedges including hedges of net positions |
Hedged items in portfolio hedge of interest rate risk |
|||
IFRS 7.24B(a), Annex V.Part 2.146, 147 |
IFRS 9.6.6.1; IFRS 9.6.6.6; Annex V.Part 2.147, 151 |
IFRS 7.24B(a)(ii); Annex V.Part 2.148, 149 |
IFRS 7.24B(a)(v); Annex V.Part 2.148, 150 |
IFRS 9.6.1.3; IFRS 9.6.6.1; Annex V.Part 2.152 |
|||
010 |
020 |
030 |
040 |
050 |
|||
|
ASSETS |
|
|
|
|
|
|
010 |
Financial assets measured at fair value through other comprehensive income |
IFRS 9.4.1.2A; IFRS 7.8(h); Annex V. Part 2.146, 151 |
|
|
|
|
|
020 |
Interest rate |
Annex V.Part 2.129(a) |
|
|
|
|
|
030 |
Equity |
Annex V.Part 2.129(b) |
|
|
|
|
|
040 |
Foreign exchange and gold |
Annex V.Part 2.129(c) |
|
|
|
|
|
050 |
Credit |
Annex V.Part 2.129(d) |
|
|
|
|
|
060 |
Commodity |
Annex V.Part 2.129(e) |
|
|
|
|
|
070 |
Other |
Annex V.Part 2.129(f) |
|
|
|
|
|
080 |
Financial assets measured at amortised cost |
IFRS 9.4.1.2A; IFRS 7.8(f); Annex V. Part 2.146, 151 |
|
|
|
|
|
090 |
Interest rate |
Annex V.Part 2.129(a) |
|
|
|
|
|
100 |
Equity |
Annex V.Part 2.129(b) |
|
|
|
|
|
110 |
Foreign exchange and gold |
Annex V.Part 2.129(c) |
|
|
|
|
|
120 |
Credit |
Annex V.Part 2.129(d) |
|
|
|
|
|
130 |
Commodity |
Annex V.Part 2.129(e) |
|
|
|
|
|
140 |
Other |
Annex V.Part 2.129(f) |
|
|
|
|
|
|
LIABILITIES |
|
|
|
|
|
|
150 |
Financial liabilities measured at amortised costs |
IFRS 9.4.2.1; IFRS 7.8(g); Annex V. Part 2.146, 151 |
|
|
|
|
|
160 |
Interest rate |
Annex V.Part 2.129(a) |
|
|
|
|
|
170 |
Equity |
Annex V.Part 2.129(b) |
|
|
|
|
|
180 |
Foreign exchange and gold |
Annex V.Part 2.129(c) |
|
|
|
|
|
190 |
Credit |
Annex V.Part 2.129(d) |
|
|
|
|
|
200 |
Commodity |
Annex V.Part 2.129(e) |
|
|
|
|
|
210 |
Other |
Annex V.Part 2.129(f) |
|
|
|
|
|
12. Movements in allowances and provisions for credit losses
12.1 Movements in allowances and provisions for credit losses
|
References |
Opening balance |
Increases due to origination and acquisition |
Decreases due to derecognition |
Changes due to change in credit risk (net) |
Changes due to modifications without derecognition (net) |
Changes due to update in the institution's methodology for estimation (net) |
Decrease in allowance account due to write-offs |
Other adjustments |
Closing balance |
Recoveries of previously written-off amounts recorded directly to the statement of profit or loss |
Amounts written-off directly to the statement of profit or loss |
|
|
IFRS 7.35I; Annex V.Part 2.159, 164(b) |
IFRS 7.35I; Annex V.Part 2.160, 164(b) |
IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.161-162 |
IFRS 7.35I; IFRS 7.35J; IFRS 9.5.5.12, B5.5.25, B5.5.27; Annex V.Part 2.164(c) |
IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.163 |
IFRS 7.35I; IFRS 9.5.4.4;IFRS 7.35L; Annex V.Part 2.72, 74, 164(a), 165 |
IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.166 |
|
|
IFRS 9.5.4.4; Annex V.Part 2.165 |
|||
010 |
020 |
030 |
040 |
050 |
070 |
080 |
090 |
100 |
110 |
120 |
|||
010 |
Allowances for financial assets without increase in credit risk since initial recognition (Stage 1) |
IFRS 9.5.5.5 |
|
|
|
|
|
|
|
|
|
|
|
020 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
|
030 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
040 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
050 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
060 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
070 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
080 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
|
090 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
100 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
110 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
120 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
130 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
140 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
|
160 |
of which: collectively measured allowances |
IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 |
|
|
|
|
|
|
|
|
|
|
|
170 |
of which: individually measured allowances |
IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 |
|
|
|
|
|
|
|
|
|
|
|
180 |
Allowances for debt instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
IFRS 9.5.5.3 |
|
|
|
|
|
|
|
|
|
|
|
190 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
|
200 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
210 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
220 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
230 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
240 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
250 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
|
260 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
270 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
280 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
290 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
300 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
310 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
|
330 |
of which: collectively measured allowances |
IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 |
|
|
|
|
|
|
|
|
|
|
|
340 |
of which: individually measured allowances |
IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 |
|
|
|
|
|
|
|
|
|
|
|
350 |
of which: non-performing |
Annex V.Part 2.213-232 |
|
|
|
|
|
|
|
|
|
|
|
360 |
Allowances for credit-impaired debt instruments (Stage 3) |
IFRS 9.5.5.1, 9. Appendix A |
|
|
|
|
|
|
|
|
|
|
|
370 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
|
380 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
390 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
400 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
410 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
420 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
430 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
|
440 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
450 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
460 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
470 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
480 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
490 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
|
500 |
of which: collectively measured allowances |
IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 |
|
|
|
|
|
|
|
|
|
|
|
510 |
of which: individually measured allowances |
IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 |
|
|
|
|
|
|
|
|
|
|
|
520 |
Total allowance for debt instruments |
IFRS 7.B8E |
|
|
|
|
|
|
|
|
|
|
|
530 |
Commitments and financial guarantees given (Stage 1) |
IFRS 9.2.1|(g); 2.3(c); 5.5, B2.5; Annex V.Part 2.157 |
|
|
|
|
|
|
|
|
|
|
|
540 |
Commitments and financial guarantees given (Stage 2) |
IFRS 9.2.1|(g); 2.3(c); 5.5.3, B2.5; Annex V.Part 2.157 |
|
|
|
|
|
|
|
|
|
|
|
550 |
of which: non-performing |
Annex V.Part 2.117 |
|
|
|
|
|
|
|
|
|
|
|
560 |
Commitments and financial guarantees given (Stage 3) |
IFRS 9.2.1|(g); 2.3(c); 5.5.1, B2.5; Annex V.Part 2.157 |
|
|
|
|
|
|
|
|
|
|
|
570 |
Total provisions on commitments and financial guarantees given |
IFRS 7.B8E; Annex V.Part 2.157 |
|
|
|
|
|
|
|
|
|
|
|
12.2 Transfers between impairment stages (gross basis presentation)
|
References |
Gross carrying amount / nominal amount Annex V.Part 1.34, Part 2.118, 167, 170 |
||||||
Transfers between Stage 1 and Stage 2 |
Transfers between Stage 2 and Stage 3 |
Transfers between Stage 1 and Stage 3 |
||||||
To Stage 2 from Stage 1 |
To Stage 1 from Stage 2 |
To Stage 3 from Stage 2 |
To Stage 2 from Stage 3 |
To Stage 3 from Stage 1 |
To Stage 1 from Stage 3 |
|||
Annex V.Part 2.168-169 |
||||||||
010 |
020 |
030 |
040 |
050 |
060 |
|||
010 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
020 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
030 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
040 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
050 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
060 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
070 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
080 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
090 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
100 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
110 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
120 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
130 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
140 |
Total debt instruments |
|
|
|
|
|
|
|
150 |
Commitments and financial guarantees given |
IFRS 9.2.1|(g); 2.3(c); 5.5.1, 5.5.3, 5.5.5 |
|
|
|
|
|
|
13. Collateral and guarantees received
13.1 Breakdown of collateral and guarantees by loans and advances other than held for trading
Guarantees and collateral |
References |
Maximum amount of the collateral or guarantee that can be considered Annex V.Part 2.171-172, 174 |
|||||
Loans collateralized by immovable property |
Other collateralized loans |
Financial guarantees received |
|||||
Residential |
Commercial |
Cash [Debt instruments issued] |
Rest |
||||
IFRS 7.36(b) |
Annex V.Part 2.173(a) |
Annex V.Part 2.173(a) |
Annex V.Part 2.173(b) |
Annex V.Part 2.173(b) |
Annex V.Part 2.173(c) |
||
010 |
020 |
030 |
040 |
050 |
|||
010 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
020 |
of which: Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
030 |
of which: Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
040 |
of which: Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
050 |
of which: lending for house purchase |
Annex V.Part 2.88(b) |
|
|
|
|
|
13.2 Collateral obtained by taking possession during the period [held at the reporting date]
|
References |
Carrying amount |
|
Annex V.Part 2.175 |
|||
010 |
|||
010 |
Non-current assets held-for-sale |
IFRS 7.38(a) |
|
020 |
Property, plant and equipment |
IFRS 7.38(a) |
|
030 |
Investment property |
IFRS 7.38(a) |
|
040 |
Equity and debt instruments |
IFRS 7.38(a) |
|
050 |
Other |
IFRS 7.38(a) |
|
060 |
Total |
|
|
13.3 Collateral obtained by taking possession [tangible assets] accumulated
|
References |
Carrying amount |
|
010 |
|||
010 |
Foreclosure [tangible assets] |
IFRS 7.38(a); Annex V.Part 2.176 |
|
14. Fair value hierachy: financial instruments at fair value
|
References |
Fair value hierarchy IFRS 13.93 (b) |
Change in fair value for the period Annex V.Part 2.178 |
Accumulated change in fair value before taxes Annex V.Part 2.179 |
||||||
Level 1 |
Level 2 |
Level 3 |
Level 2 |
Level 3 |
Level 1 |
Level 2 |
Level 3 |
|||
IFRS 13.76 |
IFRS 13.81 |
IFRS 13.86 |
IFRS 13.81 |
IFRS 13.86, 93(f) |
IFRS 13.76 |
IFRS 13.81 |
IFRS 13.86 |
|||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
|||
ASSETS |
|
|
|
|
|
|
|
|
|
|
010 |
Financial assets held for trading |
IFRS 7.8(a)(ii);IFRS 9.Appendix A |
|
|
|
|
|
|
|
|
020 |
Derivatives |
IFRS 9.Appendix A |
|
|
|
|
|
|
|
|
030 |
Equity instruments |
IAS 32.11, |
|
|
|
|
|
|
|
|
040 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
050 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
056 |
Non-trading financial assets mandatorily at fair value through profit or loss |
IFRS 9.4.1.4; IFRS 7.8(a)(ii) |
|
|
|
|
|
|
|
|
057 |
Equity instruments |
IAS 32.11 |
|
|
|
|
|
|
|
|
058 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
059 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
060 |
Financial assets designated at fair value through profit or loss |
IFRS 7.8(a)(i); IFRS 9.4.1.5 |
|
|
|
|
|
|
|
|
080 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
090 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
101 |
Financial assets at fair value through other comprehensive income |
IFRS 7.8 (h); IFRS 9.4.1.2A |
|
|
|
|
|
|
|
|
102 |
Equity instruments |
IAS 32.11 |
|
|
|
|
|
|
|
|
103 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
104 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
140 |
Derivatives – Hedge accounting |
IFRS 9.6.2.1; Annex V.Part 1.22 |
|
|
|
|
|
|
|
|
LIABILITIES |
|
|
|
|
|
|
|
|
|
|
150 |
Financial liabilities held for trading |
IFRS 7.8 (e) (ii); IFRS 9.BA.6 |
|
|
|
|
|
|
|
|
160 |
Derivatives |
IFRS 9.BA.7(a) |
|
|
|
|
|
|
|
|
170 |
Short positions |
IFRS 9.BA.7(b) |
|
|
|
|
|
|
|
|
180 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
|
|
|
|
|
190 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
|
|
|
|
|
|
200 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
|
|
|
|
|
|
210 |
Financial liabilities designated at fair value through profit or loss |
IFRS 7.8 (e) (i); IFRS 9.4.1.5 |
|
|
|
|
|
|
|
|
220 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
|
|
|
|
|
230 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
|
|
|
|
|
|
240 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
|
|
|
|
|
|
250 |
Derivatives – Hedge accounting |
IFRS 9.6.2.1; Annex V.Part 1.26 |
|
|
|
|
|
|
|
|
15. Derecognition and financial liabilities associated with transferred financial assets
|
References |
Transferred financial assets entirely recognized |
Transferred financial assets recognized to the extent of the instution's continuing involvement |
Principal amount outstanting of transferred financial assets entirely derecognised for which the intitution retains servicing rights |
Amounts derecognised for capital purposes |
||||||||
Transferred assets |
Associated liabilities ITS V.Part 2.181 |
Principal amount outstanding of the original assets |
Carrying amount of assets still recognised [continuing involvement] |
Carrying amount of associated liabilites |
|||||||||
Carrying amount |
Of which: securitizations |
Of which: repurchase agreements |
Carrying amount |
Of which: securitizations |
Of which: repurchase agreements |
||||||||
IFRS 7.42D.(e), Annex V.Part 1.27 |
IFRS 7.42D(e); CRR art 4(1)(61) |
IFRS 7.42D(e); Annex V.Part 2.183-184 |
IFRS 7.42D(e) |
IFRS 7.42D.(e) |
IFRS 7.42D(e); Annex V.Part 2.183-184 |
|
IFRS 7.42D(f) |
IFRS 7.42D(f); Annex V.Part 1.27, Part 2.181 |
|
CRR art 109; Annex V.Part 2.182 |
|||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
|||
010 |
Financial assets held for trading |
IFRS 7.8(a)(ii);IFRS 9. Appendix A |
|
|
|
|
|
|
|
|
|
|
|
020 |
Equity instruments |
IAS 32.11 |
|
|
|
|
|
|
|
|
|
|
|
030 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
|
040 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
|
|
045 |
Non-trading financial assets mandatorily at fair value through profit or loss |
IFRS 9.4.1.4 |
|
|
|
|
|
|
|
|
|
|
|
046 |
Equity instruments |
IAS 32.11 |
|
|
|
|
|
|
|
|
|
|
|
047 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
|
048 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
|
|
050 |
Financial assets designated at fair value through profit or loss |
IFRS 7.8(a)(i); IFRS 9.4.1.5 |
|
|
|
|
|
|
|
|
|
|
|
070 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
|
080 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
|
|
091 |
Financial assets at fair value through other comprehensive income |
IFRS 7.8(h); IFRS 9.4.1.2A |
|
|
|
|
|
|
|
|
|
|
|
092 |
Equity instruments |
IAS 32.11 |
|
|
|
|
|
|
|
|
|
|
|
093 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
|
094 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
|
|
131 |
Financial assets at amortised cost |
IFRS 7.8 (f); IFRS 9.4.1.2 |
|
|
|
|
|
|
|
|
|
|
|
132 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
|
133 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
|
|
190 |
Total |
|
|
|
|
|
|
|
|
|
|
|
|
16. Breakdown of selected statement of profit or loss items
16.1 Interest income and expenses by instrument and counterparty sector
|
References |
Current period |
||
Income |
Expenses |
|||
Annex V.Part 2.187, 189 |
Annex V.Part 2.188, 190 |
|||
010 |
020 |
|||
010 |
Derivatives -Trading |
IFRS 9.Appendix A, .BA.1, .BA.6; Annex V.Part 2.193 |
|
|
015 |
of which: interest income from derivatives in economic hedges |
Annex V.Part 2.193 |
|
|
020 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
030 |
Central banks |
Annex V.Part 1.42(a) |
|
|
040 |
General governments |
Annex V.Part 1.42(b) |
|
|
050 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
060 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
070 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
080 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
090 |
Central banks |
Annex V.Part 1.42(a) |
|
|
100 |
General governments |
Annex V.Part 1.42(b) |
|
|
110 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
120 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
130 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
140 |
Households |
Annex V.Part 1.42(f) |
|
|
150 |
Other assets |
Annex V.Part 2.5 |
|
|
160 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
170 |
Central banks |
Annex V.Part 1.42(a) |
|
|
180 |
General governments |
Annex V.Part 1.42(b) |
|
|
190 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
200 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
210 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
220 |
Households |
Annex V.Part 1.42(f) |
|
|
230 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
240 |
Other financial liabilities |
Annex V.Part 1.32-34, Part 2.191 |
|
|
250 |
Derivatives - Hedge accounting, interest rate risk |
Annex V.Part 2.192 |
|
|
260 |
Other Liabilities |
Annex V.Part 1.38-41 |
|
|
270 |
INTEREST |
IAS 1.97 |
|
|
280 |
of which: interest-income on credit impaired financial assets |
IFRS 9.5.4.1; .B5.4.7; Annex V.Part 2.194 |
|
|
16.2 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument
|
References |
Current period |
|
Annex V. Part 2.195-196 |
|||
010 |
|||
020 |
Debt securities |
Annex V.Part 1.31 |
|
030 |
Loans and advances |
Annex V.Part 1.32 |
|
040 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
050 |
Debt securities issued |
Annex V.Part 1.37 |
|
060 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
070 |
GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET |
Annex V.Part 2.45 |
|
16.3 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument
|
References |
Current period |
|
Annex V. Part 2.197-198 |
|||
010 |
|||
010 |
Derivatives |
IFRS 9.Appendix A, .BA.1, .BA.7(a) |
|
015 |
of which: Economic hedges with use of the fair value option |
IFRS 9.6.7.1; IFRS 7.9(d); Annex V.Part 2.199 |
|
020 |
Equity instruments |
IAS 32.11 |
|
030 |
Debt securities |
Annex V.Part 1.31 |
|
040 |
Loans and advances |
Annex V.Part 1.32 |
|
050 |
Short positions |
IFRS 9.BA.7(b) |
|
060 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
070 |
Debt securities issued |
Annex V.Part 1.37 |
|
080 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
090 |
GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET |
IFRS 9.Appendix A, .BA.6;IFRS 7.20(a)(i) |
|
095 |
of which: gains and losses due to the reclassification of assets at amortised cost |
IFRS 9.5.6.2; annex V.Part 2.199 |
|
16.4 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk
|
References |
Current period |
|
010 |
|||
010 |
Interest rate instruments and related derivatives |
Annex V.Part 2.200(a) |
|
020 |
Equity instruments and related derivatives |
Annex V.Part 2.200(b) |
|
030 |
Foreign exchange trading and derivatives related with foreign exchange and gold |
Annex V.Part 2.200(c) |
|
040 |
Credit risk instruments and related derivatives |
Annex V.Part 2.200(d) |
|
050 |
Derivatives related with commodities |
Annex V.Part 2.200(e) |
|
060 |
Other |
Annex V.Part 2.200(f) |
|
070 |
GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET |
IFRS 7.20(a)(i) |
|
16.4.1 Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument
|
References |
Current period |
|
Annex V.Part 2.201 |
|||
010 |
|||
020 |
Equity instruments |
IAS 32.11 |
|
030 |
Debt securities |
Annex V.Part 1.31 |
|
040 |
Loans and advances |
Annex V.Part 1.32 |
|
090 |
GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT AND LOSS, NET |
IFRS 7.20(a)(i) |
|
100 |
of which: gains and losses due to the reclassification of assets at amortised cost |
IFRS 9.6.5.2; Annex V.Part 2.202 |
|
16.5 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument
|
References |
Current period |
Changes in fair value due to credit risk |
|
Annex V.Part 2.203 |
Annex V.Part 2.203 |
|||
010 |
020 |
|||
020 |
Debt securities |
Annex V.Part 1.31 |
|
|
030 |
Loans and advances |
Annex V.Part 1.32 |
|
|
040 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
050 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
060 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
070 |
GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET |
IFRS 7.20(a)(i) |
|
|
071 |
of which: gains or (-) losses upon designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net |
IFRS 9.6.7;IFRS 7.24G(b); Annex V.Part 2.204 |
|
|
072 |
of which: gains or (-) losses after designation on financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net |
IFRS 9.6.7; IFRS 7.20(a)(i); Annex V.Part 2.204 |
|
|
16.6 Gains or losses from hedge accounting
|
References |
Current period |
|
Annex V.Part 2.205 |
|||
010 |
|||
010 |
Fair value changes of the hedging instrument [including discontinuation] |
IFRS 7.24A(c);IFRS 7.24C(b)(vi) |
|
020 |
Fair value changes of the hedged item attributable to the hedged risk |
IFRS 9.6.3.7; .6.5.8; .B6.4.1; IFRS 7.24B(a)(iv); IFRS 7.24C(b)(vi); Annex V.Part 2.206 |
|
030 |
Ineffectiveness in profit or loss from cash flow hedges |
IFRS 7.24C(b)ii; IFRS 7.24C(b)(vi) |
|
040 |
Ineffectiveness in profit or loss from hedges of net investments in foreign operations |
IFRS 7.24C(b)(ii); IFRS 7.24C(b)(vi) |
|
050 |
GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET |
|
|
16.7 Impairment on non-financial assets
|
References |
Current period |
|||
Additions |
Reversals |
Accumulated impairment |
|||
Annex V.Part 2.208 |
Annex V.Part 2.208 |
|
|||
010 |
020 |
040 |
|||
060 |
Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates |
IAS 28.40-43 |
|
|
|
070 |
Subsidiaries |
IFRS 10 Appendix A |
|
|
|
080 |
Joint ventures |
IAS 28.3 |
|
|
|
090 |
Associates |
IAS 28.3 |
|
|
|
100 |
Impairment or (-) reversal of impairment on non-financial assets |
IAS 36.126(a),(b) |
|
|
|
110 |
Property, plant and equipment |
IAS 16.73(e)(v-vi) |
|
|
|
120 |
Investment properties |
IAS 40.79(d)(v) |
|
|
|
130 |
Goodwill |
IAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v) |
|
|
|
140 |
Other intangible assets |
IAS 38.118(e)(iv)(v) |
|
|
|
145 |
Other |
IAS 36.126(a),(b) |
|
|
|
150 |
TOTAL |
|
|
|
|
17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet
17.1 Assets
|
References |
Accounting scope of consolidation [Carrying amount] |
|
Annex V.Part 1.27, Part 2.209 |
|||
010 |
|||
010 |
Cash, cash balances at central banks and other demand deposits |
IAS 1.54 (i) |
|
020 |
Cash on hand |
Annex V.Part 2.1 |
|
030 |
Cash balances at central banks |
Annex V.Part 2.2 |
|
040 |
Other demand deposits |
Annex V.Part 2.3 |
|
050 |
Financial assets held for trading |
IFRS 7.8(a)(ii);IFRS 9.Appendix A |
|
060 |
Derivatives |
IFRS 9.Appendix A |
|
070 |
Equity instruments |
IAS 32.11 |
|
080 |
Debt securities |
Annex V.Part 1.31 |
|
090 |
Loans and advances |
Annex V.Part 1.32 |
|
096 |
Non-trading financial assets mandatorily at fair value through profit or loss |
IFRS 9.4.1.4 |
|
097 |
Equity instruments |
IAS 32.11 |
|
098 |
Debt securities |
Annex V.Part 1.31 |
|
099 |
Loans and advances |
Annex V.Part 1.32 |
|
100 |
Financial assets designated at fair value through profit or loss |
IFRS 7.8(a)(i); IFRS 9.4.1.5 |
|
120 |
Debt securities |
Annex V.Part 1.31 |
|
130 |
Loans and advances |
Annex V.Part 1.32 |
|
141 |
Financial assets at fair value through other comprehensive income |
IFRS 7.8(h); IFRS 9.4.1.2A |
|
142 |
Equity instruments |
IAS 32.11 |
|
143 |
Debt securities |
Annex V.Part 1.31 |
|
144 |
Loans and advances |
Annex V.Part 1.32 |
|
181 |
Financial assets at amortised cost |
IFRS 7.8(f); IFRS 9.4.1.2 |
|
182 |
Debt securities |
Annex V.Part 1.31 |
|
183 |
Loans and advances |
Annex V.Part 1.32 |
|
240 |
Derivatives – Hedge accounting |
IFRS 9.6.2.1; Annex V.Part 1.22 |
|
250 |
Fair value changes of the hedged items in portfolio hedge of interest rate risk |
IAS 39.89A(a); IFRS 9.6.5.8 |
|
260 |
Investments in subsidaries, joint ventures and associates |
IAS 1.54(e); Annex V.Part 1.21, Part 2.4, 210 |
|
270 |
Assets under reinsurance and insurance contracts |
IFRS 4.IG20.(b)-(c); Annex V.Part 2.211 |
|
280 |
Tangible assets |
|
|
290 |
Intangible assets |
IAS 1.54(c); CRR art 4(1)(115) |
|
300 |
Goodwill |
IFRS 3.B67(d); CRR art 4(1)(113) |
|
310 |
Other intangible assets |
IAS 38.8,118 |
|
320 |
Tax assets |
IAS 1.54(n-o) |
|
330 |
Current tax assets |
IAS 1.54(n); IAS 12.5 |
|
340 |
Deferred tax assets |
IAS 1.54(o); IAS 12.5; CRR art 4(1)(106) |
|
350 |
Other assets |
Annex V.Part 2.5 |
|
360 |
Non-current assets and disposal groups classified as held for sale |
IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6 |
|
370 |
TOTAL ASSETS |
IAS 1.9(a), IG 6 |
|
17.2 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
|
References |
Accounting scope of consolidation [Nominal amount] |
|
Annex V.Part 2.118, 209 |
|||
010 |
|||
010 |
Loan commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 |
|
020 |
Financial guarantees given |
IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 |
|
030 |
Other Commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 |
|
040 |
OFF-BALANCE SHEET EXPOSURES |
|
|
17.3 Liabilities and equity
|
References |
Accounting scope of consolidation [Carrying amount] |
|
Annex V.Part 1.27, Part 2.209 |
|||
010 |
|||
010 |
Financial liabilities held for trading |
IFRS 7.8 (e) (ii); IFRS 9.BA.6 |
|
020 |
Derivatives |
IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) |
|
030 |
Short positions |
IFRS 9.BA7(b) |
|
040 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
050 |
Debt securities issued |
Annex V.Part 1.37 |
|
060 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
070 |
Financial liabilities designated at fair value through profit or loss |
IFRS 7.8 (e)(i); IFRS 9.4.2.2 |
|
080 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
090 |
Debt securities issued |
Annex V.Part 1.37 |
|
100 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
110 |
Financial liabilities measured at amortised cost |
IFRS 7.8(g); IFRS 9.4.2.1 |
|
120 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
130 |
Debt securities issued |
Annex V.Part 1.37 |
|
140 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
150 |
Derivatives – Hedge accounting |
IFRS 9.6.2.1; Annex V.Part 1.26 |
|
160 |
Fair value changes of the hedged items in portfolio hedge of interest rate risk |
IAS 39.89A(b), IFRS 9.6.5.8 |
|
170 |
Liabilities under insurance and reinsurance contracts |
IFRS 4.IG20(a); Annex V.Part 2.212 |
|
180 |
Provisions |
IAS 37.10; IAS 1.54(l) |
|
190 |
Tax liabilities |
IAS 1.54(n-o) |
|
200 |
Current tax liabilities |
IAS 1.54(n); IAS 12.5 |
|
210 |
Deferred tax liabilities |
IAS 1.54(o); IAS 12.5; CRR art 4(1)(108) |
|
220 |
Share capital repayable on demand |
IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12 |
|
230 |
Other liabilities |
Annex V.Part 2.13 |
|
240 |
Liabilities included in disposal groups classified as held for sale |
IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 |
|
250 |
LIABILITIES |
IAS 1.9(b);IG 6 |
|
260 |
Capital |
IAS 1.54(r), BAD art 22 |
|
270 |
Share premium |
IAS 1.78(e); CRR art 4(1)(124) |
|
280 |
Equity instruments issued other than capital |
Annex V.Part 2.18-19 |
|
290 |
Other equity |
IFRS 2.10; Annex V.Part 2.20 |
|
300 |
Accumulated other comprehensive income |
CRR art 4(1)(100) |
|
310 |
Retained earnings |
CRR art 4(1)(123) |
|
320 |
Revaluation reserves |
IFRS 1.33, D5-D8 |
|
330 |
Other reserves |
IAS 1.54; IAS 1.78 (e) |
|
340 |
(-) Treasury shares |
IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.28 |
|
350 |
Profit or loss attributable to owners of the parent |
IFRS 10.B94 |
|
360 |
(-) Interim dividends |
IAS 32.35 |
|
370 |
Minority interests [Non-controlling interests] |
IAS 1.54(q); IFRS 10.22, .B94 |
|
380 |
TOTAL EQUITY |
IAS 1.9(c), IG 6 |
|
390 |
TOTAL EQUITY AND TOTAL LIABILITIES |
IAS 1.IG6 |
|
18. Information on performing and non-performing exposures
|
References |
Gross carrying amount / Nominal amount |
Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions |
Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 |
||||||||||||||||||||
|
Performing |
Non-performing |
|
Performing exposures - Accumulated impairment and provisions |
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions |
Collateral received and financial guarantees received |
||||||||||||||||||
|
Not past due or Past due <= 30 days |
Past due > 30 days <= 90 days |
|
Unlikely to pay that are not past-due or past-due < = 90 days |
Past due > 90 days <= 180 days |
Past due > 180 days <= 1 year |
Past due > 1 year <= 5 years |
Past due > 5 years |
Of which: defaulted |
Of which: impaired |
|
Unlikely to pay that are not past-due or past-due < = 90 days |
Past due > 90 days <= 180 days |
Past due > 180 days <= 1 year |
Past due > 1 year < = 5 year |
Past due > 5 years |
Collateral received on non-performing exposues |
Financial guarantees received on non-performing exposures |
||||||
010 |
020 |
030 |
055 |
060 |
070 |
080 |
090 |
100 |
105 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
195 |
200 |
210 |
|||
Annex V. Part 1.34, Part 2.118, 221 |
Annex V. Part 2. 213-216, 223-239 |
Annex V. Part 2. 222, 235 |
Annex V. Part 2. 222, 235 |
Annex V. Part 2. 213-216, 223-239 |
Annex V. Part 2. 222, 235-236 |
Annex V. Part 2. 222, 235-236 |
Annex V. Part 2. 222, 235-236 |
Annex V. Part 2. 222, 235-236 |
Annex V. Part 2. 222, 235-236 |
CRR art 178; Annex V.Part 2.238(b) |
IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.238(a) |
Annex V. Part 2. 238 |
Annex V. Part 2. 238 |
Annex V. Part 2. 238 |
Annex V. Part 2. 236, 238 |
Annex V. Part 2. 236, 238 |
Annex V. Part 2. 236, 238 |
Annex V. Part 2. 236, 238 |
Annex V. Part 2. 236, 238 |
Annex V. Part 2. 239 |
Annex V. Part 2. 239 |
|||
010 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
020 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
060 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
070 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
080 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
090 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
120 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
130 |
Of which: Small and Medium-sized Enterprises |
SME Art 1 2(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
140 |
Of which: Loans collateralised by commercial immovable property |
Annex V.Part 2.86(a), 87 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
160 |
Of which: Loans collateralised by residential immovable property |
Annex V.Part 2.86(a), 87 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
170 |
Of which: Credit for consumption |
Annex V.Part 2.88(a) |
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
|
|
|
180 |
DEBT INSTRUMENTS AT COST OR AT AMORTISED COST |
Annex V.Part 2.233(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
181 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
182 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
183 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
184 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
185 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
186 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
191 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
192 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
193 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
194 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
195 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
196 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
197 |
Households |
Annex V.Part 1.42(f) |
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
201 |
DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENT |
Annex V.Part 2.233(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
211 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
212 |
Central banks |
Annex V.Part 1.42(a) |
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
213 |
General governments |
Annex V.Part 1.42(b) |
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
214 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
215 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
216 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
221 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
222 |
Central banks |
Annex V.Part 1.42(a) |
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
223 |
General governments |
Annex V.Part 1.42(b) |
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
224 |
Credit institutions |
Annex V.Part 1.42(c) |
|
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|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
225 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
226 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
227 |
Households |
Annex V.Part 1.42(f) |
|
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|
|
|
|
|
|
|
|
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|
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|
231 |
DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENT |
Annex V.Part 2.233(c), 234 |
|
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|
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|
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|
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|
330 |
DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING |
Annex V.Part 2.217 |
|
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|
|
|
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|
|
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|
335 |
DEBT INSTRUMENTS HELD FOR SALE |
Annex V.Part 2.220 |
|
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|
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|
|
|
|
|
|
|
|
|
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|
|
|
|
340 |
Loan commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116, 224 |
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
350 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
360 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
370 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
380 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
390 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
400 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
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410 |
Financial guarantees given |
IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116, 225 |
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420 |
Central banks |
Annex V.Part 1.42(a) |
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430 |
General governments |
Annex V.Part 1.42(b) |
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440 |
Credit institutions |
Annex V.Part 1.42(c) |
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450 |
Other financial corporations |
Annex V.Part 1.42(d) |
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460 |
Non-financial corporations |
Annex V.Part 1.42(e) |
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470 |
Households |
Annex V.Part 1.42(f) |
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480 |
Other Commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116, 224 |
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490 |
Central banks |
Annex V.Part 1.42(a) |
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500 |
General governments |
Annex V.Part 1.42(b) |
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510 |
Credit institutions |
Annex V.Part 1.42(c) |
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520 |
Other financial corporations |
Annex V.Part 1.42(d) |
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530 |
Non-financial corporations |
Annex V.Part 1.42(e) |
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540 |
Households |
Annex V.Part 1.42(f) |
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550 |
OFF-BALANCE SHEET EXPOSURES |
Annex V.Part 2.217 |
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19. Information forborne exposures
|
References |
Gross carrying amount / nominal amount of exposures with forbearance measures |
Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions |
Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 |
||||||||||||||||
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Performing exposures with forbearance measures |
Non-performing exposures with forbearance measures |
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Perfoming exposures with forbearance measures - Accumulated impairment and provisions |
Non-performing exposures with forbearance measures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions |
Collateral received and financial guarantees received |
||||||||||||||
|
Instruments with modifications in their terms and conditions |
Refinancing |
of which: Performing forborne exposures under probation reclassified from non-performing |
|
Instruments with modifications in their terms and conditions |
Refinancing |
of which: Defaulted |
of which: Impaired |
of which: Forbearance of exposures non-performing prior to forbearance |
|
Instruments with modifications in their terms and conditions |
Refinancing |
Collateral received on exposures with forbearance measures |
Financial guarantees received on exposures with forbearance measures |
||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
|||
Annex V. Part 1.34, Part 2. 118, 240-245, 251-258 |
Annex V. Part 2. 256, 259-262 |
Annex V. Part 2.241(a), 266 |
Annex V. Part 2. 241 (b), 265-266 |
Annex V. Part 2. 256(b), 261 |
Annex V. Part 2. 259-263 |
Annex V. Part 2.241(a), 266 |
Annex V. Part 2. 241 (b), 265-266 |
CRR art 178; Annex V. Part 2.264(b) |
IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.264(a) |
Annex V. Part 2. 231, 252(a), 263 |
Annex V. Part 2. 267 |
Annex V. Part 2. 207 |
Annex V. Part 2. 207 |
Annex V. Part 2. 241(a), 267 |
Annex V. Part 2. 241(b), 267 |
Annex V. Part 2. 268 |
Annex V. Part 2. 268 |
|||
010 |
Debt securities |
Annex V.Part 1.31, 44(b) |
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020 |
Central banks |
Annex V.Part 1.42(a) |
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030 |
General governments |
Annex V.Part 1.42(b) |
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040 |
Credit institutions |
Annex V.Part 1.42(c) |
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050 |
Other financial corporations |
Annex V.Part 1.42(d) |
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060 |
Non-financial corporations |
Annex V.Part 1.42(e) |
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070 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
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080 |
Central banks |
Annex V.Part 1.42(a) |
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090 |
General governments |
Annex V.Part 1.42(b) |
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100 |
Credit institutions |
Annex V.Part 1.42(c) |
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110 |
Other financial corporations |
Annex V.Part 1.42(d) |
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120 |
Non-financial corporations |
Annex V.Part 1.42(e) |
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130 |
Of which: Small and Medium-sized Enterprises |
SME Art 1 2(a) |
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140 |
Of which: Loans collateralised by commercial immovable property |
Annex V.Part 2.86(a), 87 |
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150 |
Households |
Annex V.Part 1.42(f) |
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160 |
Of which: Loans collateralised by residential immovable property |
Annex V.Part 2.86(a), 87 |
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170 |
Of which: Credit for consumption |
Annex V.Part 2.88(a) |
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180 |
DEBT INSTRUMENTS AT COST OR AT AMORTISED COST |
Annex V.Part 2.249(a) |
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181 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
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182 |
Central banks |
Annex V.Part 1.42(a) |
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183 |
General governments |
Annex V.Part 1.42(b) |
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184 |
Credit institutions |
Annex V.Part 1.42(c) |
|
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185 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
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186 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
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191 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
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192 |
Central banks |
Annex V.Part 1.42(a) |
|
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193 |
General governments |
Annex V.Part 1.42(b) |
|
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194 |
Credit institutions |
Annex V.Part 1.42(c) |
|
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195 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
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196 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
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197 |
Households |
Annex V.Part 1.42(f) |
|
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201 |
DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENT |
Annex V.Part 2.249(b) |
|
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211 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
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212 |
Central banks |
Annex V.Part 1.42(a) |
|
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213 |
General governments |
Annex V.Part 1.42(b) |
|
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214 |
Credit institutions |
Annex V.Part 1.42(c) |
|
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215 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
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216 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
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|
221 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
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222 |
Central banks |
Annex V.Part 1.42(a) |
|
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223 |
General governments |
Annex V.Part 1.42(b) |
|
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224 |
Credit institutions |
Annex V.Part 1.42(c) |
|
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225 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
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226 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
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227 |
Households |
Annex V.Part 1.42(f) |
|
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231 |
DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENT |
Annex V.Part 2.249(c) |
|
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330 |
DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING |
Annex V.Part 2.246 |
|
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335 |
DEBT INSTRUMENTS HELD FOR SALE |
Annex V.Part 2.247 |
|
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|
340 |
Loan commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116, 246 |
|
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|
20. Geographical breakdown
20.1 Geographical breakdown of assets by location of the activities
|
References |
Carrying amount Annex V.Part 1.27 |
||
Domestic activitivies |
Non-domestic activities |
|||
Annex V.Part 2.270 |
Annex V.Part 2.270 |
|||
010 |
020 |
|||
010 |
Cash, cash balances at central banks and other demand deposits |
IAS 1.54 (i) |
|
|
020 |
Cash on hand |
Annex V.Part 2.1 |
|
|
030 |
Cash balances at central banks |
Annex V.Part 2.2 |
|
|
040 |
Other demand deposits |
Annex V.Part 2.3 |
|
|
050 |
Financial assets held for trading |
IFRS 9. Appendix A |
|
|
060 |
Derivatives |
IFRS 9. Appendix A |
|
|
070 |
Equity instruments |
IAS 32.11 |
|
|
080 |
Debt securities |
Annex V.Part 1.31 |
|
|
090 |
Loans and advances |
Annex V.Part 1.32 |
|
|
096 |
Non-trading financial assets mandatorily at fair value through profit or loss |
IFRS 7.8(a)(ii); IFRS 9.4.1.4 |
|
|
097 |
Equity instruments |
IAS 32.11 |
|
|
098 |
Debt securities |
Annex V.Part 1.31 |
|
|
099 |
Loans and advances |
Annex V.Part 1.32 |
|
|
100 |
Financial assets designated at fair value through profit or loss |
IFRS 7.8(a)(i); IFRS 9.4.1.5 |
|
|
120 |
Debt securities |
Annex V.Part 1.31 |
|
|
130 |
Loans and advances |
Annex V.Part 1.32 |
|
|
141 |
Financial assets at fair value through other comprehensive income |
IFRS 7.8(h); IFRS 9.4.1.2A |
|
|
142 |
Equity instruments |
IAS 32.11 |
|
|
143 |
Debt securities |
Annex V.Part 1.31 |
|
|
144 |
Loans and advances |
Annex V.Part 1.32 |
|
|
181 |
Financial assets at amortised cost |
IFRS 7.8(f); IFRS 9.4.1.2 |
|
|
182 |
Debt securities |
Annex V.Part 1.31 |
|
|
183 |
Loans and advances |
Annex V.Part 1.32 |
|
|
240 |
Derivatives – Hedge accounting |
IFRS 9.6.2.1; Annex V.Part 1.22 |
|
|
250 |
Fair value changes of the hedged items in portfolio hedge of interest rate risk |
IAS 39.89A(a); IFRS 9.6.5.8 |
|
|
260 |
Tangible assets |
|
|
|
270 |
Intangible assets |
IAS 1.54(c); CRR art 4(1)(115) |
|
|
280 |
Investments in subsidaries, joint ventures and associates |
IAS 1.54(e); Annex V.Part 1.21, Part 2.4 |
|
|
290 |
Tax assets |
IAS 1.54(n-o) |
|
|
300 |
Other assets |
Annex V.Part 2.5 |
|
|
310 |
Non-current assets and disposal groups classified as held for sale |
IAS 1.54(j); IFRS 5.38, Annex V.Part 2.7 |
|
|
320 |
ASSETS |
IAS 1.9(a), IG 6 |
|
|
20.2 Geographical breakdown of liabilities by location of the activities
|
References |
Carrying amount Annex V.Part 1.27 |
||
Domestic activitivies |
Non-domestic activities |
|||
Annex V.Part 2.270 |
Annex V.Part 2.270 |
|||
010 |
020 |
|||
010 |
Financial liabilities held for trading |
IFRS 7.8 (e) (ii); IFRS 9.BA.6 |
|
|
020 |
Derivatives |
IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) |
|
|
030 |
Short positions |
IFRS 9.BA7(b) |
|
|
040 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
050 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
060 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
070 |
Financial liabilities designated at fair value through profit or loss |
IFRS 7.8 (e)(i); IFRS 9.4.2.2 |
|
|
080 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
090 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
100 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
110 |
Financial liabilities measured at amortised cost |
IFRS 7.8(g); IFRS 9.4.2.1 |
|
|
120 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
130 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
140 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
150 |
Derivatives – Hedge accounting |
IFRS 9.6.2.1; Annex V.Part 1.26 |
|
|
160 |
Fair value changes of the hedged items in portfolio hedge of interest rate risk |
IAS 39.89A(b), IFRS 9.6.5.8 |
|
|
170 |
Provisions |
IAS 37.10; IAS 1.54(l) |
|
|
180 |
Tax liabilities |
IAS 1.54(n-o) |
|
|
190 |
Share capital repayable on demand |
IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12 |
|
|
200 |
Other liabilities |
Annex V.Part 2.13 |
|
|
210 |
Liabilities included in disposal groups classified as held for sale |
IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 |
|
|
220 |
LIABILITIES |
IAS 1.9(b);IG 6 |
|
|
20.3 Geographical breakdown of statement of profit or loss items by location of the activities
|
References |
Current period |
||
Domestic activitivies |
Non-domestic activities |
|||
Annex V.Part 2.270 |
Annex V.Part 2.270 |
|||
010 |
020 |
|||
010 |
Interest income |
IAS 1.97; Annex V.Part 2.31 |
|
|
020 |
(Interest expenses) |
IAS 1.97; Annex V.Part 2.31 |
|
|
030 |
(Expenses on share capital repayable on demand) |
IFRIC 2.11 |
|
|
040 |
Dividend income |
Annex V.Part 2.40 |
|
|
050 |
Fee and commission income |
IFRS 7.20(c) |
|
|
060 |
(Fee and commission expenses) |
IFRS 7.20(c) |
|
|
070 |
Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net |
Annex V.Part 2.45 |
|
|
080 |
Gains or (-) losses on financial assets and liabilities held for trading, net |
IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 46 |
|
|
083 |
Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss |
IFRS 9.5.7.1 |
|
|
090 |
Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net |
IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.44 |
|
|
100 |
Gains or (-) losses from hedge accounting, net |
Annex V.Part 2.47-48 |
|
|
110 |
Exchange differences [gain or (-) loss], net |
IAS 21.28, 52 (a) |
|
|
130 |
Gains or (-) losses on derecognition of non financial assets, net |
IAS 1.34 |
|
|
140 |
Other operating income |
Annex V.Part 2.314-316 |
|
|
150 |
(Other operating expenses) |
Annex V.Part 2.314-316 |
|
|
155 |
TOTAL OPERATING INCOME, NET |
|
|
|
160 |
(Administrative expenses) |
|
|
|
170 |
(Depreciation) |
IAS 1.102, 104 |
|
|
171 |
Modification gains or (-) losses, net |
IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49 |
|
|
180 |
(Provisions or (-) reversal of provisions) |
IAS 37.59, 84; IAS 1.98(b)(f)(g) |
|
|
190 |
(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) |
IFRS 7.20(a)(viii); Annex V Part 2.51, 53 |
|
|
200 |
(Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates) |
IAS 28.40-43 |
|
|
210 |
(Impairment or (-) reversal of impairment on non-financial assets) |
IAS 36.126(a)(b) |
|
|
220 |
Negative goodwill recognised in profit or loss |
IFRS 3.Appendix B64(n)(i) |
|
|
230 |
Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates |
Annex V.Part 2.54 |
|
|
240 |
Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations |
IFRS 5.37; Annex V.Part 2.55 |
|
|
250 |
PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS |
IAS 1.102, IG 6; IFRS 5.33 A |
|
|
260 |
(Tax expense or (-) income related to profit or loss from continuing operations) |
IAS 1.82(d); IAS 12.77 |
|
|
270 |
PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS |
IAS 1, IG 6 |
|
|
280 |
Profit or (-) loss after tax from discontinued operations |
IAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56 |
|
|
290 |
PROFIT OR (-) LOSS FOR THE YEAR |
IAS 1.81A(a) |
|
|
20.4 Geographical breakdown of assets by residence of the counterparty
z-axis |
Country of residence of the counterparty |
|
|||||||
|
|||||||||
|
References |
Gross carrying amount |
Accumulated impairment |
Accumulated negative changes in fair value due to credit risk on non-performing exposures |
|||||
|
Of which: held for trading or trading |
of which: financial assets subject to impairment |
Of which: debt forbearance |
Of which: non-perfoming |
|||||
Annex V.Part 1.34, Part 2.271, 275 |
Annex V.Part 1.15(a), Part 2.273 |
Annex V.Part 2.273 |
Annex V.Part 2.275 |
Annex V.Part 2.275 |
Annex V.Part 2.274 |
Annex V.Part 2.274 |
|||
010 |
011 |
012 |
022 |
025 |
031 |
040 |
|||
010 |
Derivatives |
IFRS 9 Appendix A, Annex V.Part 2.272 |
|
|
|
|
|
|
|
020 |
Of which: credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
030 |
Of which: other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
040 |
Equity instruments |
IAS 32.11 |
|
|
|
|
|
|
|
050 |
Of which: credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
060 |
Of which: other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
070 |
Of which: non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
080 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
090 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
100 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
110 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
120 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
130 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
140 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
150 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
160 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
170 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
180 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
190 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
200 |
Of which: Small and Medium-sized Enterprises |
SME Art 1 2(a) |
|
|
|
|
|
|
|
210 |
Of which: Loans collateralized by commercial immovable property |
Annex V.Part 2.86(a), 87 |
|
|
|
|
|
|
|
220 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
230 |
Of which: Loans collateralized by residential immovable property |
Annex V.Part 2.86(a), 87 |
|
|
|
|
|
|
|
240 |
Of which: Credit for consumption |
Annex V.Part 2.88(a) |
|
|
|
|
|
|
|
20.5 Geographical breakdown of off-balance sheet exposures by residence of the counterparty
z-axis |
Country of residence of the counterparty |
|
||||
|
||||||
|
References |
Nominal amount |
Provisions for commitments and guarantees given |
|||
|
Of which: debt forbearance |
Of which: non-perfoming |
||||
Annex V.Part 2.118, 271 |
Annex V.Part 2.240-258 |
Annex V.Part 2.275 |
Annex V.Part 2.276 |
|||
010 |
022 |
025 |
030 |
|||
010 |
Loan commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 |
|
|
|
|
020 |
Financial guarantees given |
IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 |
|
|
|
|
030 |
Other Commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 |
|
|
|
|
20.6 Geographical breakdown of liabilities by residence of the counterparty
z-axis |
Country of residence of the counterparty |
|
|
|
|||
|
References |
Carrying amount |
|
Annex V.Part 1.27, 2.271 |
|||
010 |
|||
010 |
Derivatives |
IFRS 9 Appendix A, Annex V.Part 1.44(e), Part 2.272 |
|
020 |
Of which: credit institutions |
Annex V.Part 1.42(c) |
|
030 |
Of which: other financial corporations |
Annex V.Part 1.42(d) |
|
040 |
Short positions |
IFRS 9.BA7(b); Annex V.Part 1.44(d) |
|
050 |
Of which: credit institutions |
Annex V.Part 1.42(c) |
|
060 |
Of which: other financial corporations |
Annex V.Part 1.42(d) |
|
070 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
080 |
Central banks |
Annex V.Part 1.42(a) |
|
090 |
General governments |
Annex V.Part 1.42(b) |
|
100 |
Credit institutions |
Annex V.Part 1.42(c) |
|
110 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
120 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
130 |
Households |
Annex V.Part 1.42(f) |
|
20.7.1 Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes
z-axis |
Country of residence of the counterparty |
|
|||||
|
|||||||
|
References |
Non-financial corporations Annex V. Part 2.271, 277 |
|||||
Gross carrying amount |
Accumulated impairment |
Accumulated negative changes in fair value due to credit risk on non-performing exposures |
|||||
|
of which: loans and advances subject to impairment |
Of which: non-performing |
|||||
Annex V.Part 1.34, Part 2.275 |
Annex V.Part 2.273 |
Annex V.Part 2.275 |
Annex V.Part 2.274 |
Annex V.Part 2.274 |
|||
010 |
011 |
012 |
021 |
022 |
|||
010 |
A Agriculture, forestry and fishing |
NACE Regulation |
|
|
|
|
|
020 |
B Mining and quarrying |
NACE Regulation |
|
|
|
|
|
030 |
C Manufacturing |
NACE Regulation |
|
|
|
|
|
040 |
D Electricity, gas, steam and air conditioning supply |
NACE Regulation |
|
|
|
|
|
050 |
E Water supply |
NACE Regulation |
|
|
|
|
|
060 |
F Construction |
NACE Regulation |
|
|
|
|
|
070 |
G Wholesale and retail trade |
NACE Regulation |
|
|
|
|
|
080 |
H Transport ans storage |
NACE Regulation |
|
|
|
|
|
090 |
I Accommodation and food service activities |
NACE Regulation |
|
|
|
|
|
100 |
J Information and communication |
NACE Regulation |
|
|
|
|
|
105 |
K Financial and insurance activities |
NACE Regulation |
|
|
|
|
|
110 |
L Real estate activities |
NACE Regulation |
|
|
|
|
|
120 |
M Professional, scientific and technical activities |
NACE Regulation |
|
|
|
|
|
130 |
N Administrative and support service activities |
NACE Regulation |
|
|
|
|
|
140 |
O Public administration and defence, compulsory social security |
NACE Regulation |
|
|
|
|
|
150 |
P Education |
NACE Regulation |
|
|
|
|
|
160 |
Q Human health services and social work activities |
NACE Regulation |
|
|
|
|
|
170 |
R Arts, entertainment and recreation |
NACE Regulation |
|
|
|
|
|
180 |
S Other services |
NACE Regulation |
|
|
|
|
|
190 |
LOANS AND ADVANCES |
Annex V.Part 1.32 |
|
|
|
|
|
21. Tangible and intangible assets: assets subject to operating lease
|
References |
Carrying amount |
|
Annex V.Part 2.278-279 |
|||
010 |
|||
010 |
Property plant and equipment |
IAS 16.6; IAS 1.54(a) |
|
020 |
Revaluation model |
IAS 17.49; IAS 16.31, 73(a)(d) |
|
030 |
Cost model |
IAS 17.49; IAS 16.30, 73(a)(d) |
|
040 |
Investment property |
IAS 40.IN5; IAS 1.54(b) |
|
050 |
Fair value model |
IAS 17.49; IAS 40.33-55, 76 |
|
060 |
Cost model |
IAS 17.49; IAS 40.56,79(c) |
|
070 |
Other intangible assets |
IAS 38.8, 118 |
|
080 |
Revaluation model |
IAS 17.49; IAS 38.75-87, 124(a)(ii) |
|
090 |
Cost model |
IAS 17.49; IAS 38.74 |
|
22. Asset management, custody and other service functions
22.1 Fee and commission income and expenses by activity
|
References |
Current period |
|
Annex V.Part 2.280 |
|||
IFRS 7.20(c ) |
010 |
||
010 |
Fee and commission income |
Annex V.Part 2.281-283 |
|
020 |
Securities |
|
|
030 |
Issuances |
Annex V.Part 2.284(a) |
|
040 |
Transfer orders |
Annex V.Part 2.284(b) |
|
050 |
Other |
Annex V.Part 2.284(c) |
|
060 |
Clearing and settlement |
Annex V.Part 2.284(d) |
|
070 |
Asset management |
Annex V.Part 2.284(e); 285(a) |
|
080 |
Custody [by type of customer] |
Annex V.Part 2.284(e); 285(b) |
|
090 |
Collective investment |
|
|
100 |
Other |
|
|
110 |
Central administrative services for collective investment |
Annex V.Part 2.284(e); 285(c) |
|
120 |
Fiduciary transactions |
Annex V.Part 2.284(e); 285(d) |
|
130 |
Payment services |
Annex V.Part 2.284(e), 285(e) |
|
140 |
Customer resources distributed but not managed [by type of product] |
Annex V.Part 2.285(f) |
|
150 |
Collective investment |
|
|
160 |
Insurance products |
|
|
170 |
Other |
|
|
180 |
Structured Finance |
Annex V.Part 2.284(f) |
|
190 |
Loan servicing activities |
Annex V.Part 2.284(g) |
|
200 |
Loan commitments given |
IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(h) |
|
210 |
Financial guarantees given |
IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(h) |
|
220 |
Other |
Annex V.Part 2.284(j) |
|
230 |
(Fee and commission expenses) |
Annex V.Part 2.113-115 |
|
240 |
(Clearing and settlement) |
Annex V.Part 2.284(d) |
|
250 |
(Custody) |
Annex V.Part 2.285(b) |
|
260 |
(Loan servicing activities) |
Annex V.Part 2.284(g) |
|
270 |
(Loan commitments received) |
Annex V.Part 2.284(i) |
|
280 |
(Financial guarantees received) |
Annex V.Part 2.284(i) |
|
290 |
(Other) |
Annex V.Part 2.284(j) |
|
22.2 Assets involved in the services provided
|
Reference |
Amount of the assets involved in the services provided |
|
Annex V.Part 2.285(g) |
|||
010 |
|||
010 |
Asset management [by type of customer] |
Annex V.Part 2.285(a) |
|
020 |
Collective investment |
|
|
030 |
Pension funds |
|
|
040 |
Customer portfolios managed on a discretionary basis |
|
|
050 |
Other investment vehicles |
|
|
060 |
Custody assets [by type of customer] |
Annex V.Part 2.285(b) |
|
070 |
Collective investment |
|
|
080 |
Other |
|
|
090 |
Of which: entrusted to other entities |
|
|
100 |
Central administrative services for collective investment |
Annex V.Part 2.285(c) |
|
110 |
Fiduciary transactions |
Annex V.Part 2.285(d) |
|
120 |
Payment services |
Annex V.Part 2.285(e) |
|
130 |
Customer resources distributed but not managed [by type of product] |
Annex V.Part 2.285(f) |
|
140 |
Collective investment |
|
|
150 |
Insurance products |
|
|
160 |
Other |
|
|
30. Off-balance sheet activities: Interests in unconsolidated structured entities
30.1 Interests in unconsolidated structured entities
|
References |
Carrying amount of financial assets recognised in the balance sheet |
Of which: liquidity support drawn |
Fair value of liquidity support drawn |
Carrying amount of financial liabilities recognised in the balance sheet |
Nominal amount of off-balance sheet exposures given by the reporting institution |
Of which: Nominal amount of loan commitments given |
Losses incurred by the reporting institution in the current period |
|
IFRS 12.29(a) |
IFRS 12.29(a); Annex V.Part 2.286 |
|
IFRS 12.29(a) |
IFRS 12.B26(e) |
|
IFRS 12 B26(b); Annex V.Part 2.287 |
|||
010 |
020 |
030 |
040 |
050 |
060 |
080 |
|||
010 |
Total |
|
|
|
|
|
|
|
|
30.2 Breakdown of interests in unconsolidated structured entities by nature of the activities
By nature of the activities |
References |
Carrying amount |
|||
Securitisation Special Purpose Entities |
Asset management |
Other activities |
|||
CRR art 4(1)(66) |
Annex V.Part 2.285(a) |
|
|||
IFRS 12.24, B6.(a) |
010 |
020 |
030 |
||
010 |
Selected financial assets recognised in the reporting institution's balance sheet |
IFRS 12.29(a),(b) |
|
|
|
021 |
of which: non-performing |
Annex V.Part 2.213-239 |
|
|
|
030 |
Derivatives |
IFRS 9 Appendix A; Annex V.Part 2.272 |
|
|
|
040 |
Equity instruments |
IAS 32.11 |
|
|
|
050 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
060 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
070 |
Selected equity and financial liabilites recognised in the reporting institution's balance sheet |
IFRS 12.29(a),(b) |
|
|
|
080 |
Equity instruments issued |
IAS 32.11 |
|
|
|
090 |
Derivatives |
IFRS 9 Appendix A; Annex V.Part 2.272 |
|
|
|
100 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
110 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
|
|
Nominal amount |
||||
120 |
Off-balance sheet exposures given by the reporting institution |
IFRS 12.B26.(e); CRR Annex I; Annex V.Part 2.102-105, 113-115, 118 |
|
|
|
131 |
of which: non-performing |
Annex V.Part 2.117 |
|
|
|
31. Related parties
31.1 Related parties: amounts payable to and amounts receivable from
|
References Annex V.Part 2.288-291 |
Outstanding balances |
|||||
Parent and entities with joint control or significant influence |
Subsidiaries and other entities of the same group |
Associates and joint ventures |
Key management of the institution or its parent |
Other related parties |
|||
IAS 24.19(a),(b) |
IAS 24.19(c); Annex V.Part 2.289 |
IAS 24.19(d),(e); Annex V.Part 2.289 |
IAS 24.19(f) |
IAS 24.19(g) |
|||
010 |
020 |
030 |
040 |
050 |
|||
010 |
Selected financial assets |
IAS 24.18(b) |
|
|
|
|
|
020 |
Equity instruments |
IAS 32.11 |
|
|
|
|
|
030 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
040 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
050 |
of which: non-performing |
Annex V. Part 2.213-239 |
|
|
|
|
|
060 |
Selected financial liabilities |
IAS 24.18(b) |
|
|
|
|
|
070 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
|
|
080 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
|
|
|
090 |
Nominal amount of loan commitments, financial guarantees and other commitments given |
IAS 24.18(b); CRR Annex I; Annex V.Part 2.102-105, 113-115, 118 |
|
|
|
|
|
100 |
of which: non-performing |
IAS 24.18(b); Annex V. Part 2.117 |
|
|
|
|
|
110 |
Loan commitments, financial guarantees and other commitments received |
IAS 24.18(b); Annex V.Part 2.290 |
|
|
|
|
|
120 |
Notional amount of derivatives |
Annex V.Part 2.133-135 |
|
|
|
|
|
131 |
Accumulated impairment and accumulated negative changes in fair value due to credit risk on non-performing exposures |
IAS 24.1(c); Annex V.Part 2.69-71, 291 |
|
|
|
|
|
132 |
Provisions on non-performing off-balance sheet exposures |
Annex V.Part 2.11, 106, 291 |
|
|
|
|
|
31.2 Related parties: expenses and income generated by transactions with
|
References Annex V.Part 2.288-289, 292-293 |
Current period |
|||||
Parent and entities with joint control or significant influence |
Subsidiaries and other entities of the same group |
Associates and joint ventures |
Key management of the institution or its parent |
Other related parties |
|||
IAS 24.19(a),(b) |
IAS 24.19(c) |
IAS 24.19(d),(e) |
IAS 24.19(f) |
IAS 24.19(g) |
|||
010 |
020 |
030 |
040 |
050 |
|||
010 |
Interest income |
IAS 24.18(a); Annex V.Part 2.31 |
|
|
|
|
|
020 |
Interest expenses |
IAS 24.18(a); IAS 1.97; Annex V.Part 2.31 |
|
|
|
|
|
030 |
Dividend income |
IAS 24.18(a); Annex V.Part 2.40 |
|
|
|
|
|
040 |
Fee and commission income |
IAS 24.18(a); IFRS 7.20(c) |
|
|
|
|
|
050 |
Fee and commission expenses |
IAS 24.18(a); IFRS 7.20(c) |
|
|
|
|
|
060 |
Gains or (-) losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss |
IAS 24.18(a) |
|
|
|
|
|
070 |
Gains or (-) losses on de-recognition of other than financial assets |
IAS 24.18(a); Annex V.Part 2.292 |
|
|
|
|
|
080 |
Impairment or (-) reversal of impairment on non-performing exposures |
IAS 24.18(d); Annex V.Part 2.293 |
|
|
|
|
|
090 |
Provisions or (-) reversal of provisions on non-performing exposures |
Annex V. Part 2.50, 293 |
|
|
|
|
|
40. Group structure
40.1 Group structure: ‘entity-by-entity’
LEI code |
Entity code |
Entity name |
Entry date |
Share capital of investee |
Equity of investee |
Total assets of investee |
Profit or (-) loss of investee |
Residence of investee |
Sector of investee |
NACE Code |
Accumulated equity interest [%] |
Voting rights [%] |
Group structure [relationship] |
Accounting treatment [Accounting Group] |
Accounting treatment [CRR Group] |
Carrying amount |
Acquisition cost |
Goodwill link to Investee |
Fair value of investments for which there are published price quotations |
Annex V.Part 2.294-295, 296(a) |
Annex V.Part 2.294-295, 296(b) |
IFRS 12.12(a), 21(a)(i); Annex V.Part 2.294-295, 296(c) |
Annex V.Part 2.294-295, 296(d) |
Annex V.Part 2.294-295, 296(e) |
IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f) |
IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f) |
IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f) |
IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.294-295, 296(g) |
Annex V.Part 2.294-295, 296(h) |
Annex V.Part 2.294-295, 296(i) |
IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(j) |
IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(k) |
IFRS 12.10(a)(i); Annex V.Part 2.294-295, 296(l) |
IFRS 12.21(b); Annex V.Part 2.294-295, 296(m) |
CRR art 18; Annex V.Part 2.294-295, 296(n) |
Annex V.Part 2.294-295, 296(0) |
Annex V.Part 2.294-295, 296(p) |
Annex V.Part 2.294-295, 296(q) |
IFRS 12.21(b)(iii); Annex V.Part 2.294-295, 296(r) |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
095 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
40.2. Group structure: ‘instrument-by-instrument’
Security code |
Entity code |
Holding company LEI code |
Holding company code |
Holding company name |
Accumulated equity interest (%) |
Carrying amount |
Acquisition cost |
Annex V.Part 2.297(a) |
Annex V.Part 2.296(b), 297(c) |
Annex V.Part 2.297(b) |
Annex V.Part 2.297(b) |
|
Annex V.Part 2.296(j), 297(c) |
Annex V.Part 2.296(o), 297(c) |
Annex V.Part 2.296(p), 297(c) |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
|
|
|
|
|
|
|
|
41. Fair value
41.1 Fair value hierarchy: financial instruments at amortised cost
|
References Annex V.Part 2.298 |
Fair value IFRS 7.25-26 |
Fair value hierarchy IFRS 13.97, 93(b) |
|||
Level 1 IFRS 13.76 |
Level 2 IFRS 13.81 |
Level 3 IFRS 13.86 |
||||
ASSETS |
010 |
020 |
030 |
040 |
||
015 |
Financial assets at amortised cost |
IFRS 7.8(f); IFRS 9.4.1.2 |
|
|
|
|
016 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
017 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
LIABILITIES |
|
|
|
|
|
|
070 |
Financial liabilities measured at amortised cost |
IFRS 7.8(g); IFRS 9.4.2.1 |
|
|
|
|
080 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
|
090 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
|
|
100 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
|
|
41.2 Use of the Fair Value Option
|
References |
Carrying amount Annex V.Part 1.27 |
||||
Accounting mismatch |
Managed on a fair value basis |
Hybrid contracts |
Managed for credit risk |
|||
IFRS 9.B4.1.29 |
IFRS 9.B4.1.33 |
IFRS 9.4.3.6; IFRS 9.4.3.7; Annex V.Part 2.300 |
IFRS 9.6.7; IFRS 7.8(a)(e); Annex V.Part 2.301 |
|||
ASSETS |
010 |
020 |
030 |
040 |
||
010 |
Financial assets designated at fair value through profit or loss |
IFRS 7.8(a)(i); IFRS 9.4.1.5 |
|
|
|
|
030 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
040 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
LIABILITIES |
|
|
|
|
|
|
050 |
Financial liabilities designated at fair value through profit or loss |
IFRS 7.8 (e)(i); IFRS 9.4.2.2 |
|
|
|
|
060 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
|
070 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
|
|
080 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
|
|
42. Tangible and intangible assets: carrying amount by measurement method
|
References Annex V.Part 2.302 |
Carrying amount |
|
010 |
|||
010 |
Property plant and equipment |
IAS 16.6; IAS 16.29; IAS 1.54(a) |
|
020 |
Revaluation model |
IAS 16.31, 73(a),(d) |
|
030 |
Cost model |
IAS 16.30, 73(a),(d) |
|
040 |
Investment property |
IAS 40.5, 30; IAS 1.54(b) |
|
050 |
Fair value model |
IAS 40.33-55, 76 |
|
060 |
Cost model |
IAS 40.56, 79(c) |
|
070 |
Other intangible assets |
IAS 38.8, 118, 122 ; Annex V.Part 2.303 |
|
080 |
Revaluation model |
IAS 38.75-87, 124(a)(ii) |
|
090 |
Cost model |
IAS 38.74 |
|
43. Provisions
|
References National GAAP compatible IFRS |
Carrying amount Annex V.Part 1.27 |
||||||
Pensions and other post employment defined benefit obligations |
Other long term employee benefits |
Restructuring |
Pending legal issues and tax litigation |
Other commitments and guarantees given measured under IAS 37 and guarantees given measured under IFRS 4 |
Other provisions |
|||
IAS 19.63; IAS 1.78(d); Annex V.Part 2.9 |
IAS 19.153; IAS 1.78(d); Annex V.Part 2.10 |
IAS 37.70-83 |
IAS 37.14 |
IAS 37; IFRS 4; Annex V. Part 2.304-305 |
IAS 37.14 |
|||
010 |
020 |
030 |
040 |
055 |
060 |
|||
010 |
Opening balance [carrying amount at the beginning of the period] |
IAS 37.84 (a) |
|
|
|
|
|
|
020 |
Additions, including increases in existing provisions |
IAS 37.84 (b) |
|
|
|
|
|
|
030 |
(-) Amounts used |
IAS 37.84 (c) |
|
|
|
|
|
|
040 |
(-) Unused amounts reversed during the period |
IAS 37.84 (d) |
|
|
|
|
|
|
050 |
Increase in the discounted amount [passage of time] and effect of any change in the discount rate |
IAS 37.84 (e) |
|
|
|
|
|
|
060 |
Other movements |
|
|
|
|
|
|
|
070 |
Closing balance [carrying amount at the end of the period] |
IAS 37.84 (a) |
|
|
|
|
|
|
44 Defined benefit plans and employee benefits
44.1 Components of net defined benefit plan assets and liabilities
|
References |
Amount |
|
Annex V.Part 2.306-307 |
|||
010 |
|||
010 |
Fair value of defined benefit plan assets |
IAS 19.140(a)(i), 142 |
|
020 |
Of which: Financial instruments issued by the institution |
IAS 19.143 |
|
030 |
Equity instruments |
IAS 19.142(b) |
|
040 |
Debt instruments |
IAS 19.142(c) |
|
050 |
Real estate |
IAS 19.142(d) |
|
060 |
Other defined benefit plan assets |
|
|
070 |
Present value of defined benefit obligations |
IAS 19.140(a)(ii) |
|
080 |
Effect of the asset ceiling |
IAS 19.140(a)(iii) |
|
090 |
Net defined benefit assets [Carrying amount] |
IAS 19.63; Annex V.Part 2.308 |
|
100 |
Provisions for pensions and other post-employment defined benefit obligations [Carrying amount] |
IAS 19.63, IAS 1.78(d); Annex V.Part 2.9 |
|
110 |
Memo item: Fair value of any right to reimbursement recognised as an asset |
IAS 19.140(b) |
|
44.2 Movements in defined benefit obligations
|
References |
Defined benefit obligations |
|
Annex V.Part 2.306, 309 |
|||
010 |
|||
010 |
Opening balance [present value] |
IAS 19.140(a)(ii) |
|
020 |
Current service cost |
IAS 19.141(a) |
|
030 |
Interest cost |
IAS 19.141(b) |
|
040 |
Contributions paid |
IAS 19.141(f) |
|
050 |
Actuarial (-) gains or losses from changes in demographic assumptions |
IAS 19.141(c)(ii) |
|
060 |
Actuarial (-) gains or losses from changes in financial assumptions |
IAS 19.141(c)(iii) |
|
070 |
Foreign currency exchange increase or (-) decrease |
IAS 19.141(e) |
|
080 |
Benefits paid |
IAS 19.141(g) |
|
090 |
Past service cost, including gains and losses arising from settlements |
IAS 19.141(d) |
|
100 |
Increase or (-) decrease through business combinations and disposals |
IAS 19.141(h) |
|
110 |
Other increases or (-) decreases |
|
|
120 |
Closing balance [present value] |
IAS 19.140(a)(ii); Annex V.Part 2.310 |
|
44.3 Memo items [related to staff expenses]
|
References |
Current period |
|
010 |
|||
010 |
Pension and similar expenses |
Annex V.Part 2.311(a) |
|
020 |
Share based payments |
IFRS 2.44; Annex V.Part 2.311(b) |
|
45 Breakdown of selected items of statement of profit or loss
45.1 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio
|
References |
Current period |
Changes in fair value due to credit risk |
|
|
Annex V.Part 2.312 |
|||
010 |
020 |
|||
010 |
Financial assets designated at fair value through profit or loss |
IFRS 7.20(a)(i); IFRS 9.4.1.5 |
|
|
020 |
Financial liabilities designated at fair value through profit or loss |
IFRS 7.20(a)(i); IFRS 9.4.2.2 |
|
|
030 |
GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS |
IFRS 7.20(a)(i) |
|
|
45.2 Gains or losses on derecognition of non-financial assets
|
References |
Current period |
|
Annex V.Part 2.313 |
|||
010 |
|||
020 |
Investment property |
IAS 40.69; IAS 1.34(a), 98(d) |
|
030 |
Intangible assets |
IAS 38.113-115A; IAS 1.34(a) |
|
040 |
Other assets |
IAS 1.34 (a) |
|
050 |
GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS |
IAS 1.34 |
|
45.3 Other operating income and expenses
|
References |
Income |
Expenses |
|
010 |
020 |
|||
010 |
Changes in fair value in tangible assets measured using the fair value model |
IAS 40.76(d); Annex V.Part 2.314 |
|
|
020 |
Investment property |
IAS 40.75(f); Annex V.Part 2.314 |
|
|
030 |
Operating leases other than investment property |
IAS 17.50, 51, 56(b); Annex V.Part 2.315 |
|
|
040 |
Other |
Annex V.Part 2.316 |
|
|
050 |
OTHER OPERATING INCOME OR EXPENSES |
Annex V.Part 2.314-316 |
|
|
46. Statement of changes in equity
Sources of equity changes |
References |
Capital |
Share premium |
Equity instruments issued other than Capital |
Other equity |
Accumulated other comprehensive income |
Retained earnings |
Revaluation reserves |
Other reserves |
(-) Treasury shares |
Profit or (-) loss atributable to owners of the parent |
(-) Interim dividends |
Minority interests |
Total |
||
Accumulated Other Comprehensive Income |
Other items |
|||||||||||||||
IAS 1.106, 54(r) |
IAS 1.106, 78(e) |
IAS 1.106, Annex V.Part 2.18-19 |
IAS 1.106; Annex V.Part 2.20 |
IAS 1.106 |
CRR art 4(1)(123) |
IFRS 1.30 D5-D8 |
IAS 1.106, 54(c) |
IAS 1.106; IAS 32.34, 33; Annex V.Part 2.30 |
IAS 1.106(a) |
IAS 1.106; IAS 32.35 |
IAS 1.54(q), 106(a) |
IAS 1.54(q), 106(a) |
IAS 1.9(c), IG6 |
|||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
|||
010 |
Opening balance [before restatement] |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
020 |
Effects of corrections of errors |
IAS 1.106.(b); IAS 8.42 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
Effects of changes in accounting policies |
IAS 1.106.(b); IAS 1.IG6; IAS 8.22 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
Opening balance [current period] |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
Issuance of ordinary shares |
IAS 1.106.(d).(iii) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
060 |
Issuance of preference shares |
IAS 1.106.(d).(iii) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
070 |
Issuance of other equity instruments |
IAS 1.106.(d).(iii) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
080 |
Exercise or expiration of other equity instruments issued |
IAS 1.106.(d).(iii) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
090 |
Conversion of debt to equity |
IAS 1.106.(d).(iii) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100 |
Capital reduction |
IAS 1.106.(d).(iii) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
Dividends |
IAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
120 |
Purchase of treasury shares |
IAS 1.106.(d).(iii); IAS 32.33 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
130 |
Sale or cancellation of treasury shares |
IAS 1.106.(d).(iii); IAS 32.33 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
140 |
Reclassification of financial instruments from equity to liability |
IAS 1.106.(d).(iii) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150 |
Reclassification of financial instruments from liability to equity |
IAS 1.106.(d).(iii) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
160 |
Transfers among components of equity |
IAS 1.106.(d).(iii); Annex V.Part 2.318 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
170 |
Equity increase or (-) decrease resulting from business combinations |
IAS 1.106.(d).(iii) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
180 |
Share based payments |
IAS 1.106.(d).(iii); IFRS 2.10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
190 |
Other increase or (-) decrease in equity |
IAS 1.106.(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
200 |
Total comprehensive income for the year |
IAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
210 |
Closing balance [current period] |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ANNEX IV
REPORTING FINANCIAL INFORMATION ACCORDING TO NATIONAL ACCOUNTING FRAMEWORKS
FINREP TEMPLATES FOR GAAP |
||||||
TEMPLATE NUMBER |
TEMPLATE CODE |
NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE |
||||
|
|
PART 1 [QUARTERLY FREQUENCY] |
||||
|
|
Balance Sheet Statement [Statement of Financial Position] |
||||
1.1 |
F 01.01 |
Balance Sheet Statement: assets |
||||
1.2 |
F 01.02 |
Balance Sheet Statement: liabilities |
||||
1.3 |
F 01.03 |
Balance Sheet Statement: equity |
||||
2 |
F 02.00 |
Statement of profit or loss |
||||
3 |
F 03.00 |
Statement of comprehensive income |
||||
|
|
Breakdown of financial assets by instrument and by counterparty sector |
||||
4.1 |
F 04.01 |
Breakdown of financial assets by instrument and by counterparty sector: financial assets held for trading |
||||
4.2.1 |
F 04.02.1 |
Breakdown of financial assets by instrument and by counterparty sector: non-trading financial assets mandatorily at fair value through profit or loss |
||||
4.2.2 |
F 04.02.2 |
Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss |
||||
4.3.1 |
F 04.03.1 |
Breakdown of financial assets by instrument and by counterparty sector: financial assets at fair value through other comprehensive income |
||||
4.4.1 |
F 04.04.1 |
Breakdown of financial assets by instrument and by counterparty sector: financial assets at amortised cost |
||||
4.5 |
F 04.05 |
Subordinated financial assets |
||||
4.6 |
F 04.06 |
Breakdown of financial assets by instrument and by counterparty sector: trading financial assets |
||||
4.7 |
F 04.07 |
Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at fair value through profit or loss |
||||
4.8 |
F 04.08 |
Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at fair value to equity |
||||
4.9 |
F 04.09 |
Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at a cost-based method |
||||
4.10 |
F 04.10 |
Breakdown of financial assets by instrument and by counterparty sector: other non-trading non-derivative financial assets |
||||
5.1 |
F 05.01 |
Breakdown of non-trading Loans and advances by product |
||||
6.1 |
F 06.01 |
Breakdown of loans and advances other than held for trading to non-financial corporations by NACE codes |
||||
|
F 07.00 |
Financial assets subject to impairment that are past due |
||||
7.1 |
F 07.01 |
Financial assets subject to impairment that are past due |
||||
7.2 |
F 07.02 |
Financial assets subject to impairment that are past due under national GAAP |
||||
|
|
Breakdown of financial liabilities |
||||
8.1 |
F 08.01 |
Breakdown of financial liabilities by product and by counterparty sector |
||||
8.2 |
F 08.02 |
Subordinated financial liabilities |
||||
|
|
Loan commitments, financial guarantees and other commitments |
||||
9.1 |
F 09.01 |
Off-balance sheet exposures under national GAAP: loan commitments, financial guarantees and other commitments given |
||||
9.1.1 |
F 09.01.1 |
Off-balance sheet exposures : loan commitments, financial guarantees and other commitments given |
||||
9.2 |
F 09.02 |
Loan commitments, financial guarantees and other commitments received |
||||
10 |
F 10.00 |
Derivatives - Trading and economic hedges |
||||
|
|
Hedge accounting |
||||
11.1 |
F 11.01 |
Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge |
||||
11.2 |
F 11.02 |
Derivatives - Hedge accounting under national GAAP: Breakdown by type of risk |
||||
11.3 |
F 11.03 |
Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge |
||||
11.3.1 |
F 11.03.1 |
Non-derivative hedging instruments under national GAAP: breakdown by accounting portfolio |
||||
11.4 |
F 11.04 |
Hedged items in fair value hedges |
||||
|
|
Movements in allowances and provisions for credit losses |
||||
12 |
F 12.00 |
Movements in allowances for credit losses and impairment of equity instruments under national GAAP |
||||
12.1 |
F 12.01 |
Movements in allowances and provisions for credit losses |
||||
12.2 |
F 12.02 |
Transfers between impairment stages (gross basis presentation) |
||||
|
|
Collateral and guarantees received |
||||
13.1 |
F 13.01 |
Breakdown of collateral and guarantees by loans and advances other than held for trading |
||||
13.2 |
F 13.02 |
Collateral obtained by taking possession during the period [held at the reporting date] |
||||
13.3 |
F 13.03 |
Collateral obtained by taking possession [tangible assets] accumulated |
||||
14 |
F 14.00 |
Fair value hierarchy: financial instruments at fair value |
||||
15 |
F 15.00 |
Derecognition and financial liabilities associated with transferred financial assets |
||||
|
|
Breakdown of selected statement of profit or loss items |
||||
16.1 |
F 16.01 |
Interest income and expenses by instrument and counterparty sector |
||||
16.2 |
F 16.02 |
Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument |
||||
16.3 |
F 16.03 |
Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument |
||||
16.4 |
F 16.04 |
Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk |
||||
16.4.1 |
F 16.04.1 |
Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument |
||||
16.5 |
F 16.05 |
Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument |
||||
16.6 |
F 16.06 |
Gains or losses from hedge accounting |
||||
16.7 |
F 16.07 |
Impairment on non-financial assets |
||||
|
|
Reconciliation between accounting and CRR scope of consolidation: Balance Sheet |
||||
17.1 |
F 17.01 |
Reconciliation between accounting and CRR scope of consolidation: Assets |
||||
17.2 |
F 17.02 |
Reconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures - loan commitments, financial guarantees and other commitments given |
||||
17.3 |
F 17.03 |
Reconciliation between accounting and CRR scope of consolidation: Liabilities |
||||
18 |
F 18.00 |
Performing and non-performing exposures |
||||
19 |
F 19.00 |
Forborne exposures |
||||
|
|
PART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING] |
||||
|
|
Geographical breakdown |
||||
20.1 |
F 20.01 |
Geographical breakdown of assets by location of the activities |
||||
20.2 |
F 20.02 |
Geographical breakdown of liabilities by location of the activities |
||||
20.3 |
F 20.03 |
Geographical breakdown of main statement of profit or loss items by location of the activities |
||||
20.4 |
F 20.04 |
Geographical breakdown of assets by residence of the counterparty |
||||
20.5 |
F 20.05 |
Geographical breakdown of off-balance sheet exposures by residence of the counterparty |
||||
20.6 |
F 20.06 |
Geographical breakdown of liabilities by residence of the counterparty |
||||
20.7.1 |
F 20.07.1 |
Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes |
||||
21 |
F 21.00 |
Tangible and intangible assets: assets subject to operating lease |
||||
|
|
Asset management, custody and other service functions |
||||
22.1 |
F 22.01 |
Fee and commission income and expenses by activity |
||||
22.2 |
F 22.02 |
Assets involved in the services provided |
||||
|
|
PART 3 [SEMI-ANNUAL] |
||||
|
|
Off-balance sheet activities: interests in unconsolidated structured entities |
||||
30.1 |
F 30.01 |
Interests in unconsolidated structured entities |
||||
30.2 |
F 30.02 |
Breakdown of interests in unconsolidated structured entities by nature of the activities |
||||
|
|
Related parties |
||||
31.1 |
F 31.01 |
Related parties: amounts payable to and amounts receivable from |
||||
31.2 |
F 31.02 |
Related parties: expenses and income generated by transactions with |
||||
|
|
PART 4 [ANNUAL] |
||||
|
|
Group structure |
||||
40.1 |
F 40.1 |
Group structure: ‘entity-by-entity’ |
||||
40.2 |
F 40.02 |
Group structure: ‘instrument-by-instrument’ |
||||
|
|
Fair value |
||||
41.1 |
F 41.01 |
Fair value hierarchy: financial instruments at amortised cost |
||||
41.2 |
F 41.02 |
Use of the Fair Value Option |
||||
42 |
F 42.00 |
Tangible and intangible assets: carrying amount by measurement method |
||||
43 |
F 43.00 |
Provisions |
||||
|
|
Defined benefit plans and employee benefits |
||||
44.1 |
F 44.01 |
Components of net defined benefit plan assets and liabilities |
||||
44.2 |
F 44.02 |
Movements in defined benefit plan obligations |
||||
44.3 |
F 44.03 |
Memo items [related to staff expenses] |
||||
|
|
Breakdown of selected items of statement of profit or loss |
||||
45.1 |
F 45.01 |
Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio |
||||
45.2 |
F 45.02 |
Gains or losses on derecognition of non-financial assets other than held for sale and investments in subsidiaries, joint ventures and associates |
||||
45.3 |
F 45.03 |
Other operating income and expenses |
||||
46 |
F 46.00 |
Statement of changes in equity |
||||
COLOUR CODE IN TEMPLATES:
|
1. Balance Sheet Statement [Statement of Financial Position]
1.1 Assets
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Breakdown in table |
Carrying amount |
|
Annex V.Part 1.27-28 |
|||||
010 |
|||||
010 |
Cash, cash balances at central banks and other demand deposits |
BAD art 4.Assets(1) |
IAS 1.54 (i) |
|
|
020 |
Cash on hand |
Annex V.Part 2.1 |
Annex V.Part 2.1 |
|
|
030 |
Cash balances at central banks |
BAD art 13(2); Annex V.Part 2.2 |
Annex V.Part 2.2 |
|
|
040 |
Other demand deposits |
Annex V.Part 2.3 |
Annex V.Part 2.3 |
5 |
|
050 |
Financial assets held for trading |
Accounting Directive art 8(1)(a), (5); IAS 39.9 |
IFRS 9.Appendix A |
|
|
060 |
Derivatives |
CRR Annex II |
IFRS 9.Appendix A |
10 |
|
070 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
IAS 32.11 |
4 |
|
080 |
Debt securities |
Annex V.Part 1.24, 26 |
Annex V.Part 1.31 |
4 |
|
090 |
Loans and advances |
Annex V.Part 1.24, 27 |
Annex V.Part 1.32 |
4 |
|
091 |
Trading financial assets |
BAD Article 32-33; Annex V.Part 1.17 |
|
|
|
092 |
Derivatives |
CRR Annex II; Annex V.Part 1.17, 27 |
|
10 |
|
093 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
4 |
|
094 |
Debt securities |
Annex V.Part 1.31 |
|
4 |
|
095 |
Loans and advances |
Annex V.Part 1.32 |
|
4 |
|
096 |
Non-trading financial assets mandatorily at fair value through profit or loss |
|
IFRS 7.8(a)(ii); IFRS 9.4.1.4 |
4 |
|
097 |
Equity instruments |
|
IAS 32.11 |
4 |
|
098 |
Debt securities |
|
Annex V.Part 1.31 |
4 |
|
099 |
Loans and advances |
|
Annex V.Part 1.32 |
4 |
|
100 |
Financial assets designated at fair value through profit or loss |
Accounting Directive art 8(1)(a), (6) |
IFRS 7.8(a)(i); IFRS 9.4.1.5 |
4 |
|
110 |
Equity instruments |
|
IAS 32.11;ECB/2013/33 Annex 2.Part 2.4-5 |
4 |
|
120 |
Debt securities |
Annex V.Part 1.31 |
Annex V.Part 1.31 |
4 |
|
130 |
Loans and advances |
Annex V.Part 1.32 |
Annex V.Part 1.32 |
4 |
|
141 |
Financial assets at fair value through other comprehensive income |
|
IFRS 7.8(h); IFRS 9.4.1.2A |
4 |
|
142 |
Equity instruments |
|
IAS 32.11 |
4 |
|
143 |
Debt securities |
|
Annex V.Part 1.31 |
4 |
|
144 |
Loans and advances |
|
Annex V.Part 1.32 |
4 |
|
171 |
Non-trading non-derivative financial assets measured at fair value through profit or loss |
BAD art 36(2) |
|
4 |
|
172 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
4 |
|
173 |
Debt securities |
Annex V.Part 1.31 |
|
4 |
|
174 |
Loans and advances |
Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 |
|
4 |
|
175 |
Non-trading non-derivative financial assets measured at fair value to equity |
Accounting Directive art 8(1)(a), (8) |
|
4 |
|
176 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
4 |
|
177 |
Debt securities |
Annex V.Part 1.31 |
|
4 |
|
178 |
Loans and advances |
Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 |
|
4 |
|
181 |
Financial assets at amortised cost |
|
IFRS 7.8(f); IFRS 9.4.1.2 |
4 |
|
182 |
Debt securities |
|
Annex V.Part 1.31 |
4 |
|
183 |
Loans and advances |
|
Annex V.Part 1.32 |
4 |
|
231 |
Non-trading non-derivative financial assets measured at a cost-based method |
BAD art 35;Accounting Directive Article 6(1)(i) and Article 8(2); Annex V.Part1.18, 19 |
|
4 |
|
390 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
4 |
|
232 |
Debt securities |
Annex V.Part 1.31 |
|
4 |
|
233 |
Loans and advances |
Annex V.Part 1.32 |
|
4 |
|
234 |
Other non-trading non-derivative financial assets |
BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20 |
|
4 |
|
235 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
4 |
|
236 |
Debt securities |
Annex V.Part 1.31 |
|
4 |
|
237 |
Loans and advances |
Annex V.Part 1.32 |
|
4 |
|
240 |
Derivatives – Hedge accounting |
Accounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22 |
IFRS 9.6.2.1; Annex V.Part 1.22 |
11 |
|
250 |
Fair value changes of the hedged items in portfolio hedge of interest rate risk |
Accounting Directive art 8(5), (6); IAS 39.89A (a) |
IAS 39.89A(a); IFRS 9.6.5.8 |
|
|
260 |
Investments in subsidiaries, joint ventures and associates |
BAD art 4.Assets(7)-(8); Accounting Directive art 2(2); Annex V.Part 1.21, Part 2.4 |
IAS 1.54(e); Annex V.Part 1.21, Part 2.4 |
40 |
|
270 |
Tangible assets |
BAD art 4.Assets(10) |
|
|
|
280 |
Property, Plant and Equipment |
|
IAS 16.6; IAS 1.54(a) |
21, 42 |
|
290 |
Investment property |
|
IAS 40.5; IAS 1.54(b) |
21, 42 |
|
300 |
Intangible assets |
BAD art 4.Assets(9); CRR art 4(1)(115) |
IAS 1.54(c); CRR art 4(1)(115) |
|
|
310 |
Goodwill |
BAD art 4.Assets(9); CRR art 4(1)(113) |
IFRS 3.B67(d); CRR art 4(1)(113) |
|
|
320 |
Other intangible assets |
BAD art 4.Assets(9) |
IAS 38.8,118 |
21, 42 |
|
330 |
Tax assets |
|
IAS 1.54(n-o) |
|
|
340 |
Current tax assets |
|
IAS 1.54(n); IAS 12.5 |
|
|
350 |
Deferred tax assets |
Accounting Directive art 17(1)(f); CRR art 4(1)(106) |
IAS 1.54(o); IAS 12.5; CRR art 4(1)(106) |
|
|
360 |
Other assets |
Annex V.Part 2.5, 6 |
Annex V.Part 2.5 |
|
|
370 |
Non-current assets and disposal groups classified as held for sale |
|
IAS 1.54(j); IFRS 5.38, Annex V.Part 2.7 |
|
|
375 |
(-) Haircuts for trading assets at fair value |
Annex V Part 1.29 |
|
|
|
380 |
TOTAL ASSETS |
BAD art 4 Assets |
IAS 1.9(a), IG 6 |
|
|
1.2 Liabilities
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Breakdown in table |
Carrying amount |
|
Annex V.Part 1.27-28 |
|||||
010 |
|||||
010 |
Financial liabilities held for trading |
|
IFRS 7.8 (e) (ii); IFRS 9.BA.6 |
8 |
|
020 |
Derivatives |
|
IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) |
10 |
|
030 |
Short positions |
|
IFRS 9.BA7(b) |
8 |
|
040 |
Deposits |
|
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
8 |
|
050 |
Debt securities issued |
|
Annex V.Part 1.37 |
8 |
|
060 |
Other financial liabilities |
|
Annex V.Part 1.38-41 |
8 |
|
061 |
Trading financial liabilities |
Accounting Directive art 8(1)(a),(3),(6) |
|
8 |
|
062 |
Derivatives |
CRR Annex II; Annex V.Part 1.25 |
|
10 |
|
063 |
Short positions |
|
|
8 |
|
064 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
8 |
|
065 |
Debt securities issued |
Annex V.Part 1.37 |
|
8 |
|
066 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
8 |
|
070 |
Financial liabilities designated at fair value through profit or loss |
Accounting Directive art 8(1)(a), (6); IAS 39.9 |
IFRS 7.8 (e)(i); IFRS 9.4.2.2 |
8 |
|
080 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
8 |
|
090 |
Debt securities issued |
Annex V.Part 1.37 |
Annex V.Part 1.37 |
8 |
|
100 |
Other financial liabilities |
Annex V.Part 1.38-41 |
Annex V.Part 1.38-41 |
8 |
|
110 |
Financial liabilities measured at amortised cost |
Accounting Directive art 8(3), (6); IAS 39.47 |
IFRS 7.8(g); IFRS 9.4.2.1 |
8 |
|
120 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30 |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
8 |
|
130 |
Debt securities issued |
Annex V.Part 1.31 |
Annex V.Part 1.37 |
8 |
|
140 |
Other financial liabilities |
Annex V.Part 1.32-34 |
Annex V.Part 1.38-41 |
8 |
|
141 |
Non-trading non-derivative financial liabilities measured at a cost-based method |
Accounting Directive art 8(3) |
|
8 |
|
142 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
8 |
|
143 |
Debt securities issued |
Annex V.Part 1.37 |
|
8 |
|
144 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
8 |
|
150 |
Derivatives – Hedge accounting |
Accounting Directive art 8(1)(a), (6), (8)(a); Annex V.Part 1.26 |
IFRS 9.6.2.1; Annex V.Part 1.26 |
11 |
|
160 |
Fair value changes of the hedged items in portfolio hedge of interest rate risk |
Accounting Directive art 8(5), (6); Annex V.Part 2.8; IAS 39.89A(b) |
IAS 39.89A(b), IFRS 9.6.5.8 |
|
|
170 |
Provisions |
BAD art 4.Liabilities(6) |
IAS 37.10; IAS 1.54(l) |
43 |
|
175 |
Funds for general banking risks [if presented within liabilities] |
BAD art 38.1; CRR art 4(112); Annex V.Part 2.15 |
|
|
|
180 |
Pensions and other post employment defined benefit obligations |
Annex V.Part 2.9 |
IAS 19.63; IAS 1.78(d); Annex V.Part 2.9 |
43 |
|
190 |
Other long term employee benefits |
Annex V.Part 2.10 |
IAS 19.153; IAS 1.78(d); Annex V.Part 2.10 |
43 |
|
200 |
Restructuring |
|
IAS 37.71, 84(a) |
43 |
|
210 |
Pending legal issues and tax litigation |
|
IAS 37.Appendix C. Examples 6 and 10 |
43 |
|
220 |
Commitments and guarantees given |
BAD Article 4 Liabilities (6)(c ), Off balance sheet items, Article 27(11), Article 28(8), Article 33 |
IFRS 9.4.2.1(c),(d), 9.5.5, 9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.11 |
9 12 43 |
|
230 |
Other provisions |
BAD Article 4 Liabilities (6)(c ), Off balance sheet items |
IAS 37.14 |
43 |
|
240 |
Tax liabilities |
|
IAS 1.54(n-o) |
|
|
250 |
Current tax liabilities |
|
IAS 1.54(n); IAS 12.5 |
|
|
260 |
Deferred tax liabilities |
Accounting Directive art 17(1)(f); CRR art 4(1)(108) |
IAS 1.54(o); IAS 12.5; CRR art 4(1)(108) |
|
|
270 |
Share capital repayable on demand |
|
IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12 |
|
|
280 |
Other liabilities |
Annex V.Part 2.13 |
Annex V.Part 2.13 |
|
|
290 |
Liabilities included in disposal groups classified as held for sale |
|
IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 |
|
|
295 |
Haircuts for trading liabilities at fair value |
Annex V Part 1.29 |
|
|
|
300 |
TOTAL LIABILITIES |
|
IAS 1.9(b);IG 6 |
|
|
1.3 Equity
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Breakdown in table |
Carrying amount |
|
010 |
|||||
010 |
Capital |
BAD art 4.Liabilities(9), BAD art 22 |
IAS 1.54(r), BAD art 22 |
46 |
|
020 |
Paid up capital |
BAD art 4.Liabilities(9) |
IAS 1.78(e) |
|
|
030 |
Unpaid capital which has been called up |
BAD art 4.Liabilities(9); Annex V.Part 2.17 |
Annex V.Part 2.14 |
|
|
040 |
Share premium |
BAD art 4.Liabilities(10); CRR art 4(1)(124) |
IAS 1.78(e); CRR art 4(1)(124) |
46 |
|
050 |
Equity instruments issued other than capital |
Annex V.Part 2.18-19 |
Annex V.Part 2.18-19 |
46 |
|
060 |
Equity component of compound financial instruments |
Accounting Directive art 8(6); Annex V.Part 2.18 |
IAS 32.28-29; Annex V.Part 2.18 |
|
|
070 |
Other equity instruments issued |
Annex V.Part 2.19 |
Annex V.Part 2.19 |
|
|
080 |
Other equity |
Annex V.Part 2.20 |
IFRS 2.10; Annex V.Part 2.20 |
|
|
090 |
Accumulated other comprehensive income |
CRR art 4(1)(100) |
CRR art 4(1)(100) |
46 |
|
095 |
Items that will not be reclassified to profit or loss |
|
IAS 1.82A(a) |
|
|
100 |
Tangible assets |
|
IAS 16.39-41 |
|
|
110 |
Intangible assets |
|
IAS 38.85-87 |
|
|
120 |
Actuarial gains or (-) losses on defined benefit pension plans |
|
IAS 1.7, IG6; IAS 19.120(c) |
|
|
122 |
Non-current assets and disposal groups classified as held for sale |
|
IFRS 5.38, IG Example 12 |
|
|
124 |
Share of other recognised income and expense of investments in subsidaries, joint ventures and associates |
|
IAS 1.IG6; IAS 28.10 |
|
|
320 |
Fair value changes of equity instruments measured at fair value through other comprehensive income |
|
IAS 1.7(d); IFRS 9 5.7.5, B5.7.1; Annex V.Part 2.21 |
|
|
330 |
Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income |
|
IAS 1.7(e);IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.22 |
|
|
340 |
Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item] |
|
IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.22 |
|
|
350 |
Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument] |
|
IAS 1.7(e);IFRS 9.5.7.5;.6.5.8(a);Annex V.Part 2.57 |
|
|
360 |
Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk |
|
IAS 1.7(f); IFRS 9 5.7.7;Annex V.Part 2.23 |
|
|
128 |
Items that may be reclassified to profit or loss |
|
IAS 1.82A(a) (ii) |
|
|
130 |
Hedge of net investments in foreign operations [effective portion] |
Accounting Directive art 8(1)(a), (6)(8) |
IFRS9.6.5.13(a); IFRS7.24B(b)(ii)(iii); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.24 |
|
|
140 |
Foreign currency translation |
BAD art 39(6) |
IAS 21.52(b); IAS 21.32, 38-49 |
|
|
150 |
Hedging derivatives. Cash flow hedges reserve [effective portion] |
Accounting Directive art 8(1)(a), (6)(8) |
IAS 1.7 (e); IFRS 7.24B(b)(ii)(iii); IFRS 7.24C(b)(i);.24E; IFRS 9.6.5.11(b); Annex V.Part 2.25 |
|
|
155 |
Fair value changes of debt instruments measured at fair value through other comprehensive income |
|
IAS 1.7(da); IFRS 9.4.1.2A; 5.7.10; Annex V.Part 2.26 |
|
|
165 |
Hedging instruments [not designated elements] |
|
IAS 1.7(g)(h); IFRS 9.6.5.15,.6.5.16; IFRS 7.24E (b)(c); Annex V.Part 2.60 |
|
|
170 |
Non-current assets and disposal groups classified as held for sale |
|
IFRS 5.38, IG Example 12 |
|
|
180 |
Share of other recognised income and expense of investments in subsidaries, joint ventures and associates |
|
IAS 1.IG6; IAS 28.10 |
|
|
190 |
Retained earnings |
BAD art 4.Liabilities(13); CRR art 4(1)(123) |
CRR art 4(1)(123) |
|
|
200 |
Revaluation reserves |
BAD art 4.Liabilities(12) |
IFRS 1.30, D5-D8; Annex V.Part 2.28 |
|
|
201 |
Tangible assets |
Accounting Directive art 7(1) |
|
|
|
202 |
Equity instruments |
Accounting Directive art 7(1) |
|
|
|
203 |
Debt securities |
Accounting Directive art 7(1) |
|
|
|
204 |
Other |
Accounting Directive art 7(1) |
|
|
|
205 |
Fair value reserves |
Accounting Directive art 8(1)(a) |
|
|
|
206 |
Hedge of net investments in foreign operations |
Accounting Directive art 8(1)(a), (8)(b) |
|
|
|
207 |
Hedging derivatives.Cash flow hedges |
Accounting Directive art 8(1)(a), (8)(a); CRR article 30(a) |
|
|
|
208 |
Hedging derivatives. Other hedges |
Accounting Directive art 8(1)(a), (8)(a) |
|
|
|
209 |
Non-trading non-derivative financial assets measured at fair value to equity |
Accounting Directive art 8(1)(a), (8)(2) |
|
|
|
210 |
Other reserves |
BAD art 4 Liabilities(11)-(13) |
IAS 1.54; IAS 1.78(e) |
|
|
215 |
Funds for general banking risks [if presented within equity] |
BAD art 38.1; CRR art 4(112); Annex V.Part 2.15 |
|
|
|
220 |
Reserves or accumulated losses of investments in subsidaries, joint ventures and associates accounted for using the equity method |
Accounting Directive art 9(7)(a); art 27; Annex V.Part 2.29 |
IAS 28.11; Annex V.Part 2.29 |
|
|
230 |
Other |
Annex V.Part 2.29 |
Annex V.Part 2.29 |
|
|
235 |
First consolidation differences |
Accounting Directive art 24(3)(c) |
|
|
|
240 |
(-) Treasury shares |
Accounting Directive Annex III Annex III Assets D(III)(2); BAD art 4 Assets (12); Annex V.Part 2.30 |
IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.30 |
46 |
|
250 |
Profit or loss attributable to owners of the parent |
BAD art 4.Liabilities(14) |
IAS 1.81B (b)(ii) |
2 |
|
260 |
(-) Interim dividends |
CRR Article 26(2b) |
IAS 32.35 |
|
|
270 |
Minority interests [Non-controlling interests] |
Accounting Directive art 24(4) |
IAS 1.54(q) |
|
|
280 |
Accumulated Other Comprehensive Income |
CRR art 4(1)(100) |
CRR art 4(1)(100) |
46 |
|
290 |
Other items |
|
|
46 |
|
300 |
TOTAL EQUITY |
|
IAS 1.9(c), IG 6 |
46 |
|
310 |
TOTAL EQUITY AND TOTAL LIABILITIES |
BAD art 4.Liabilities |
IAS 1.IG6 |
|
|
2. Statement of profit or loss
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Breakdown in table |
Current period |
|
010 |
|||||
010 |
Interest income |
BAD art 27.Vertical layout(1); Annex V.Part 2.31 |
IAS 1.97; Annex V.Part 2.31 |
16 |
|
020 |
Financial assets held for trading |
|
IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34 |
|
|
025 |
Non-trading financial assets mandatorily at fair value through profit or loss |
|
IFRS 7.20(a)(i), B5(e), IFRS 9.5.7.1 |
|
|
030 |
Financial assets designated at fair value through profit or loss |
|
IFRS 7.20(a)(i), B5(e) |
|
|
041 |
Financial assets at fair value through other comprehensive income |
|
IFRS 7.20(b); IFRS 9.5.7.10-11; IFRS 9.4.1.2A |
|
|
051 |
Financial assets at amortised cost |
|
IFRS 7.20(b);IFRS 9.4.1.2; IFRS 9.5.7.2 |
|
|
070 |
Derivatives - Hedge accounting, interest rate risk |
|
IFRS 9.Appendix A; .B6.6.16; Annex V.Part 2.35 |
|
|
080 |
Other assets |
|
Annex V.Part 2.36 |
|
|
085 |
Interest income on liabilities |
Annex V.Part 2.37 |
IFRS 9.5.7.1, Annex V.Part 2.37 |
|
|
090 |
(Interest expenses) |
BAD art 27.Vertical layout(2); Annex V.Part 2.31 |
IAS 1.97; Annex V.Part 2.31 |
16 |
|
100 |
(Financial liabilities held for trading) |
|
IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34 |
|
|
110 |
(Financial liabilities designated at fair value through profit or loss) |
|
IFRS 7.20(a)(i), B5(e) |
|
|
120 |
(Financial liabilities measured at amortised cost) |
|
IFRS 7.20(b); IFRS 9.5.7.2 |
|
|
130 |
(Derivatives - Hedge accounting, interest rate risk) |
|
IAS 39.9; Annex V.Part 2.35 |
|
|
140 |
(Other liabilities) |
|
Annex V.Part 2.38 |
|
|
145 |
(Interest expense on assets) |
Annex V.Part 2.39 |
IFRS 9.5.7.1, Annex V.Part 2.39 |
|
|
150 |
(Expenses on share capital repayable on demand) |
|
IFRIC 2.11 |
|
|
160 |
Dividend income |
BAD art 27.Vertical layout(3); Annex V.Part 2.40 |
Annex V.Part 2.40 |
31 |
|
170 |
Financial assets held for trading |
|
IFRS 7.20(a)(i), B5(e); Annex V.Part 2.40 |
|
|
175 |
Non-trading financial assets mandatorily at fair value through profit or loss |
|
IFRS 7.20(a)(i), B5(e),IFRS 9.5.7.1A; Annex V.Part 2.40 |
|
|
191 |
Financial assets at fair value through other comprehensive income |
|
IFRS 7.20(a)(ii); IFRS 9.4.1.2A; IFRS 9.5.7.1A; Annex V.Part 2.41 |
|
|
192 |
Investments in subsidiaries, joint ventures and associates accounted for using other than equity method |
Annex V Part 2 .42 |
Annex V Part 2 .42 |
|
|
200 |
Fee and commission income |
BAD art 27.Vertical layout(4) |
IFRS 7.20(c) |
22 |
|
210 |
(Fee and commission expenses) |
BAD art 27.Vertical layout(5) |
IFRS 7.20(c) |
22 |
|
220 |
Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net |
BAD art 27.Vertical layout(6) |
Annex V.Part 2.45 |
16 |
|
231 |
Financial assets at fair value through other comprehensive income |
|
IFRS 9.4.12A; IFRS 9.5.7.10-11 |
|
|
241 |
Financial assets at amortised cost |
|
IFRS 7.20(a)(v);IFRS 9.4.1.2; IFRS 9.5.7.2 |
|
|
260 |
Financial liabilities measured at amortised cost |
|
IFRS 7.20(a)(v); IFRS 9.5.7.2 |
|
|
270 |
Other |
|
|
|
|
280 |
Gains or (-) losses on financial assets and liabilities held for trading, net |
BAD art 27.Vertical layout(6) |
IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 46 |
16 |
|
285 |
Gains or (-) losses on trading financial assets and liabilities, net |
BAD art 27.Vertical layout(6) |
|
16 |
|
287 |
Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net |
|
IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.46 |
|
|
290 |
Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net |
|
IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.44 |
16, 45 |
|
295 |
Gains or (-) losses on non-trading financial assets and liabilities, net |
BAD art 27.Vertical layout(6) |
|
16 |
|
300 |
Gains or (-) losses from hedge accounting, net |
Accounting Directive art 8(1)(a), (6), (8) |
Annex V.Part 2.47 |
16 |
|
310 |
Exchange differences [gain or (-) loss], net |
BAD art 39 |
IAS 21.28, 52 (a) |
|
|
320 |
Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net |
BAD art 27.Vertical layout(13)-(14); Annex V Part 2.56 |
|
|
|
330 |
Gains or (-) losses on derecognition of non-financial assets, net |
Annex V. Part 2.48 |
IAS 1.34; Annex V. Part 2.48 |
45 |
|
340 |
Other operating income |
BAD art 27.Vertical layout(7); Annex V.Part 2.314-316 |
Annex V.Part 2.314-316 |
45 |
|
350 |
(Other operating expenses) |
BAD art 27.Vertical layout(10); Annex V.Part 2.314-316 |
Annex V.Part 2.314-316 |
45 |
|
355 |
TOTAL OPERATING INCOME, NET |
|
|
|
|
360 |
(Administrative expenses) |
BAD art 27.Vertical layout(8) |
|
|
|
370 |
(Staff expenses) |
BAD art 27.Vertical layout(8)(a) |
IAS 19.7; IAS 1.102, IG 6 |
44 |
|
380 |
(Other administrative expenses) |
BAD art 27.Vertical layout(8)(b); |
|
|
|
390 |
(Depreciation) |
|
IAS 1.102, 104 |
|
|
400 |
(Property, Plant and Equipment) |
BAD art 27.Vertical layout(9) |
IAS 1.104; IAS 16.73(e)(vii) |
|
|
410 |
(Investment Properties) |
BAD art 27.Vertical layout(9) |
IAS 1.104; IAS 40.79(d)(iv) |
|
|
415 |
(Goodwill) |
BAD art 27.Vertical layout(9) |
|
|
|
420 |
(Other intangible assets) |
BAD art 27.Vertical layout(9) |
IAS 1.104; IAS 38.118(e)(vi) |
|
|
425 |
Modification gains or (-) losses, net |
|
IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49 |
|
|
426 |
Financial assets at fair value through other comprehensive income |
|
IFRS 7.35J |
|
|
427 |
Financial assets at amortised cost |
|
IFRS 7.35J |
|
|
430 |
(Provisions or (-) reversal of provisions) |
|
IAS 37.59, 84; IAS 1.98(b)(f)(g) |
9 12 43 |
|
440 |
(Commitments and guarantees given) |
BAD art 27.Vertical layout(11)-(12) |
IFRS 9.4.2.1(c),(d),9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.50 |
|
|
450 |
(Other provisions) |
|
|
|
|
455 |
(Increases or (-) decreases of the fund for general banking risks, net) |
BAD art 38.2 |
|
|
|
460 |
(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) |
BAD art 35-37, Annex V.Part 2.52, 53 |
IFRS 7.20(a)(viii); IFRS 9.5.4.4; Annex V Part 2.51, 53 |
12 |
|
481 |
(Financial assets at fair value through other comprehensive income) |
|
IFRS 9.5.4.4, 9.5.5.1, 9.5.5.2, 9.5.5.8 |
12 |
|
491 |
(Financial assets at amortised cost) |
|
IFRS 9.5.4.4, 9.5.5.1, 9.5.5.8 |
12 |
|
510 |
(Impairment or (-) reversal of impairment of investments in subsidiaries, joint ventures and associates) |
BAD art 27.Vertical layout(13)-(14) |
IAS 28.40-43 |
16 |
|
520 |
(Impairment or (-) reversal of impairment on non-financial assets) |
|
IAS 36.126(a)(b) |
16 |
|
530 |
(Property, plant and equipment) |
BAD art 27.Vertical layout(9) |
IAS 16.73(e)(v-vi) |
|
|
540 |
(Investment properties) |
BAD art 27.Vertical layout(9) |
IAS 40.79(d)(v) |
|
|
550 |
(Goodwill) |
BAD art 27.Vertical layout(9) |
IFRS 3.Appendix B67(d)(v); IAS 36.124 |
|
|
560 |
(Other intangible assets) |
BAD art 27.Vertical layout(9) |
IAS 38.118 (e)(iv)(v) |
|
|
570 |
(Other) |
|
IAS 36.126 (a)(b) |
|
|
580 |
Negative goodwill recognised in profit or loss |
Accounting Directive art 24(3)(f) |
IFRS 3.Appendix B64(n)(i) |
|
|
590 |
Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates accounted for using the equity method |
BAD art 27.Vertical layout(13)-(14) |
Annex V.Part 2.54 |
|
|
600 |
Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations |
|
IFRS 5.37; Annex V.Part 2.55 |
|
|
610 |
PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS |
|
IAS 1.102, IG 6; IFRS 5.33 A |
|
|
620 |
(Tax expense or (-) income related to profit or loss from continuing operations) |
BAD art 27.Vertical layout(15) |
IAS 1.82(d); IAS 12.77 |
|
|
630 |
PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS |
BAD art 27.Vertical layout(16) |
IAS 1, IG 6 |
|
|
632 |
Extraordinary profit or (-) loss after tax |
BAD art 27.Vertical layout(21) |
|
|
|
633 |
Extraordinary profit or loss before tax |
BAD art 27.Vertical layout(19) |
|
|
|
634 |
(Tax expense or (-) income related to extraordinary profit or loss) |
BAD art 27.Vertical layout(20) |
|
|
|
640 |
Profit or (-) loss after tax from discontinued operations |
|
IAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56 |
|
|
650 |
Profit or (-) loss before tax from discontinued operations |
|
IFRS 5.33(b)(i) |
|
|
660 |
(Tax expense or (-) income related to discontinued operations) |
|
IFRS 5.33 (b)(ii),(iv) |
|
|
670 |
PROFIT OR (-) LOSS FOR THE YEAR |
BAD art 27.Vertical layout(23) |
IAS 1.81A(a) |
|
|
680 |
Attributable to minority interest [non-controlling interests] |
|
IAS 1.81B (b)(i) |
|
|
690 |
Attributable to owners of the parent |
|
IAS 1.81B (b)(ii) |
|
|
3. Statement of comprehensive income
|
References National GAAP compatible IFRS |
Current period |
|
010 |
|||
010 |
Profit or (-) loss for the year |
IAS 1.7, IG6 |
|
020 |
Other comprehensive income |
IAS 1.7, IG6 |
|
030 |
Items that will not be reclassified to profit or loss |
IAS 1.82A(a)(i) |
|
040 |
Tangible assets |
IAS 1.7, IG6; IAS 16.39-40 |
|
050 |
Intangible assets |
IAS 1.7; IAS 38.85-86 |
|
060 |
Actuarial gains or (-) losses on defined benefit pension plans |
IAS 1.7, IG6; IAS 19.120(c) |
|
070 |
Non-current assets and disposal groups held for sale |
IFRS 5.38 |
|
080 |
Share of other recognised income and expense of entities accounted for using the equity method |
IAS 1.IG6; IAS 28.10 |
|
081 |
Fair value changes of equity instruments measured at fair value through other comprehensive income |
IAS 1.7(d) |
|
083 |
Gains or (-) losses from hedge accounting of equity instruments at fair value through other comprehensive income, net |
IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.57 |
|
084 |
Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item] |
IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.57 |
|
085 |
Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument] |
IFRS 9.5.7.5;.6.5.8(a); Annex V.Part 2.57 |
|
086 |
Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk |
IAS 1.7(f) |
|
090 |
Income tax relating to items that will not be reclassified |
IAS 1.91(b); Annex V.Part 2.66 |
|
100 |
Items that may be reclassified to profit or loss |
IAS 1.82A(a)(ii) |
|
110 |
Hedge of net investments in foreign operations [effective portion] |
IFRS 9.6.5.13(a); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.58 |
|
120 |
Valuation gains or (-) losses taken to equity |
IAS 1.IG6;IFRS 9.6.5.13(a); IFRS 7.24C(b)(i);.24E(a); Annex V.Part 2.58 |
|
130 |
Transferred to profit or loss |
IAS 1.7, 92-95; IAS 21.48-49; IFRS 9.6.5.14; Annex V.Part 2.59 |
|
140 |
Other reclassifications |
Annex V.Part 2.65 |
|
150 |
Foreign currency translation |
IAS 1.7, IG6; IAS 21.52(b) |
|
160 |
Translation gains or (-) losses taken to equity |
IAS 21.32, 38-47 |
|
170 |
Transferred to profit or loss |
IAS 1.7, 92-95; IAS 21.48-49 |
|
180 |
Other reclassifications |
Annex V.Part 2.65 |
|
190 |
Cash flow hedges [effective portion] |
IAS 1.7, IG6; IAS 39.95(a)-96 IFRS 9.6.5.11(b); IFRS 7.24C(b)(i);.24E(a); |
|
200 |
Valuation gains or (-) losses taken to equity |
IAS 1.7(e),IG6; IFRS 9.6.5.11(a)(b)(d); IFRS 7.24C(b)(i), .24E(a) |
|
210 |
Transferred to profit or loss |
IAS 1.7, 92-95, IG6; IFRS 9.6.5.11(d)(ii)(iii);IFRS 7.24C(b)(iv),.24E(a) Annex V.Part 2.59 |
|
220 |
Transferred to initial carrying amount of hedged items |
IAS 1.IG6;IFRS 9.6.5.11(d)(i) |
|
230 |
Other reclassifications |
Annex V.Part 2.65 |
|
231 |
Hedging instruments [not designated elements] |
IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E (b)(c); Annex V.Part 2.60 |
|
232 |
Valuation gains or (-) losses taken to equity |
IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E (b)(c) |
|
233 |
Transferred to profit or loss |
IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E(b)(c); Annex V.Part 2.61 |
|
234 |
Other reclassifications |
Annex V.Part 2.65 |
|
241 |
Debt instruments at fair value through other comprehensive income |
IAS 1.7(da), IG 6; IAS 1.IG6; IFRS 9.5.6.4; Annex V.Part 2.62-63 |
|
251 |
Valuation gains or (-) losses taken to equity |
IFRS 7.20(a)(ii); IAS 1.IG6; IFRS 9.5.6.4 |
|
261 |
Transferred to profit or loss |
IAS 1.7, IAS 1.92-95, IAS 1.IG6; IFRS 9.5.6.7; Annex V.Part 2.64 |
|
270 |
Other reclassifications |
IFRS 5.IG Example 12;IFRS 9.5.6.5; Annex V.Part 2.64-65 |
|
280 |
Non-current assets and disposal groups held for sale |
IFRS 5.38 |
|
290 |
Valuation gains or (-) losses taken to equity |
IFRS 5.38 |
|
300 |
Transferred to profit or loss |
IAS 1.7, 92-95; IFRS 5.38 |
|
310 |
Other reclassifications |
IFRS 5.IG Example 12 |
|
320 |
Share of other recognised income and expense of Investments in subsidaries, joint ventures and associates |
IAS 1.IG6; IAS 28.10 |
|
330 |
Income tax relating to items that may be reclassified to profit or (-) loss |
IAS 1.91(b), IG6; Annex V.Part 2.66 |
|
340 |
Total comprehensive income for the year |
IAS 1.7, 81A(a), IG6 |
|
350 |
Attributable to minority interest [Non-controlling interest] |
IAS 1.83(b)(i), IG6 |
|
360 |
Attributable to owners of the parent |
IAS 1.83(b)(ii), IG6 |
|
4. Breakdown of financial assets by instrument and by counterparty sector
4.1 Financial assets held for trading
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Carrying amount |
|
Annex V.Part 1.27 |
||||
010 |
||||
005 |
Derivatives |
|
|
|
010 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
IAS 32.11, Annex V.Part 1.44(b) |
|
030 |
of which: credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
040 |
of which: other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
|
050 |
of which: non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
|
060 |
Debt securities |
Annex V.Part 1.31 |
Annex V.Part 1.31, 44(b) |
|
070 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
|
080 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
|
090 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
100 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
|
110 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
|
120 |
Loans and advances |
Annex V.Part 1.32 |
Annex V.Part 1.32, 44(a) |
|
130 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
|
140 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
|
150 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
160 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
|
170 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
|
180 |
Households |
Annex V.Part 1.42(f) |
Annex V.Part 1.42(f) |
|
190 |
FINANCIAL ASSETS HELD FOR TRADING |
Annex V.Part 1.15(a) |
IFRS 9.Appendix A |
|
4.2.1 Non-trading financial assets mandatorily at fair value through profit or loss
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Carrying amount |
Accumulated negative changes in fair value due to credit risk on non-performing exposures |
|
Annex V.Part 1.27 |
Annex V.Part 2.69 |
||||
010 |
020 |
||||
010 |
Equity instruments |
|
IAS 32.11, Annex V.Part 1.44(b) |
|
|
020 |
of which: credit institutions |
|
Annex V.Part 1.42(c) |
|
|
030 |
of which: other financial corporations |
|
Annex V.Part 1.42(d) |
|
|
040 |
of which: non-financial corporations |
|
Annex V.Part 1.42(e) |
|
|
050 |
Debt securities |
|
Annex V.Part 1.31, 44(b) |
|
|
060 |
Central banks |
|
Annex V.Part 1.42(a) |
|
|
070 |
General governments |
|
Annex V.Part 1.42(b) |
|
|
080 |
Credit institutions |
|
Annex V.Part 1.42(c) |
|
|
090 |
Other financial corporations |
|
Annex V.Part 1.42(d) |
|
|
100 |
Non-financial corporations |
|
Annex V.Part 1.42(e) |
|
|
110 |
Loans and advances |
|
Annex V.Part 1.32, 44(a) |
|
|
120 |
Central banks |
|
Annex V.Part 1.42(a) |
|
|
130 |
General governments |
|
Annex V.Part 1.42(b) |
|
|
140 |
Credit institutions |
|
Annex V.Part 1.42(c) |
|
|
150 |
Other financial corporations |
|
Annex V.Part 1.42(d) |
|
|
160 |
Non-financial corporations |
|
Annex V.Part 1.42(e) |
|
|
170 |
Households |
|
Annex V.Part 1.42(f) |
|
|
180 |
NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS |
|
IFRS 7.8(a)(ii); IFRS 9.4.1.4 |
|
|
4.2.2 Financial assets designated at fair value through profit or loss
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Carrying amount |
Accumulated negative changes in fair value due to credit risk on non-performing exposures |
|
Annex V.Part 1.27 |
Annex V.Part 2.69 |
||||
010 |
020 |
||||
010 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
IAS 32.11 |
|
|
020 |
of which: at cost |
|
IAS 39.46(c) |
|
|
030 |
of which: credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.38(c) |
|
|
040 |
of which: other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.38(d) |
|
|
050 |
of which: non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.38(e) |
|
|
060 |
Debt securities |
Annex V.Part 1.31, 44(b) |
Annex V.Part 1.31, 44(b) |
|
|
070 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
|
|
080 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
|
|
090 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
|
100 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
|
|
110 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
|
|
120 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
Annex V.Part 1.32, 44(a) |
|
|
130 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
|
|
140 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
|
|
150 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
|
160 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
|
|
170 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
|
|
180 |
Households |
Annex V.Part 1.42(f) |
Annex V.Part 1.42(f) |
|
|
190 |
FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS |
Accounting Directive art 8(1)(a), (6) |
IFRS 7.8(a)(i); IFRS 9.4.1.5 |
|
|
4.3.1 Financial assets at fair value through other comprehensive income
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Carrying amount |
Gross carrying amount Annex V.Part 1.34(b) |
Accumulated impairment Annex V.Part 2.70(b), 71 |
Accumulated partial write-offs |
Accumulated total write-offs |
||||||
|
Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Credit-impaired assets (Stage 3) |
Assets without significant increase in credit risk since initial recognition (Stage 1) |
Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Credit-impaired assets (Stage 3) |
||||||||
Assets without significant increase in credit risk since initial recognition (Stage 1) |
of which: instruments with low credit risk |
||||||||||||
Annex V.Part 1.27 |
IFRS 9.5.5.5; IFRS 7.35M(a) |
IFRS 9.B5.5.22-24; Annex V.Part 2.75 |
IFRS 9.5.5.3, IFRS 7.35M(b)(i) |
IFRS 9.5.5.1, 7.35M(b)(ii) |
IFRS 9.5.5.5; IFRS7.35H(a), IFRS 7.16A |
IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i), IFRS 7.16A |
IFRS 9.5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii), IFRS 7.16A |
IFRS 9.5.4.4 and B5.4.9 ; Annex V.Part 2.72-74 |
IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74 |
||||
010 |
015 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
||||
010 |
Equity instruments |
|
IAS 32.11; Annex V.Part 1.44(b) |
|
|
|
|
|
|
|
|
|
|
020 |
of which: credit institutions |
|
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
030 |
of which: other financial corporations |
|
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
040 |
of which: non-financial corporations |
|
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
050 |
Debt securities |
|
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
060 |
Central banks |
|
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
070 |
General governments |
|
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
080 |
Credit institutions |
|
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
090 |
Other financial corporations |
|
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
100 |
Non-financial corporations |
|
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
110 |
Loans and advances |
|
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
120 |
Central banks |
|
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
130 |
General governments |
|
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
140 |
Credit institutions |
|
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
150 |
Other financial corporations |
|
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
160 |
Non-financial corporations |
|
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
170 |
Households |
|
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
180 |
FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME |
|
IFRS 7.8(h); IFRS 9.4.1.2A |
|
|
|
|
|
|
|
|
|
|
190 |
of which: purchased credit-impaired financial assets |
|
IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.77 |
|
|
|
|
|
|
|
|
|
|
4.4.1. Financial assets at amortised cost
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Carrying amount |
Gross carrying amount Annex V.Part 1.34(b) |
Accumulated impairment Annex V.Part 2.70(a), 71 |
Accumulated partial write-offs |
Accumulated total write-offs |
||||||
|
Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Credit-impaired assets (Stage 3) |
Assets without significant increase in credit risk since initial recognition (Stage 1) |
Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Credit-impaired assets (Stage 3) |
||||||||
Assets without significant increase in credit risk since initial recognition (Stage 1) |
of which: instruments with low credit risk |
||||||||||||
Annex V.Part 1.27 |
IFRS 9.5.5.5; IFRS 7.35M(a) |
IFRS 9.B5.5.22-24; Annex V.Part 2.75 |
IFRS 9.5.5.3, IFRS 7.35M(b)(i) |
IFRS 9.5.5.1, 7.35M(b)(ii) |
IFRS 9.5.5.5; IFRS7.35H(a) |
IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i) |
IFRS 5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii) |
IFRS 9.5.4.4 and B5.4.9 ; Annex V.Part 2.72-74 |
IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74 |
||||
010 |
015 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
||||
010 |
Debt securities |
|
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
020 |
Central banks |
|
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
030 |
General governments |
|
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
040 |
Credit institutions |
|
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
050 |
Other financial corporations |
|
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
060 |
Non-financial corporations |
|
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
070 |
Loans and advances |
|
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
080 |
Central banks |
|
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
090 |
General governments |
|
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
100 |
Credit institutions |
|
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
110 |
Other financial corporations |
|
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
120 |
Non-financial corporations |
|
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
130 |
Households |
|
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
140 |
FINANCIAL ASSETS AT AMORTISED COST |
|
IFRS 7.8(f); IFRS 9.4.1.2 |
|
|
|
|
|
|
|
|
|
|
150 |
of which: purchased credit-impaired financial assets |
|
IFRS 9.5.13 and IFRS 7.35M(f); Annex V.Part 2.77 |
|
|
|
|
|
|
|
|
|
|
4.5 Subordinated financial assets
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Carrying amount |
|
Annex V.Part 1.27-28 |
||||
010 |
||||
010 |
Loans and advances |
Annex V.Part 1.32 |
Annex V.Part 1.32 |
|
020 |
Debt securities |
Annex V.Part 1.31 |
Annex V.Part 1.31 |
|
030 |
SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS |
Accounting Directive art 8(1)(a); Annex V.Part 2.78, 100 |
Annex V.Part 2.78, 100 |
|
4.6 Trading Financial assets
|
References National GAAP based on BAD |
Carrying amount |
|
Annex V.Part 1.27-28 |
|||
010 |
|||
005 |
Derivatives |
CRR Annex II; Annex V.Part 1.17, Part 2.68 |
|
010 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b) |
|
020 |
of which: unquoted |
|
|
030 |
of which: credit institutions |
Annex V.Part 1.42(c) |
|
040 |
of which: other financial corporations |
Annex V.Part 1.42(d) |
|
050 |
of which: non-financial corporations |
Annex V.Part 1.42(e) |
|
060 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
070 |
Central banks |
Annex V.Part 1.42(a) |
|
080 |
General governments |
Annex V.Part 1.42(b) |
|
090 |
Credit institutions |
Annex V.Part 1.42(c) |
|
100 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
110 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
120 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
130 |
Central banks |
Annex V.Part 1.42(a) |
|
140 |
General governments |
Annex V.Part 1.42(b) |
|
150 |
Credit institutions |
Annex V.Part 1.42(c) |
|
160 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
170 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
180 |
Households |
Annex V.Part 1.42(f) |
|
190 |
TRADING FINANCIAL ASSETS |
BAD Article 32-33; Annex V.Part 1.17 |
|
4.7 Non-trading non-derivative financial assets measured at fair value through profit or loss
|
References National GAAP based on BAD |
Carrying amount |
Accumulated negative changes in fair value due to credit risk on non-performing exposures |
|
Annex V.Part 1.27-28 |
Annex V.Part 2.69 |
|||
010 |
021 |
|||
010 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b) |
|
|
020 |
of which: unquoted |
|
|
|
030 |
of which: credit institutions |
Annex V.Part 1.42(c) |
|
|
040 |
of which: other financial corporations |
Annex V.Part 1.42(d) |
|
|
050 |
of which: non-financial corporations |
Annex V.Part 1.42(e) |
|
|
060 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
070 |
Central banks |
Annex V.Part 1.42(a) |
|
|
080 |
General governments |
Annex V.Part 1.42(b) |
|
|
090 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
100 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
110 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
120 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
130 |
Central banks |
Annex V.Part 1.42(a) |
|
|
140 |
General governments |
Annex V.Part 1.42(b) |
|
|
150 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
160 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
170 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
180 |
Households |
Annex V.Part 1.42(f) |
|
|
190 |
NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS |
BAD art 36(2) |
|
|
4.8 Non-trading non-derivative financial assets measured at fair value to equity
|
References National GAAP based on BAD |
Financial assets not subject to impairment Annex V.Part 1.34(d), Part 2.79 |
Financial assets subject to impairment Annex V.Part 2.79 |
|||||||||
Carrying amount |
Accumulated negative changes in fair value due to credit risk on non-performing exposures |
Carrying amount |
Gross carrying amount Annex V Part 1.34(d) |
Specific allowances for credit risk |
General allowances for credit risk affecting carrying amount |
General allowances for banking risk affecting carrying amount |
Accumulated partial write-offs |
Accumulated total write-offs |
||||
Unimpaired assets |
Impaired assets |
|||||||||||
Annex V.Part 1.27-28 |
Annex V.Part 2.69 |
Annex V.Part 1.27-28 |
|
CRR art 4(95) |
CRR art 4(95), Annex V Part 2.70(c),71 |
CRR art 4(95); Annex V.Part 2.70(c),71 |
CRR art 4(95); Annex V.Part 2.70(c), 71, 82 |
CRR art 4(95); Annex V.Part 2.72-74 |
CRR art 4(95); Annex V.Part 2.72-74 |
|||
010 |
030 |
035 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
|||
010 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b) |
|
|
|
|
|
|
|
|
|
|
020 |
of which: unquoted |
|
|
|
|
|
|
|
|
|
|
|
030 |
of which: credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
040 |
of which: other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
050 |
of which: non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
060 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
070 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
080 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
090 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
100 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
110 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
120 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
130 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
140 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
150 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
160 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
170 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
180 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
190 |
NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY |
Accounting Directive art 8(1)(a), (8)(2) |
|
|
|
|
|
|
|
|
|
|
4.9 Non-trading non-derivative financial assets measured at a cost-based method
|
References National GAAP based on BAD |
Gross carrying amount Annex V.Part 1.34(c),34(e) |
Specific allowances for credit risk |
General allowances for credit risk affecting carrying amount |
General allowances for banking risk affecting carrying amount |
|
Accumulated negative value adjustments on LOCOM assets - market risk induced |
Accumulated negative value adjustments on LOCOM assets - credit risk induced |
Accumulated partial write-offs |
Accumulated total write-offs |
|||||
|
|
Carrying amount |
of which: assets under LOCOM |
||||||||||||
Unimpaired assets |
of which: assets under LOCOM |
Impaired assets |
of which: assets under LOCOM |
||||||||||||
Annex V.Part 2.80 |
Annex V.Part 1.19 |
CRR art 4(95), Annex V.Part 2.80 |
Annex V.Part 1.19 |
CRR art 4(95); Annex V.Part 2.70(c), 71 |
CRR art 4(95); Annex V.Part 2.70(c),71 |
CRR art 4(95); Annex V.Part 2.70(c), 71, 82 |
Annex V.Part 1.27-28 |
Annex V.Part 1.19 |
Annex V.Part 2.80 |
Annex V.Part 2.80 |
CRR art 4(95); Annex V.Part 2.72-74 |
CRR art 4(95); Annex V.Part 2.72-74 |
|||
010 |
015 |
020 |
025 |
030 |
041 |
045 |
050 |
060 |
070 |
080 |
090 |
100 |
|||
005 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
006 |
of which: unquoted |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
007 |
of which: credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
008 |
of which: other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
009 |
of which: non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
010 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
020 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
060 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
070 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
080 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
090 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
100 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
120 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
130 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
|
|
|
140 |
NON-TRADING FINANCIAL ASSETS MEASURED AT A COST-BASED METHOD |
BAD art 37.1; art 42a(4)(b); Annex V.Part 1.19 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4.10 Other non-trading non-derivative financial assets
|
References National GAAP based on BAD |
Gross carrying amount Annex V.Part 1.34(e),34(f) |
Specific allowances for credit risk |
General allowances for credit risk affecting carrying amount |
General allowances for banking risk affecting carrying amount |
|
Accumulated negative value adjustments on LOCOM assets - market risk induced |
Accumulated negative value adjustments on LOCOM assets - credit risk induced |
Accumulated partial write-offs |
Accumulated total write-offs |
|||||
|
|
Carrying amount |
of which: assets under LOCOM |
||||||||||||
Unimpaired assets |
of which: assets under LOCOM |
Impaired assets |
of which: assets under LOCOM |
||||||||||||
Annex V.Part 2.81 |
Annex V.Part 1.20 |
Annex V.Part 2.81 |
CRR art 4(95); Annex V.Part 1.20 |
CRR art 4(95); Annex V.Part 2.70(c), 71 |
CRR art 4(95); Annex V.Part 2.70(c),71 |
CRR art 4(95); Annex V.Part 2.70(c), 71, 82 |
Annex V.Part 1.27-28 |
Annex V.Part 1.20 |
Annex V.Part 2.81 |
Annex V.Part 2.81 |
CRR art 4(95); Annex V.Part 2.72-74 |
CRR art 4(95); Annex V.Part 2.72-74 |
|||
015 |
016 |
020 |
025 |
030 |
040 |
050 |
010 |
070 |
080 |
090 |
100 |
110 |
|||
010 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5; Annex V.Part 1.44(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
020 |
of which: unquoted |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
of which: credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
of which: other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
of which: non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
060 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
070 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
080 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
090 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
100 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
120 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
130 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
140 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
150 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
160 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
170 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
180 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
|
|
|
190 |
OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS |
Accounting Directive art 8(1)(a), (8)(2); Annex V.Part 1.20 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5. Breakdown of non-trading Loans and advances by product
5.1 Loans and advances other than held for trading and trading assets by product
|
|
References |
Gross carrying amount |
Carrying amount Annex V.Part 1.27-28 |
||||||
Central banks |
General governments |
Credit institutions |
Other financial corporations |
Non-financial corporations |
Households |
|||||
Annex V.Part 1.34 |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(f) |
||||
005 |
010 |
020 |
030 |
040 |
050 |
060 |
||||
By product |
010 |
On demand [call] and short notice [current account] |
Annex V.Part 2.85(a) |
|
|
|
|
|
|
|
020 |
Credit card debt |
Annex V.Part 2.85(b) |
|
|
|
|
|
|
|
|
030 |
Trade receivables |
Annex V.Part 2.85(c) |
|
|
|
|
|
|
|
|
040 |
Finance leases |
Annex V.Part 2.85(d) |
|
|
|
|
|
|
|
|
050 |
Reverse repurchase loans |
Annex V.Part 2.85(e) |
|
|
|
|
|
|
|
|
060 |
Other term loans |
Annex V.Part 2.85(f) |
|
|
|
|
|
|
|
|
070 |
Advances that are not loans |
Annex V.Part 2.85(g) |
|
|
|
|
|
|
|
|
080 |
LOANS AND ADVANCES |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
By collateral |
090 |
of which: Loans collateralized by immovable property |
Annex V.Part 2.86(a), 87 |
|
|
|
|
|
|
|
100 |
of which: other collateralized loans |
Annex V.Part 2.86(b), 87 |
|
|
|
|
|
|
|
|
By purpose |
110 |
of which: credit for consumption |
Annex V.Part 2.88(a) |
|
|
|
|
|
|
|
120 |
of which: lending for house purchase |
Annex V.Part 2.88(b) |
|
|
|
|
|
|
|
|
By subordination |
130 |
of which: project finance loans |
Annex V.Part 2.89; CRR Art 147(8) |
|
|
|
|
|
|
|
6. Breakdown of non-trading loans and advances to non-financial corporations by NACE codes
6.1 Breakdown of loans and advances other than held for trading to non-financial corporations by NACE codes
|
References |
Non-financial corporations Annex V.Part 1.42(e), Part 2.91 |
|||||
|
Accumulated impairment |
Accumulated negative changes in fair value due to credit risk on non-performing exposures |
|||||
Gross carrying amount |
of which: loans and advances subject to impairment |
Of which: non-performing |
|||||
Annex V.Part 1.34 |
Annex V.Part 2.93 |
Annex V.Part 2. 213-232 |
Annex V.Part 2.70-71 |
Annex V.Part 2.69 |
|||
010 |
011 |
012 |
021 |
022 |
|||
010 |
A Agriculture, forestry and fishing |
NACE Regulation |
|
|
|
|
|
020 |
B Mining and quarrying |
NACE Regulation |
|
|
|
|
|
030 |
C Manufacturing |
NACE Regulation |
|
|
|
|
|
040 |
D Electricity, gas, steam and air conditioning supply |
NACE Regulation |
|
|
|
|
|
050 |
E Water supply |
NACE Regulation |
|
|
|
|
|
060 |
F Construction |
NACE Regulation |
|
|
|
|
|
070 |
G Wholesale and retail trade |
NACE Regulation |
|
|
|
|
|
080 |
H Transport and storage |
NACE Regulation |
|
|
|
|
|
090 |
I Accommodation and food service activities |
NACE Regulation |
|
|
|
|
|
100 |
J Information and communication |
NACE Regulation |
|
|
|
|
|
105 |
K Financial and insurance activities |
NACE Regulation, Annex V.Part 2.92 |
|
|
|
|
|
110 |
L Real estate activities |
NACE Regulation |
|
|
|
|
|
120 |
M Professional, scientific and technical activities |
NACE Regulation |
|
|
|
|
|
130 |
N Administrative and support service activities |
NACE Regulation |
|
|
|
|
|
140 |
O Public administration and defence, compulsory social security |
NACE Regulation |
|
|
|
|
|
150 |
P Education |
NACE Regulation |
|
|
|
|
|
160 |
Q Human health services and social work activities |
NACE Regulation |
|
|
|
|
|
170 |
R Arts, entertainment and recreation |
NACE Regulation |
|
|
|
|
|
180 |
S Other services |
NACE Regulation |
|
|
|
|
|
190 |
LOANS AND ADVANCES |
Annex V.Part 1.32, Part 2.90 |
|
|
|
|
|
7. Financial assets subject to impairment that are past due
7.1 Financial assets subject to impairment that are past due
|
References National GAAP compatible IFRS |
Carrying amount Annex V.Part 1.27 |
|||||||||
Assets without significant increase in credit risk since initial recognition (Stage 1) |
Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Credit-impaired assets (Stage 3) |
|||||||||
≤ 30 days |
> 30 days ≤ 90 days |
> 90 days |
≤ 30 days |
> 30 days ≤ 90 days |
> 90 days |
≤ 30 days |
> 30 days ≤ 90 days |
> 90 days |
|||
IFRS 9.5.5.11;B5.5.37; IFRS 7.B8I, Annex V.Part 2.96 |
|||||||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
|||
060 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
070 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
080 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
090 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
100 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
110 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
120 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
130 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
140 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
150 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
160 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
170 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
180 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
190 |
TOTAL DEBT INSTRUMENTS |
Annex V Part 2.94-95 |
|
|
|
|
|
|
|
|
|
|
Loans and advances by product, by collateral and by subordination |
|
|||||||||
200 |
On demand [call] and short notice [current account] |
Annex V.Part 2.85(a) |
|
|
|
|
|
|
|
|
|
210 |
Credit card debt |
Annex V.Part 2.85(b) |
|
|
|
|
|
|
|
|
|
220 |
Trade receivables |
Annex V.Part 2.85(c) |
|
|
|
|
|
|
|
|
|
230 |
Finance leases |
Annex V.Part 2.85(d) |
|
|
|
|
|
|
|
|
|
240 |
Reverse repurchase loans |
Annex V.Part 2.85(e) |
|
|
|
|
|
|
|
|
|
250 |
Other term loans |
Annex V.Part 2.85(f) |
|
|
|
|
|
|
|
|
|
260 |
Advances that are not loans |
Annex V.Part 2.85(g) |
|
|
|
|
|
|
|
|
|
270 |
of which: Loans collateralized by inmovable property |
Annex V.Part 2.86(a), 87 |
|
|
|
|
|
|
|
|
|
280 |
of which: other collateralized loans |
Annex V.Part 2.86(b), 87 |
|
|
|
|
|
|
|
|
|
290 |
of which: credit for consumption |
Annex V.Part 2.88(a) |
|
|
|
|
|
|
|
|
|
300 |
of which: lending for house purchase |
Annex V.Part 2.88(b) |
|
|
|
|
|
|
|
|
|
310 |
of which: project finance loans |
Annex V.Part 2.89; CRR Art 147(8) |
|
|
|
|
|
|
|
|
|
7.2 Financial assets subject to impairment that are past due under national GAAP
|
References National GAAP based on BAD |
Carrying amount Annex V.Part 1.27-28 |
||||||
Past due but not impaired |
Past due impaired |
|||||||
≤ 30 days |
> 30 days ≤ 90 days |
> 90 days |
≤ 30 days |
> 30 days ≤ 90 days |
> 90 days |
|||
CRR art 4(95); Annex V.Part 2.96 |
||||||||
010 |
020 |
030 |
040 |
050 |
060 |
|||
060 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
070 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
080 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
090 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
100 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
110 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
120 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
130 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
140 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
150 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
160 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
170 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
180 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
190 |
TOTAL DEBT INSTRUMENTS |
Annex V Part 2.94-95 |
|
|
|
|
|
|
|
Loans and advances by product, by collateral and by subordination |
|
||||||
200 |
On demand [call] and short notice [current account] |
Annex V.Part 2.85(a) |
|
|
|
|
|
|
210 |
Credit card debt |
Annex V.Part 2.85(b) |
|
|
|
|
|
|
220 |
Trade receivables |
Annex V.Part 2.85(c) |
|
|
|
|
|
|
230 |
Finance leases |
Annex V.Part 2.85(d) |
|
|
|
|
|
|
240 |
Reverse repurchase loans |
Annex V.Part 2.85(e) |
|
|
|
|
|
|
250 |
Other term loans |
Annex V.Part 2.85(f) |
|
|
|
|
|
|
260 |
Advances that are not loans |
Annex V.Part 2.85(g) |
|
|
|
|
|
|
270 |
of which: Loans collateralized by inmovable property |
Annex V.Part 2.86(a), 87 |
|
|
|
|
|
|
280 |
of which: other collateralized loans |
Annex V.Part 2.86(b), 87 |
|
|
|
|
|
|
290 |
of which: credit for consumption |
Annex V.Part 2.88(a) |
|
|
|
|
|
|
300 |
of which: lending for house purchase |
Annex V.Part 2.88(b) |
|
|
|
|
|
|
310 |
of which: project finance loans |
Annex V.Part 2.89; CRR Art 147(8) |
|
|
|
|
|
|
8. Breakdown of financial liabilities
8.1 Breakdown of financial liabilities by product and by counterparty sector
|
|
|
Carrying amount Annex V.Part 1.27-28 |
Accumulated changes in fair value due to credit risk |
||||||
Held for trading |
Designated at fair value through profit or loss |
Amortised cost |
Trading |
At a cost-based method |
Hedge accounting |
|||||
References National GAAP compatible IFRS |
IFRS 7.8(e)(ii); IFRS 9 Appendix A, IFRS 9.BA.6-BA.7, IFRS 9.6.7 |
IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5 |
IFRS 7.8(g); IFRS 9.4.2.1 |
|
|
IFRS 7.24A(a); IFRS 9.6 |
CRR art 33(1)(b), art 33(1)(c); Annex V.Part 2.101 |
|||
References National GAAP based on BAD |
Accounting Directive art 8(1)(a), (6); IAS 39.9, AG 14-15 |
Accounting Directive art 8(1)(a), (6); IAS 39.9 |
Accounting Directive art 8(3), (6); IAS 39.47 |
Accounting Directive art 8(3); Annex V.Part 1.25 |
Accounting Directive art 8(3) |
Accounting Directive art 8(1)(a), (6), (8)(1)(a) |
CRR art 33(1)(b), art 33(1)(c); Annex V.Part 2.102 |
|||
010 |
020 |
030 |
034 |
035 |
037 |
040 |
||||
010 |
Derivatives |
CRR Annex II |
IFRS 9.BA.7(a) |
|
|
|
|
|
|
|
020 |
Short positions |
|
FRS 9.BA.7(b) |
|
|
|
|
|
|
|
030 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
IAS 32.11 |
|
|
|
|
|
|
|
040 |
Debt securities |
Annex V.Part 1.31 |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
050 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
|
|
|
|
060 |
Central banks |
Annex V.Part 1.42(a), 44(c) |
Annex V.Part 1.42(a), 44(c) |
|
|
|
|
|
|
|
070 |
Current accounts / overnight deposits |
ECB/2013/33 Annex 2.Part 2.9.1 |
ECB/2013/33 Annex 2.Part 2.9.1 |
|
|
|
|
|
|
|
080 |
Deposits with agreed maturity |
ECB/2013/33 Annex 2.Part 2.9.2 |
ECB/2013/33 Annex 2.Part 2.9.2 |
|
|
|
|
|
|
|
090 |
Deposits redeemable at notice |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
|
|
|
|
|
|
|
100 |
Repurchase agreements |
ECB/2013/33 Annex 2.Part 2.9.4 |
ECB/2013/33 Annex 2.Part 2.9.4 |
|
|
|
|
|
|
|
110 |
General governments |
Annex V.Part 1.42(b), 44(c) |
Annex V.Part 1.42(b), 44(c) |
|
|
|
|
|
|
|
120 |
Current accounts / overnight deposits |
ECB/2013/33 Annex 2.Part 2.9.1 |
ECB/2013/33 Annex 2.Part 2.9.1 |
|
|
|
|
|
|
|
130 |
Deposits with agreed maturity |
ECB/2013/33 Annex 2.Part 2.9.2 |
ECB/2013/33 Annex 2.Part 2.9.2 |
|
|
|
|
|
|
|
140 |
Deposits redeemable at notice |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
|
|
|
|
|
|
|
150 |
Repurchase agreements |
ECB/2013/33 Annex 2.Part 2.9.4 |
ECB/2013/33 Annex 2.Part 2.9.4 |
|
|
|
|
|
|
|
160 |
Credit institutions |
Annex V.Part 1.42(c),44(c) |
Annex V.Part 1.42(c),44(c) |
|
|
|
|
|
|
|
170 |
Current accounts / overnight deposits |
ECB/2013/33 Annex 2.Part 2.9.1 |
ECB/2013/33 Annex 2.Part 2.9.1 |
|
|
|
|
|
|
|
180 |
Deposits with agreed maturity |
ECB/2013/33 Annex 2.Part 2.9.2 |
ECB/2013/33 Annex 2.Part 2.9.2 |
|
|
|
|
|
|
|
190 |
Deposits redeemable at notice |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
|
|
|
|
|
|
|
200 |
Repurchase agreements |
ECB/2013/33 Annex 2.Part 2.9.4 |
ECB/2013/33 Annex 2.Part 2.9.4 |
|
|
|
|
|
|
|
210 |
Other financial corporations |
Annex V.Part 1.42(d),44(c) |
Annex V.Part 1.42(d),44(c) |
|
|
|
|
|
|
|
220 |
Current accounts / overnight deposits |
ECB/2013/33 Annex 2.Part 2.9.1 |
ECB/2013/33 Annex 2.Part 2.9.1 |
|
|
|
|
|
|
|
230 |
Deposits with agreed maturity |
ECB/2013/33 Annex 2.Part 2.9.2 |
ECB/2013/33 Annex 2.Part 2.9.2 |
|
|
|
|
|
|
|
240 |
Deposits redeemable at notice |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
|
|
|
|
|
|
|
250 |
Repurchase agreements |
ECB/2013/33 Annex 2.Part 2.9.4 |
ECB/2013/33 Annex 2.Part 2.9.4 |
|
|
|
|
|
|
|
260 |
Non-financial corporations |
Annex V.Part 1.42(e), 44(c) |
Annex V.Part 1.42(e), 44(c) |
|
|
|
|
|
|
|
270 |
Current accounts / overnight deposits |
ECB/2013/33 Annex 2.Part 2.9.1 |
ECB/2013/33 Annex 2.Part 2.9.1 |
|
|
|
|
|
|
|
280 |
Deposits with agreed maturity |
ECB/2013/33 Annex 2.Part 2.9.2 |
ECB/2013/33 Annex 2.Part 2.9.2 |
|
|
|
|
|
|
|
290 |
Deposits redeemable at notice |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
|
|
|
|
|
|
|
300 |
Repurchase agreements |
ECB/2013/33 Annex 2.Part 2.9.4 |
ECB/2013/33 Annex 2.Part 2.9.4 |
|
|
|
|
|
|
|
310 |
Households |
Annex V.Part 1.42(f), 44(c) |
Annex V.Part 1.42(f), 44(c) |
|
|
|
|
|
|
|
320 |
Current accounts / overnight deposits |
ECB/2013/33 Annex 2.Part 2.9.1 |
ECB/2013/33 Annex 2.Part 2.9.1 |
|
|
|
|
|
|
|
330 |
Deposits with agreed maturity |
ECB/2013/33 Annex 2.Part 2.9.2 |
ECB/2013/33 Annex 2.Part 2.9.2 |
|
|
|
|
|
|
|
340 |
Deposits redeemable at notice |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
|
|
|
|
|
|
|
350 |
Repurchase agreements |
ECB/2013/33 Annex 2.Part 2.9.4 |
ECB/2013/33 Annex 2.Part 2.9.4 |
|
|
|
|
|
|
|
360 |
Debt securities issued |
Annex V.1.37, Part 2.98 |
Annex V.Part 1.37, Part 2.98 |
|
|
|
|
|
|
|
370 |
Certificates of deposits |
Annex V.Part 2.98(a) |
Annex V.Part 2.98(a) |
|
|
|
|
|
|
|
380 |
Asset-backed securities |
CRR art 4(61) |
CRR art 4(1)(61) |
|
|
|
|
|
|
|
390 |
Covered bonds |
CRR art 129 |
CRR art 129 |
|
|
|
|
|
|
|
400 |
Hybrid contracts |
Annex V.Part 2.98(d) |
Annex V.Part 2.98(d) |
|
|
|
|
|
|
|
410 |
Other debt securities issued |
Annex V.Part 2.98(e) |
Annex V.Part 2.98(e) |
|
|
|
|
|
|
|
420 |
Convertible compound financial instruments |
|
IAS 32.AG 31 |
|
|
|
|
|
|
|
430 |
Non-convertible |
|
|
|
|
|
|
|
|
|
440 |
Other financial liabilities |
Annex V.Part 1.38-41 |
Annex V.Part 1.38-41 |
|
|
|
|
|
|
|
450 |
FINANCIAL LIABILITIES |
|
|
|
|
|
|
|
|
|
8.2 Subordinated financial liabilities
|
|
|
Carriyng amount |
|||
Designated at fair value through profit or loss |
At amortized cost |
At a cost-based method |
||||
References National GAAP compatible IFRS |
IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5 |
IFRS 7.8(g); IFRS 9.4.2.1 |
|
|||
References National GAAP |
Accounting Directive art 8(1)(a), (6); IAS 39.9 |
Accounting Directive art 8(3), (6); IAS 39.47 |
Accounting Directive art 8(3) |
|||
010 |
020 |
030 |
||||
010 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
020 |
Debt securities issued |
Annex V.Part 1.37 |
Annex V.Part 1.37 |
|
|
|
030 |
SUBORDINATED FINANCIAL LIABILITIES |
Annex V.Part 2.99-100 |
Annex V.Part 2.99-100 |
|
|
|
9. Loan commitments, financial guarantees and other commitments
9.1.1 Off-balance sheet exposures : Loan commitments, financial guarantees and other commitments given
|
|
Nominal amount of off-balance sheet commitments and financial guarantees under IFRS 9 impairment Annex V.Part 2.107-108, 118 |
Provisions on off-balance sheet commitments and financial guarantees under IFRS 9 impairment Annex V Part 2.106-109 |
Other commitments measured under IAS 37 and financial guarantees measured under IFRS 4 |
Commitments and financial guarantees measured at fair value |
|||||||
References National GAAP compatible IFRS |
Instruments without significant increase in credit risk since initial recognition (Stage 1) |
Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Credit-impaired instruments (Stage 3) |
Instruments without significant increase in credit risk since initial recognition (Stage 1) |
Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Credit-impaired instruments (Stage 3) |
Nominal amount |
Provision |
Nominal amount |
Accumulated negative changes in fair value due to credit risk on non-performing commitments |
||
IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35M |
IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35M |
IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS9.B2.5; IFRS 7.35M |
IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(a) |
IFRS 9.2.1(e),(g), IFRS 9.4.2.(c),IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(i) |
IFRS 9.2.1(e),(g), IFRS 9.4.2.(c),IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(ii) |
IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.111, 118 |
IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.106, 111 |
IFRS 9.2.3(a), 9.B2.5; Annex V Part 2.110, 118 |
Annex V Part 2.69 |
|||
010 |
020 |
030 |
040 |
050 |
060 |
100 |
110 |
120 |
130 |
|||
010 |
Loan commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 |
|
|
|
|
|
|
|
|
|
|
021 |
of which: non-performing |
Annex V.Part 2.117 |
|
|
|
|
|
|
|
|
|
|
030 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
040 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
050 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
060 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
070 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
080 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
090 |
Financial guarantees given |
IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 |
|
|
|
|
|
|
|
|
|
|
101 |
of which: non-performing |
Annex V.Part 2.117 |
|
|
|
|
|
|
|
|
|
|
110 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
120 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
130 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
140 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
150 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
160 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
170 |
Other Commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 |
|
|
|
|
|
|
|
|
|
|
181 |
of which: non-performing |
Annex V.Part 2.117 |
|
|
|
|
|
|
|
|
|
|
190 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
200 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
210 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
220 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
230 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
240 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
9.1 Off-balance sheet exposures under national GAAP: Loan commitments, financial guarantees and other commitments given
|
|
Nominal amount |
Provisions |
|
References National GAAP |
CRR Annex I; Annex V.Part 2.118 |
CRR Annex I; Annex V.Part 2.11 |
||
010 |
020 |
|||
010 |
Loan commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113 |
|
|
021 |
of which: non-performing |
Annex V. Part 2.117 |
|
|
030 |
Central banks |
Annex V.Part 1.42(a) |
|
|
040 |
General governments |
Annex V.Part 1.42(b) |
|
|
050 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
060 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
070 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
080 |
Households |
Annex V.Part 1.42(f) |
|
|
090 |
Financial guarantees given |
CRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114 |
|
|
101 |
of which: non-performing |
Annex V. Part 2.117 |
|
|
110 |
Central banks |
Annex V.Part 1.42(a) |
|
|
120 |
General governments |
Annex V.Part 1.42(b) |
|
|
130 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
140 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
150 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
160 |
Households |
Annex V.Part 1.42(f) |
|
|
170 |
Other Commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115 |
|
|
181 |
of which: non-performing |
Annex V. Part 2.117 |
|
|
190 |
Central banks |
Annex V.Part 1.42(a) |
|
|
200 |
General governments |
Annex V.Part 1.42(b) |
|
|
210 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
220 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
230 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
240 |
Households |
Annex V.Part 1.42(f) |
|
|
9.2 Loan commitments, financial guarantees and other commitments received
|
|
|
Maximum amount of the guarantee that can be considered |
Nominal amount |
|
References National GAAP compatible IFRS |
IFRS 7.36 (b); Annex V.Part 2.119 |
Annex V.Part 2.119 |
|||
References National GAAP |
Annex V.Part 2.119 |
Annex V.Part 2.119 |
|||
010 |
020 |
||||
010 |
Loan commitments received |
Annex V.Part 1.44(h), Part 2.102-103, 113 |
IFRS 9.2.1(g), .BCZ2.2; Annex V.Part 1.44(h), Part 2.102-103, 113 |
|
|
020 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
|
|
030 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
|
|
040 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
|
050 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
|
|
060 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
|
|
070 |
Households |
Annex V.Part 1.42(f) |
Annex V.Part 1.42(f) |
|
|
080 |
Financial guarantees received |
Annex V.Part 1.44(h), Part 2.102-103, 114 |
IFRS 9.2.1(e ), .B2.5, .BC2.17, IFRS 8.Appendix A; IFRS 4 Annex A; Annex V.Part 1.44(h), Part 2.102-103, 114 |
|
|
090 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
|
|
100 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
|
|
110 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
|
120 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
|
|
130 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
|
|
140 |
Households |
Annex V.Part 1.42(f) |
Annex V.Part 1.42(f) |
|
|
150 |
Other Commitments received |
Annex V.Part 1.44(h), Part 2.102-103, 115 |
Annex V.Part 1.44(h), Part 2.102-103, 115 |
|
|
160 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
|
|
170 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
|
|
180 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
|
190 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
|
|
200 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
|
|
210 |
Households |
Annex V.Part 1.42(f) |
Annex V.Part 1.42(f) |
|
|
10. Derivatives - Trading and economic hedges
By type of risk / By product or by type of market |
|
|
Carrying amount |
Fair value |
Notional amount |
||||||
|
|
Positive value |
Negative value |
Total Trading |
of which: sold |
||||||
Financial assets Held for trading and trading |
of which: Financial assets measured at a cost-based method / LOCOM |
Financial liabilities Held for trading and trading |
of which: Financial liabilities measured at a cost-based method / LOCOM |
||||||||
References National GAAP compatible IFRS |
Annex V.Part 2.120, 131 |
|
IFRS 9.BA.7 (a); Annex V.Part 2.120, 131 |
|
|
|
Annex V.Part 2.133-135 |
Annex V.Part 2.133-135 |
|||
References National GAAP based on BAD |
Annex V.Part 1.17, Part 2.120 |
Annex V.Part 2.124 |
Annex V.Part 1.25, Part 2.120 |
Annex V.Part 2.124 |
Annex V.Part 2.132 |
Annex V.Part 2.132 |
Annex V.Part 2.133-135 |
Annex V.Part 2.133-135 |
|||
010 |
011 |
020 |
016 |
022 |
025 |
030 |
040 |
||||
010 |
Interest rate |
Annex V.Part 2.129(a) |
Annex V.Part 2.129(a) |
|
|
|
|
|
|
|
|
020 |
of which: economic hedges |
Annex V.Part 2.137-139 |
Annex V.Part 2.137-139 |
|
|
|
|
|
|
|
|
030 |
OTC options |
Annex V.Part 2.136 |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
040 |
OTC other |
Annex V.Part 2.136 |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
050 |
Organized market options |
Annex V.Part 2.136 |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
060 |
Organized market other |
Annex V.Part 2.136 |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
070 |
Equity |
Annex V.Part 2.129(b) |
Annex V.Part 2.129(b) |
|
|
|
|
|
|
|
|
080 |
of which: economic hedges |
Annex V.Part 2.137-139 |
Annex V.Part 2.137-139 |
|
|
|
|
|
|
|
|
090 |
OTC options |
Annex V.Part 2.136 |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
100 |
OTC other |
Annex V.Part 2.136 |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
110 |
Organized market options |
Annex V.Part 2.136 |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
120 |
Organized market other |
Annex V.Part 2.136 |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
130 |
Foreign exchange and gold |
Annex V.Part 2.129(c) |
Annex V.Part 2.129(c) |
|
|
|
|
|
|
|
|
140 |
of which: economic hedges |
Annex V.Part 2.137-139 |
Annex V.Part 2.137-139 |
|
|
|
|
|
|
|
|
150 |
OTC options |
Annex V.Part 2.136 |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
160 |
OTC other |
Annex V.Part 2.136 |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
170 |
Organized market options |
Annex V.Part 2.136 |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
180 |
Organized market other |
Annex V.Part 2.136 |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
190 |
Credit |
Annex V.Part 2.129(d) |
Annex V.Part 2.129(d) |
|
|
|
|
|
|
|
|
195 |
of which: economic hedges with use of the fair value option |
Annex V.Part 2.140 |
IFRS 9.6.7.1; Annex V.Part 2.140 |
|
|
|
|
|
|
|
|
201 |
of which: other economic hedges |
Annex V.Part 2.137-140 |
Annex V.Part 2.137-140 |
|
|
|
|
|
|
|
|
210 |
Credit default swap |
|
|
|
|
|
|
|
|
|
|
220 |
Credit spread option |
|
|
|
|
|
|
|
|
|
|
230 |
Total return swap |
|
|
|
|
|
|
|
|
|
|
240 |
Other |
|
|
|
|
|
|
|
|
|
|
250 |
Commodity |
Annex V.Part 2.129(e) |
Annex V.Part 2.129(e) |
|
|
|
|
|
|
|
|
260 |
of which: economic hedges |
Annex V.Part 2.137-139 |
Annex V.Part 2.137-139 |
|
|
|
|
|
|
|
|
270 |
Other |
Annex V.Part 2.129(f) |
Annex V.Part 2.129(f) |
|
|
|
|
|
|
|
|
280 |
of which: economic hedges |
Annex V.Part 2.137-139 |
Annex V.Part 2.137-139 |
|
|
|
|
|
|
|
|
290 |
DERIVATIVES |
CRR Annex II; Annex V.Part 1.16(a) |
IFRS 9.Appendix A |
|
|
|
|
|
|
|
|
300 |
of which: OTC - credit institutions |
Annex V.Part 1.42(c), 44(e), Part 2.141 (a), 142 |
Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142 |
|
|
|
|
|
|
|
|
310 |
of which: OTC - other financial corporations |
Annex V.Part 1.42(d), 44(e), Part 2.141(b) |
Annex V.Part 1.42(d), 44(e), Part 2.141(b) |
|
|
|
|
|
|
|
|
320 |
of which: OTC - rest |
Annex V.Part 1.44(e), Part 2.141(c) |
Annex V.Part 1.44(e), Part 2.141(c) |
|
|
|
|
|
|
|
|
11. Hedge accounting
11.1 Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge
By product or by type of market |
|
Carrying amount |
Notional amount |
|||
Assets |
Liabilities |
Total Hedging |
of which: sold |
|||
References National GAAP compatible IFRS |
IFRS 7.24A; Annex V.Part 2.120, 131 |
IFRS 7.24A; Annex V.Part 2.120, 131 |
Annex V.Part 2.133-135 |
Annex V.Part 2.133-135 |
||
|
010 |
020 |
030 |
040 |
||
010 |
Interest rate |
Annex V.Part 2.129(a) |
|
|
|
|
020 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
030 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
040 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
050 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
060 |
Equity |
Annex V.Part 2.129(b) |
|
|
|
|
070 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
080 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
090 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
100 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
110 |
Foreign exchange and gold |
Annex V.Part 2.129(c) |
|
|
|
|
120 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
130 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
140 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
150 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
160 |
Credit |
Annex V.Part 2.129(d) |
|
|
|
|
170 |
Credit default swap |
Annex V.Part 2.136 |
|
|
|
|
180 |
Credit spread option |
Annex V.Part 2.136 |
|
|
|
|
190 |
Total return swap |
Annex V.Part 2.136 |
|
|
|
|
200 |
Other |
Annex V.Part 2.136 |
|
|
|
|
210 |
Commodity |
Annex V.Part 2.129(e) |
|
|
|
|
220 |
Other |
Annex V.Part 2.129(f) |
|
|
|
|
230 |
FAIR VALUE HEDGES |
IFRS 7.24A; IAS 39.86(a); IFRS 9.6.5.2(a) |
|
|
|
|
240 |
Interest rate |
Annex V.Part 2.129(a) |
|
|
|
|
250 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
260 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
270 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
280 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
290 |
Equity |
Annex V.Part 2.129(b) |
|
|
|
|
300 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
310 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
320 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
330 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
340 |
Foreign exchange and gold |
Annex V.Part 2.129(c) |
|
|
|
|
350 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
360 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
370 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
380 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
390 |
Credit |
Annex V.Part 2.129(d) |
|
|
|
|
400 |
Credit default swap |
Annex V.Part 2.136 |
|
|
|
|
410 |
Credit spread option |
Annex V.Part 2.136 |
|
|
|
|
420 |
Total return swap |
Annex V.Part 2.136 |
|
|
|
|
430 |
Other |
Annex V.Part 2.136 |
|
|
|
|
440 |
Commodity |
Annex V.Part 2.129(e) |
|
|
|
|
450 |
Other |
Annex V.Part 2.129(f) |
|
|
|
|
460 |
CASH FLOW HEDGES |
IFRS 7.24A; IAS 39.86(b); IFRS 9.6.5.2(b) |
|
|
|
|
470 |
HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION |
IFRS 7.24A; IAS 39.86(c); IFRS 9.6.5.2(c) |
|
|
|
|
480 |
PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK |
IAS 39.71, 81A, 89A, AG 114-132 |
|
|
|
|
490 |
PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK |
IAS 39.71 |
|
|
|
|
500 |
DERIVATIVES-HEDGE ACCOUNTING |
IFRS 7.24A; IAS 39.9; IFRS 9.6.1 |
|
|
|
|
510 |
of which: OTC - credit institutions |
Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142 |
|
|
|
|
520 |
of which: OTC - other financial corporations |
Annex V.Part 1.42(d), 44(e), Part 2.141(b) |
|
|
|
|
530 |
of which: OTC - rest |
Annex V.Part 1.44(e), Part 2.141(c) |
|
|
|
|
11.2 Derivatives - Hedge accounting under National GAAP: Breakdown by type of risk
By product or by type of market |
References National GAAP based on BAD |
Carrying amount |
Notional amount |
Fair value |
||||||||
|
|
|
|
Positive value |
Negative value |
|||||||
Assets |
of which: assets carried at amortised cost/ LOCOM |
Liabilities |
of which: liabilities carried at amortised cost/ LOCOM |
Total Hedging |
of which: derivatives carried at amortised cost/ LOCOM |
of which: sold |
of which: derivatives carried at amortised cost/ LOCOM |
|||||
Annex V.Part 1.17, Part 2.120 |
Annex V.Part 2.124 |
Annex V.Part 1.25, Part 2.120 |
Annex V.Part 2.124 |
Annex V.Part 2.133-135 |
Annex V.Part 2.124 |
Annex V.Part 2.133-135 |
Annex V.Part 2.124 |
Annex V.Part 2.132 |
Annex V.Part 2.132 |
|||
005 |
006 |
007 |
008 |
010 |
011 |
020 |
021 |
030 |
040 |
|||
010 |
Interest rate |
Annex V.Part 2.129(a) |
|
|
|
|
|
|
|
|
|
|
020 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
|
|
030 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
|
|
040 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
|
|
050 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
|
|
060 |
Equity |
Annex V.Part 2.129(b) |
|
|
|
|
|
|
|
|
|
|
070 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
|
|
080 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
|
|
090 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
|
|
100 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
|
|
110 |
Foreign exchange and gold |
Annex V.Part 2.129(c) |
|
|
|
|
|
|
|
|
|
|
120 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
|
|
130 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
|
|
140 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
|
|
150 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
|
|
160 |
Credit |
Annex V.Part 2.129(d) |
|
|
|
|
|
|
|
|
|
|
170 |
Credit default swap |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
|
|
180 |
Credit spread option |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
|
|
190 |
Total return swap |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
|
|
200 |
Other |
Annex V.Part 2.136 |
|
|
|
|
|
|
|
|
|
|
210 |
Commodity |
Annex V.Part 2.129(e) |
|
|
|
|
|
|
|
|
|
|
220 |
Other |
Annex V.Part 2.129(f) |
|
|
|
|
|
|
|
|
|
|
230 |
DERIVATIVES-HEDGE ACCOUNTING |
Annex V.Part 1.22, 26 |
|
|
|
|
|
|
|
|
|
|
231 |
of which: fair value hedges |
Annex V.Part 2.143 |
|
|
|
|
|
|
|
|
|
|
232 |
of which: cash flow hedges |
Annex V.Part 2.143 |
|
|
|
|
|
|
|
|
|
|
233 |
of which: cost-price hedges |
Annex V.Part 2.143, 144 |
|
|
|
|
|
|
|
|
|
|
234 |
of which: hedge in net investments in a foreign operation |
Annex V.Part 2.143 |
|
|
|
|
|
|
|
|
|
|
235 |
of which: portfolio fair value hedges of interest rate risk |
Annex V.Part 2.143 |
|
|
|
|
|
|
|
|
|
|
236 |
of which: portfolio cash flow hedges of interest rate risk |
Annex V.Part 2.143 |
|
|
|
|
|
|
|
|
|
|
240 |
of which: OTC - credit institutions |
Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142 |
|
|
|
|
|
|
|
|
|
|
250 |
of which: OTC - other financial corporations |
Annex V.Part 1.42(d), 44(e), Part 2.141(b) |
|
|
|
|
|
|
|
|
|
|
260 |
of which: OTC - rest |
Annex V.Part 1.44(e), Part 2.141(c) |
|
|
|
|
|
|
|
|
|
|
11.3 Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge
|
References National GAAP compatible IFRS |
Carrying amount |
|||
Fair value hedge |
Cash flow hedge |
Hedge of net investment in a foreign operation |
|||
Annex V.Part 2.145 |
Annex V.Part 2.145 |
Annex V.Part 2.145 |
|||
010 |
020 |
030 |
|||
010 |
Non-derivative financial assets |
IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2 |
|
|
|
020 |
of which: Financial assets held for trading |
IFRS 9.Appendix A |
|
|
|
030 |
of which: Non-trading financial assets mandatorily at fair value through profit or loss |
IFRS 9.4.1.4; IFRS 7.8(a)(ii) |
|
|
|
040 |
of which: Financial assets designated at fair value through profit or loss |
IFRS 9.4.1.5; IFRS 7.8(a)(i) |
|
|
|
050 |
Non-derivative financial liabilities |
IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2 |
|
|
|
060 |
Financial liabilities held for trading |
IFRS 9.Appendix A |
|
|
|
070 |
Financial liabilities designated at fair value through profit or loss |
IFRS 9.4.2.1; IFRS 9.6.2.2 |
|
|
|
080 |
Financial assets at amortised cost |
IFRS 9.4.2.1; IFRS 9.6.2.2 |
|
|
|
F11.3.1 Non-derivative hedging instruments under national GAAP: breakdown by accounting portfolio
|
References National GAAP based on BAD |
Carrying amount |
|
Annex V.Part 2.145 |
|||
010 |
Non-derivative financial assets |
|
|
020 |
of which: Trading financial assets |
BAD Article 32-33; Annex V.Part 1.17 |
|
030 |
of which: Non-trading non-derivative financial assets measured at fair value through profit or loss |
BAD art 36(2) |
|
040 |
of which: Non-trading non-derivative financial assets measured at fair value to equity |
Accounting Directive art 8(1)(a), (8) |
|
050 |
of which: Other non-trading non-derivative financial assets |
BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20 |
|
060 |
Non-derivative financial liabilities |
|
|
070 |
of which: Trading financial liabilities |
Accounting Directive art 8(1)(a),(3),(6) |
|
080 |
of which: Non-trading non-derivative financial liabilities measured at a cost-based method |
Accounting Directive art 8(3) |
|
F11.4 Hedged items in fair value hedges
|
References National GAAP compatible IFRS |
Micro-hedges |
Micro-hedges - Net position hedge |
Hedge adjustments on micro-hedges |
Macro hedges |
||
Carrying amount |
Assets or liabilities included in hedge of a net position (before netting) |
Hedge adjustments included in the carrying amount of assets/liabilities |
Remaining adjustments for discontinued micro hedges including hedges of net positions |
Hedged items in portfolio hedge of interest rate risk |
|||
IFRS 7.24B(a), Annex V.Part 2.146, 147 |
IFRS 9.6.6.1; IFRS 9.6.6.6; Annex V.Part 2.147, 151 |
IFRS 7.24B(a)(ii); Annex V.Part 2.148, 149 |
IFRS 7.24B(a)(v); Annex V.Part 2.148, 150 |
IFRS 9.6.1.3; IFRS 9.6.6.1; Annex V.Part 2.152 |
|||
010 |
020 |
030 |
040 |
050 |
|||
|
ASSETS |
|
|
|
|
|
|
010 |
Financial assets measured at fair value through other comprehensive income |
IFRS 9.4.1.2A; IFRS 7.8(h); Annex V. Part 2.146, 151 |
|
|
|
|
|
020 |
Interest rate |
Annex V.Part 2.129(a) |
|
|
|
|
|
030 |
Equity |
Annex V.Part 2.129(b) |
|
|
|
|
|
040 |
Foreign exchange and gold |
Annex V.Part 2.129(c) |
|
|
|
|
|
050 |
Credit |
Annex V.Part 2.129(d) |
|
|
|
|
|
060 |
Commodity |
Annex V.Part 2.129(e) |
|
|
|
|
|
070 |
Other |
Annex V.Part 2.129(f) |
|
|
|
|
|
080 |
Financial assets measured at amortised cost |
IFRS 9.4.1.2A; IFRS 7.8(f); Annex V. Part 2.146, 151 |
|
|
|
|
|
090 |
Interest rate |
Annex V.Part 2.129(a) |
|
|
|
|
|
100 |
Equity |
Annex V.Part 2.129(b) |
|
|
|
|
|
110 |
Foreign exchange and gold |
Annex V.Part 2.129(c) |
|
|
|
|
|
120 |
Credit |
Annex V.Part 2.129(d) |
|
|
|
|
|
130 |
Commodity |
Annex V.Part 2.129(e) |
|
|
|
|
|
140 |
Other |
Annex V.Part 2.129(f) |
|
|
|
|
|
|
LIABILITIES |
|
|
|
|
|
|
150 |
Financial liabilities measured at amortised costs |
IFRS 9.4.2.1; IFRS 7.8(g); Annex V. Part 2.146, 151 |
|
|
|
|
|
160 |
Interest rate |
Annex V.Part 2.129(a) |
|
|
|
|
|
170 |
Equity |
Annex V.Part 2.129(b) |
|
|
|
|
|
180 |
Foreign exchange and gold |
Annex V.Part 2.129(c) |
|
|
|
|
|
190 |
Credit |
Annex V.Part 2.129(d) |
|
|
|
|
|
200 |
Commodity |
Annex V.Part 2.129(e) |
|
|
|
|
|
210 |
Other |
Annex V.Part 2.129(f) |
|
|
|
|
|
12. Movements in allowances and provisions for credit losses
12.0 Movements in allowances for credit losses and impairment of equity instruments under national GAAP
|
References National GAAP based on BAD CRR article 442(i); Annex V.Part 2.153 |
Opening balance |
Increases due to amounts set aside for estimated loan losses during the period |
Decreases due to amounts reversed for estimated loan losses during the period |
Decrease in allowance account due to write-offs |
Transfers between allowances |
Other adjustments |
Closing balance |
Recoveries recorded directly to the statement of profit or loss |
Value adjustments recorded directly to the statement of profit or loss |
Amounts written-off directly to the statement of profit or loss |
|
|
Annex V.Part 2.154 |
Annex V.Part 2.154 |
|
|
Annex V.Part 2.155 |
|
|
Annex V.Part 2.78 |
|
|||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
|||
010 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
|
|
|
|
|
|
|
|
|
330 |
Specific allowances for credit risk |
CRR art 428 (g)(ii) |
|
|
|
|
|
|
|
|
|
|
340 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
350 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
360 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
370 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
380 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
390 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
400 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
410 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
420 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
430 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
440 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
450 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
460 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
470 |
General alowances for credit risk |
CRR art 4(95) |
|
|
|
|
|
|
|
|
|
|
480 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
490 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
|
500 |
General allowance for banking risks |
BAD art 37.2; CRR art 4(95) |
|
|
|
|
|
|
|
|
|
|
510 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
520 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
|
530 |
Total |
|
|
|
|
|
|
|
|
|
|
|
12.1 Movements in allowances and provisions for credit losses
|
References National GAAP compatible IFRS |
Opening balance |
Increases due to origination and acquisition |
Decreases due to derecognition |
Changes due to change in credit risk (net) |
Changes due to modifications without derecognition (net) |
Changes due to update in the institution's methodology for estimation (net) |
Decrease in allowance account due to write-offs |
Other adjustments |
Closing balance |
Recoveries of previously written-off amounts recorded directly to the statement of profit or loss |
Amounts written-off directly to the statement of profit or loss |
|
|
IFRS 7.35I; Annex V.Part 2.159, 164(b) |
IFRS 7.35I; Annex V.Part 2.160, 164(b) |
IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.161-162 |
IFRS 7.35I; IFRS 7.35J; IFRS 9.5.5.12, B5.5.25, B5.5.27; Annex V.Part 2.164(c) |
IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.163 |
IFRS 7.35I; IFRS 9.5.4.4;IFRS 7.35L; Annex V.Part 2.72, 74, 164(a), 165 |
IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.166 |
|
|
IFRS 9.5.4.4; Annex V.Part 2.165 |
|||
010 |
020 |
030 |
040 |
050 |
070 |
080 |
090 |
100 |
110 |
120 |
|||
010 |
Allowances for financial assets without increase in credit risk since initial recognition (Stage 1) |
IFRS 9.5.5.5 |
|
|
|
|
|
|
|
|
|
|
|
020 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
|
030 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
040 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
050 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
060 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
070 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
080 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
|
090 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
100 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
110 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
120 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
130 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
140 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
|
160 |
of which: collectively measured allowances |
IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 |
|
|
|
|
|
|
|
|
|
|
|
170 |
of which: individually measured allowances |
IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 |
|
|
|
|
|
|
|
|
|
|
|
180 |
Allowances for debt instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
IFRS 9.5.5.3 |
|
|
|
|
|
|
|
|
|
|
|
190 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
|
200 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
210 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
220 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
230 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
240 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
250 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
|
260 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
270 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
280 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
290 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
300 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
310 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
|
330 |
of which: collectively measured allowances |
IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 |
|
|
|
|
|
|
|
|
|
|
|
340 |
of which: individually measured allowances |
IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 |
|
|
|
|
|
|
|
|
|
|
|
350 |
of which: non-performing |
Annex V.Part 2.213-232 |
|
|
|
|
|
|
|
|
|
|
|
360 |
Allowances for credit-impaired debt instruments (Stage 3) |
IFRS 9.5.5.1, 9. Appendix A |
|
|
|
|
|
|
|
|
|
|
|
370 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
|
380 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
390 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
400 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
410 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
420 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
430 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
|
440 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
450 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
460 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
470 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
480 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
490 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
|
500 |
of which: collectively measured allowances |
IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 |
|
|
|
|
|
|
|
|
|
|
|
510 |
of which: individually measured allowances |
IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 |
|
|
|
|
|
|
|
|
|
|
|
520 |
Total allowance for debt instruments |
IFRS 7.B8E |
|
|
|
|
|
|
|
|
|
|
|
530 |
Commitments and financial guarantees given (Stage 1) |
IFRS 9.2.1|(g); 2.3(c); 5.5, B2.5; Annex V.Part 2.157 |
|
|
|
|
|
|
|
|
|
|
|
540 |
Commitments and financial guarantees given (Stage 2) |
IFRS 9.2.1|(g); 2.3(c); 5.5.3, B2.5; Annex V.Part 2.157 |
|
|
|
|
|
|
|
|
|
|
|
550 |
of which: non-performing |
Annex V.Part 2.117 |
|
|
|
|
|
|
|
|
|
|
|
560 |
Commitments and financial guarantees given (Stage 3) |
IFRS 9.2.1|(g); 2.3(c); 5.5.1, B2.5; Annex V.Part 2.157 |
|
|
|
|
|
|
|
|
|
|
|
570 |
Total provisions on commitments and financial guarantees given |
IFRS 7.B8E; Annex V.Part 2.157 |
|
|
|
|
|
|
|
|
|
|
|
12.2 Transfers between impairment stages (gross basis presentation)
|
References National GAAP compatible IFRS |
Gross carrying amount / nominal amount Annex V.Part 1.34, Part 2.118, 167, 170 |
||||||
Transfers between Stage 1 and Stage 2 |
Transfers between Stage 2 and Stage 3 |
Transfers between Stage 1 and Stage 3 |
||||||
To Stage 2 from Stage 1 |
To Stage 1 from Stage 2 |
To Stage 3 from Stage 2 |
To Stage 2 from Stage 3 |
To Stage 3 from Stage 1 |
To Stage 1 from Stage 3 |
|||
Annex V.Part 2.168-169 |
||||||||
010 |
020 |
030 |
040 |
050 |
060 |
|||
010 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
020 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
030 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
040 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
050 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
060 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
070 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
080 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
090 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
100 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
110 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
120 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
130 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
140 |
Total debt instruments |
|
|
|
|
|
|
|
150 |
Commitments and financial guarantees given |
IFRS 9.2.1|(g); 2.3(c); 5.5.1, 5.5.3, 5.5.5 |
|
|
|
|
|
|
13. Collateral and guarantees received
13.1 Breakdown of collateral and guarantees by loans and advances other than held for trading
Guarantees and collateral |
|
|
Maximum amount of the collateral or guarantee that can be considered Annex V.Part 2.171-172, 174 |
|||||
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Loans collateralized by immovable property |
Other collateralized loans |
Financial guarantees received |
||||
|
|
Residential |
Commercial |
Cash [Debt instruments issued] |
Rest |
|||
|
IFRS 7.36(b) |
Annex V.Part 2.173(a) |
Annex V.Part 2.173(a) |
Annex V.Part 2.173(b) |
Annex V.Part 2.173(b) |
Annex V.Part 2.173(c) |
||
|
|
010 |
020 |
030 |
040 |
050 |
||
010 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
020 |
of which: Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
|
|
|
|
|
030 |
of which: Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
|
|
|
|
|
040 |
of which: Households |
Annex V.Part 1.42(f) |
Annex V.Part 1.42(f) |
|
|
|
|
|
050 |
of which: lending for house purchase |
Annex V.Part 2.88(b) |
Annex V.Part 2.88(b) |
|
|
|
|
|
13.2 Collateral obtained by taking possession during the period [held at the reporting date]
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Carrying amount |
|
Annex V.Part 2.175 |
||||
010 |
||||
010 |
Non-current assets held-for-sale |
|
IFRS 7.38(a) |
|
020 |
Property, plant and equipment |
|
IFRS 7.38(a) |
|
030 |
Investment property |
|
IFRS 7.38(a) |
|
040 |
Equity and debt instruments |
|
IFRS 7.38(a) |
|
050 |
Other |
|
IFRS 7.38(a) |
|
060 |
Total |
|
|
|
13.3 Collateral obtained by taking possession [tangible assets] accumulated
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Carrying amount |
|
010 |
||||
010 |
Foreclosure [tangible assets] |
Annex V.Part 2.176 |
IFRS 7.38(a); Annex V.Part 2.176 |
|
14. Fair value hierachy: financial instruments at fair value
|
|
|
Fair value hierarchy IFRS 13.93 (b) |
Change in fair value for the period Annex V.Part 2.178 |
Accumulated change in fair value before taxes Annex V.Part 2.179 |
||||||
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Level 1 |
Level 2 |
Level 3 |
Level 2 |
Level 3 |
Level 1 |
Level 2 |
Level 3 |
||
|
|
IFRS 13.76 |
IFRS 13.81 |
IFRS 13.86 |
IFRS 13.81 |
IFRS 13.86, 93(f) |
IFRS 13.76 |
IFRS 13.81 |
IFRS 13.86 |
||
|
|
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
||
ASSETS |
|
|
|
|
|
|
|
|
|
|
|
010 |
Financial assets held for trading |
|
IFRS 7.8(a)(ii);IFRS 9.Appendix A |
|
|
|
|
|
|
|
|
020 |
Derivatives |
|
IFRS 9.Appendix A |
|
|
|
|
|
|
|
|
030 |
Equity instruments |
|
IAS 32.11, |
|
|
|
|
|
|
|
|
040 |
Debt securities |
|
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
050 |
Loans and advances |
|
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
051 |
Trading financial assets |
BAD Article 32-33; Annex V.Part 1.17 |
|
|
|
|
|
|
|
|
|
052 |
Derivatives |
CRR Annex II; Annex V.Part 1.17 |
|
|
|
|
|
|
|
|
|
053 |
Equity instruments |
ECB/2013/33; Annex 2.Part 2.4-5 |
|
|
|
|
|
|
|
|
|
054 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
055 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
056 |
Non-trading financial assets mandatorily at fair value through profit or loss |
|
IFRS 9.4.1.4; IFRS 7.8(a)(ii) |
|
|
|
|
|
|
|
|
057 |
Equity instruments |
|
IAS 32.11 |
|
|
|
|
|
|
|
|
058 |
Debt securities |
|
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
059 |
Loans and advances |
|
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
060 |
Financial assets designated at fair value through profit or loss |
Accounting Directive art 8(1)(a), (6); IAS 39.9 |
IFRS 7.8(a)(i); IFRS 9.4.1.5 |
|
|
|
|
|
|
|
|
070 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
IAS 32.11 |
|
|
|
|
|
|
|
|
080 |
Debt securities |
Annex V.Part 1.31 |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
090 |
Loans and advances |
Annex V.Part 1.32 |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
101 |
Financial assets at fair value through other comprehensive income |
|
IFRS 7.8 (h); IFRS 9.4.1.2A |
|
|
|
|
|
|
|
|
102 |
Equity instruments |
|
IAS 32.11 |
|
|
|
|
|
|
|
|
103 |
Debt securities |
|
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
104 |
Loans and advances |
|
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
121 |
Non-trading non-derivative financial assets measured at fair value through profit or loss |
Accounting Directive art 8(1)(a), (4) |
|
|
|
|
|
|
|
|
|
122 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
|
|
|
|
|
|
|
|
123 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
124 |
Loans and advances |
Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
125 |
Non-trading non-derivative financial assets measured at fair value to equity |
Accounting Directive art 8(1)(a), (6),(8) |
|
|
|
|
|
|
|
|
|
126 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
|
|
|
|
|
|
|
|
127 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
128 |
Loans and advances |
Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
140 |
Derivatives – Hedge accounting |
Accounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22 |
IFRS 9.6.2.1; Annex V.Part 1.22 |
|
|
|
|
|
|
|
|
LIABILITIES |
|
|
|
|
|
|
|
|
|
|
|
150 |
Financial liabilities held for trading |
Accounting Directive art 4art 8(1)(a), (6); IAS 39.9, AG 14-15 |
IFRS 7.8 (e) (ii); IFRS 9.BA.6 |
|
|
|
|
|
|
|
|
160 |
Derivatives |
CRR Annex II |
IFRS 9.BA.7(a) |
|
|
|
|
|
|
|
|
170 |
Short positions |
|
IFRS 9.BA.7(b) |
|
|
|
|
|
|
|
|
180 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30 |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
|
|
|
|
|
190 |
Debt securities issued |
Annex V.Part 1.31 |
Annex V.Part 1.37 |
|
|
|
|
|
|
|
|
200 |
Other financial liabilities |
Annex V.Part 1.32-34 |
Annex V.Part 1.38-41 |
|
|
|
|
|
|
|
|
201 |
Trading financial liabilities |
Accounting Directive art 8(1)(a),(3),(6) |
|
|
|
|
|
|
|
|
|
202 |
Derivatives |
CRR Annex II; Annex V.Part 1.25, 27 |
|
|
|
|
|
|
|
|
|
203 |
Short positions |
|
|
|
|
|
|
|
|
|
|
204 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
|
|
|
|
|
|
205 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
|
|
|
|
|
|
|
206 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
|
|
|
|
|
|
|
210 |
Financial liabilities designated at fair value through profit or loss |
Accounting Directive art 8(1)(a), (6); IAS 39.9 |
IFRS 7.8 (e) (i); IFRS 9.4.1.5 |
|
|
|
|
|
|
|
|
220 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
|
|
|
|
|
230 |
Debt securities issued |
Annex V.Part 1.37 |
Annex V.Part 1.37 |
|
|
|
|
|
|
|
|
240 |
Other financial liabilities |
Annex V.Part 1.38-41 |
Annex V.Part 1.38-41 |
|
|
|
|
|
|
|
|
250 |
Derivatives – Hedge accounting |
Accounting Directive art art 8(1)(a), (6), (8)(1)(a); IAS 39.9; Annex V.Part 1.26 |
IFRS 9.6.2.1; Annex V.Part 1.26 |
|
|
|
|
|
|
|
|
15. Derecognition and financial liabilities associated with transferred financial assets
|
|
|
Transferred financial assets entirely recognized |
Transferred financial assets recognized to the extent of the instution's continuing involvement |
Principal amount outstanting of transferred financial assets entirely derecognised for which the intitution retains servicing rights |
Amounts derecognised for capital purposes |
||||||||
Transferred assets |
Associated liabilities ITS V.Part 2.181 |
Principal amount outstanding of the original assets |
Carrying amount of assets still recognised [continuing involvement] |
Carrying amount of associated liabilites |
||||||||||
Carrying amount |
Of which: securitizations |
Of which: repurchase agreements |
Carrying amount |
Of which: securitizations |
Of which: repurchase agreements |
|||||||||
References National GAAP compatible IFRS |
IFRS 7.42D.(e), Annex V.Part 1.27 |
IFRS 7.42D(e); CRR art 4(1)(61) |
IFRS 7.42D(e); Annex V.Part 2.183-184 |
IFRS 7.42D(e) |
IFRS 7.42D.(e) |
IFRS 7.42D(e); Annex V.Part 2.183-184 |
|
IFRS 7.42D(f) |
IFRS 7.42D(f); Annex V.Part 1.27, Part 2.181 |
|
CRR art 109; Annex V.Part 2.182 |
|||
References National GAAP based on BAD |
|
Annex V.Part 1.27-28 |
CRR art 4(61) |
Annex V.Part 2.183-184 |
|
CRR art 4(61) |
Annex V.Part 2.183-184 |
|
|
|
|
CRR art 109; Annex V.Part 2.182 |
||
|
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
|||
010 |
Financial assets held for trading |
|
IFRS 7.8(a)(ii);IFRS 9.Appendix A |
|
|
|
|
|
|
|
|
|
|
|
020 |
Equity instruments |
|
IAS 32.11 |
|
|
|
|
|
|
|
|
|
|
|
030 |
Debt securities |
|
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
|
040 |
Loans and advances |
|
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
|
|
041 |
Trading financial assets |
Accounting Directive art 8(1)(a), (6); Annex V.Part 1.15 |
|
|
|
|
|
|
|
|
|
|
|
|
042 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
|
|
|
|
|
|
|
|
|
|
|
043 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
|
|
044 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
|
|
|
045 |
Non-trading financial assets mandatorily at fair value through profit or loss |
|
IFRS 9.4.1.4 |
|
|
|
|
|
|
|
|
|
|
|
046 |
Equity instruments |
|
IAS 32.11 |
|
|
|
|
|
|
|
|
|
|
|
047 |
Debt securities |
|
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
|
048 |
Loans and advances |
|
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
|
|
050 |
Financial assets designated at fair value through profit or loss |
Accounting Directive art 8(1)(a), (6); IAS 39.9 |
IFRS 7.8(a)(i); IFRS 9.4.1.5 |
|
|
|
|
|
|
|
|
|
|
|
060 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
IAS 32.11 |
|
|
|
|
|
|
|
|
|
|
|
070 |
Debt securities |
Annex V.Part 1.31 |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
|
080 |
Loans and advances |
Annex V.Part 1.32 |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
|
|
091 |
Financial assets at fair value through other comprehensive income |
|
IFRS 7.8(h); IFRS 9.4.1.2A |
|
|
|
|
|
|
|
|
|
|
|
092 |
Equity instruments |
|
IAS 32.11 |
|
|
|
|
|
|
|
|
|
|
|
093 |
Debt securities |
|
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
|
094 |
Loans and advances |
|
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
|
|
121 |
Non-trading non-derivative financial assets measured at fair value through profit or loss |
Accounting Directive art 8(1)(a), (4) |
|
|
|
|
|
|
|
|
|
|
|
|
122 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
|
|
|
|
|
|
|
|
|
|
|
123 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
|
|
124 |
Loans and advances |
Accounting Directive art 8(1)(a), (4)(b); part 1.14, part 3.35 |
|
|
|
|
|
|
|
|
|
|
|
|
125 |
Non-trading non-derivative financial assets measured at fair value to equity |
Accounting Directive art 8(1)(a), (8)(2) |
|
|
|
|
|
|
|
|
|
|
|
|
126 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
|
|
|
|
|
|
|
|
|
|
|
127 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
|
|
128 |
Loans and advances |
Accounting Directive art 8(1)(a), (4)(b);part 1.14, part 3.35 |
|
|
|
|
|
|
|
|
|
|
|
|
131 |
Financial assets at amortised cost |
Accounting Directive art 42a(4)(b),(5a); IAS 39.9 |
IFRS 7.8 (f); IFRS 9.4.1.2 |
|
|
|
|
|
|
|
|
|
|
|
132 |
Debt securities |
Annex V.Part 1.24, 26 |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
|
133 |
Loans and advances |
Annex V.Part 1.24, 27 |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
|
|
181 |
Non-trading non-derivative financial assets measured at a cost-based method |
BAD art 37.1; art 42a(4)(b); Annex V.Part 1.16 |
|
|
|
|
|
|
|
|
|
|
|
|
200 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
|
|
|
|
|
|
|
|
|
|
|
182 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
|
|
183 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
|
|
|
184 |
Other non-trading non-derivative financial assets |
BAD art 35-37 |
|
|
|
|
|
|
|
|
|
|
|
|
185 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
|
|
|
|
|
|
|
|
|
|
|
186 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
|
|
187 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
|
|
|
190 |
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
16. Breakdown of selected statement of profit or loss items
16.1 Interest income and expenses by instrument and counterparty sector
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Current period |
||
Income |
Expenses |
||||
Annex V.Part 2.187, 189 |
Annex V.Part 2.188, 190 |
||||
010 |
020 |
||||
010 |
Derivatives -Trading |
CRR Annex II; Annex V.Part 2.193 |
IFRS 9.Appendix A, .BA.1, .BA.6; Annex V.Part 2.193 |
|
|
015 |
of which: interest income from derivatives in economic hedges |
Annex V.Part 2.193 |
Annex V.Part 2.193 |
|
|
020 |
Debt securities |
Annex V.Part 1.31, 44(b) |
Annex V.Part 1.31, 44(b) |
|
|
030 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
|
|
040 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
|
|
050 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
|
060 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
|
|
070 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
|
|
080 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
Annex V.Part 1.32, 44(a) |
|
|
090 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
|
|
100 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
|
|
110 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
|
120 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
|
|
130 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
|
|
140 |
Households |
Annex V.Part 1.42(f) |
Annex V.Part 1.42(f) |
|
|
150 |
Other assets |
Annex V.Part 1.51 |
Annex V.Part 2.5 |
|
|
160 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
170 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
|
|
180 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
|
|
190 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
|
200 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
|
|
210 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
|
|
220 |
Households |
Annex V.Part 1.42(f) |
Annex V.Part 1.42(f) |
|
|
230 |
Debt securities issued |
Annex V.1.37 |
Annex V.Part 1.37 |
|
|
240 |
Other financial liabilities |
Annex V.Part 1.32-34, Part 2.191 |
Annex V.Part 1.32-34, Part 2.191 |
|
|
250 |
Derivatives - Hedge accounting, interest rate risk |
Annex V.Part 2.192 |
Annex V.Part 2.192 |
|
|
260 |
Other Liabilities |
Annex V.Part 1.38-41 |
Annex V.Part 1.38-41 |
|
|
270 |
INTEREST |
BAD art 27.Vertical layout(1), (2) |
IAS 1.97 |
|
|
280 |
of which: interest-income on credit impaired financial assets |
|
IFRS 9.5.4.1; .B5.4.7; Annex V.Part 2.194 |
|
|
16.2 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Current period |
|
Annex V. Part 2.195-196 |
||||
010 |
||||
010 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
Annex V.Part 1.28 |
|
020 |
Debt securities |
Annex V.Part 1.31 |
Annex V.Part 1.31 |
|
030 |
Loans and advances |
Annex V.Part 1.32 |
Annex V.Part 1.32 |
|
040 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
050 |
Debt securities issued |
Annex V.Part 1.37 |
Annex V.Part 1.37 |
|
060 |
Other financial liabilities |
Annex V.Part 1.38-41 |
Annex V.Part 1.38-41 |
|
070 |
GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET |
BAD art 27.Vertical layout(6); Annex V.Part 2.45 |
Annex V.Part 2.45 |
|
16.3 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Current period |
|
Annex V. Part 2.197-198 |
||||
010 |
||||
010 |
Derivatives |
|
IFRS 9.Appendix A, .BA.1, .BA.7(a) |
|
015 |
of which: Economic hedges with use of the fair value option |
|
IFRS 9.6.7.1; IFRS 7.9(d); Annex V.Part 2.199 |
|
020 |
Equity instruments |
|
IAS 32.11 |
|
030 |
Debt securities |
|
Annex V.Part 1.31 |
|
040 |
Loans and advances |
|
Annex V.Part 1.32 |
|
050 |
Short positions |
|
IFRS 9.BA.7(b) |
|
060 |
Deposits |
|
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
070 |
Debt securities issued |
|
Annex V.Part 1.37 |
|
080 |
Other financial liabilities |
|
Annex V.Part 1.38-41 |
|
090 |
GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET |
|
IFRS 9.Appendix A, .BA.6;IFRS 7.20(a)(i) |
|
095 |
of which: gains and losses due to the reclassification of assets at amortised cost |
|
IFRS 9.5.6.2; annex V.Part 2.199 |
|
100 |
Derivatives |
CRR Annex II |
|
|
110 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
|
120 |
Debt securities |
Annex V.Part 1.31 |
|
|
130 |
Loans and advances |
Annex V.Part 1.32 |
|
|
140 |
Short positions |
|
|
|
150 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
160 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
170 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
180 |
GAINS OR (-) LOSSES ON TRADING FINANCIAL ASSETS AND LIABILITIES, NET |
BAD art 27.Vertical layout(6); Annex V.Part 1.17 |
|
|
16.4 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Current period |
|
010 |
||||
010 |
Interest rate instruments and related derivatives |
|
Annex V.Part 2.200(a) |
|
020 |
Equity instruments and related derivatives |
|
Annex V.Part 2.200(b) |
|
030 |
Foreign exchange trading and derivatives related with foreign exchange and gold |
|
Annex V.Part 2.200(c) |
|
040 |
Credit risk instruments and related derivatives |
|
Annex V.Part 2.200(d) |
|
050 |
Derivatives related with commodities |
|
Annex V.Part 2.200(e) |
|
060 |
Other |
|
Annex V.Part 2.200(f) |
|
070 |
GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET |
BAD art 27.Vertical layout(6) |
IFRS 7.20(a)(i) |
|
080 |
Interest rate instruments and related derivatives |
Annex V.Part 2.200(a) |
|
|
090 |
Equity instruments and related derivatives |
Annex V.Part 2.200(b) |
|
|
100 |
Foreign exchange trading and derivatives related with foreign exchange and gold |
Annex V.Part 2.200(c) |
|
|
110 |
Credit risk instruments and related derivatives |
Annex V.Part 2.200(d) |
|
|
120 |
Derivatives related with commodities |
Annex V.Part 2.200(e) |
|
|
130 |
Other |
Annex V.Part 2.200(f) |
|
|
140 |
GAINS OR (-) LOSSES ON TRADING FINANCIAL ASSETS AND LIABILITIES, NET |
BAD art 27.Vertical layout(6) |
|
|
16.4.1 Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Current period |
|
Annex V.Part 2.201 |
||||
010 |
||||
020 |
Equity instruments |
|
IAS 32.11 |
|
030 |
Debt securities |
|
Annex V.Part 1.31 |
|
040 |
Loans and advances |
|
Annex V.Part 1.32 |
|
090 |
GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT AND LOSS, NET |
|
IFRS 7.20(a)(i) |
|
100 |
of which: gains and losses due to the reclassification of assets at amortised cost |
|
IFRS 9.6.5.2; Annex V.Part 2.202 |
|
16.5 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Current period |
Changes in fair value due to credit risk |
|
Annex V.Part 2.203 |
Annex V.Part 2.203 |
||||
010 |
020 |
||||
010 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
IAS 32.11 |
|
|
020 |
Debt securities |
Annex V.Part 1.31 |
Annex V.Part 1.31 |
|
|
030 |
Loans and advances |
Annex V.Part 1.32 |
Annex V.Part 1.32 |
|
|
040 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
050 |
Debt securities issued |
Annex V.Part 1.37 |
Annex V.Part 1.37 |
|
|
060 |
Other financial liabilities |
Annex V.Part 1.38-41 |
Annex V.Part 1.38-41 |
|
|
070 |
GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET |
BAD art 27.Vertical layout(6) |
IFRS 7.20(a)(i) |
|
|
071 |
of which: gains or (-) losses upon designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net |
|
IFRS 9.6.7;IFRS 7.24G(b); Annex V.Part 2.204 |
|
|
072 |
of which: gains or (-) losses after designation on financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net |
|
IFRS 9.6.7; IFRS 7.20(a)(i); Annex V.Part 2.204 |
|
|
080 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
|
|
090 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
100 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
110 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
120 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
|
130 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
|
140 |
GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS AND LIABILITIES, NET |
BAD art 27.Vertical layout(6) |
|
|
|
16.6 Gains or losses from hedge accounting
|
References National GAAP based on BAD Annex V.Part 2.207 |
References National GAAP compatible IFRS |
Current period |
|
Annex V.Part 2.205 |
||||
010 |
||||
010 |
Fair value changes of the hedging instrument [including discontinuation] |
Accounting Directive art 8(1)(a), (6), (8)(a) |
IFRS 7.24A(c);IFRS 7.24C(b)(vi) |
|
020 |
Fair value changes of the hedged item attributable to the hedged risk |
Accounting Directive art 8(1)(a), (6), (8)(a) |
IFRS 9.6.3.7; .6.5.8; .B6.4.1; IFRS 7.24B(a)(iv); IFRS 7.24C(b)(vi); Annex V.Part 2.206 |
|
030 |
Ineffectiveness in profit or loss from cash flow hedges |
Accounting Directive art 8(1)(a), (6), (8)(a) |
IFRS 7.24C(b)ii; IFRS 7.24C(b)(vi) |
|
040 |
Ineffectiveness in profit or loss from hedges of net investments in foreign operations |
Accounting Directive art 8(1)(a) |
IFRS 7.24C(b)(ii); IFRS 7.24C(b)(vi) |
|
050 |
GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET |
Accounting Directive art 8(1)(a), (6), (8)(a) |
|
|
16.7 Impairment on non-financial assets
|
|
|
Current period |
|||
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Additions |
Reversals |
Accumulated impairment |
||
|
|
Annex V.Part 2.208 |
Annex V.Part 2.208 |
|
||
010 |
020 |
040 |
||||
060 |
Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates |
BAD art 27.Vertical layout(13)-(14) |
IAS 28.40-43 |
|
|
|
070 |
Subsidiaries |
|
IFRS 10 Appendix A |
|
|
|
080 |
Joint ventures |
|
IAS 28.3 |
|
|
|
090 |
Associates |
|
IAS 28.3 |
|
|
|
100 |
Impairment or (-) reversal of impairment on non-financial assets |
|
IAS 36.126(a),(b) |
|
|
|
110 |
Property, plant and equipment |
BAD art 27.Vertical layout(9) |
IAS 16.73(e)(v-vi) |
|
|
|
120 |
Investment properties |
BAD art 27.Vertical layout(9) |
IAS 40.79(d)(v) |
|
|
|
130 |
Goodwill |
BAD art 27.Vertical layout(9) |
IAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v) |
|
|
|
140 |
Other intangible assets |
BAD art 27.Vertical layout(9) |
IAS 38.118(e)(iv)(v) |
|
|
|
145 |
Other |
|
IAS 36.126(a),(b) |
|
|
|
150 |
TOTAL |
|
|
|
|
|
17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet
17.1 Assets
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Accounting scope of consolidation [Carrying amount] |
|
Annex V.Part 1.27-28, Part 2.209 |
||||
010 |
||||
010 |
Cash, cash balances at central banks and other demand deposits |
BAD art 4.Assets(1) |
IAS 1.54 (i) |
|
020 |
Cash on hand |
Annex V.Part 2.1 |
Annex V.Part 2.1 |
|
030 |
Cash balances at central banks |
BAD art 13(2); Annex V.Part 2.2 |
Annex V.Part 2.2 |
|
040 |
Other demand deposits |
Annex V.Part 2.3 |
Annex V.Part 2.3 |
|
050 |
Financial assets held for trading |
Accounting Directive art 8(1)(a), (5); IAS 39.9 |
IFRS 7.8(a)(ii);IFRS 9.Appendix A |
|
060 |
Derivatives |
CRR Annex II |
IFRS 9.Appendix A |
|
070 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
IAS 32.11 |
|
080 |
Debt securities |
Annex V.Part 1.24, 26 |
Annex V.Part 1.31 |
|
090 |
Loans and advances |
Annex V.Part 1.24, 27 |
Annex V.Part 1.32 |
|
091 |
Trading financial assets |
BAD Article 32-33; Annex V.Part 1.17 |
|
|
092 |
Derivatives |
CRR Annex II; Annex V.Part 1.17 |
|
|
093 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
|
094 |
Debt securities |
Annex V.Part 1.31 |
|
|
095 |
Loans and advances |
Annex V.Part 1.32 |
|
|
096 |
Non-trading financial assets mandatorily at fair value through profit or loss |
|
IFRS 9.4.1.4 |
|
097 |
Equity instruments |
|
IAS 32.11 |
|
098 |
Debt securities |
|
Annex V.Part 1.31 |
|
099 |
Loans and advances |
|
Annex V.Part 1.32 |
|
100 |
Financial assets designated at fair value through profit or loss |
Accounting Directive art 8(1)(a), (6) |
IFRS 7.8(a)(i); IFRS 9.4.1.5 |
|
110 |
Equity instruments |
|
IAS 32.11;ECB/2013/33 Annex 2.Part 2.4-5 |
|
120 |
Debt securities |
Annex V.Part 1.31 |
Annex V.Part 1.31 |
|
130 |
Loans and advances |
Annex V.Part 1.32 |
Annex V.Part 1.32 |
|
141 |
Financial assets at fair value through other comprehensive income |
|
IFRS 7.8(h); IFRS 9.4.1.2A |
|
142 |
Equity instruments |
|
IAS 32.11 |
|
143 |
Debt securities |
|
Annex V.Part 1.31 |
|
144 |
Loans and advances |
|
Annex V.Part 1.32 |
|
171 |
Non-trading non-derivative financial assets measured at fair value through profit or loss |
BAD art 36(2) |
|
|
172 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
|
173 |
Debt securities |
Annex V.Part 1.31 |
|
|
174 |
Loans and advances |
Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 |
|
|
175 |
Non-trading non-derivative financial assets measured at fair value to equity |
Accounting Directive art 8(1)(a), (8) |
|
|
176 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
|
177 |
Debt securities |
Annex V.Part 1.31 |
|
|
178 |
Loans and advances |
Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 |
|
|
181 |
Financial assets at amortised cost |
|
IFRS 7.8(f); IFRS 9.4.1.2 |
|
182 |
Debt securities |
|
Annex V.Part 1.31 |
|
183 |
Loans and advances |
|
Annex V.Part 1.32 |
|
231 |
Non-trading non-derivative financial assets measured at a cost-based method |
BAD art 35;Accounting Directive Article 6(1)(i) and Article 8(2); Annex V.Part1.18, 19 |
|
|
380 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
|
232 |
Debt securities |
Annex V.Part 1.31 |
|
|
233 |
Loans and advances |
Annex V.Part 1.32 |
|
|
234 |
Other non-trading non-derivative financial assets |
BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20 |
|
|
235 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
|
236 |
Debt securities |
Annex V.Part 1.31 |
|
|
237 |
Loans and advances |
Annex V.Part 1.32 |
|
|
240 |
Derivatives – Hedge accounting |
Accounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22 |
IFRS 9.6.2.1; Annex V.Part 1.22 |
|
250 |
Fair value changes of the hedged items in portfolio hedge of interest rate risk |
Accounting Directive art 8(5), (6); IAS 39.89A (a) |
IAS 39.89A(a); IFRS 9.6.5.8 |
|
260 |
Investments in subsidaries, joint ventures and associates |
BAD art 4.Assets(7)-(8); Accounting Directive art 2(2); Annex V.Part 1.21, Part 2.4, 210 |
IAS 1.54(e); Annex V.Part 1.21, Part 2.4, 210 |
|
270 |
Assets under reinsurance and insurance contracts |
Annex V.Part 2.211 |
IFRS 4.IG20.(b)-(c); Annex V.Part 2.211 |
|
280 |
Tangible assets |
BAD art 4.Assets(10) |
|
|
290 |
Intangible assets |
BAD art 4.Assets(9); CRR art 4(1)(115) |
IAS 1.54(c); CRR art 4(1)(115) |
|
300 |
Goodwill |
BAD art 4.Assets(9); CRR art 4(1)(113) |
IFRS 3.B67(d); CRR art 4(1)(113) |
|
310 |
Other intangible assets |
BAD art 4.Assets(9) |
IAS 38.8,118 |
|
320 |
Tax assets |
|
IAS 1.54(n-o) |
|
330 |
Current tax assets |
|
IAS 1.54(n); IAS 12.5 |
|
340 |
Deferred tax assets |
Accounting Directive art 17(1)(f); CRR art 4(1)(106) |
IAS 1.54(o); IAS 12.5; CRR art 4(1)(106) |
|
350 |
Other assets |
Annex V.Part 2.5, 6 |
Annex V.Part 2.5 |
|
360 |
Non-current assets and disposal groups classified as held for sale |
|
IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6 |
|
365 |
(-) Haircuts for trading assets valued at fair value |
Annex V Part 1.29 |
|
|
370 |
TOTAL ASSETS |
BAD art 4 Assets |
IAS 1.9(a), IG 6 |
|
17.2 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Accounting scope of consolidation [Nominal amount] |
|
Annex V.Part 2.118, 209 |
||||
010 |
||||
010 |
Loan commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113 |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 |
|
020 |
Financial guarantees given |
CRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114 |
IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 |
|
030 |
Other Commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115 |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 |
|
040 |
OFF-BALANCE SHEET EXPOSURES |
|
|
|
17.3 Liabilities and equity
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Accounting scope of consolidation [Carrying amount] |
|
Annex V.Part 1.27-28, Part 2.209 |
||||
010 |
||||
010 |
Financial liabilities held for trading |
|
IFRS 7.8 (e) (ii); IFRS 9.BA.6 |
|
020 |
Derivatives |
|
IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) |
|
030 |
Short positions |
|
IFRS 9.BA7(b) |
|
040 |
Deposits |
|
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
050 |
Debt securities issued |
|
Annex V.Part 1.37 |
|
060 |
Other financial liabilities |
|
Annex V.Part 1.38-41 |
|
061 |
Trading financial liabilities |
Accounting Directive art 8(1)(a),(3),(6) |
|
|
062 |
Derivatives |
CRR Annex II; Annex V.Part 1.25, 27 |
|
|
063 |
Short positions |
|
|
|
064 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
065 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
066 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
070 |
Financial liabilities designated at fair value through profit or loss |
Accounting Directive art 8(1)(a), (6); IAS 39.9 |
IFRS 7.8 (e)(i); IFRS 9.4.2.2 |
|
080 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
090 |
Debt securities issued |
Annex V.Part 1.37 |
Annex V.Part 1.37 |
|
100 |
Other financial liabilities |
Annex V.Part 1.38-41 |
Annex V.Part 1.38-41 |
|
110 |
Financial liabilities measured at amortised cost |
Accounting Directive art 8(3), (6); IAS 39.47 |
IFRS 7.8(g); IFRS 9.4.2.1 |
|
120 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30 |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
130 |
Debt securities issued |
Annex V.Part 1.31 |
Annex V.Part 1.37 |
|
140 |
Other financial liabilities |
Annex V.Part 1.32-34 |
Annex V.Part 1.38-41 |
|
141 |
Non-trading non-derivative financial liabilities measured at a cost-based method |
Accounting Directive art 8(3) |
|
|
142 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
143 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
144 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
150 |
Derivatives – Hedge accounting |
Accounting Directive art 8(1)(a), (6), (8)(a); Annex V.Part 1.26 |
IFRS 9.6.2.1; Annex V.Part 1.26 |
|
160 |
Fair value changes of the hedged items in portfolio hedge of interest rate risk |
Accounting Directive art 8(5), (6); Annex V.Part 2.8; IAS 39.89A(b) |
IAS 39.89A(b), IFRS 9.6.5.8 |
|
170 |
Liabilities under insurance and reinsurance contracts |
Annex V.Part 2.212 |
IFRS 4.IG20(a); Annex V.Part 2.212 |
|
180 |
Provisions |
BAD art 4.Liabilities(6) |
IAS 37.10; IAS 1.54(l) |
|
190 |
Tax liabilities |
|
IAS 1.54(n-o) |
|
200 |
Current tax liabilities |
|
IAS 1.54(n); IAS 12.5 |
|
210 |
Deferred tax liabilities |
Accounting Directive art 17(1)(f); CRR art 4(1)(108) |
IAS 1.54(o); IAS 12.5; CRR art 4(1)(108) |
|
220 |
Share capital repayable on demand |
|
IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12 |
|
230 |
Other liabilities |
Annex V.Part 2.13 |
Annex V.Part 2.13 |
|
240 |
Liabilities included in disposal groups classified as held for sale |
|
IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 |
|
245 |
Haircuts for trading liabilities valued at fair value |
Annex V Part 1.29 |
|
|
250 |
LIABILITIES |
|
IAS 1.9(b);IG 6 |
|
260 |
Capital |
BAD art 4.Liabilities(9), BAD art 22 |
IAS 1.54(r), BAD art 22 |
|
270 |
Share premium |
BAD art 4.Liabilities(10); CRR art 4(124) |
IAS 1.78(e); CRR art 4(1)(124) |
|
280 |
Equity instruments issued other than capital |
Annex V.Part 2.18-19 |
Annex V.Part 2.18-19 |
|
290 |
Other equity |
Annex V.Part 2.20 |
IFRS 2.10; Annex V.Part 2.20 |
|
300 |
Accumulated other comprehensive income |
CRR art 4(1)(100) |
CRR art 4(1)(100) |
|
310 |
Retained earnings |
CRR art 4(1)(123) |
CRR art 4(1)(123) |
|
320 |
Revaluation reserves |
BAD art 4.Liabilities(12) |
IFRS 1.33, D5-D8 |
|
325 |
Fair value reserves |
Accounting Directive art 8(1)(a) |
|
|
330 |
Other reserves |
BAD art 4.Liabilities (11)-(13) |
IAS 1.54; IAS 1.78 (e) |
|
335 |
First consolidation differences |
Accounting Directive art 24(3)(c) |
|
|
340 |
(-) Treasury shares |
Accounting Directive Annex III Annex III Assets D(III)(2); BAD art 4 Assets (12); Annex V.Part 2.20 |
IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.28 |
|
350 |
Profit or loss attributable to owners of the parent |
BAD art 4.Liabilities(14) |
IFRS 10.B94 |
|
360 |
(-) Interim dividends |
CRR Article 26 (2) |
IAS 32.35 |
|
370 |
Minority interests [Non-controlling interests] |
Accounting Directive art 24(4) |
IAS 1.54(q); IFRS 10.22, .B94 |
|
380 |
TOTAL EQUITY |
|
IAS 1.9(c), IG 6 |
|
390 |
TOTAL EQUITY AND TOTAL LIABILITIES |
BAD art 4.Liabilities |
IAS 1.IG6 |
|
18. Information on performing and non-performing exposures
|
|
|
Gross carrying amount / Nominal amount |
Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions |
Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 |
||||||||||||||||||||
|
Performing |
Non-performing |
|
Performing exposures - Accumulated impairment and provisions |
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions |
Collateral received and financial guarantees received |
|||||||||||||||||||
|
Not past due or Past due <= 30 days |
Past due > 30 days <= 90 days |
|
Unlikely to pay that are not past-due or past-due < = 90 days |
Past due > 90 days <= 180 days |
Past due > 180 days <= 1 year |
Past due > 1 year <= 5 years |
Past due > 5 years |
Of which: defaulted |
Of which: impaired |
|
Unlikely to pay that are not past-due or past-due < = 90 days |
Past due > 90 days <= 180 days |
Past due > 180 days <= 1 year |
Past due > 1 year < = 5 year |
Past due > 5 years |
Collateral received on non-performing exposues |
Financial guarantees received on non-performing exposures |
|||||||
010 |
020 |
030 |
055 |
060 |
070 |
080 |
090 |
100 |
105 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
195 |
200 |
210 |
||||
References National GAAP compatible IFRS |
Annex V. Part 1.34, Part 2.118, 221 |
Annex V. Part 2. 213-216, 223-239 |
Annex V. Part 2. 222, 235 |
Annex V. Part 2. 222, 235 |
Annex V. Part 2. 213-216, 223-239 |
Annex V. Part 2. 222, 235-236 |
Annex V. Part 2. 222, 235-236 |
Annex V. Part 2. 222, 235-236 |
Annex V. Part 2. 222, 235-236 |
Annex V. Part 2. 222, 235-236 |
CRR art 178; Annex V.Part 2.238(b) |
IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.237(a) |
Annex V. Part 2. 238 |
Annex V. Part 2. 238 |
Annex V. Part 2. 238 |
Annex V. Part 2. 236, 238 |
Annex V. Part 2. 236, 238 |
Annex V. Part 2. 236, 238 |
Annex V. Part 2. 236, 238 |
Annex V. Part 2. 236, 238 |
Annex V. Part 2. 239 |
Annex V. Part 2. 239 |
|||
References National GAAP based on BAD |
|
Annex V. Part 1.34, Part 2.118, 221 |
Annex V. Part 2. 213-216, 223-239 |
Annex V. Part 2. 222, 235 |
Annex V. Part 2. 222, 235 |
Annex V. Part 2. 213-216, 223-239 |
Annex V. Part 2. 222, 235-236 |
Annex V. Part 2. 222, 235-236 |
Annex V. Part 2. 222, 235-236 |
Annex V. Part 2. 222, 235-236 |
Annex V. Part 2. 222, 235-236 |
CRR art 178; Annex V.Part 2.238(b) |
CRR art 4(95); Annex V.Part 2.237(a) |
Annex V. Part 2. 238 |
Annex V. Part 2. 238 |
Annex V. Part 2. 238 |
Annex V. Part 2. 236, 238 |
Annex V. Part 2. 236, 238 |
Annex V. Part 2. 236, 238 |
Annex V. Part 2. 236, 238 |
Annex V. Part 2. 236, 238 |
Annex V. Part 2. 239 |
Annex V. Part 2. 239 |
||
010 |
Debt securities |
Annex V.Part 1.31, 44(b) |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
020 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
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|
050 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
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|
|
060 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
|
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|
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|
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|
070 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
Annex V.Part 1.32, 44(a) |
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|
080 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
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|
090 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
|
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|
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|
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|
100 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
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|
110 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
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120 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
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130 |
Of which: Small and Medium-sized Enterprises |
SME Art 1 2(a) |
SME Art 1 2(a) |
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140 |
Of which: Loans collateralised by commercial immovable property |
Annex V.Part 2.86(a), 87 |
Annex V.Part 2.86(a), 87 |
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150 |
Households |
Annex V.Part 1.42(f) |
Annex V.Part 1.42(f) |
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160 |
Of which: Loans collateralised by residential immovable property |
Annex V.Part 2.86(a), 87 |
Annex V.Part 2.86(a), 87 |
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170 |
Of which: Credit for consumption |
Annex V.Part 2.88(a) |
Annex V.Part 2.88(a) |
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180 |
DEBT INSTRUMENTS AT COST OR AT AMORTISED COST |
Annex V.Part 2.233(a) |
Annex V.Part 2.233(a) |
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181 |
Debt securities |
Annex V.Part 1.31, 44(b) |
Annex V.Part 1.31, 44(b) |
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182 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
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183 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
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184 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
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185 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
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186 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
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191 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
Annex V.Part 1.32, 44(a) |
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192 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
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193 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
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194 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
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195 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
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196 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
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197 |
Households |
Annex V.Part 1.42(f) |
Annex V.Part 1.42(f) |
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201 |
DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENT |
Annex V.Part 2.233(b) |
Annex V.Part 2.233(b) |
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211 |
Debt securities |
Annex V.Part 1.31, 44(b) |
Annex V.Part 1.31, 44(b) |
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212 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
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213 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
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214 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
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215 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
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216 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
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221 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
Annex V.Part 1.32, 44(a) |
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222 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
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223 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
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224 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
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225 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
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226 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
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227 |
Households |
Annex V.Part 1.42(f) |
Annex V.Part 1.42(f) |
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231 |
DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENT |
Annex V.Part 2.233(c), 234 |
Annex V.Part 2.233(c), 234 |
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330 |
DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING |
Annex V.Part 2.217 |
Annex V.Part 2.217 |
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335 |
DEBT INSTRUMENTS HELD FOR SALE |
|
Annex V.Part 2.220 |
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|
340 |
Loan commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113, 224 |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116, 224 |
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350 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
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360 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
|
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|
370 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
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|
380 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
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390 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
|
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400 |
Households |
Annex V.Part 1.42(f) |
Annex V.Part 1.42(f) |
|
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|
410 |
Financial guarantees given |
CRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114, 225 |
IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116, 225 |
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420 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
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430 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
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|
440 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
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450 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
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460 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
|
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|
470 |
Households |
Annex V.Part 1.42(f) |
Annex V.Part 1.42(f) |
|
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480 |
Other Commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115, 224 |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116, 224 |
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490 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
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500 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
|
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|
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|
510 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
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|
|
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|
520 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
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|
530 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
|
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540 |
Households |
Annex V.Part 1.42(f) |
Annex V.Part 1.42(f) |
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550 |
OFF-BALANCE SHEET EXPOSURES |
Annex V.Part 2.217 |
Annex V.Part 2.217 |
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|
19. Information forborne exposures
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Gross carrying amount / nominal amount of exposures with forbearance measures |
Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions |
Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 |
||||||||||||||||
|
Performing exposures with forbearance measures |
Non-performing exposures with forbearance measures |
|
Perfoming exposures with forbearance measures - Accumulated impairment and provisions |
Non-performing exposures with forbearance measures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions |
Collateral received and financial guarantees received |
|||||||||||||||
|
Instruments with modifications in their terms and conditions |
Refinancing |
of which: Performing forborne exposures under probation reclassified from non-performing |
|
Instruments with modifications in their terms and conditions |
Refinancing |
of which: Defaulted |
of which: Impaired |
of which: Forbearance of exposures non-performing prior to forbearance |
|
Instruments with modifications in their terms and conditions |
Refinancing |
Collateral received on exposures with forbearance measures |
Financial guarantees received on exposures with forbearance measures |
|||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
||||
Annex V. Part 1.34, Part 2. 118, 240-245, 251-258 |
Annex V. Part 2. 256, 259-262 |
Annex V. Part 2.241(a), 266 |
Annex V. Part 2. 241 (b), 265-266 |
Annex V. Part 2. 256(b), 261 |
Annex V. Part 2. 259-263 |
Annex V. Part 2.241(a), 266 |
Annex V. Part 2. 241 (b), 265-266 |
CRR art 178; Annex V. Part 2.264(b) |
IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.264(a) |
Annex V. Part 2. 231, 252(a), 263 |
Annex V. Part 2. 267 |
Annex V. Part 2. 207 |
Annex V. Part 2. 207 |
Annex V. Part 2. 241(a), 267 |
Annex V. Part 2. 241(b), 267 |
Annex V. Part 2. 268 |
Annex V. Part 2. 268 |
||||
Annex V. Part 1.34, Part 2. 118, 240-245, 251-255 |
Annex V. Part 2. 256, 259-262 |
Annex V. Part 2.241(a), 266 |
Annex V. Part 2. 241 (b), 265-266 |
Annex V. Part 2. 256(b), 261 |
Annex V. Part 2. 259-263 |
Annex V. Part 2.241(a), 266 |
Annex V. Part 2. 241 (b), 265-266 |
CRR art 178; Annex V. Part 2.264(b) |
CRR art 4(95); Annex V.Part 2.264(a) |
Annex V. Part 2. 231, 252(a), 263 |
Annex V. Part 2. 267 |
Annex V. Part 2. 207 |
Annex V. Part 2. 207 |
Annex V. Part 2. 241(a), 267 |
Annex V. Part 2. 241(b), 267 |
Annex V. Part 2. 268 |
Annex V. Part 2. 268 |
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010 |
Debt securities |
Annex V.Part 1.31, 44(b) |
Annex V.Part 1.31, 44(b) |
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020 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
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030 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
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040 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
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050 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
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060 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
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070 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
Annex V.Part 1.32, 44(a) |
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080 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
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090 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
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100 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
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110 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
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120 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
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130 |
Of which: Small and Medium-sized Enterprises |
SME Art 1 2(a) |
SME Art 1 2(a) |
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140 |
Of which: Loans collateralised by commercial immovable property |
Annex V.Part 2.86(a), 87 |
Annex V.Part 2.86(a), 87 |
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150 |
Households |
Annex V.Part 1.42(f) |
Annex V.Part 1.42(f) |
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160 |
Of which: Loans collateralised by residential immovable property |
Annex V.Part 2.86(a), 87 |
Annex V.Part 2.86(a), 87 |
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170 |
Of which: Credit for consumption |
Annex V.Part 2.88(a) |
Annex V.Part 2.88(a) |
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180 |
DEBT INSTRUMENTS AT COST OR AT AMORTISED COST |
Annex V.Part 2.249(a) |
Annex V.Part 2.249(a) |
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181 |
Debt securities |
Annex V.Part 1.31, 44(b) |
Annex V.Part 1.31, 44(b) |
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182 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
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183 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
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184 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
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185 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
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186 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
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191 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
Annex V.Part 1.32, 44(a) |
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192 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
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193 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
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194 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
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195 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
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196 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
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197 |
Households |
Annex V.Part 1.42(f) |
Annex V.Part 1.42(f) |
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201 |
DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENT |
Annex V.Part 2.249(b) |
Annex V.Part 2.249(b) |
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211 |
Debt securities |
Annex V.Part 1.31, 44(b) |
Annex V.Part 1.31, 44(b) |
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212 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
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213 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
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214 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
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215 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
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216 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
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221 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
Annex V.Part 1.32, 44(a) |
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222 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
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223 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
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224 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
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225 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
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226 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
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227 |
Households |
Annex V.Part 1.42(f) |
Annex V.Part 1.42(f) |
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231 |
DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENT |
Annex V.Part 2.249(c) |
Annex V.Part 2.249(c) |
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330 |
DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING |
Annex V.Part 2.246 |
Annex V.Part 2.246 |
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335 |
DEBT INSTRUMENTS HELD FOR SALE |
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Annex V.Part 2.247 |
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340 |
Loan commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113, 246 |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116, 246 |
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20. Geographical breakdown
20.1 Geographical breakdown of assets by location of the activities
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References National GAAP based on BAD |
References National GAAP compatible IFRS |
Carrying amount Annex V.Part 1.27-28 |
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Domestic activitivies |
Non-domestic activities |
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Annex V.Part 2.270 |
Annex V.Part 2.270 |
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010 |
020 |
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010 |
Cash, cash balances at central banks and other demand deposits |
BAD art 4.Assets(1) |
IAS 1.54 (i) |
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020 |
Cash on hand |
Annex V.Part 2.1 |
Annex V.Part 2.1 |
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030 |
Cash balances at central banks |
BAD art 13(2); Annex V.Part 2.2 |
Annex V.Part 2.2 |
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040 |
Other demand deposits |
Annex V.Part 2.3 |
Annex V.Part 2.3 |
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050 |
Financial assets held for trading |
Accounting Directive art 8(1)(a), (5); IAS 39.9 |
IFRS 9. Appendix A |
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060 |
Derivatives |
CRR Annex II |
IFRS 9. Appendix A |
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070 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
IAS 32.11 |
|
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080 |
Debt securities |
Annex V.Part 1.24, 26 |
Annex V.Part 1.31 |
|
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090 |
Loans and advances |
Annex V.Part 1.24, 27 |
Annex V.Part 1.32 |
|
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091 |
Trading financial assets |
BAD Article 32-33; Annex V.Part 1.17 |
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092 |
Derivatives |
CRR Annex II; Annex V.Part 1.17, 27 |
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093 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
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094 |
Debt securities |
Annex V.Part 1.31 |
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095 |
Loans and advances |
Annex V.Part 1.32 |
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096 |
Non-trading financial assets mandatorily at fair value through profit or loss |
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IFRS 7.8(a)(ii); IFRS 9.4.1.4 |
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097 |
Equity instruments |
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IAS 32.11 |
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098 |
Debt securities |
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Annex V.Part 1.31 |
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099 |
Loans and advances |
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Annex V.Part 1.32 |
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100 |
Financial assets designated at fair value through profit or loss |
Accounting Directive art 8(1)(a), (6) |
IFRS 7.8(a)(i); IFRS 9.4.1.5 |
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110 |
Equity instruments |
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IAS 32.11;ECB/2013/33 Annex 2.Part 2.4-5 |
|
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120 |
Debt securities |
Annex V.Part 1.31 |
Annex V.Part 1.31 |
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130 |
Loans and advances |
Annex V.Part 1.32 |
Annex V.Part 1.32 |
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141 |
Financial assets at fair value through other comprehensive income |
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IFRS 7.8(h); IFRS 9.4.1.2A |
|
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142 |
Equity instruments |
|
IAS 32.11 |
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143 |
Debt securities |
|
Annex V.Part 1.31 |
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144 |
Loans and advances |
|
Annex V.Part 1.32 |
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171 |
Non-trading non-derivative financial assets measured at fair value through profit or loss |
BAD art 36(2) |
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172 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
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173 |
Debt securities |
Annex V.Part 1.31 |
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174 |
Loans and advances |
Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 |
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175 |
Non-trading non-derivative financial assets measured at fair value to equity |
Accounting Directive art 8(1)(a), (8) |
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176 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
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177 |
Debt securities |
Annex V.Part 1.31 |
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178 |
Loans and advances |
Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 |
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181 |
Financial assets at amortised cost |
|
IFRS 7.8(f); IFRS 9.4.1.2 |
|
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182 |
Debt securities |
|
Annex V.Part 1.31 |
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183 |
Loans and advances |
|
Annex V.Part 1.32 |
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231 |
Non-trading non-derivative financial assets measured at a cost-based method |
BAD art 35;Accounting Directive Article 6(1)(i) and Article 8(2); Annex V.Part1.18, 19 |
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330 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
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232 |
Debt securities |
Annex V.Part 1.31 |
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233 |
Loans and advances |
Annex V.Part 1.32 |
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234 |
Other non-trading non-derivative financial assets |
BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20 |
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235 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
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236 |
Debt securities |
Annex V.Part 1.31 |
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237 |
Loans and advances |
Annex V.Part 1.32 |
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240 |
Derivatives – Hedge accounting |
Accounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22 |
IFRS 9.6.2.1; Annex V.Part 1.22 |
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250 |
Fair value changes of the hedged items in portfolio hedge of interest rate risk |
Accounting Directive art 8(5), (6); IAS 39.89A (a) |
IAS 39.89A(a); IFRS 9.6.5.8 |
|
|
260 |
Tangible assets |
BAD art 4.Assets(10) |
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270 |
Intangible assets |
BAD art 4.Assets(9); CRR art 4(1)(115) |
IAS 1.54(c); CRR art 4(1)(115) |
|
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280 |
Investments in subsidaries, joint ventures and associates |
BAD art 4.Assets(7)-(8); Accounting Directive art 2(2); Annex V.Part 1.21, Part 2.4 |
IAS 1.54(e); Annex V.Part 1.21, Part 2.4 |
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290 |
Tax assets |
|
IAS 1.54(n-o) |
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300 |
Other assets |
Annex V.Part 2.5, 6 |
Annex V.Part 2.5 |
|
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310 |
Non-current assets and disposal groups classified as held for sale |
|
IAS 1.54(j); IFRS 5.38, Annex V.Part 2.7 |
|
|
315 |
(-) Haircuts for trading assets valued at fair value |
Annex V Part 1.29 |
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320 |
ASSETS |
BAD art 4 Assets |
IAS 1.9(a), IG 6 |
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20.2 Geographical breakdown of liabilities by location of the activities
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Carrying amount Annex V.Part 1.27-28 |
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Domestic activitivies |
Non-domestic activities |
||||
Annex V.Part 2.270 |
Annex V.Part 2.270 |
||||
010 |
020 |
||||
010 |
Financial liabilities held for trading |
|
IFRS 7.8 (e) (ii); IFRS 9.BA.6 |
|
|
020 |
Derivatives |
|
IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) |
|
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030 |
Short positions |
|
IFRS 9.BA7(b) |
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040 |
Deposits |
|
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
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050 |
Debt securities issued |
|
Annex V.Part 1.37 |
|
|
060 |
Other financial liabilities |
|
Annex V.Part 1.38-41 |
|
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061 |
Trading financial liabilities |
Accounting Directive art 8(1)(a),(3),(6) |
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062 |
Derivatives |
CRR Annex II; Annex V.Part 1.25 |
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063 |
Short positions |
|
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064 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
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065 |
Debt securities issued |
Annex V.Part 1.37 |
|
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066 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
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070 |
Financial liabilities designated at fair value through profit or loss |
Accounting Directive art 8(1)(a), (6); IAS 39.9 |
IFRS 7.8 (e)(i); IFRS 9.4.2.2 |
|
|
080 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
090 |
Debt securities issued |
Annex V.Part 1.37 |
Annex V.Part 1.37 |
|
|
100 |
Other financial liabilities |
Annex V.Part 1.38-41 |
Annex V.Part 1.38-41 |
|
|
110 |
Financial liabilities measured at amortised cost |
Accounting Directive art 8(3), (6); IAS 39.47 |
IFRS 7.8(g); IFRS 9.4.2.1 |
|
|
120 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30 |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
130 |
Debt securities issued |
Annex V.Part 1.31 |
Annex V.Part 1.37 |
|
|
140 |
Other financial liabilities |
Annex V.Part 1.32-34 |
Annex V.Part 1.38-41 |
|
|
141 |
Non-trading non-derivative financial liabilities measured at a cost-based method |
Accounting Directive art 8(3) |
|
|
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142 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
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143 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
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144 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
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|
150 |
Derivatives – Hedge accounting |
Accounting Directive art 8(1)(a), (6), (8)(a); Annex V.Part 1.26 |
IFRS 9.6.2.1; Annex V.Part 1.26 |
|
|
160 |
Fair value changes of the hedged items in portfolio hedge of interest rate risk |
Accounting Directive art 8(5), (6); Annex V.Part 2.8; IAS 39.89A(b) |
IAS 39.89A(b), IFRS 9.6.5.8 |
|
|
170 |
Provisions |
BAD art 4.Liabilities(6) |
IAS 37.10; IAS 1.54(l) |
|
|
180 |
Tax liabilities |
|
IAS 1.54(n-o) |
|
|
190 |
Share capital repayable on demand |
|
IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12 |
|
|
200 |
Other liabilities |
Annex V.Part 2.13 |
Annex V.Part 2.13 |
|
|
210 |
Liabilities included in disposal groups classified as held for sale |
|
IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 |
|
|
215 |
Haircuts for trading liabilities valued at fair value |
Annex V Part 1.29 |
|
|
|
220 |
LIABILITIES |
|
IAS 1.9(b);IG 6 |
|
|
20.3 Geographical breakdown of statement of profit or loss items by location of the activities
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Current period |
||
Domestic activitivies |
Non-domestic activities |
||||
Annex V.Part 2.270 |
Annex V.Part 2.270 |
||||
010 |
020 |
||||
010 |
Interest income |
BAD art 27.Vertical layout(1); Annex V.Part 2.31 |
IAS 1.97; Annex V.Part 2.31 |
|
|
020 |
(Interest expenses) |
BAD art 27.Vertical layout(2); Annex V.Part 2.31 |
IAS 1.97; Annex V.Part 2.31 |
|
|
030 |
(Expenses on share capital repayable on demand) |
|
IFRIC 2.11 |
|
|
040 |
Dividend income |
BAD art 27.Vertical layout(3); Annex V.Part 2.40 |
Annex V.Part 2.40 |
|
|
050 |
Fee and commission income |
BAD art 27.Vertical layout(4) |
IFRS 7.20(c) |
|
|
060 |
(Fee and commission expenses) |
BAD art 27.Vertical layout(5) |
IFRS 7.20(c) |
|
|
070 |
Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net |
BAD art 27.Vertical layout(6) |
Annex V.Part 2.45 |
|
|
080 |
Gains or (-) losses on financial assets and liabilities held for trading, net |
BAD art 27.Vertical layout(6) |
IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 46 |
|
|
083 |
Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss |
|
IFRS 9.5.7.1 |
|
|
085 |
Gains or (-) losses on trading financial assets and liabilities, net |
BAD art 27.Vertical layout(6) |
|
|
|
090 |
Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net |
|
IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.44 |
|
|
095 |
Gains or (-) losses on non-trading financial assets and liabilities, net |
BAD art 27.Vertical layout(6) |
|
|
|
100 |
Gains or (-) losses from hedge accounting, net |
Accounting Directive art 8(1)(a), (6), (8) |
Annex V.Part 2.47-48 |
|
|
110 |
Exchange differences [gain or (-) loss], net |
BAD art 39 |
IAS 21.28, 52 (a) |
|
|
120 |
Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net |
BAD art 27.Vertical layout(13)-(14); Annex V Part 2.56 |
|
|
|
130 |
Gains or (-) losses on derecognition of non financial assets, net |
|
IAS 1.34 |
|
|
140 |
Other operating income |
BAD art 27.Vertical layout(7); Annex V.Part 2.314-316 |
Annex V.Part 2.314-316 |
|
|
150 |
(Other operating expenses) |
BAD art 27.Vertical layout(10); Annex V.Part 2.314-316 |
Annex V.Part 2.314-316 |
|
|
155 |
TOTAL OPERATING INCOME, NET |
|
|
|
|
160 |
(Administrative expenses) |
BAD art 27.Vertical layout(8) |
|
|
|
170 |
(Depreciation) |
|
IAS 1.102, 104 |
|
|
171 |
Modification gains or (-) losses, net |
|
IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49 |
|
|
175 |
(Increases or (-) decreases of the fund for general banking risks, net) |
BAD art 38.2 |
|
|
|
180 |
(Provisions or (-) reversal of provisions) |
|
IAS 37.59, 84; IAS 1.98(b)(f)(g) |
|
|
190 |
(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) |
BAD art 35-37, Annex V.Part 2.52, 53 |
IFRS 7.20(a)(viii); Annex V Part 2.51, 53 |
|
|
200 |
(Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates) |
BAD art 27.Vertical layout(13)-(14) |
IAS 28.40-43 |
|
|
210 |
(Impairment or (-) reversal of impairment on non-financial assets) |
|
IAS 36.126(a)(b) |
|
|
220 |
Negative goodwill recognised in profit or loss |
Accounting Directive art 24(3)(f) |
IFRS 3.Appendix B64(n)(i) |
|
|
230 |
Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates |
BAD art 27.Vertical layout(13)-(14) |
Annex V.Part 2.54 |
|
|
240 |
Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations |
|
IFRS 5.37; Annex V.Part 2.55 |
|
|
250 |
PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS |
|
IAS 1.102, IG 6; IFRS 5.33 A |
|
|
260 |
(Tax expense or (-) income related to profit or loss from continuing operations) |
BAD art 27.Vertical layout(15) |
IAS 1.82(d); IAS 12.77 |
|
|
270 |
PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS |
BAD art 27.Vertical layout(16) |
IAS 1, IG 6 |
|
|
275 |
Extraordinary profit or (-) loss after tax |
BAD art 27.Vertical layout(21) |
|
|
|
280 |
Profit or (-) loss after tax from discontinued operations |
|
IAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56 |
|
|
290 |
PROFIT OR (-) LOSS FOR THE YEAR |
BAD art 27.Vertical layout(23) |
IAS 1.81A(a) |
|
|
20.4 Geographical breakdown of assets by residence of the counterparty
z-axis |
Country of residence of the counterparty |
|
||||||||
|
||||||||||
|
|
|
|
Accumulated impairment |
Accumulated negative changes in fair value due to credit risk on non-performing exposures |
|||||
Gross carrying amount |
Of which: held for trading or trading |
of which: financial assets subject to impairment |
Of which: debt forbearance |
Of which: non-perfoming |
||||||
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Annex V.Part 1.34, Part 2.271, 275 |
Annex V.Part 1.15(a), 16(a), 17, Part 2.273 |
Annex V.Part 2.273 |
Annex V.Part 2.275 |
Annex V.Part 2.275 |
Annex V.Part 2.274 |
Annex V.Part 2.274 |
||
|
|
010 |
011 |
012 |
022 |
025 |
031 |
040 |
||
010 |
Derivatives |
CRR Annex II; Annex V.Part 2.272 |
IFRS 9 Appendix A, Annex V.Part 2.272 |
|
|
|
|
|
|
|
020 |
Of which: credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
030 |
Of which: other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
040 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b) |
IAS 32.11 |
|
|
|
|
|
|
|
050 |
Of which: credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
060 |
Of which: other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
070 |
Of which: non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
080 |
Debt securities |
Annex V.Part 1.31, 44(b) |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
090 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
100 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
110 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
120 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
130 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
140 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
150 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
160 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
170 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
180 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
190 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
200 |
Of which: Small and Medium-sized Enterprises |
SME Art 1 2(a) |
SME Art 1 2(a) |
|
|
|
|
|
|
|
210 |
Of which: Loans collateralized by commercial immovable property |
Annex V.Part 2.86(a), 87 |
Annex V.Part 2.86(a), 87 |
|
|
|
|
|
|
|
220 |
Households |
Annex V.Part 1.42(f) |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
230 |
Of which: Loans collateralized by residential immovable property |
Annex V.Part 2.86(a), 87 |
Annex V.Part 2.86(a), 87 |
|
|
|
|
|
|
|
240 |
Of which: Credit for consumption |
Annex V.Part 2.88(a) |
Annex V.Part 2.88(a) |
|
|
|
|
|
|
|
20.5 Geographical breakdown of off-balance sheet exposures by residence of the counterparty
z-axis |
Country of residence of the counterparty |
|
|||||
|
|||||||
|
|
|
|
Provisions for commitments and guarantees given |
|||
Nominal amount |
Of which: debt forbearance |
Of which: non-perfoming |
|||||
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Annex V.Part 2.118, 271 |
Annex V.Part 2.240-258 |
Annex V.Part 2.275 |
Annex V.Part 2.276 |
||
|
|
010 |
022 |
025 |
030 |
||
010 |
Loan commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113 |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 |
|
|
|
|
020 |
Financial guarantees given |
CRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114 |
IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 |
|
|
|
|
030 |
Other Commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115 |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 |
|
|
|
|
20.6 Geographical breakdown of liabilities by residence of the counterparty
z-axis |
Country of residence of the counterparty |
|
||
|
||||
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Carrying amount |
|
Annex V.Part 1.27-28, 2.271 |
||||
010 |
||||
010 |
Derivatives |
CRR Annex II; Annex V.Part 1.24(a), 25, 26, 44(e), Part 2.272 |
IFRS 9 Appendix A, Annex V.Part 1.44(e), Part 2.272 |
|
020 |
Of which: credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
030 |
Of which: other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
|
040 |
Short positions |
Annex V.Part 1.44(d) |
IFRS 9.BA7(b); Annex V.Part 1.44(d) |
|
050 |
Of which: credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
060 |
Of which: other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
|
070 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
080 |
Central banks |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(a) |
|
090 |
General governments |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(b) |
|
100 |
Credit institutions |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(c) |
|
110 |
Other financial corporations |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(d) |
|
120 |
Non-financial corporations |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(e) |
|
130 |
Households |
Annex V.Part 1.42(f) |
Annex V.Part 1.42(f) |
|
20.7.1 Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes
z-axis |
Country of residence of the counterparty |
|
|||||
|
|||||||
|
|
Non-financial corporations Annex V. Part 2.271, 277 |
|||||
References |
|
Accumulated impairment |
Accumulated negative changes in fair value due to credit risk on non-performing exposures |
||||
Gross carrying amount |
of which: loans and advances subject to impairment |
Of which: non-performing |
|||||
Annex V.Part 1.34, Part 2.275 |
Annex V.Part 2.273 |
Annex V.Part 2.275 |
Annex V.Part 2.274 |
Annex V.Part 2.274 |
|||
010 |
011 |
012 |
021 |
022 |
|||
010 |
A Agriculture, forestry and fishing |
NACE Regulation |
|
|
|
|
|
020 |
B Mining and quarrying |
NACE Regulation |
|
|
|
|
|
030 |
C Manufacturing |
NACE Regulation |
|
|
|
|
|
040 |
D Electricity, gas, steam and air conditioning supply |
NACE Regulation |
|
|
|
|
|
050 |
E Water supply |
NACE Regulation |
|
|
|
|
|
060 |
F Construction |
NACE Regulation |
|
|
|
|
|
070 |
G Wholesale and retail trade |
NACE Regulation |
|
|
|
|
|
080 |
H Transport ans storage |
NACE Regulation |
|
|
|
|
|
090 |
I Accommodation and food service activities |
NACE Regulation |
|
|
|
|
|
100 |
J Information and communication |
NACE Regulation |
|
|
|
|
|
105 |
K Financial and insurance activities |
NACE Regulation |
|
|
|
|
|
110 |
L Real estate activities |
NACE Regulation |
|
|
|
|
|
120 |
M Professional, scientific and technical activities |
NACE Regulation |
|
|
|
|
|
130 |
N Administrative and support service activities |
NACE Regulation |
|
|
|
|
|
140 |
O Public administration and defence, compulsory social security |
NACE Regulation |
|
|
|
|
|
150 |
P Education |
NACE Regulation |
|
|
|
|
|
160 |
Q Human health services and social work activities |
NACE Regulation |
|
|
|
|
|
170 |
R Arts, entertainment and recreation |
NACE Regulation |
|
|
|
|
|
180 |
S Other services |
NACE Regulation |
|
|
|
|
|
190 |
LOANS AND ADVANCES |
Annex V.Part 1.32 |
|
|
|
|
|
21. Tangible and intangible assets: assets subject to operating lease
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Carrying amount |
|
Annex V.Part 2.278-279 |
||||
010 |
||||
010 |
Property plant and equipment |
|
IAS 16.6; IAS 1.54(a) |
|
020 |
Revaluation model |
|
IAS 17.49; IAS 16.31, 73(a)(d) |
|
030 |
Cost model |
|
IAS 17.49; IAS 16.30, 73(a)(d) |
|
040 |
Investment property |
|
IAS 40.IN5; IAS 1.54(b) |
|
050 |
Fair value model |
|
IAS 17.49; IAS 40.33-55, 76 |
|
060 |
Cost model |
|
IAS 17.49; IAS 40.56,79(c) |
|
070 |
Other intangible assets |
BAD art 4.Assets(9) |
IAS 38.8, 118 |
|
080 |
Revaluation model |
|
IAS 17.49; IAS 38.75-87, 124(a)(ii) |
|
090 |
Cost model |
|
IAS 17.49; IAS 38.74 |
|
22. Asset management, custody and other service functions
22.1 Fee and commission income and expenses by activity
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Current period |
|
Annex V.Part 2.280 |
||||
BAD art 27.Vertical layout(4), (5) |
IFRS 7.20(c ) |
010 |
||
010 |
Fee and commission income |
|
Annex V.Part 2.281-283 |
|
020 |
Securities |
|
|
|
030 |
Issuances |
Annex V.Part 2.284(a) |
Annex V.Part 2.284(a) |
|
040 |
Transfer orders |
Annex V.Part 2.284(b) |
Annex V.Part 2.284(b) |
|
050 |
Other |
Annex V.Part 2.284(c) |
Annex V.Part 2.284(c) |
|
060 |
Clearing and settlement |
Annex V.Part 2.284(d) |
Annex V.Part 2.284(d) |
|
070 |
Asset management |
Annex V.Part 2.284(e); 285(a) |
Annex V.Part 2.284(e); 285(a) |
|
080 |
Custody [by type of customer] |
Annex V.Part 2.284(e); 285(b) |
Annex V.Part 2.284(e); 285(b) |
|
090 |
Collective investment |
|
|
|
100 |
Other |
|
|
|
110 |
Central administrative services for collective investment |
Annex V.Part 2.284(e); 285(c) |
Annex V.Part 2.284(e); 285(c) |
|
120 |
Fiduciary transactions |
Annex V.Part 2.284(e); 285(d) |
Annex V.Part 2.284(e); 285(d) |
|
130 |
Payment services |
Annex V.Part 2.284(e), 285(e) |
Annex V.Part 2.284(e), 285(e) |
|
140 |
Customer resources distributed but not managed [by type of product] |
Annex V.Part 2.285(f) |
Annex V.Part 2.285(f) |
|
150 |
Collective investment |
|
|
|
160 |
Insurance products |
|
|
|
170 |
Other |
|
|
|
180 |
Structured Finance |
Annex V.Part 2.284(f) |
Annex V.Part 2.284(f) |
|
190 |
Loan servicing activities |
Annex V.Part 2.284(g) |
Annex V.Part 2.284(g) |
|
200 |
Loan commitments given |
Annex V.Part 2.284(h) |
IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(h) |
|
210 |
Financial guarantees given |
Annex V.Part 2.284(h) |
IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(h) |
|
220 |
Other |
Annex V.Part 2.284(j) |
Annex V.Part 2.284(j) |
|
230 |
(Fee and commission expenses) |
|
Annex V.Part 2.113-115 |
|
240 |
(Clearing and settlement) |
Annex V.Part 2.284(d) |
Annex V.Part 2.284(d) |
|
250 |
(Custody) |
Annex V.Part 2.285(b) |
Annex V.Part 2.285(b) |
|
260 |
(Loan servicing activities) |
Annex V.Part 2.284(g) |
Annex V.Part 2.284(g) |
|
270 |
(Loan commitments received) |
Annex V.Part 2.284(i) |
Annex V.Part 2.284(i) |
|
280 |
(Financial guarantees received) |
Annex V.Part 2.284(i) |
Annex V.Part 2.284(i) |
|
290 |
(Other) |
Annex V.Part 2.284(j) |
Annex V.Part 2.284(j) |
|
22.2 Assets involved in the services provided
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Amount of the assets involved in the services provided |
|
Annex V.Part 2.285(g) |
||||
010 |
||||
010 |
Asset management [by type of customer] |
Annex V.Part 2.285(a) |
Annex V.Part 2.285(a) |
|
020 |
Collective investment |
|
|
|
030 |
Pension funds |
|
|
|
040 |
Customer portfolios managed on a discretionary basis |
|
|
|
050 |
Other investment vehicles |
|
|
|
060 |
Custody assets [by type of customer] |
Annex V.Part 2.285(b) |
Annex V.Part 2.285(b) |
|
070 |
Collective investment |
|
|
|
080 |
Other |
|
|
|
090 |
Of which: entrusted to other entities |
|
|
|
100 |
Central administrative services for collective investment |
Annex V.Part 2.285(c) |
Annex V.Part 2.285(c) |
|
110 |
Fiduciary transactions |
Annex V.Part 2.285(d) |
Annex V.Part 2.285(d) |
|
120 |
Payment services |
Annex V.Part 2.285(e) |
Annex V.Part 2.285(e) |
|
130 |
Customer resources distributed but not managed [by type of product] |
Annex V.Part 2.285(f) |
Annex V.Part 2.285(f) |
|
140 |
Collective investment |
|
|
|
150 |
Insurance products |
|
|
|
160 |
Other |
|
|
|
30. Off-balance sheet activities: Interests in unconsolidated structured entities
30.1 Interests in unconsolidated structured entities
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Carrying amount of financial assets recognised in the balance sheet |
Of which: liquidity support drawn |
Fair value of liquidity support drawn |
Carrying amount of financial liabilities recognised in the balance sheet |
Nominal amount of off-balance sheet exposures given by the reporting institution |
Of which: Nominal amount of loan commitments given |
Losses incurred by the reporting institution in the current period |
|
IFRS 12.29(a) |
IFRS 12.29(a); Annex V.Part 2.286 |
|
IFRS 12.29(a) |
IFRS 12.B26(e) |
|
IFRS 12 B26(b); Annex V.Part 2.287 |
||||
010 |
020 |
030 |
040 |
050 |
060 |
080 |
||||
010 |
Total |
|
|
|
|
|
|
|
|
|
30.2 Breakdown of interests in unconsolidated structured entities by nature of the activities
By nature of the activities |
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Carrying amount |
|||
Securitisation Special Purpose Entities |
Asset management |
Other activities |
||||
CRR art 4(1)(66) |
Annex V.Part 2.285(a) |
|
||||
|
IFRS 12.24, B6.(a) |
010 |
020 |
030 |
||
010 |
Selected financial assets recognised in the reporting institution's balance sheet |
|
IFRS 12.29(a),(b) |
|
|
|
021 |
of which: non-performing |
Annex V.Part 2.213-239 |
Annex V.Part 2.213-239 |
|
|
|
030 |
Derivatives |
CRR Annex II; Annex V.Part 2.272 |
IFRS 9 Appendix A; Annex V.Part 2.272 |
|
|
|
040 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
IAS 32.11 |
|
|
|
050 |
Debt securities |
Annex V.Part 1.31 |
Annex V.Part 1.31 |
|
|
|
060 |
Loans and advances |
Annex V.Part 1.32 |
Annex V.Part 1.32 |
|
|
|
070 |
Selected equity and financial liabilites recognised in the reporting institution's balance sheet |
|
IFRS 12.29(a),(b) |
|
|
|
080 |
Equity instruments issued |
|
IAS 32.11 |
|
|
|
090 |
Derivatives |
CRR Annex II; Annex V.Part 1.24(a), 25, 26, Part 2.272 |
IFRS 9 Appendix A; Annex V.Part 2.272 |
|
|
|
100 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
110 |
Debt securities issued |
Annex V.Part 1.37 |
Annex V.Part 1.37 |
|
|
|
|
Nominal amount |
|||||
120 |
Off-balance sheet exposures given by the reporting institution |
CRR Annex I; Annex V.Part 2.112, 113-115, 118 |
IFRS 12.B26.(e); CRR Annex I; Annex V.Part 2.102-105, 113-115, 118 |
|
|
|
131 |
of which: non-performing |
Annex V.Part 2.117 |
Annex V.Part 2.117 |
|
|
|
31. Related parties
31.1 Related parties: amounts payable to and amounts receivable from
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Outstanding balances |
|||||
Parent and entities with joint control or significant influence |
Subsidiaries and other entities of the same group |
Associates and joint ventures |
Key management of the institution or its parent |
Other related parties |
||||
IAS 24.19(a),(b) |
IAS 24.19(c); Annex V.Part 2.289 |
IAS 24.19(d),(e); Annex V.Part 2.289 |
IAS 24.19(f) |
IAS 24.19(g) |
||||
Accounting Directive art 17(1)(p) |
Accounting Directive art 17(1)(p); Annex V.Part 2.289 |
Accounting Directive art 17(1)(p); Annex V.Part 2.289 |
Accounting Directive art 17(1)(p) |
Accounting Directive art 17(1)(p) |
||||
|
Annex V.Part 2.288-291 |
Annex V.Part 2.288-291 |
010 |
020 |
030 |
040 |
050 |
|
010 |
Selected financial assets |
|
IAS 24.18(b) |
|
|
|
|
|
020 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
IAS 32.11 |
|
|
|
|
|
030 |
Debt securities |
Annex V.Part 1.31 |
Annex V.Part 1.31 |
|
|
|
|
|
040 |
Loans and advances |
Annex V.Part 1.32 |
Annex V.Part 1.32 |
|
|
|
|
|
050 |
of which: non-performing |
Annex V. Part 2.213-239 |
Annex V. Part 2.213-239 |
|
|
|
|
|
060 |
Selected financial liabilities |
|
IAS 24.18(b) |
|
|
|
|
|
070 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
|
|
080 |
Debt securities issued |
Annex V.Part 1.37 |
Annex V.Part 1.37 |
|
|
|
|
|
090 |
Nominal amount of loan commitments, financial guarantees and other commitments given |
CRR Annex I; Annex V.Part 2.112, 113-115, 118 |
IAS 24.18(b); CRR Annex I; Annex V.Part 2.102-105, 113-115, 118 |
|
|
|
|
|
100 |
of which: non-performing |
Annex V. Part 2.117 |
IAS 24.18(b); Annex V. Part 2.117 |
|
|
|
|
|
110 |
Loan commitments, financial guarantees and other commitments received |
Annex V.Part 2.102-103, 113-115, 290 |
IAS 24.18(b); Annex V.Part 2.290 |
|
|
|
|
|
120 |
Notional amount of derivatives |
Annex V.Part 2.133-135 |
Annex V.Part 2.133-135 |
|
|
|
|
|
131 |
Accumulated impairment and accumulated negative changes in fair value due to credit risk on non-performing exposures |
Annex V.Part 2.69-71, 291 |
IAS 24.1(c); Annex V.Part 2.69-71, 291 |
|
|
|
|
|
132 |
Provisions on non-performing off-balance sheet exposures |
Annex V.Part 2.11, 106, 291 |
Annex V.Part 2.11, 106, 291 |
|
|
|
|
|
31.2 Related parties: expenses and income generated by transactions with
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Current period |
|||||
Parent and entities with joint control or significant influence |
Subsidiaries and other entities of the same group |
Associates and joint ventures |
Key management of the institution or its parent |
Other related parties |
||||
IAS 24.19(a),(b) |
IAS 24.19(c) |
IAS 24.19(d),(e) |
IAS 24.19(f) |
IAS 24.19(g) |
||||
|
|
|
|
|
||||
|
Annex V.Part 2.288-289, 292-293 |
Annex V.Part 2.288-289, 292-293 |
010 |
020 |
030 |
040 |
050 |
|
010 |
Interest income |
BAD art 27.Vertical layout(1); Annex V.Part 2.31 |
IAS 24.18(a); Annex V.Part 2.31 |
|
|
|
|
|
020 |
Interest expenses |
BAD art 27.Vertical layout(2); Annex V.Part 2.31 |
IAS 24.18(a); IAS 1.97; Annex V.Part 2.31 |
|
|
|
|
|
030 |
Dividend income |
BAD art 27.Vertical layout(3); Annex V.Part 2.40 |
IAS 24.18(a); Annex V.Part 2.40 |
|
|
|
|
|
040 |
Fee and commission income |
BAD art 27.Vertical layout(4) |
IAS 24.18(a); IFRS 7.20(c) |
|
|
|
|
|
050 |
Fee and commission expenses |
BAD art 27.Vertical layout(5) |
IAS 24.18(a); IFRS 7.20(c) |
|
|
|
|
|
060 |
Gains or (-) losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss |
BAD art 27.Vertical layout(6) |
IAS 24.18(a) |
|
|
|
|
|
070 |
Gains or (-) losses on de-recognition of other than financial assets |
Annex V.Part 2.292 |
IAS 24.18(a); Annex V.Part 2.292 |
|
|
|
|
|
080 |
Impairment or (-) reversal of impairment on non-performing exposures |
Annex V. Part 2.293 |
IAS 24.18(d); Annex V.Part 2.293 |
|
|
|
|
|
090 |
Provisions or (-) reversal of provisions on non-performing exposures |
Annex V. Part 2.50, 293 |
Annex V. Part 2.50, 293 |
|
|
|
|
|
40. Group structure
40.1 Group structure: ‘entity-by-entity’
LEI code |
Entity code |
Entity name |
Entry date |
Share capital of investee |
Equity of investee |
Total assets of investee |
Profit or (-) loss of investee |
Residence of investee |
Sector of investee |
NACE Code |
Accumulated equity interest [%] |
Voting rights [%] |
Group structure [relationship] |
Accounting treatment [Accounting Group] |
Accounting treatment [CRR Group] |
Carrying amount |
Acquisition cost |
Goodwill link to Investee |
Fair value of investments for which there are published price quotations |
Annex V.Part 2.294-295, 296(a) |
Annex V.Part 2.294-295, 296(b) |
IFRS 12.12(a), 21(a)(i); Annex V.Part 2.294-295, 296(c) |
Annex V.Part 2.294-295, 296(d) |
Annex V.Part 2.294-295, 296(e) |
IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f) |
IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f) |
IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f) |
IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.294-295, 296(g) |
Annex V.Part 2.294-295, 296(h) |
Annex V.Part 2.294-295, 296(i) |
IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(j) |
IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(k) |
IFRS 12.10(a)(i); Annex V.Part 2.294-295, 296(l) |
IFRS 12.21(b); Annex V.Part 2.294-295, 296(m) |
CRR art 18; Annex V.Part 2.294-295, 296(n) |
Annex V.Part 2.294-295, 296(0) |
Annex V.Part 2.294-295, 296(p) |
Annex V.Part 2.294-295, 296(q) |
IFRS 12.21(b)(iii); Annex V.Part 2.294-295, 296(r) |
Annex V.Part 2.294-295, 296(a) |
Annex V.Part 2.294-295, 296(b) |
Annex V.Part 2.294-295, 296(c) |
Annex V.Part 2.294-295, 296(d) |
Annex V.Part 2.294-295, 296(e) |
Annex V.Part 2.294-295, 296(f) |
Annex V.Part 2.294-295, 296(f) |
Annex V.Part 2.294-295, 296(f) |
Annex V.Part 2.294-295, 296(q) |
Annex V.Part 2.294-295, 296(h) |
Annex V.Part 2.294-295, 296(i) |
Annex V.Part 2.294-295, 296(j) |
Annex V.Part 2.294-295, 296(k) |
Annex V.Part 2.294-295, 296(l) |
Annex V.Part 2.294-295, 296(m) |
CRR art 423(b); Annex V.Part 2.294-295, 296(n) |
Annex V.Part 2.294-295, 296(0) |
Annex V.Part 2.294-295, 296(p) |
Annex V.Part 2.294-295, 296(q) |
Annex V.Part 2.294-295, 296(r) |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
095 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
40.2. Group structure: ‘instrument-by-instrument’
Security code |
Entity code |
Holding company LEI code |
Holding company code |
Holding company name |
Accumulated equity interest (%) |
Carrying amount |
Acquisition cost |
Annex V.Part 2.297(a) |
Annex V.Part 2.296(b), 297(c) |
Annex V.Part 2.297(b) |
Annex V.Part 2.297(b) |
|
Annex V.Part 2.296(j), 297(c) |
Annex V.Part 2.296(o), 297(c) |
Annex V.Part 2.296(p), 297(c) |
Annex V.Part 2.297(a) |
Annex V.Part 2.296(b), 297(c) |
Annex V.Part 2.297(b) |
Annex V.Part 2.297(b) |
|
Annex V.Part 2.296(j), 297(c) |
Annex V.Part 2.296(o), 297(c) |
Annex V.Part 2.296(p), 297(c) |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
|
|
|
|
|
|
|
|
41. Fair value
41.1 Fair value hierarchy: financial instruments at amortised cost
|
References National GAAP based on BAD Annex V.Part 2.298 |
References National GAAP compatible IFRS Annex V.Part 2.298 |
Fair value IFRS 7.25-26 |
Fair value hierarchy IFRS 13.97, 93(b) |
|||
Level 1 IFRS 13.76 |
Level 2 IFRS 13.81 |
Level 3 IFRS 13.86 |
|||||
ASSETS |
010 |
020 |
030 |
040 |
|||
015 |
Financial assets at amortised cost |
Accounting Directive art 8(4)(b), (6); IAS 39.9 |
IFRS 7.8(f); IFRS 9.4.1.2 |
|
|
|
|
016 |
Debt securities |
Annex V.Part 1.24, 26 |
Annex V.Part 1.31 |
|
|
|
|
017 |
Loans and advances |
Annex V.Part 1.24, 27 |
Annex V.Part 1.32 |
|
|
|
|
021 |
Non-trading non-derivative financial assets measured at a cost-based method |
BAD art 35;Accounting Directive Article 6(1)(i) and Article 8(2); Annex V.Part1.18, 19 |
|
|
|
|
|
022 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
|
|
|
|
023 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
024 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
031 |
Other non-trading non-derivative financial assets |
BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20 |
|
|
|
|
|
032 |
Equity instruments |
ECB/2013/33 Annex 2.Part 2.4-5 |
|
|
|
|
|
033 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
034 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
LIABILITIES |
|
|
|
|
|
|
|
070 |
Financial liabilities measured at amortised cost |
Accounting Directive art 8(3), (6); IAS 39.47 |
IFRS 7.8(g); IFRS 9.4.2.1 |
|
|
|
|
080 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30 |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
|
090 |
Debt securities issued |
Annex V.Part 1.31 |
Annex V.Part 1.37 |
|
|
|
|
100 |
Other financial liabilities |
Annex V.Part 1.32-34 |
Annex V.Part 1.38-41 |
|
|
|
|
101 |
Non-trading non-derivative financial liabilities measured at a cost-based method |
Accounting Directive art 8(3) |
|
|
|
|
|
102 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
|
|
103 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
|
|
|
104 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
|
|
|
41.2 Use of the Fair Value Option
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Carrying amount Annex V.Part 1.27-28 |
||||
Accounting mismatch |
Managed on a fair value basis |
Hybrid contracts |
Managed for credit risk |
||||
IFRS 9.B4.1.29 |
IFRS 9.B4.1.33 |
IFRS 9.4.3.6; IFRS 9.4.3.7; Annex V.Part 2.300 |
IFRS 9.6.7; IFRS 7.8(a)(e); Annex V.Part 2.301 |
||||
ASSETS |
010 |
020 |
030 |
040 |
|||
010 |
Financial assets designated at fair value through profit or loss |
Accounting Directive art 8(1)(a), (6) |
IFRS 7.8(a)(i); IFRS 9.4.1.5 |
|
|
|
|
030 |
Debt securities |
Annex V.Part 1.31 |
Annex V.Part 1.31 |
|
|
|
|
040 |
Loans and advances |
Annex V.Part 1.32 |
Annex V.Part 1.32 |
|
|
|
|
LIABILITIES |
|
|
|
|
|
|
|
050 |
Financial liabilities designated at fair value through profit or loss |
Accounting Directive art 8(1)(a), (6); IAS 39.9 |
IFRS 7.8 (e)(i); IFRS 9.4.2.2 |
|
|
|
|
060 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
|
070 |
Debt securities issued |
Annex V.Part 1.37 |
Annex V.Part 1.37 |
|
|
|
|
080 |
Other financial liabilities |
Annex V.Part 1.38-41 |
Annex V.Part 1.38-41 |
|
|
|
|
42. Tangible and intangible assets: carrying amount by measurement method
|
References National GAAP compatible IFRS Annex V.Part 2.302 |
Carrying amount |
|
010 |
|||
010 |
Property plant and equipment |
IAS 16.6; IAS 16.29; IAS 1.54(a) |
|
020 |
Revaluation model |
IAS 16.31, 73(a),(d) |
|
030 |
Cost model |
IAS 16.30, 73(a),(d) |
|
040 |
Investment property |
IAS 40.5, 30; IAS 1.54(b) |
|
050 |
Fair value model |
IAS 40.33-55, 76 |
|
060 |
Cost model |
IAS 40.56, 79(c) |
|
070 |
Other intangible assets |
IAS 38.8, 118, 122 ; Annex V.Part 2.303 |
|
080 |
Revaluation model |
IAS 38.75-87, 124(a)(ii) |
|
090 |
Cost model |
IAS 38.74 |
|
43. Provisions
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Carrying amount Annex V.Part 1.27-28 |
|||||||
Pensions and other post employment defined benefit obligations |
Other long term employee benefits |
Restructuring |
Pending legal issues and tax litigation |
Commitments and guarantees given under national GAAP |
Other commitments and guarantees given measured under IAS 37 and guarantees given measured under IFRS 4 |
Other provisions |
||||
IAS 19.63; IAS 1.78(d); Annex V.Part 2.9 |
IAS 19.153; IAS 1.78(d); Annex V.Part 2.10 |
IAS 37.70-83 |
IAS 37.14 |
|
IAS 37; IFRS 4; Annex V. Part 2.304-305 |
IAS 37.14 |
||||
Annex V.Part 2.9 |
Annex V.Part 2.10 |
|
|
BAD art 24-25, 33(1) |
|
|
||||
010 |
020 |
030 |
040 |
050 |
055 |
060 |
||||
010 |
Opening balance [carrying amount at the beginning of the period] |
|
IAS 37.84 (a) |
|
|
|
|
|
|
|
020 |
Additions, including increases in existing provisions |
|
IAS 37.84 (b) |
|
|
|
|
|
|
|
030 |
(-) Amounts used |
|
IAS 37.84 (c) |
|
|
|
|
|
|
|
040 |
(-) Unused amounts reversed during the period |
|
IAS 37.84 (d) |
|
|
|
|
|
|
|
050 |
Increase in the discounted amount [passage of time] and effect of any change in the discount rate |
|
IAS 37.84 (e) |
|
|
|
|
|
|
|
060 |
Other movements |
|
|
|
|
|
|
|
|
|
070 |
Closing balance [carrying amount at the end of the period] |
|
IAS 37.84 (a) |
|
|
|
|
|
|
|
44. Defined benefit plans and employee benefits
44.1 Components of net defined benefit plan assets and liabilities
|
References National GAAP compatible IFRS |
Amount |
|
Annex V.Part 2.306-307 |
|||
010 |
|||
010 |
Fair value of defined benefit plan assets |
IAS 19.140(a)(i), 142 |
|
020 |
Of which: Financial instruments issued by the institution |
IAS 19.143 |
|
030 |
Equity instruments |
IAS 19.142(b) |
|
040 |
Debt instruments |
IAS 19.142(c) |
|
050 |
Real estate |
IAS 19.142(d) |
|
060 |
Other defined benefit plan assets |
|
|
070 |
Present value of defined benefit obligations |
IAS 19.140(a)(ii) |
|
080 |
Effect of the asset ceiling |
IAS 19.140(a)(iii) |
|
090 |
Net defined benefit assets [Carrying amount] |
IAS 19.63; Annex V.Part 2.308 |
|
100 |
Provisions for pensions and other post-employment defined benefit obligations [Carrying amount] |
IAS 19.63, IAS 1.78(d); Annex V.Part 2.9 |
|
110 |
Memo item: Fair value of any right to reimbursement recognised as an asset |
IAS 19.140(b) |
|
44.2 Movements in defined benefit obligations
|
References National GAAP compatible IFRS |
Defined benefit obligations |
|
Annex V.Part 2.306, 309 |
|||
010 |
|||
010 |
Opening balance [present value] |
IAS 19.140(a)(ii) |
|
020 |
Current service cost |
IAS 19.141(a) |
|
030 |
Interest cost |
IAS 19.141(b) |
|
040 |
Contributions paid |
IAS 19.141(f) |
|
050 |
Actuarial (-) gains or losses from changes in demographic assumptions |
IAS 19.141(c)(ii) |
|
060 |
Actuarial (-) gains or losses from changes in financial assumptions |
IAS 19.141(c)(iii) |
|
070 |
Foreign currency exchange increase or (-) decrease |
IAS 19.141(e) |
|
080 |
Benefits paid |
IAS 19.141(g) |
|
090 |
Past service cost, including gains and losses arising from settlements |
IAS 19.141(d) |
|
100 |
Increase or (-) decrease through business combinations and disposals |
IAS 19.141(h) |
|
110 |
Other increases or (-) decreases |
|
|
120 |
Closing balance [present value] |
IAS 19.140(a)(ii); Annex V.Part 2.310 |
|
44.3 Memo items [related to staff expenses]
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Current period |
|
010 |
||||
010 |
Pension and similar expenses |
Annex V.Part 2.311(a) |
Annex V.Part 2.311(a) |
|
020 |
Share based payments |
Annex V.Part 2.311b) |
IFRS 2.44; Annex V.Part 2.311(b) |
|
45. Breakdown of selected items of statement of profit or loss
45.1 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Current period |
Changes in fair value due to credit risk |
|
|
Annex V.Part 2.312 |
||||
010 |
020 |
||||
010 |
Financial assets designated at fair value through profit or loss |
|
IFRS 7.20(a)(i); IFRS 9.4.1.5 |
|
|
020 |
Financial liabilities designated at fair value through profit or loss |
|
IFRS 7.20(a)(i); IFRS 9.4.2.2 |
|
|
030 |
GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS |
BAD art 27.Vertical layout(6) |
IFRS 7.20(a)(i) |
|
|
45.2 Gains or losses on derecognition of non-financial assets
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Current period |
|
Annex V.Part 2.313 |
||||
010 |
||||
020 |
Investment property |
|
IAS 40.69; IAS 1.34(a), 98(d) |
|
030 |
Intangible assets |
|
IAS 38.113-115A; IAS 1.34(a) |
|
040 |
Other assets |
|
IAS 1.34 (a) |
|
050 |
GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS |
|
IAS 1.34 |
|
45.3 Other operating income and expenses
|
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Income |
Expenses |
|
010 |
020 |
||||
010 |
Changes in fair value in tangible assets measured using the fair value model |
Annex V.Part 2.314 |
IAS 40.76(d); Annex V.Part 2.314 |
|
|
020 |
Investment property |
Annex V.Part 2.314 |
IAS 40.75(f); Annex V.Part 2.314 |
|
|
030 |
Operating leases other than investment property |
Annex V.Part 2.315 |
IAS 17.50, 51, 56(b); Annex V.Part 2.315 |
|
|
040 |
Other |
Annex V.Part 2.316 |
Annex V.Part 2.316 |
|
|
050 |
OTHER OPERATING INCOME OR EXPENSES |
Annex V.Part 2.314-316 |
Annex V.Part 2.314-316 |
|
|
46. Statement of changes in equity
Sources of equity changes |
References National GAAP based on BAD |
References National GAAP compatible IFRS |
Capital |
Share premium |
Equity instruments issued other than Capital |
Other equity |
Accumulated other comprehensive income |
Retained earnings |
Revaluation reserves |
Fair value reserves |
Other reserves |
First consolidation differences |
(-) Treasury shares |
Profit or (-) loss atributable to owners of the parent |
(-) Interim dividends |
Minority interests |
Total |
||
Accumulated Other Comprehensive Income |
Other items |
||||||||||||||||||
IAS 1.106, 54(r) |
IAS 1.106, 78(e) |
IAS 1.106, Annex V.Part 2.18-19 |
IAS 1.106; Annex V.Part 2.20 |
IAS 1.106 |
CRR art 4(1)(123) |
IFRS 1.30 D5-D8 |
|
IAS 1.106, 54(c) |
|
IAS 1.106; IAS 32.34, 33; Annex V.Part 2.30 |
IAS 1.106(a) |
IAS 1.106; IAS 32.35 |
IAS 1.54(q), 106(a) |
IAS 1.54(q), 106(a) |
IAS 1.9(c), IG6 |
||||
|
BAD art 4.Liabilities(9), BAD art 22 |
BAD art 4.Liabilities(10); CRR art 4(124) |
Annex V.Part 2.18-19 |
Annex V.Part 2.20 |
Accounting Directive art 8(1)(a), (6) |
BAD art 4 Liabilities (13); CRR art 4(123) |
|
BAD art 4.Liabilities(12) |
|
Accounting Directive 24(3)(c) |
Accounting Directive Annex III Annex III Assets D(III)(2); BAD art 4 Assets (12); Annex V.Part 2.30 |
BAD art 4.Liabilities(14) |
CRR Article 26(2b) |
Accounting Directive art 24(4) |
Accounting Directive art 24(4) |
|
|||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
075 |
080 |
085 |
090 |
100 |
110 |
120 |
130 |
140 |
||||
010 |
Opening balance [before restatement] |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
020 |
Effects of corrections of errors |
|
IAS 1.106.(b); IAS 8.42 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
Effects of changes in accounting policies |
|
IAS 1.106.(b); IAS 1.IG6; IAS 8.22 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
Opening balance [current period] |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
Issuance of ordinary shares |
|
IAS 1.106.(d).(iii) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
060 |
Issuance of preference shares |
|
IAS 1.106.(d).(iii) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
070 |
Issuance of other equity instruments |
|
IAS 1.106.(d).(iii) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
080 |
Exercise or expiration of other equity instruments issued |
|
IAS 1.106.(d).(iii) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
090 |
Conversion of debt to equity |
|
IAS 1.106.(d).(iii) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100 |
Capital reduction |
|
IAS 1.106.(d).(iii) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
Dividends |
|
IAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
120 |
Purchase of treasury shares |
|
IAS 1.106.(d).(iii); IAS 32.33 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
130 |
Sale or cancellation of treasury shares |
|
IAS 1.106.(d).(iii); IAS 32.33 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
140 |
Reclassification of financial instruments from equity to liability |
|
IAS 1.106.(d).(iii) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150 |
Reclassification of financial instruments from liability to equity |
|
IAS 1.106.(d).(iii) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
160 |
Transfers among components of equity |
|
IAS 1.106.(d).(iii); Annex V.Part 2.318 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
170 |
Equity increase or (-) decrease resulting from business combinations |
|
IAS 1.106.(d).(iii) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
180 |
Share based payments |
|
IAS 1.106.(d).(iii); IFRS 2.10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
190 |
Other increase or (-) decrease in equity |
|
IAS 1.106.(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
200 |
Total comprehensive income for the year |
|
IAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
210 |
Closing balance [current period] |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ANNEX V
REPORTING ON FINANCIAL INFORMATION
Table of contents |
|
General instructions |
|
1. |
References |
2. |
Conventions |
3. |
Consolidation |
4. |
Accounting portfolios of financial instruments |
4.1. |
Financial assets |
4.2. |
Financial liabilities |
5. |
Financial instruments |
5.1. |
Financial assets |
5.2. |
Gross carrying amount |
5.3. |
Financial liabilities |
6. |
Counterparty breakdown |
Template related instructions |
|
1. |
Balance sheet |
1.1. |
Assets (1.1) |
1.2. |
Liabilities (1.2) |
1.3. |
Equity (1.3) |
2. |
Statement of profit or loss (2) |
3. |
Statement of comprehensive income (3) |
4. |
Breakdown of financial assets by instrument and by counterparty sector (4) |
5. |
Breakdown of non-trading loans and advances by product (5) |
6. |
Breakdown of non-trading loans and advances to non-financial corporations by NACE codes (6) |
7. |
Financial assets subject to impairment that are past due (7) |
8. |
Breakdown of financial liabilities (8) |
9. |
Loan commitments, financial guarantees and other commitments (9) |
10. |
Derivatives and hedge accounting (10 and 11) |
10.1. |
Classification of derivatives by type of risk |
10.2. |
Amounts to be reported for derivatives |
10.3. |
Derivatives classified as ‘economic hedges’ |
10.4. |
Breakdown of derivatives by counterparty sector |
10.5. |
Hedge accounting under national GAAP (11.2) |
10.6. |
Amount to be reported for non-derivative hedging instruments (11.3 and 11.3.1) |
10.7. |
Hedged items in fair value hedges (11.4) |
11. |
Movements in allowances and provisions for credit losses (12) |
11.1. |
Movements in allowances for credit losses and impairment of equity instruments under national GAAP based on BAD (12.0) |
11.2. |
Movements in allowances and provisions for credit losses under IFRS (12.1) |
11.3. |
Transfers between impairment stages (gross basis presentation) (12.2) |
12. |
Collateral and guarantees received (13) |
12.1. |
Breakdown of collateral and guarantees by loans and advances other than held for trading(13.1) |
12.2. |
Collateral obtained by taking possession during the period [held at the reporting date] (13.2) |
12.3. |
Collateral obtained by taking possession [tangible assets] accumulated (13.3) |
13. |
Fair value hierarchy: Financial instruments at fair value (14) |
14. |
Derecognition and financial liabilities associated with transferred financial assets (15) |
15. |
Breakdown of selected statement of profit or loss items (16) |
15.1. |
Interest income and expenses by instrument and counterparty sector (16.1) |
15.2. |
Gains or losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss by instrument (16.2) |
15.3. |
Gains or losses on financial assets and liabilities held for trading by instrument (16.3) |
15.4. |
Gains or losses on financial assets and liabilities held for trading by risk (16.4) |
15.5. |
Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument (16.4.1) |
15.6. |
Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5) |
15.7. |
Gains or losses from hedge accounting (16.6) |
15.8. |
Impairment on non-financial assets (16.7) |
16. |
Reconciliation between accounting and CRR scope of consolidation (17) |
17. |
Non-performing exposures (18) |
18. |
Forborne exposures (19) |
19. |
Geographical breakdown (20) |
19.1. |
Geographical breakdown by location of activities (20.1-20.3) |
19.2. |
Geographical breakdown by residence of the counterparty (20.4-20.7) |
20. |
Tangible and intangible assets: assets subject to operating lease (21) |
21. |
Asset management, custody and other service functions (22) |
21.1. |
Fee and commission income and expenses by activity (22.1) |
21.2. |
Assets involved in the services provided (22.2) |
22. |
Interests in unconsolidated structured entities (30) |
23. |
Related parties (31) |
23.1. |
Related parties: amounts payable to and amounts receivable from (31.1) |
23.2. |
Related parties: expenses and income generated by transactions with (31.2) |
24. |
Group structure (40) |
24.1. |
Group structure: ‘entity-by-entity’ (40.1) |
24.2. |
Group structure: ‘instrument-by-instrument’ (40.2) |
25. |
Fair value (41) |
25.1. |
Fair value hierarchy: financial instruments at amortised cost (41.1) |
25.2. |
Use of fair value option (41.2) |
26. |
Tangible and intangible assets: carrying amount by measurement method (42) |
27. |
Provisions (43) |
28. |
Defined benefit plans and employee benefits (44) |
28.1. |
Components of net defined benefit plan assets and liabilities (44.1) |
28.2. |
Movements in defined benefit obligations (44.2) |
28.3. |
Memo items [related to staff expenses] (44.3) |
29. |
Breakdown of selected items of statement of profit or loss (45) |
29.1. |
Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio (45.1) |
29.2. |
Gains or losses on de-recognition of non-financial assets (45.2) |
29.3. |
Other operating income and expenses (45.3) |
30. |
Statement of changes in equity (46) |
Mapping of exposure classes and counterparty sectors |
PART 1
GENERAL INSTRUCTIONS
1. REFERENCES
1. This Annex contains additional instructions for the financial information templates (‘FINREP’) in Annexes III and IV to this Regulation. This Annex complements the instructions included in the form of references in the templates in Annexes III and IV.
2. Institutions that use national accounting standards compatible with IFRS (‘compatible national GAAP’) shall apply the common and IFRS instructions in this Annex, unless otherwise provided. This is without prejudice to the compliance of the compatible national GAAP requirements with the requirements of BAD. Institutions that use national GAAP non-compatible with IFRS or that have not yet been made compatible with the requirements in IFRS 9 shall apply the common and BAD instructions in this Annex, unless provided otherwise.
3. The data points identified in the templates shall be drawn up in accordance with the recognition, offsetting and valuation rules of the relevant accounting framework, as defined in Article 4(1)(77) of Regulation (EU) No 575/2013.
4. Institutions shall only submit those parts of the templates related to:
(a) assets, liabilities, equity, income and expenses that are recognised by the institution;
(b) off-balance sheet exposures and activities in which the institution is involved;
(c) transactions performed by the institution;
(d) valuation rules, including methods for the estimation of allowances for credit risk, applied by the institution.
5. For the purposes of Annexes III and IV as well as this Annex, the following abbreviations shall apply:
(a) ‘CRR’: Regulation (EU) No 575/2013
(b) ‘IAS’ or ‘IFRS’: ‘International Accounting Standards’, as defined in Article 2 of the IAS Regulation No 1606/2002 ( 5 ), which have been adopted by the Commission;
(c) ‘ECB BSI Regulation’ or ‘ECB/2013/33’: Regulation (EC) No 1071/2013 of the European Central Bank ( 6 );
(d) ‘NACE Regulation’: Regulation (EC) No 1893/2006 of the European Parliament and of the Council ( 7 );
(e) ‘NACE codes’: codes in NACE Regulation;
(f) ‘BAD’: Council Directive 86/635/EEC ( 8 );
(g) ‘Accounting Directive’: Directive 2013/34/EU ( 9 );
(h) ‘National GAAP’: national generally accepted accounting principles developed under BAD;
(i) ‘SME’: micro, small and medium-sized enterprises defined in Commission Recommendation C(2003)1422 ( 10 );
(j) ‘ISIN code’: the International Securities Identification Number assigned to securities, composed of 12 alphanumeric characters, which uniquely identifies a securities issue;
(k) ‘LEI code’: the global Legal Entity Identifier assigned to entities, which uniquely identifies a party to a financial transaction;
(l) ‘Impairment stages’: categories of impairment as defined in IFRS 9.5.5. ‘Stage 1’ refers to impairment measured in accordance with IFRS 9.5.5.5. ‘Stage 2’ refers to impairment measured in accordance with IFRS 9.5.5.3. ‘Stage 3’ refers to impairment on credit-impaired assets as defined in Appendix A of IFRS 9.
2. CONVENTIONS
6. For the purposes of Annexes III and IV, a data point shadowed in grey shall mean that this data point is not requested or that it is not possible to report it. In Annex IV, a row or a column with references shadowed in black means that the related data points shall not be submitted by those institutions that follow those references in that row or column.
7. Templates in Annexes III and IV include implicit validation rules which are laid down in the templates themselves through the use of conventions.
8. The use of brackets in the label of an item in a template means that this item is to be subtracted to obtain a total, but it does not mean that it shall be reported as negative.
9. Items that shall be reported in negative are identified in the compiling templates by including ‘(–)’ at the beginning of their label such as in ‘(–) Treasury shares’.
10. In the ‘Data Point Model’ (‘DPM’) for financial information reporting templates of Annexes III and IV, every data point (cell) has a ‘base item’ to which the ‘credit/debit’ attribute is allocated. This allocation ensures that all entities who report data points follow the ‘sign convention’ and allows to know the ‘credit/debit’ attribute that corresponds to each data point.
11. Schematically, this convention works as in Table 1.
Table 1
Credit/debit convention, positive and negative signs
Element |
Credit/Debit |
Balance/Movement |
Figure reported |
Assets |
Debit |
Balance on assets |
Positive (‘Normal’, no sign needed) |
Increase on assets |
Positive (‘Normal’, no sign needed) |
||
Negative balance on assets |
Negative (Minus ‘–’ sign needed) |
||
Decrease on assets |
Negative (Minus ‘–’ sign needed) |
||
Expenses |
Balance on expenses |
Positive (‘Normal’, no sign needed) |
|
Increase on expenses |
Positive (‘Normal’, no sign needed) |
||
Negative balance (including reversals) on expenses |
Negative (Minus ‘–’ sign needed) |
||
Decrease on expenses |
Negative (Minus ‘–’ sign needed) |
||
Liabilities |
Credit |
Balance on liabilities |
Positive (‘Normal’, no sign needed) |
Increase on liabilities |
Positive (‘Normal’, no sign needed) |
||
Negative balance on liabilities |
Negative (Minus ‘–’ sign needed) |
||
Decrease on liabilities |
Negative (Minus ‘–’ sign needed) |
||
Equity |
Balance on equity |
Positive (‘Normal’, no sign needed) |
|
Increase on equity |
Positive (‘Normal’, no sign needed) |
||
Negative balance on equity |
Negative (Minus ‘–’ sign needed) |
||
Decrease on equity |
Negative (Minus ‘–’ sign needed) |
||
Income |
Balance on income |
Positive (‘Normal’, no sign needed) |
|
Increase on income |
Positive (‘Normal’, no sign needed) |
||
Negative balance (including reversals) on income |
Negative (Minus ‘–’ sign needed) |
||
Decrease on income |
Negative (Minus ‘–’ sign needed) |
3. CONSOLIDATION
12. Unless specified otherwise in this Annex, FINREP templates shall be prepared using the prudential scope of consolidation in accordance with Part 1, Title II, Chapter 2, Section 2, of CRR. Institutions shall account for their subsidiaries, joint ventures and associates using the same methods as for prudential consolidation:
(a) institutions may be permitted or required to apply the equity method to investments in insurance and non-financial subsidiaries in accordance with Article 18(5) of CRR;
(b) institutions may be permitted to use the proportional consolidation method for financial subsidiaries in accordance with Article 18(2) of CRR;
(c) institutions may be required to use the proportional consolidation method for investment in joint ventures in accordance with Article 18(4) of CRR.
4. ACCOUNTING PORTFOLIOS OF FINANCIAL INSTRUMENTS
13. For the purposes of Annexes III and IV as well as this Annex, ‘accounting portfolios’ means financial instruments aggregated by valuation rules. These aggregations shall not include investments in subsidiaries, joint ventures and associates, balances receivable on demand classified as ‘Cash, cash balances at central banks and other demand deposits’ as well as those financial instruments classified as ‘Held for sale’ presented in the items ‘Non-current assets and disposal groups classified as held for sale’ and ‘Liabilities included in disposal groups classified as held for sale’.
14. Under national GAAP, institutions that are permitted or required to apply certain valuation rules for financial instruments in accordance with IFRS shall submit, to the extent that they are applied, the relevant IFRS accounting portfolios. Where the valuation rules for financial instruments that institutions are permitted or required to use under national GAAP based on BAD do refer to the valuation rules in IAS 39, institutions shall submit the accounting portfolios based on BAD for all their financial instruments until the valuation rules they apply refer to the valuation rules in IFRS 9.
4.1. Financial assets
15. The following accounting portfolios based on IFRS shall be used for financial assets:
(a) ‘Financial assets held for trading’;
(b) ‘Non-trading financial assets mandatorily at fair value through profit or loss’
(c) ‘Financial assets designated at fair value through profit or loss’;
(d) ‘Financial assets at fair value through other comprehensive income’;
(e) ‘Financial assets at amortised cost’.
16. The following accounting portfolios based on national GAAP shall be used for financial assets:
(a) ‘Trading financial assets’;
(b) ‘Non-trading non-derivative financial assets measured at fair value through profit or loss’;
(c) ‘Non-trading non-derivative financial assets measured at fair value to equity;
(d) ‘Non-trading non-derivative financial assets measured at a cost-based method’; and
(e) ‘Other non-trading non-derivative financial assets’.
17. ‘Trading financial assets’ includes all financial assets classified as trading under the relevant national GAAP based on BAD. Irrespective of the measurement methodology applied under the relevant national GAAP based on BAD, all derivatives with a positive balance for the reporting institution that are not classified as hedge accounting in accordance with paragraph 22 of this Part shall be reported as trading financial assets. This classification shall also apply for derivatives which according to national GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet or which are used as economic hedges as defined in paragraph 137 of Part 2 of this Annex.
18. Under national GAAP based on BAD, for financial assets, ‘cost-based methods’ shall include those valuation rules by which the debt instrument is measured at cost plus interest accrued less impairment losses.
19. Under national GAAP based on BAD, ‘Non-trading non-derivative financial assets measured at a cost-based method’ includes financial instruments measured at cost-based methods as well as instruments measured at the lower of cost or market (‘LOCOM’) under a non-continuous basis (moderate LOCOM) regardless of their actual measurement as of the reporting reference date. Assets measured at moderate LOCOM are assets for which LOCOM is applied only in specific circumstances. The applicable accounting framework provides for these circumstances, such as impairment, a prolonged decline in fair value compared to cost or change in the management intent.
20. Under national GAAP based on BAD, ‘Other non-trading non-derivative financial assets’ shall include financial assets that do not qualify for inclusion in other accounting portfolios. This accounting portfolio includes, among others, financial assets that are measured at LOCOM on a continuous basis (‘strict LOCOM’). Assets measured at strict LOCOM are assets for which the applicable accounting framework either provides for the initial and subsequent measurement at LOCOM, or the initial measurement at cost and the subsequent measurement at LOCOM.
21. Regardless of their measurement method, investments in subsidiaries, joint ventures and associates that are not fully or proportionally consolidated under the regulatory scope of consolidation are reported in ‘Investments in subsidiaries, joint ventures and associates’, except where they are classified as held for sale in accordance with IFRS 5.
22. ‘Derivatives - Hedge accounting’ shall include derivatives with a positive balance for the reporting institution held for hedge accounting under IFRS. Under national GAAP based on BAD, banking book derivatives shall be classified as derivatives held for hedge accounting only if there are special accounting rules for banking book derivatives under the relevant national GAAP based on BAD and the derivatives reduce risk of another position in the banking book.
4.2. Financial liabilities
23. The following accounting portfolios based on IFRS shall be used for financial liabilities:
(a) ‘Financial liabilities held for trading’;
(b) ‘Financial liabilities designated at fair value through profit or loss’;
(c) ‘Financial liabilities measured at amortised cost’.
24. The following accounting portfolios based on national GAAP shall be used for financial liabilities:
(a) ‘Trading financial liabilities’;
(b) ‘Non-trading non-derivative financial liabilities measured at a cost-based method’.
25. ‘Trading financial liabilities’ includes all financial liabilities classified as trading under the relevant national GAAP based on BAD. Irrespective of the measurement methodology applied under the relevant national GAAP based on BAD, all derivatives with a negative balance for the reporting institution that are not classified as hedge accounting in accordance with paragraph 26 of this Part shall be reported as trading financial liabilities. This classification shall also apply for derivatives which according to national GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet or which are used as economic hedges as defined in paragraph 137 of Part 2 of this Annex.
26. ‘Derivatives - Hedge accounting’ shall include derivatives with a negative balance for the reporting institution held for hedge accounting under IFRS. Under national GAAP based on BAD, banking book derivatives shall be classified as hedge accounting only if there are special accounting rules for banking book derivatives under the relevant national GAAP based on BAD and the derivatives reduce risk of another position in the banking book.
5. FINANCIAL INSTRUMENTS
27. For the purposes of Annexes III and IV as well as this Annex, "the carrying amount" means the amount to be reported in the balance sheet. The carrying amount of financial instruments shall include accrued interest. Under the relevant national GAAP based on BAD, the carrying amount of derivatives shall be either the carrying amount under national GAAP including accruals, premium values and provisions if applicable, or it shall be equal to zero where derivatives are not recognised on-balance sheet.
28. If recognised under the relevant national GAAP based on BAD, accruals and deferrals of financial instruments including interest accrual, premiums and discounts or transaction costs shall be reported together with the instrument and not as other assets or other liabilities.
29. Where applicable under national GAAP based on BAD, ‘Haircuts for trading positions valued at fair value’ shall be reported. The haircuts decrease the value of trading assets and increase the value of trading liabilities.
5.1. Financial assets
30. Financial assets shall be distributed among the following classes of instruments: ‘Cash on hand’, ‘Derivatives’, ‘Equity instruments’, ‘Debt securities’ and ‘Loans and advances’.
31. ‘Debt securities’ are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation.
32. ‘Loans and advances’ are debt instruments held by the institutions that are not securities; this item includes ‘loans’ in accordance with the ECB BSI Regulation as well as advances that cannot be classified as ‘loans’ according to the ECB BSI Regulation. ‘Advances that are not loans’ are further characterized in paragraph 85(g) of Part 2 of this Annex.
33. In FINREP, ‘debt instruments’ shall include ‘loans and advances’ and ‘debt securities’.
5.2. Gross carrying amount
34. Gross carrying amount of debt instruments shall have the following meaning:
(a) under IFRS and national GAAP based on BAD for debt instruments measured at fair value through profit or loss without being included in the held for trading or trading portfolio, the gross carrying amount shall depend on whether they are classified as performing or non-performing. For performing debt instruments, the gross carrying amount shall be the fair value. For non-performing debt instruments, the gross carrying amount shall be the fair value after adding back any accumulated negative fair value adjustment due to credit risk, as defined in paragraph 69 of Part 2 of this Annex. For the purpose of the measurement of the gross carrying amount, the valuation of the debt instruments shall be performed on the level of single financial instruments;
(b) under IFRS for debt instruments at amortised cost or at fair value through other comprehensive income, the gross carrying amount shall be the carrying amount before adjusting for any loss allowance;
(c) under national GAAP based on BAD, for debt instruments classified as ‘non-trading non-derivative financial assets measured at a cost-based method’, the gross carrying amount of impaired assets shall be equal to the carrying amount before adjusting for specific allowances for credit risk. The gross carrying amount of unimpaired assets shall be the carrying amount before adjusting for general allowances for credit risk and general allowances for banking risk, where affecting the carrying amount;
(d) under national GAAP based on BAD, the gross carrying amount of debt instruments classified as ‘Non-trading non-derivative financial assets measured at fair value to equity’ shall depend on whether these financial assets are subject to impairment requirements. Where they are subject to impairment requirements, the gross carrying amount shall be the carrying amount before adjusting for any accumulated impairment, following the requirements in point (c) above for impaired and unimpaired assets, or any accumulated amount of fair value adjustment that is considered as impairment loss. When these financial assets are not subject to impairment requirements, the gross carrying amount of these financial assets shall be the fair value for performing exposures, and for non-performing exposures the fair value after adding back any accumulated negative fair value adjustment due to credit risk;
(e) under national GAAP based on BAD, the gross carrying amount of debt instruments measured at strict or moderate LOCOM shall be the cost where measured at cost during the reporting period. Where these debt instruments are measured at market value the gross carrying amount shall be the market value before adjusting for credit-risk induced value adjustments;
(f) under national GAAP based on BAD, for debt instruments reported under ‘Other non-trading non-derivative financial assets’ under measurement methods other than LOCOM, the gross carrying amount shall be the carrying amount before taking into account any valuation adjustment that qualifies as impairment;
(g) for trading financial assets under GAAP based on BAD or held for trading financial assets under IFRS, the gross carrying amount shall be the fair value. Where GAAP based on BAD require haircuts on trading and fair valued instruments, the carrying amount of the financial instruments shall be the fair value before these haircuts.
5.3. Financial liabilities
35. Financial liabilities shall be distributed among the following classes of instruments: ‘Derivatives’, ‘Short positions’, ‘Deposits’, ‘Debt securities issued’ and ‘Other financial liabilities’.
36. For the purposes of Annexes III and IV as well as this Annex the definition of ‘deposits’ in Annex II, Part 2 of the ECB BSI Regulation applies.
37. ‘Debt securities issued’ shall be debt instruments issued as securities by the institution that are not deposits in accordance with the ECB BSI Regulation.
38. ‘Other financial liabilities’ shall include all financial liabilities other than derivatives, short positions, deposits and debt securities issued.
39. Under IFRS ‘Other financial liabilities’ shall include financial guarantees given where they are measured either at fair value through profit or loss [IFRS 9.4.2.1(a)] or at the amount initially recognised less cumulative amortization [IFRS 9.4.2.1(c)(ii)]. Loan commitments given shall be reported as ‘Other financial liabilities’ where they are designated as financial liabilities at fair value through profit or loss [IFRS 9.4.2.1(a)] or they are commitments to provide a loan at a below-market interest rate [IFRS 9.2.3(c), IFRS 9.4.2.1(d)].
40. Where loan commitments, financial guarantees and other commitments given are measured at fair value through profit or loss, any change in the fair value, including changes due to credit risk, shall be reported as ‘other financial liabilities’ and not as provisions for ‘Commitments and guarantees given’.
41. ‘Other financial liabilities’ shall also include dividends to be paid, amounts payable in respect of suspense and transit items, and amounts payable in respect of future settlements of transactions in securities or foreign exchange transactions where payables for transactions are recognised before the payment date.
6. COUNTERPARTY BREAKDOWN
42. |
Where a breakdown by counterparty is required the following counterparty sectors shall be used: (a) central banks; (b) general governments: central governments, state or regional governments, and local governments, including administrative bodies and non-commercial undertakings, but excluding public companies and private companies held by these administrations that have a commercial activity (which shall be reported under ‘credit institutions’, ‘other financial corporations’ or ‘non-financial corporations’ depending on their activity); social security funds; and international organisations, such as institutions of the European Union, the International Monetary Fund and the Bank for International Settlements; (c) credit institutions: any institution covered by the definition in Article 4(1)(1) of CRR (‘undertaking the business of which is to take deposits or other repayable funds from the public and to grant credits for its own account’) and multilateral development banks (MDBs); (d) other financial corporations: all financial corporations and quasi-corporations other than credit institutions such as investment firms, investment funds, insurance companies, pension funds, collective investment undertakings, and clearing houses as well as remaining financial intermediaries, financial auxiliaries and captive financial institutions and money lenders; (e) non-financial corporations: corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services according to the ECB BSI Regulation; (f) households: individuals or groups of individuals as consumers and producers of goods and non-financial services exclusively for their own final consumption, and as producers of market goods and non-financial and financial services provided that their activities are not those of quasi-corporations. Non-profit institutions which serve households (‘NPISH’) and which are principally engaged in the production of non-market goods and services intended for particular groups of households shall be included. |
43. |
The counterparty sector allocation shall be based exclusively on the nature of the immediate counterparty. The classification of the exposures incurred jointly by more than one obligor shall be done on the basis of the characteristics of the obligor that was the more relevant, or determinant, for the institution to grant the exposure. Among other classifications, the distribution of jointly incurred exposures by counterparty sector, country of residence and NACE codes shall be driven by the characteristics of the more relevant or determinant obligor. |
44. |
The immediate counterparties in the following transactions shall be: (a) for loans and advances, the immediate borrower. For trade receivables, the immediate borrower shall be the counterparty obliged to pay the receivables, except in transactions with recourse, where the immediate borrower shall be the transferor of receivables where the reporting institution does not acquire substantially all the risks and rewards of ownership of the transferred receivables; (b) for debt securities and equity instruments, the issuer of the securities; (c) for deposits, the depositor; (d) for short positions, the counterparty of the securities borrowing transaction or reverse repurchase agreement; (e) for derivatives, the direct counterparty of the derivative contract. For centrally cleared OTC derivatives the direct counterparty shall be the clearing house acting as a central counterparty. Counterparty breakdown for credit risk derivatives refers to the sector where the counterparty of the contract (buyer or seller of protection) belongs; (f) for financial guarantees given, the counterparty shall be the direct counterparty of the guaranteed debt instrument; (g) for loan commitments and other commitments given, the counterparty whose credit risk is assumed by the reporting institution; (h) for loan commitments, financial guarantees and other commitments received, the guarantor or the counterparty that has provided the commitment to the reporting institution. |
PART 2
TEMPLATE RELATED INSTRUCTIONS
1. BALANCE SHEET
1.1. Assets (1.1)
1. ‘Cash on hand’ shall include holdings of national and foreign banknotes and coins in circulation that are commonly used to make payments.
2. ‘Cash balances at central banks’ shall include balances receivable on demand at central banks.
3. ‘Other demand deposits’ shall include balances receivable on demand with credit institutions.
4. ‘Investments in subsidiaries, joint ventures and associates’ shall include the investments in associates, joint ventures and subsidiaries which are not fully or proportionally consolidated under the regulatory scope of consolidation, except where they shall be classified as held for sale in accordance with IFRS 5, irrespectively of how they are measured, including where the accounting standards allow for them to be included in the different accounting portfolios used for financial instruments. The carrying amount of investments accounted for using the equity method shall include related goodwill.
5. Assets that are not financial assets and that due to their nature could not be classified in specific balance sheet items shall be reported in ‘Other assets’. Other assets shall include, among others, gold, silver and other commodities, even where they are held with trading intent.
6. Under the relevant national GAAP based on BAD, the carrying amount of repurchased own shares shall be reported as ‘other assets’ where presentation as asset is allowed under the relevant national GAAP.
7. ‘Non-current assets and disposal groups classified as held for sale’ shall have the same meaning as under IFRS 5.
1.2. Liabilities (1.2)
8. Under national GAAP based on BAD provisions for contingent losses arising from the ineffective part of portfolio hedge relationship shall be reported in row ‘Derivatives – Hedge accounting’ where the loss arises from the valuation of the hedging derivative, or in row ‘Fair value changes of the hedged items in portfolio hedge of interest rate risk’ where the loss arises from the valuation of the hedged position. Where no distinction between losses arising from the valuation of the hedging derivative and loss arising from the valuation of the hedged position is possible, all provisions for contingent losses arising from the ineffective part of the portfolio hedge relationship shall be reported in row ‘Derivatives – Hedge accounting’.
9. Provisions for ‘Pensions and other post-employment defined benefit obligations’ shall include the amount of net defined benefit liabilities.
10. Under IFRS provisions for ‘Other long-term employee benefits’ shall include the amount of the deficits in the long-term employment benefit plans listed in IAS 19.153. The accrued expense from short term employee benefits [IAS 19.11(a)], defined contribution plans [IAS 19.51(a)] and termination benefits [IAS 19.169(a)] shall be included in ‘Other liabilities’.
11. Under IFRS, provisions for ‘Commitments and guarantees given’ shall include provisions related to all commitments and guarantees, irrespective of whether their impairment is determined in accordance with IFRS 9 or their provisioning follows IAS 37 or they are treated as insurance contracts under IFRS 4. Liabilities arising from commitments and financial guarantees measured at fair value through profit or loss shall not be reported as provisions although they are due to credit risk, but as ‘other financial liabilities’ in accordance with paragraph 40 of Part 1 of this Annex. Under national GAAP based on BAD, provisions for ‘Commitments and guarantees given’ shall include provisions related to all commitments and guarantees.
12. ‘Share capital repayable on demand’ shall include the capital instruments issued by the institution that do not meet the criteria to be classified in equity. Institutions shall include in this item the cooperative shares that do not meet the criteria to be classified in equity.
13. Liabilities that are not financial liabilities and that due to their nature could not be classified in specific balance sheet items shall be reported in ‘Other liabilities’.
14. ‘Liabilities included in disposal groups classified as held for sale’ shall have the same meaning as under IFRS 5.
15. Under national GAAP based on BAD ‘Funds for general banking risks’ are amounts that have been assigned in accordance with Article 38 of BAD. Where recognised, they shall appear separately either as liabilities under ‘provisions’ or within equity under ‘other reserves’ in accordance with the relevant national GAAP.
1.3. Equity (1.3)
16. Under IFRS equity instruments that are financial instruments shall include those contracts under the scope of IAS 32.
17. Under the relevant national GAAP based on BAD, ‘Unpaid capital which has been called up’ shall include the carrying amount of capital issued by the institution that has been called-up to the subscribers but not paid at the reference date. If capital increase, not yet paid, is recorded as an increase of share capital, unpaid capital which has been called up shall be reported in ‘Unpaid capital which has been called up’ in template 1.3 as well as in ‘other assets’ in template 1.1. Under the relevant national GAAP based on BAD where capital increase can be recorded only following the receipt of the payment from shareholders, unpaid capital shall not be reported in template 1.3.
18. ‘Equity component of compound financial instruments’ shall include the equity component of compound financial instruments (that is, financial instruments that contain both a liability and an equity component) issued by the institution, where segregated in accordance with the relevant accounting framework (including compound financial instruments with multiple embedded derivatives whose values are interdependent).
19. ‘Other equity instruments issued’ shall include equity instruments that are financial instruments other than ‘Capital’ and ‘Equity component of compound financial instruments’.
20. ‘Other equity’ shall comprise all equity instruments that are not financial instruments including, among others, equity-settled share-based payment transactions [IFRS 2.10].
21. ‘Fair value changes of equity instruments measured at fair value through other comprehensive income’ shall include accumulated gains and losses due to changes in fair value on investments in equity instruments for which the reporting entity has made the irrevocable election to present changes in fair value in other comprehensive income.
22. ‘Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income’ shall comprise the accumulated hedge ineffectiveness arising in fair value hedges in which the hedged item is an equity instrument measured at fair value through other comprehensive income. Hedge ineffectiveness reported in this row shall be the difference between the accumulated variation of the fair value of the equity instrument reported in ‘Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item]’ and the accumulated variations of the fair value of the hedging derivative reported in ‘Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument]’ [IFRS 9.6.5.3 and IFRS 9.6.5.8].
23. ‘Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in the credit risk’ shall include accumulated gains and losses recognised in other comprehensive income and related to own credit risk for liabilities designated at fair value through profit or loss, regardless of whether the designation takes place at initial recognition or subsequently.
24. ‘Hedge of net investments in foreign operations [effective portion]’ shall include the foreign currency translation reserve for the effective portion of both on-going hedges of net investments in foreign operations and hedges of net investments in foreign operations that no longer apply while the foreign operations remain recognised in the balance sheet.
25. ‘Hedging derivatives. Cash flow hedges reserve [effective portion]’ shall include the cash flow hedge reserve for the effective portion of the variation in fair value of hedging derivatives in a cash flow hedge, both for on-going cash flow hedges and cash flow hedges that no longer apply.
26. ‘Fair value changes of debt instruments measured at fair value through other comprehensive income’ shall include accumulated gains or losses on debt instruments measured at fair value through other comprehensive income, net of the loss allowance that is measured at the reporting date in accordance with IFRS 9.5.5.
27. ‘Hedging instruments [not designated elements]’ shall include the accumulated changes in fair value of all of the following:
(a) the time value of an option where the changes in the time value and the intrinsic value of that option are separated and only the change in the intrinsic value is designated as a hedging instrument [IFRS 9.6.5.15];
(b) the forward element of a forward contract where the forward element and the spot element of that forward contract are separated and only the change in the spot element of the forward contract is designated as hedging instrument;
(c) the foreign currency basis spread from a financial instrument where this spread is excluded from the designation of that financial instrument as the hedging instrument [IFRS 9.6.5.15, IFRS 9.6.5.16].
28. Under IFRS ‘Revaluation reserves’ shall include the amount of reserves resulting from first-time adoption to IAS that have not been released to other type of reserves.
29. ‘Other reserves’ shall be split between ‘Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates accounted for using the equity method’ and ‘Other’. ‘Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates accounted for using the equity method’ shall include the accumulated amount of income and expenses generated by the aforementioned investments through profit or loss in past years where they are accounted for using the equity method. ‘Other’ shall include reserves different from those separately disclosed in other items and may include legal reserve and statutory reserve.
30. ‘Treasury shares’ shall cover all financial instruments that have the characteristics of own equity instruments which have been reacquired by the institution while they are not sold or amortised, except where under the relevant national GAAP based on BAD they shall be reported in ‘other assets’.
2. STATEMENT OF PROFIT OR LOSS (2)
31. Interest income and interest expense from financial instruments measured at fair value through profit or loss and from hedging derivatives classified in the category ‘hedge accounting’, shall be reported either separately from other gains and losses under items ‘interest income’ and ‘interest expense’ (‘clean price’) or as part of gains or losses from these categories of instruments (‘dirty price’). The clean or dirty price approach shall be applied consistently for all financial instruments measured at fair value through profit or loss and for hedging derivatives classified in the category ‘hedge accounting’.
32. Institutions shall report the following items, which include income and expense in relation to related parties not fully or proportionally consolidated under the regulatory scope of consolidation, broken down by accounting portfolios:
(a) ‘Interest income’;
(b) ‘Interest expense’;
(c) ‘Dividend income’;
(d) ‘Gains or losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss, net’;
(e) ‘Modification gains or losses, net’;
(f) ‘Impairment or (–) reversal of impairment on financial assets not measured at fair value through profit or loss’.
33. ‘Interest income. Financial assets held for trading’ and ‘Interest expenses. Financial liabilities held for trading’ shall include, where the clean price is used, the amounts related to those derivatives classified in the category ‘held for trading’ which are hedging instruments from an economic but not accounting point of view to present correct interest income and expenses from the financial instruments that are hedged.
34. Where the clean price is used, ‘Interest income. Financial assets held for trading’ and ‘Interest expenses. Financial liabilities held for trading’ shall also include time-apportioned fees and balancing payments in relation to credit derivatives measured at fair value and used to manage the credit risk of part or all of a financial instrument that is designated at fair value at that occasion [IFRS 9.6.7].
35. ‘Interest income. Derivatives – Hedge accounting, interest rate risk’ and ‘Interest expenses. Derivatives – Hedge accounting, interest rate risk’ shall include, where the clean price is used, the amounts related to those derivatives classified in the category ‘hedge accounting’ which cover interest rate risk, including hedges of a group of items with offsetting risk positions (hedges of a net position) whose hedged risk affect different line items in the statement of profit or loss. Where the clean price is used, these amounts shall be reported as interest income and expenses on a gross basis to present correct interest income and expenses from the hedged items to which they are linked. With clean price, where the hedged item generates interest income (expense), these amounts shall be reported as an interest income (expense) even where it is a negative (positive) amount.
36. ‘Interest income - other assets’ shall include amounts of interest income not included in the other items, like interest income related to cash, cash balances at central banks and other demand deposits and to non-current assets and disposal groups classified as held for sale as well as net interest income from net defined benefit asset.
37. Under IFRS and where not provided otherwise in national GAAP, interest in relation to financial liabilities with a negative effective interest rate shall be reported in ‘Interest income on liabilities’. These liabilities and their interests give rise to a positive yield for an institution.
38. ‘Interest expenses - other liabilities’ shall include amounts of interest expenses not included in the other items, like interest expenses related to liabilities included in disposal groups classified as held for sale, expenses derived from increases in the carrying amount of a provision reflecting the passage of time or net interest expenses from net defined benefit liabilities.
39. Under IFRS and where not provided otherwise in national GAAP, interest in relation to financial assets with a negative effective interest rate shall be reported in ‘Interest expense on assets’. These assets and their interests give rise to a negative yield for an institution.
40. Dividend income on equity instruments measured at fair value through profit or loss shall be reported either as ‘dividend income’ separately from other gains and losses from these classes of instruments where the clean price is used or as part of gains or losses from these classes of instruments where the dirty price is used.
41. Dividend income on equity instruments designated at fair value through other comprehensive income shall encompass dividends related to instruments derecognised during the period and dividends related to instruments held at the end of the reporting period.
42. Dividend income from investments in subsidiaries, joint ventures and associates shall include the dividends of these investments where they are accounted for using other than the equity method.
43. ‘Gains or (–) losses on financial assets and liabilities held for trading, net’ shall include gains and losses in the remeasurement and derecognition of financial instruments classified as held for trading. This item shall include also gains and losses on credit derivatives measured at fair value through profit or loss used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss, as well as dividend and interest income and expense on financial assets and liabilities held for trading where the dirty price is used.
44. ‘Gains or losses on financial assets and liabilities designated at fair value through profit or loss’ shall include also the amount recognised in the statement of profit or loss for the own credit risk of liabilities designated at fair value where recognising own credit risk changes in other comprehensive income creates or enlarges an accounting mismatch [IFRS 9.5.7.8]. This item shall include also gains and losses on the hedged instruments that are designated as measured at fair value through profit or loss where the designation is used to manage credit risk, as well as interest income and expense on financial assets and liabilities designated at fair value through profit or loss where the dirty price is used.
45. ‘Gains or (–) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss’ shall not include gains on equity instruments that a reporting entity chose to measure at fair value through other comprehensive income [IFRS 9.5.7.1(b)].
46. Where a change in business model leads to the reclassification of a financial asset into a different accounting portfolio, the gains or losses from the reclassification shall be reported in the relevant rows of the accounting portfolio in which the financial asset is reclassified, in accordance with the following:
(a) where a financial asset is reclassified out of the amortised cost measurement category and into the fair value through profit or loss accounting portfolio [IFRS 9.5.6.2], gains or losses due to the reclassification shall be reported in ‘Gains or (–) losses on financial assets and liabilities held for trading, net’ or ‘Gains or (–) losses on non-trading financial assets mandatorily at fair value through profit or loss, net’, as applicable;
(b) where a financial asset is reclassified out of the fair value through other comprehensive income measurement category and into the fair value through profit or loss measurement category [IFRS 9.5.6.7], the cumulative gains or losses previously recognised in other comprehensive income reclassified to profit or loss shall be reported in ‘Gains or (–) losses on financial assets and liabilities held for trading, net’ or ‘Gains or (–) losses on non-trading financial assets mandatorily at fair value through profit or loss, net’, as applicable.
47. ‘Gains or (–) losses from hedge accounting, net’ shall include gains and losses on hedging instruments and on hedged items, including those on hedged items measured at fair value through other comprehensive income other than equity instruments, in a fair value hedge in accordance with IFRS 9.6.5.8. It shall also include the ineffective part of the variation of the fair value of the hedging instruments in a cash flow hedge. The reclassifications of the cash-flow hedges reserve or of the reserve for hedges of net investment in a foreign operation shall be recognised in the same rows of the ‘Statement of profit or loss’ as those impacted by the cash flows from the hedged items.‘Gains or (–) losses from hedge accounting, net’ shall include also the gains and losses from hedges of net investment in foreign operations. This item shall also include gains on hedges of net positions.
48. ‘Gains or losses on derecognition of non-financial assets’ shall include the gains and losses on derecognition of non-financial assets, except where classified as held for sale or as investments in subsidiaries, joint ventures and associates.
49. ‘Modification gains or (–) losses, net’ shall include the amounts arising from adjusting the gross carrying amounts of financial assets to reflect the renegotiated or modified contractual cash flows [IFRS 9.5.4.3 and Appendix A]. The modification gains or losses shall not include the impact of modifications on the amount of expected credit losses, which shall be reported in ‘Impairment or (–) reversal of impairment on financial assets not measured at fair value through profit or loss’.
50. ‘Provisions or (–) reversal of provisions. Commitments and guarantees given’ shall include the net charges in the ‘Statement of profit or loss’ for provisions on all commitments and guarantees in the scope of IFRS 9, IAS 37 or IFRS 4 in accordance with paragraph 11 of this Part, or under national GAAP based on BAD. Under IFRS, any change in the fair value of commitments and financial guarantees measured at fair value shall be reported in ‘Gains or (–) losses on financial assets and liabilities designated at fair value through profit or loss, net’. Provisions therefore include the impairment amount for commitments and guarantees for which impairment is determined in accordance with IFRS 9 or their provisioning follows IAS 37 or they are treated as insurance contracts under IFRS 4.
51. Under IFRS, ‘Impairment or (–) reversal of impairment on financial assets not measured at fair value through profit or loss’ shall include all impairment gains or losses for debt instruments arising from the application of the impairment rules in IFRS 9.5.5, regardless of whether the expected credit losses in accordance with IFRS 9.5.5 are estimated over a 12-month or a lifetime period, and including the impairment gains or losses for trade receivables, contract assets and lease receivables [IFRS 9.5.5.15].
52. Under national GAAP based on BAD ‘Impairment or (–) reversal of impairment on financial assets not measured at fair value through profit and loss’ shall include all allowances and reversal of allowances of financial instruments measured at cost based methods due to the change in creditworthiness of the debtor or issuer, as well as, depending on the specifications of the national GAAP, the allowances due to the impairment of financial instruments measured at fair value through equity and other measurement methods, including LOCOM.
53. ‘Impairment or (–) reversal of impairment on financial assets not measured at fair value through profit or loss’ shall also include the amounts written off - as defined in paragraph 72, 74 and 165(b) of this Part of this Annex- that exceed the amount of the loss allowance at the date of write-off and are therefore recognised as a loss directly in profit or loss, as well as recoveries of previously written-off amounts recorded directly to the statement of profit or loss.
54. The share of profit or loss from subsidiaries, associates and joint ventures which are accounted for under the equity method in the regulatory scope of consolidation shall be reported within ‘Share of the profit or (–) loss of investments in subsidiaries, joint ventures and associates accounted for using the equity method’. According to IAS 28.10, the carrying amount of the investment shall be reduced by the amount of dividends paid by those entities. The impairment on those investments shall be reported in ‘(Impairment or (–) reversal of impairment of investments in subsidiaries, joint ventures and associates)’. Gains or losses on de-recognition of these investments shall be reported in accordance with paragraph 55 and 56 of this Part.
55. ‘Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations’ shall include profit or loss generated by non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations.
56. Under IFRS, the gains or losses on de-recognition of investments in subsidiaries, joint ventures and associates shall be reported within ‘Profit or (–) loss before tax from discontinued operations’ where they are considered discontinued operations under IFRS 5. Under national GAAP based on BAD, these gains and losses shall be reported in ‘Gains or (–) losses on derecognition of investments in subsidiaries, joint ventures and associates, net’.
3. STATEMENT OF COMPREHENSIVE INCOME (3)
57. ‘Gains or (–) losses from hedge accounting of equity instruments at fair value through other comprehensive income’ shall include the change in the accumulated hedge ineffectiveness in fair value hedges in which the hedged item is an equity instrument measured at fair value through other comprehensive income. The change in accumulated hedge ineffectiveness reported in this row shall be the difference between the changes in the variation of the fair value of the equity instrument reported in ‘Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item]’ and the changes in the variation of the fair value of the hedging derivative reported in ‘Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument]’.
58. ‘Hedge of net investments in foreign operations [effective portion]’ shall include the change in the accumulated foreign currency translation reserve for the effective portion of both on-going and discontinued hedges of net investments in foreign operations.
59. For hedges of net investment in foreign operations and cash flow hedges the respective amounts reported in ‘Transferred to profit or loss’ shall include amounts transferred because the hedged flows have occurred and are no longer expected to occur.
60. ‘Hedging instruments [not designated elements]’ shall include changes in the accumulated changes in fair value of all of the following where they are not designated as a hedging component:
(a) time value of options;
(b) forward elements of forward contracts;
(c) foreign exchange basis spread of financial instruments.
61. For options, the amounts reclassified to profit or loss and reported in ‘Transferred to profit or loss’’ shall include reclassifications due to options that hedge a transaction-related hedged item and options that hedge a time-period related hedge item.
62. ‘Debt instruments at fair value through other comprehensive income’ shall include gains or losses on debt instruments measured at fair value through other comprehensive income other than impairment gains or losses and foreign exchange gains and losses, that shall respectively be reported in ‘(Impairment or (–) reversal of impairment on financial assets not measured at fair value through profit or loss)’ and in ‘Exchange differences [gain or (–) loss], net’ in template 2. ‘Transferred to profit or loss’ in particular shall include the transfer to profit or loss due to de-recognition or reclassification into the fair value through profit or loss measurement category.
63. Where a financial asset is reclassified out of the amortised cost measurement category and into the fair value through other comprehensive income measurement category [IFRS 9.5.6.4], the gains or losses arising due to the reclassification shall be reported in ‘Debt instruments at fair value through other comprehensive income’.
64. Where a financial asset is reclassified out of the fair value through other comprehensive income measurement category and into the fair value through profit or loss measurement category [IFRS 9.5.6.7] or into the amortised cost measurement category [IFRS 9.5.6.5], the reclassified cumulative gains and losses previously recognised in other comprehensive income shall be respectively reported in ‘Transferred to profit or loss’ and in ‘Other reclassifications’, adjusting in the latter case the carrying amount of the financial asset.
65. For all components of the other comprehensive income, ‘Other reclassifications’ shall include transfers other than the reclassifications from the other comprehensive income to the profit or loss or to the initial carrying amount of hedged items in the case of cash flow hedges.
66. Under IFRS ‘Income tax relating to items that will not be reclassified’ and ‘Income tax relating to items that may be reclassified to profit or (–) loss’ [IAS 1.91 (b), IG6] shall be reported as separate line items.
4. BREAKDOWN OF FINANCIAL ASSETS BY INSTRUMENT AND BY COUNTERPARTY SECTOR (4)
67. Financial assets shall be broken down by accounting portfolio and instrument and – where required – by counterparty. For debt instruments measured at fair value through other comprehensive income and at amortised cost, the gross carrying amount of assets and accumulated impairments shall be broken down by impairment stages.
68. Derivatives reported as trading financial assets under GAAP based on BAD include instruments measured at fair value as well as instruments measured at cost-based methods or LOCOM.
69. For the purposes of Annexes III and IV as well as this Annex, ‘accumulated negative changes in fair value due to credit risk’ means, for non-performing exposures, accumulated changes in fair value due to credit risk where the accumulated net change is negative. The accumulated net change in fair value due to credit risk shall be calculated by adding all negative and positive changes in fair value due to credit risk that have occurred since recognition of the debt instrument. This amount shall only be reported if the addition of positive and negative changes in fair value due to credit risk results in a negative amount. The valuation of the debt instruments shall be performed on the level of single financial instruments. For each debt instrument, ‘Accumulated negative changes in fair value due to credit risk’ shall be reported until the derecognition of the instrument.
70. For the purposes of Annexes III and IV as well as this Annex, ‘accumulated impairment’ means:
(a) for debt instruments measured at amortised cost or at a cost-based method, accumulated impairment is the cumulative amount of impairment losses, net of use and reversals that has been recognised, where appropriate for each of the impairment stages. Accumulated impairment reduces the carrying amount of the debt instrument through the use of an allowance account under IFRS and national GAAP based on BAD, or via direct reductions that do not constitute a derecognition event under national GAAP based on BAD;
(b) for debt instruments measured at fair value through other comprehensive income under IFRS, accumulated impairment is the sum of expected credit losses and their variations recognised as a reduction of fair value on a given instrument since initial recognition;
(c) for debt instruments at fair value through equity under national GAAP based on BAD subject to impairment, accumulated impairment is the cumulative amount of impairment losses, net of use and reversals that has been recognised. The reduction in the carrying amount is either made through use of an allowance account or via direct reductions that do not constitute a derecognition event.
71. Under IFRS, accumulated impairment shall include the allowance for expected credit losses for financial assets under each of the impairment stages specified by IFRS 9. Under national GAAP based on BAD, it shall include specific and general allowance for credit risk, as well as the general allowance for banking risk where it reduces the carrying amount of debt instruments. Accumulated impairment shall also include the credit risk-induced value adjustments on financial assets under LOCOM.
72. ‘Accumulated partial write-offs’ and ‘Accumulated total write-offs’ shall include, respectively, the accumulated partial and total amount as at the reference date of principal and accrued past due interest and fees of any debt instrument that has been de-recognised to date using either of the methods described in paragraph 74 because the institution has no reasonable expectations of recovering the contractual cash flows. These amounts shall be reported until the total extinguishment of all the reporting institution’s rights by expiry of the statute-of-limitations period, forgiveness or other causes, or until recovery. Therefore where the written-off amounts are not recovered, they shall be reported while they are subject to enforcement activities.
73. Where a debt instrument is eventually totally written-off as a consequence of successive partial write-offs, the cumulative amount written-off shall be reclassified from the ‘Accumulated partial write-offs’ into the ‘Accumulated total write-offs’ column.
74. Write-offs shall constitute a de-recognition event and relate to a financial asset in its entirety or to a portion of it, including where the modification of an asset leads the institution to give up its right of collecting cash flows on a portion or the entirety of this asset as further explained in paragraph 72. Write-offs shall include amounts caused both by reductions of the carrying amount of financial assets recognised directly in profit or loss as well as reductions in the amounts of the allowance accounts for credit losses taken against the carrying amount of financial assets.
75. The column ‘of which: Instruments with low credit risk’ shall include instruments that are determined to have low credit risk at the reporting date and for which the institution assumes that the credit risk has not increased significantly since initial recognition in accordance with IFRS 9.5.5.10.
76. Trade receivables within the meaning of IAS 1.54(h), contract assets and lease receivables for which the simplified approach of IFRS 9.5.5.15 for the estimation of loss allowances has been applied shall be reported within loans and advances in template 4.4.1. The corresponding loss allowance for those assets shall be reported in either ‘Accumulated impairment on assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)’ or ‘Accumulated impairment on credit-impaired assets (Stage 3)’,depending on whether trade receivables, contract assets or lease receivables under the simplified approach are considered as credit-impaired assets.
77. Purchased or originated financial assets that are credit-impaired at initial recognition shall be separately reported in 4.3.1 and 4.4.1. For these loans, the accumulated impairment shall only include the cumulative changes in lifetime expected credit losses since initial recognition [IFRS 9.5.5.13].
78. In template 4.5 institutions shall report the carrying amount of ‘Loans and advances’ and ‘Debt securities’ that fall within the definition of ‘subordinated debt’ in paragraph 100 of this Part.
79. In template 4.8, information to be reported depends on whether Non-trading non-derivative financial assets measured at fair value to equity can be subject to impairment requirements in application of the national GAAP based on BAD. Where these financial assets are subject to impairment, institutions shall report information in this template that relates to the carrying amount, the gross carrying amount of unimpaired assets and impaired assets, accumulated impairment and accumulated write-offs. Where these financial assets are not subject to impairment, institutions shall report the accumulated negative changes in fair value due to credit risk for non-performing exposures.
80. In template 4.9, financial assets measured under moderate LOCOM and their associated value adjustments shall be identified separately from other financial assets measured at a cost-based method and their associated impairment. Financial assets under a cost-based method, including financial assets under moderate LOCOM, shall be reported as unimpaired assets where they have no value adjustments or impairment associated with them, and as impaired assets in case they have value adjustments that qualify as impairment or impairment associated with them. Value adjustments that qualify as impairment shall be credit risk-induced value adjustments reflecting the deterioration of the creditworthiness of the counterparty. Financial assets under moderate LOCOM with market-risk induced value adjustments reflecting the impact of changes in the market conditions on the value of the asset shall not be considered as impaired. Accumulated credit-risk induced and market-risk induced value adjustments shall be reported separately.
81. In template 4.10, assets measured at strict LOCOM as well as their associated value adjustments shall be reported separately from assets under other measurement methods. Financial assets under strict LOCOM and financial assets under other measurement methods shall be reported as impaired assets in case they have credit-risk induced value adjustments as defined in paragraph 80 or impairment associated with them. Financial assets under strict LOCOM with market risk induced value adjustments as defined in paragraph 80 shall not be considered as impaired. Accumulated credit-risk induced and market-risk induced value adjustments shall be reported separately.
82. Under national GAAP based on BAD, the amount of general allowances for banking risk to be reported in the applicable templates shall only be the part that affects the carrying amount of debt instruments [BAD Article 37.2].
5. BREAKDOWN OF NON-TRADING LOANS AND ADVANCES BY PRODUCT (5)
83. Loans and advances other than those held for trading or trading assets shall be broken down by type of product and by counterparty sector for the carrying amount and by type of products only for the gross carrying amount.
84. Balances receivable on demand classified as ‘Cash, cash balances at central banks and other demand deposits’ shall also be reported in this template independently of how they are measured.
85. Loans and advances shall be allocated to the following products:
(a) ‘on demand (call) and short notice (current account)’ shall include balances receivable on demand (call), at short notice (by close of business on the day following that on which the demand was made), current accounts and similar balances including loans that are overnight deposits for the borrower (loans to be repaid by close of business on the day following that in which it was granted), regardless of their legal form. It shall also include ‘overdrafts’ that are debit balances on current account balances;
(b) ‘Credit card debt’ shall include credit granted either via delayed debit cards or via credit cards [ECB BSI Regulation];
(c) ‘Trade receivables’ shall include loans to other debtors granted on the basis of bills or other documents that give the right to receive the proceeds of transactions for the sale of goods or provision of services. This item shall include all factoring and similar transactions, like acceptances, outright purchase of trade receivables, forfaiting, discounting of invoice, bills of exchange, commercial papers and other claims where the reporting institution buys the trade receivables (both with and without recourse);
(d) ‘Finance leases’ shall include the carrying amount of finance lease receivables. Under IFRS ‘finance lease receivables’ are as defined in IAS 17;
(e) ‘Reverse repurchase loans’ shall include finance granted in exchange for securities or gold bought under repurchase agreements or borrowed under securities lending agreements as defined in paragraphs 183 and 184 of this Part;
(f) ‘Other term loans’ shall include debit balances with contractually fixed maturities or terms that are not included in other items;
(g) ‘Advances that are not loans’ shall include advances that cannot be classified as ‘loans’ according to the ECB BSI Regulation. This item shall include, among others, gross amounts receivable in respect of suspense items (such as funds that are awaiting investment, transfer, or settlement) and transit items (such as cheques and other forms of payment that have been sent for collection).
86. Loans and advances shall be classified on the basis of the collateral received as follows:
(a) ‘Loans collateralized by immovable property’ shall include loans and advances formally secured by residential or commercial immovable property collateral, independently of their loan/collateral ratio (commonly referred as ‘loan-to-value’) and the legal form of the collateral;
(b) ‘Other collateralized loans’ shall include loans and advances formally secured by collateral, independently of their loan/collateral ratio (commonly referred to as ‘loan-to-value’) and the legal form of the collateral, other than ‘Loans collateralised by immovable property’. This collateral shall include pledges of securities, cash, and other collateral independently from the legal form of the collateral.
87. Loans and advances shall be classified based on the collateral and irrespective of the purpose of the loan. The carrying amount of loans and advances secured by more than one type of collateral shall be classified and reported as collateralised by immovable property collateral where they are secured by immovable property collateral regardless of whether they are also secured by other types of collateral.
88. Loans and advances shall be classified on the basis of its purpose as:
(a) ‘Credit for consumption’ shall include loans granted mainly for the personal consumption of goods and services [ECB BSI Regulation];
(b) ‘Lending for house purchase’ shall include credit extended to households for the purpose of investing in houses for own use and rental, including building and refurbishments [ECB BSI Regulation].
89. Loans shall be classified on the basis of how they can be recovered. ‘Project finance loans’ shall include loans that meet the characteristics of specialised lending exposures as defined in Article 147(8) of CRR.
6. BREAKDOWN OF NON-TRADING LOANS AND ADVANCES TO NON-FINANCIAL CORPORATIONS BY NACE CODES (6)
90. Gross carrying amount of loans and advances to non-financial corporations other than those included in the held for trading or trading assets portfolios shall be classified by sector of economic activities using NACE Codes on the basis of the principal activity of the counterparty.
91. The classification of the exposures incurred jointly by more than one obligor shall be done in accordance with paragraph 43 of Part 1 of this Annex.
92. Reporting of NACE codes shall be done with the first level of disaggregation (by ‘section’). Institutions shall report loans and advances to non-financial corporations which engage in financial or insurance activities in ‘K – Financial and insurance activities’.
93. Under IFRS, financial assets subject to impairment shall include (i) financial assets at amortised cost, and (ii) financial assets at fair value through other comprehensive income. Under national GAAP based on BAD, financial assets subject to impairment shall include financial assets measured at a cost-based method, including under LOCOM. Depending on the specifications in each national GAAP, they may include (i) financial assets measured at fair value through equity, and (ii) financial assets under other measurement methods.
7. FINANCIAL ASSETS SUBJECT TO IMPAIRMENT THAT ARE PAST DUE (7)
94. The carrying amount of debt instruments that are included in the accounting portfolios subject to impairment shall be reported in template 7.1 only if they are past due. Past-due instruments shall be allocated to the corresponding past-due buckets on the basis of their individual situation.
95. Accounting portfolios subject to impairment shall be defined as in paragraph 93 of this Part.
96. Financial assets shall qualify as past due where any amount of principal, interest or fee has not been paid at the date it was due. Past due exposures shall be reported for their entire carrying amount. The carrying amounts of such assets shall be reported by impairment stages or impairment status in accordance with the applicable accounting standards and broken down according to the number of days of the oldest past due amount unpaid at the reference date.
8. BREAKDOWN OF FINANCIAL LIABILITIES (8)
97. ‘Deposits’ and the product breakdown shall be defined in the same way as in the ECB BSI Regulation and therefore, regulated savings deposits shall be classified in accordance with the ECB BSI Regulation and distributed according to the counterparty. In particular, non-transferable sight savings deposits, which although legally redeemable at demand are subject to significant penalties and restrictions and have features that are very close to overnight deposits, shall be classified as deposits redeemable at notice.
98. ‘Debt securities issued’ shall be disaggregated into the following type of products:
(a) ‘Certificates of deposits’ shall be securities that enable the holders to withdraw funds from an account;
(b) ‘Asset backed securities’ according to Article 4(1)(61) of CRR;
(c) ‘Covered Bonds’ according to Article 129(1) of CRR;
(d) ‘Hybrid contracts’ shall comprise contracts with embedded derivatives;
(e) ‘Other debt securities issued’ shall include debt securities not recorded in the previous lines and distinguishes convertible compound financial instruments and non-convertible instruments.
99. ‘Subordinated financial liabilities’ issued shall be treated in the same way as other financial liabilities incurred. Subordinated liabilities issued in the form of securities shall be classified as ‘Debt securities issued’, whereas subordinated liabilities in the form of deposits are classified as ‘Deposits’.
100. Template 8.2 shall include the carrying amount of ‘Deposits’ and ‘Debt securities issued’ that meet the definition of subordinated debt classified by accounting portfolios. ‘Subordinated debt’ instruments provide a subsidiary claim on the issuing institution that can only be exercised after all claims with a higher status have been satisfied [ECB BSI Regulation].
101. ‘Accumulated changes in fair value due to changes in own credit risk’ shall include all the said accumulative changes in fair value, regardless of whether they are recognised in profit or loss or in the other comprehensive income.
9. LOAN COMMITMENTS, FINANCIAL GUARANTEES AND OTHER COMMITMENTS (9)
102. Off-balance sheet exposures shall include the off-balance sheet items listed in Annex I to CRR. In templates 9.1, 9.1.1 and 9.2 all off-balance sheet exposures as listed in Annex I to CRR shall be broken down in loan commitments, financial guarantees, and other commitments.
103. Information on loan commitments, financial guarantees and other commitments given and received shall include both revocable and irrevocable commitments.
104. Loan commitments, financial guarantees and other commitments given listed in Annex I to CRR may be instruments that are in the scope of IFRS 9 where they are measured at fair value through profit or loss, or where they are subject to the impairment requirements of IFRS 9, as well as instruments that are within the scope of IAS 37 or IFRS 4.
105. Under IFRS, loan commitments, financial guarantees and other commitments given shall be reported in template 9.1.1 where any of the following conditions are met:
(a) they are subject to impairment requirements of IFRS 9;
(b) they are designated at fair value through profit or loss under IFRS 9;
(c) they are within the scope of IAS 37 or IFRS 4.
106. Liabilities that shall be recognised as credit losses for the financial guarantees and commitments given referred to under points (a) and (c) in paragraph 105 of this Part of this Annex shall be reported as provisions independently of the measurement criteria applied.
107. Institutions under IFRS shall report the nominal amount and provisions of instruments that are subject to the impairment requirements of IFRS 9 including those measured at initial cost less cumulative income recognised, broken down by impairment stages.
108. Only the nominal amount of the commitment shall be reported in template 9.1.1 where a debt instrument includes both an on-balance sheet instrument and an off-balance sheet component. Where the reporting entity is unable to separately identify the expected credit losses on the on-balance sheet and off-balance components, the expected credit losses on the commitment shall be reported together with the accumulated impairment on the on-balance sheet component. Where the combined expected credit losses exceed the gross carrying amount of the debt instrument, the remaining balance of the expected credit losses shall be reported as a provision in the appropriate impairment stage in template 9.1.1 [IFRS 9.5.5.20 and IFRS 7.B8E].
109. Where a financial guarantee or a commitment to provide a loan at a below-market rate is measured in accordance with IFRS 9.4.2.1(d) and its loss allowance determined in accordance with IFRS 9.5.5 it shall be reported in the appropriate impairment stage.
110. Where loan commitments, financial guarantees and other commitments are measured at fair value in accordance with IFRS 9, institutions shall report in template 9.1.1 the nominal amount and accumulated negative changes in fair value due to credit risk of these financial guarantees and commitments in dedicated columns. ‘Accumulated negative changes in fair value due to credit risk’ shall be reported applying the criteria of paragraph 69 of this Part.
111. The nominal amount and provisions of other commitments or guarantees that are within the scope of IAS 37 or IFRS 4 shall be reported in dedicated columns.
112. Institutions under national GAAP based on BAD shall report in template 9.1 the nominal amount of commitments and financial guarantees referred to in paragraphs 102 and 103, as well as the amount of provisions required to be held against these off-balance sheet exposures.
113. ‘Loan commitments’ shall be firm commitments to provide credit under pre-specified terms and conditions, except those that are derivatives because they can be settled net in cash or by delivering or issuing another financial instrument. The following items of Annex I to CRR shall be classified as ‘Loan commitments’:
(a) ‘Forward deposits’;
(b) ‘Undrawn credit facilities’ which comprise agreements to ‘lend’ or provide ‘acceptance facilities’ under pre-specified terms and conditions.
114. ‘Financial guarantees’ shall be contracts that require the issuer to make specified payments to reimburse the holder of a loss it incurs, because a specified debtor fails to make payment where due in accordance with the original or modified terms of a debt instrument, including guarantees provided for other financial guarantees. Under IFRS these contracts shall meet the definition of financial guarantee contracts in IFRS 9.2.1(e) and IFRS 4.A. The following items of Annex I to CRR shall be classified as ‘financial guarantees’:
(a) ‘Guarantees having the character of credit substitute’;
(b) ‘Credit derivatives’ that meet the definition of financial guarantee;
(c) ‘Irrevocable standby letters of credit having the character of credit substitutes’.
115. ‘Other commitments’ shall include the following items of Annex I to CRR:
(a) ‘Unpaid portion of partly-paid shares and securities’;
(b) ‘Documentary credits issued or confirmed’;
(c) ‘Trade finance off-balance sheet items’;
(d) ‘Documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions’;
(e) ‘Warranties and indemnities’ (including tender and performance bonds) and ‘guarantees not having the character of credit substitutes’;
(f) ‘Shipping guarantees, customs and tax bonds’;
(g) ‘Note issuance facilities’ (NIFs) and ‘Revolving underwritings facilities’ (RUFs);
(h) ‘Undrawn credit facilities’ which comprise agreements to ‘lend’ or provide ‘acceptance facilities’ where the terms and conditions are not pre-specified;
(i) ‘Undrawn credit facilities’ which comprise agreements to ‘purchase securities’ or ‘provide guarantees’;
(j) ‘Undrawn credit facilities for tender and performance guarantees’;
(k) ‘Other off-balance sheet items’ in Annex I to CRR.
116. Under IFRS, the following items are recognised in the balance sheet and, consequently, shall not be reported as off-balance sheet exposures:
(a) ‘Credit derivatives’ that do not meet the definition of financial guarantees are ‘derivatives’ under IFRS 9;
(b) ‘Acceptances’ are obligations by an institution to pay on maturity the face value of a bill of exchange, normally covering the sale of goods. Consequently, they are classified as ‘trade receivables’ on the balance sheet;
(c) ‘Endorsements on bills’ that do not meet the criteria for de-recognition under IFRS 9;
(d) ‘Transactions with recourse’ that do not meet the criteria for de-recognition under IFRS 9;
(e) ‘Assets purchased under outright forward purchase agreements’ are ‘derivatives’ under IFRS 9;
(f) ‘Asset sale and repurchase agreements as defined in paragraphs (3) and (5) of Article 12 of Directive 86/635/EEC’. In these contracts, the transferee has the option, but not the obligation, to return the assets at a price agreed in advance on a date specified or on a date to be specified. Therefore, these contracts meet the definition of derivatives under IFRS 9-Appendix A.
117. The item ‘of which: non-performing’ shall include the nominal amount of those loan commitments, financial guarantees and other commitments given that are considered as non-performing in accordance with paragraphs 213-239 of this Part.
118. For financial guarantees, loan commitments and other commitments given, the ‘Nominal amount’ shall be the amount that best represents the institution’s maximum exposure to credit risk without taking account of any collateral held or other credit enhancements. In particular, for financial guarantees given, the nominal amount shall be the maximum amount the entity could have to pay if the guarantee is called on. For loan commitments, the nominal amount shall be the undrawn amount that the institution has committed to lend. Nominal amounts shall be the exposure values before applying conversion factors and credit risk mitigation techniques.
119. In template 9.2, for loan commitments received, the nominal amount shall be the total undrawn amount that the counterparty has committed to lend to the institution. For other commitments received the nominal amount shall be the total amount committed by the other party in the transaction. For financial guarantees received, the ‘maximum amount of the guarantee that can be considered’ shall be the maximum amount the counterparty could have to pay if the guarantee is called on. Where a financial guarantee received has been issued by more than one guarantor, the guaranteed amount shall be reported only once in this template; the guaranteed amount shall be allocated to guarantor that is more relevant for the mitigation of credit risk.
10. DERIVATIVES AND HEDGE ACCOUNTING (10 AND 11)
120. For the purpose of templates 10 and 11, derivatives shall be considered either as hedging derivatives where they are used in a qualifying hedging relationship in accordance with IFRS or with the applicable national GAAP under BAD, or as held for trading in other cases.
121. The carrying amount and the notional amount of the derivatives held for trading, including economic hedges, as well as the derivatives held for hedge accounting shall be reported broken down by type of underlying risk, type of market and type of product in templates 10 and 11. Institutions shall report the derivatives held for hedge accounting also broken down by type of hedge. Information on non-derivative hedging instruments shall be reported separately, and broken down by types of hedges.
122. Under the relevant national GAAP based on BAD, all derivatives shall be reported in these templates irrespective of whether they are recognised on the balance sheet or not under the relevant national GAAP.
123. The breakdown of the carrying amount, fair value and notional amount of trading and hedging derivatives by accounting portfolios and types of hedges shall be implemented taking into consideration the accounting portfolios and types of hedges that are applicable in IFRS or national GAAP under BAD, whichever framework applies to the reporting entity.
124. Trading derivatives and hedging derivatives which, in accordance with national GAAP based on BAD, are measured at cost or LOCOM shall be separately identified.
125. Template 11 shall include hedging instruments and hedged items irrespective of the accounting standard used to recognise a qualifying hedge relationship, including where this qualifying hedge relationship is in relation to a net position. Where an institution has elected to keep applying IAS 39 for hedge accounting [IFRS 9.7.2.21], the references and names for the types of hedges and accounting portfolios shall be read as the relevant references and names in IAS 39.9: ‘Financial assets measured at fair value through other comprehensive income’ shall refer to ‘Available for sale assets’, and ‘Assets at amortised cost shall gather ‘Held to maturity’ as well as ‘Loans and receivables’.
126. Derivatives included in hybrid instruments which have been separated from the host contract shall be reported in templates 10 and 11 according to the nature of the derivative. The amount of the host contract is not included in these templates. However, where the hybrid instrument is measured at fair value through profit or loss, the contract shall be reported as a whole and the embedded derivatives are not reported in templates 10 and 11.
127. Commitments considered as derivatives [IFRS 9.2.3(b)] and credit derivatives that do not meet the definition of a financial guarantee in paragraph 114 of this Part of this Annex shall be reported in template 10 and template 11 following the same breakdowns as the other derivative instruments, but not be reported in template 9.
128. The carrying amount of non-derivative financial assets or non-derivative financial liabilities that are recognised as hedging instrument in application of IFRS or the relevant national GAAP under BAD shall be reported separately in template 11.3.
10.1. Classification of derivatives by type of risk
129. All derivatives shall be classified into one of the following risk categories:
(a) interest rate: Interest rate derivatives shall be contracts related to an interest-bearing financial instrument whose cash flows are determined by referencing interest rates or another interest rate contract such as an option on a futures contract to purchase a Treasury bill. This category shall be restricted to those deals where all the legs are exposed to only one currency's interest rate. Thus it shall exclude contracts involving the exchange of one or more foreign currencies such as cross-currency swaps and currency options, and other contracts whose predominant risk characteristic is foreign exchange risk, which are to be reported as foreign exchange contracts. The only exception is where cross-currency swaps are used as part of a portfolio hedge of interest rate risk, where they shall be reported in the dedicated rows for these types of hedges. Interest rate contracts shall include forward rate agreements, single-currency interest rate swaps, interest rate futures, interest rate options (including caps, floors, collars and corridors), interest rate swaptions and interest rate warrants;
(b) equity: Equity derivatives shall be contracts that have a return, or a portion of their return, linked to the price of a particular equity or to an index of equity prices;
(c) foreign exchange and gold: These derivatives shall include contracts involving the exchange of currencies in the forward market and the exposure to gold. They therefore shall cover outright forwards, foreign exchange swaps, currency swaps (including cross-currency interest rate swaps), currency futures, currency options, currency swaptions and currency warrant. Foreign exchange derivatives shall include all deals involving exposure to more than one currency, whether in exchange rates or in interest rates except where cross-currency swaps are used as part of a portfolio hedge of interest rate risk. Gold contracts shall include all deals involving exposure to that commodity;
(d) credit: Credit derivatives shall be contracts in which the payout is linked primarily to some measure of the creditworthiness of a particular reference credit and that do not meet the definition of financial guarantees [IFRS 9]. The contracts shall specify an exchange of payments in which at least one of the two legs is determined by the performance of the reference credit. Payouts can be triggered by a number of events, including a default, a rating downgrade or a stipulated change in the credit spread of the reference asset. Credit derivatives that meet the definition of a financial guarantee in paragraph 114 of this Part of this Annex shall be reported only in template 9;
(e) commodity: These derivatives shall be contracts that have a return, or a portion of their return, linked to the price of, or to a price index of, a commodity such as a precious metal (other than gold), petroleum, lumber or agricultural products
(f) other: These derivatives shall be any other derivative contracts, which do not involve an exposure to foreign exchange, interest rate, equity, commodity or credit risk such as climatic derivatives or insurance derivatives.
130. Where a derivative is influenced by more than one type of underlying risk, the instrument shall be allocated to the most sensitive type of risk. For multi-exposure derivatives, in cases of uncertainty, the deals shall be allocated according to the following order of precedence:
(a) commodities: All derivatives transactions involving a commodity or commodity index exposure, whether or not they involve a joint exposure in commodities and any other risk category which may include foreign exchange, interest rate or equity, shall be reported in this category;
(b) equities: With the exception of contracts with a joint exposure to commodities and equities, which are to be reported as commodities, all derivatives transactions with a link to the performance of equities or equity indices shall be reported in the equity category. Equity deals with exposure to foreign exchange or interest rates shall be included in this category;
(c) foreign exchange and gold: This category shall include all derivatives transactions (with the exception of those already reported in the commodity or equity categories) with exposure to more than one currency, be it pertaining either to interest-bearing financial instruments or exchange rates except where cross-currency swaps are used as part of a portfolio hedge of interest rate risk.
10.2. Amounts to be reported for derivatives
131. Under IFRS, the ‘carrying amount’ for all derivatives (hedging or trading) shall be the fair value. Derivatives with a positive fair value (above zero) shall be ‘financial assets’ and derivatives with a negative fair value (below zero) shall be ‘financial liabilities’. The ‘carrying amount’ shall be reported separately for derivatives with a positive fair value (‘financial assets’) and for those with a negative fair value (‘financial liabilities’). At the date of initial recognition, a derivative shall be classified as ‘financial asset’ or ‘financial liability’ according to its initial fair value. After initial recognition, as the fair value of a derivative increases or decreases, the terms of the exchange may become either favourable to the institution (and the derivative is classified as ‘financial asset’) or unfavourable (and the derivative is classified as ‘financial liability’). The carrying amount of hedging derivatives shall be their entire fair value, including where applicable the components of this fair value that are not designated as hedging instruments.
132. In addition to carrying amounts as defined in paragraph 27 of Part 1 of this Annex fair values shall be reported by reporting institutions under national GAAP based on BAD for all derivative instruments, whether required to be booked on-balance sheet or off-balance sheet by the national GAAP based on BAD.
133. The ‘Notional amount’ shall be the gross nominal of all deals concluded and not yet settled at the reference date, regardless of whether these deals lead to derivative exposures being booked on-balance sheet. In particular, the following shall be taken into account to determine the notional amount:
(a) for contracts with variable nominal or notional principal amounts, the basis for reporting shall be the nominal or notional principal amounts at the reference date;
(b) the notional amount value to be reported for a derivative contract with a multiplier component shall be the contract effective notional amount or par value;
(c) swaps: The notional amount of a swap shall be the underlying principal amount upon which the exchange of interest, foreign exchange or other income or expense is based;
(d) equity and commodity-linked contracts: The notional amount to be reported for an equity or commodity contract shall be the quantity of the commodity or equity product contracted for purchase or sale multiplied by the contract price of a unit. The notional amount to be reported for commodity contracts with multiple exchanges of principal shall be the contractual amount multiplied by the number of remaining exchanges of principal in the contract;
(e) credit derivatives: The contract amount to be reported for credit derivatives shall be the nominal value of the relevant reference credit;
(f) digital options have a predefined payoff which can be either a monetary amount or a number of contracts of an underlying. The notional amount for digital options shall be defined as either the predefined monetary amount or the fair value of the underlying at the reference date.
134. The column ‘Notional amount’ of derivatives shall include, for each line item, the sum of the notional amounts of all contracts in which the institution is counterparty, irrespective of whether the derivatives are considered assets or liabilities on the face of the balance sheet or are not booked on-balance sheet. All notional amounts shall be reported regardless whether the fair value of derivatives is positive, negative or equal to zero. Netting among the notional amounts shall not be allowed.
135. The ‘Notional amount’ shall be reported by ‘total’ and by ‘of which: sold’ for the line items: ‘OTC options’, ‘Organised market options’, ‘Credit’, ‘Commodity’ and ‘Other’. The item ‘of which sold’ shall include the notional amounts (strike price) of the contracts in which the counterparties (option holders) of the institution (option writer) have the right to exercise the option and for the items related to credit risk derivatives, the notional amounts of the contracts in which the institution (protection seller) has sold (gives) protection to their counterparties (protection buyers).
136. The allocation of a transaction as ‘OTC’ or ‘Organized market’ shall be based on the nature of the market where the transaction takes place and not on whether there is a mandatory clearing obligation for that transaction. An ‘Organised market’ is a regulated market in the meaning of Article 4(92) of CRR. Therefore, where a reporting entity enters into a derivative contract in an OTC market where central clearing is compulsory, it shall classify that derivative as ‘OTC’ and not as ‘Organised market’.
10.3. Derivatives classified as ‘economic hedges’
137. Derivatives that are held for hedging purposes but which do not meet the criteria to be effective hedging instruments in accordance with IFRS 9, with IAS 39 where IAS 39 is applied for hedge accounting purposes or with the accounting framework under national GAAP based on BAD shall be reported in template 10 as ‘economic hedges’. This shall apply also to all of the following cases:
(a) derivatives hedging unquoted equity instruments for which cost may be an appropriate estimate of fair value;
(b) credit derivatives measured at fair value through profit or loss used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss at, or subsequent to, initial recognition, or while it is unrecognised in accordance with IFRS 9.6.7.;
(c) derivatives that are classified as ‘held for trading’ in accordance with IFRS 9 Appendix A or trading assets in accordance with the national GAAP based on BAD but are not part of the trading book as defined in Article 4(1)(86) of CRR.
138. ‘Economic hedges’ shall not include derivatives for proprietary trading.
139. Derivatives that meet the definition of ‘economic hedges’ shall be reported separately for each type of risk in template 10.
140. Credit derivatives used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss at, or subsequent to, initial recognition, or while it is unrecognised in accordance with IFRS 9.6.7 shall be reported in a dedicated row in template 10 within credit risk. Other economic hedges of credit risk for which the reporting entity does not apply IFRS 9.6.7 shall be reported separately.
10.4. Breakdown of derivatives by counterparty sector
141. The carrying amount and the total notional amount of derivatives held for trading, and also of derivatives held for hedge accounting, which are traded in the OTC market, shall be reported by counterparty using the following categories:
(a) ‘credit institutions’;
(b) ‘other financial corporations’;
(c) ‘rest’ comprising all other counterparties.
142. All OTC derivatives, without regarding the type of risk to which they are related, shall be broken down by these counterparties.
10.5. Hedge accounting under national GAAP (11.2)
143. Where national GAAP under BAD require the allocation of hedging derivatives across categories of hedges, the hedging derivatives shall be separately reported for each of the applicable categories:‘fair-value hedges’, ‘cash-flow hedges’, ‘cost-price hedges’, ‘hedge in net investments in a foreign operation’, ‘portfolio fair value hedges of interest rate risk’ and ‘portfolio cash flow hedges of interest rate risk’.
144. Where applicable in accordance with national GAAP based on BAD, ‘Cost price hedges’ shall refer to a hedging category in which the hedging derivative is generally measured at cost.
10.6. Amount to be reported for non-derivative hedging instruments (11.3 and 11.3.1)
145. For non-derivative hedging instruments the amount to be reported shall be their carrying amount according to the applicable measurement rules for the accounting portfolios to which they belong in IFRS or in GAAP based on BAD. No ‘notional amount’ shall be reported for non-derivative hedging instruments.
10.7. Hedged items in fair value hedges (11.4)
146. The carrying amount of hedged items in a fair value hedge recognised on the statement of financial position shall be broken down by accounting portfolio and type of hedged risk for hedged financial assets and hedged financial liabilities. Where a financial instrument is hedged for more than one risk, it shall be reported in the type of risk in which the hedging instrument shall be reported in accordance with paragraph 129.
147. ‘Micro-hedges’ shall be hedges other than portfolio hedge of interest rate risk in accordance with IAS 39.89A. Micro-hedges include hedges of net positions in accordance with IFRS 9.6.6.
148. ‘Hedge adjustments on micro-hedges’ shall include all hedge adjustments for all the micro-hedges as defined in paragraph 147.
149. ‘Hedge adjustments included in the carrying amount of assets/liabilities’ shall be the accumulated amount of the gains and losses on the hedged items that have adjusted the carrying amount of those items and been recognised in profit or loss. Hedge adjustments for the hedged items that are equities measured at fair value through other comprehensive income shall be reported in template 1.3. Hedge adjustments for unrecognised firm commitments or a component thereof shall not be reported.
150. ‘Remaining adjustments for discontinued micro-hedges including hedges of net positions’ shall include those hedge adjustments which, following the discontinuation of the hedge relationship and the end of the adjustment of hedged items for hedging gains and losses, remain to be amortised to the profit or loss via a recalculated effective interest rate for hedged items measured at amortised cost, or to the amount that represents the previously recognised cumulative hedging gain or loss for hedged assets measured at fair value through other comprehensive income.
151. Where a group of financial assets or financial liabilities, including a group of financial assets or financial liabilities that constitute a net position, is eligible as a hedged item, financial assets and financial liabilities constituting this group shall be reported at their carrying amount on a gross basis, before netting between instruments within the group, in ‘Assets or liabilities included in hedge of a net position (before netting)’.
152. ‘Hedged items in portfolio hedge of interest rate risk’ shall include financial assets and financial liabilities included in a fair value hedge of the interest rate exposure of a portfolio of financial assets or financial liabilities. These financial instruments shall be reported at their carrying amount on a gross basis, before netting between instruments within the portfolio.
11. MOVEMENTS IN ALLOWANCES AND PROVISIONS FOR CREDIT LOSSES (12)
11.1. Movements in allowances for credit losses and impairment of equity instruments under national GAAP based on BAD (12.0)
153. Template 12.0 contains a reconciliation of the opening and closing balances of the allowance account for financial assets measured under cost-based methods, as well as for financial assets under other measurement methods or measured at fair value through equity if the national GAAP under BAD require those assets to be subject to impairment. Value adjustments on assets measured at the lower of cost or market shall not be reported in template 12.0.
154. ‘Increases due to amounts set aside for estimated loan losses during the period’ shall be reported where, for the main category of assets or the counterparty, the estimation of the impairment for the period results in the recognition of net expenses; that is, for the given category or counterparty, the increases in the impairment for the period exceed the decreases. ‘Decreases due to amounts reversed for estimated loan losses during the period’ shall be reported where, for the main category of assets or counterparty, the estimation of the impairment for the period result in the recognition of net income; that is, for the given category or counterparty, the decreases in the impairment for the period exceed the increases.
155. Changes in the allowance amounts due to repayment and disposals of financial assets shall be reported in ‘Other adjustments’. Write-offs shall be reported in accordance with paragraphs 72 to 74.
11.2. Movements in allowances and provisions for credit losses under IFRS (12.1)
156. Template 12.1 contains a reconciliation of the opening and closing balances of the allowance account for financial assets measured at amortised cost and at fair value through other comprehensive income broken down by impairment stages, by instrument and by counterparty.
157. The provisions for off-balance sheet exposures that are subject to the impairment requirements of IFRS 9 shall be reported by impairment stages. Impairment for loan commitments shall be reported as provisions only where they are not considered together with the impairment of on-balance sheet assets in accordance with IFRS 9.7.B8E and paragraph 108 of this part. Movements in provisions for commitments and financial guarantees measured under IAS 37 and financial guarantees treated as insurance contracts under IFRS 4 shall not be reported in this template but in template 43. Changes in the fair value due to credit risk of commitments and financial guarantees measured at fair value through profit or loss in accordance with IFRS 9 shall not be reported in this template but in item ‘Gains or (–) losses on financial assets and liabilities designated at fair value through profit or loss, net’ in accordance with paragraph 50 if this Part.
158. The items ‘of which: collectively measured allowances’ and ‘of which: individually measured allowances’ shall include the movements in the cumulative amount of impairment related to financial assets which have been respectively measured on a collective or individual basis.
159. ‘Increases due to origination and acquisition’ shall include the amount of increases in expected losses accounted for on the initial recognition of financial assets originated or acquired. This increase of the allowance shall be reported at the first reporting reference date following the origination or acquisition of those financial assets. Increases or decreases in the expected losses on those financial assets after their initial recognition shall be reported in other columns, as applicable. Originated or acquired assets shall include assets resulting from the drawdown of off-balance sheet commitments given.
160. ‘Decreases due to derecognition’ shall include the amount of changes in expected losses due to financial assets de-recognised totally in the reporting period for reasons other than write-offs, which include transfers to third parties or the expiry of the contractual rights due to full repayment, disposal of those financial assets or their transfer in another accounting portfolio. The change in allowance shall be recognised in this column at the first reporting reference date following the repayment, disposal or transfer. For off-balance sheet exposures this item shall also include the decreases in the impairment due to the off-balance sheet item becoming an on-balance sheet asset.
161. ‘Changes due to change in credit risk (net)’ shall include the net amount of changes in expected losses at the end of the reporting period due to an increase or decrease in credit risk since initial recognition irrespectively of whether they led to a transfer of the financial asset to another stage. The impact in the allowance due to the increase or decrease of the amount of financial assets as consequence of the interest income accrued and paid shall be reported in this column. This item shall also include the impact of the passing of time on the expected losses in accordance with IFRS 9.5.4.1(a) and (b). The changes in estimates due to updates or review of risk parameters as well as changes in forward-looking economic data shall also be reported in this column. Changes in expected losses due to partial repayment of exposures via instalments shall be reported in this column with the exception of the last instalment, which shall be reported in the column ‘Decreases due to derecognition’.
162. All changes in expected credit losses related to revolving exposures shall be reported in ‘Changes due to change in credit risk (net)’, except for those changes related to write-offs and updates in the institution's methodology for estimation of credit losses. Revolving exposures shall be those for which customers' outstanding balances are permitted to fluctuate based on their decisions to borrow and repay up to a limit established by the institution.
163. ‘Changes due to update in the institution's methodology for estimation (net)’ shall include changes due to updates in the institution’s methodology for estimation of expected losses due to changes in the existing models or establishment of new models used to estimate impairment. Methodological updates shall also encompass the impact of the adoption of new standards. Changes in methodology that trigger an asset to change impairment stage shall be considered for a model change in its entirety. The changes in estimates due to updates or review of risk parameters as well as changes in forward-looking economic data shall not be reported in this column.
164. The reporting of the changes in the expected losses related to modified assets [IFRS 9.5.4.3 and Appendix A] shall depend on the feature of the modification in accordance with the following:
(a) where the modification results in the partial or total derecognition of an asset due to a write-off as defined in paragraph 74, the impact on expected losses due to this derecognition shall be reported in ‘Decrease in allowance account due to write-offs’, and any other impact from modification on expected credit losses in other appropriate columns;
(b) where the modification results in the complete derecognition of an asset for reasons other than a write-off as defined in paragraph 74 and its substitution by a new asset, the impact of modification on expected credit losses shall be reported in ‘Changes due to derecognition’ for the changes due to the asset derecognised, and in ‘Increases due to origination and acquisition’ for the changes due to the newly recognised modified asset. Derecognition for reasons other than write-offs shall include derecognition where the terms of the modified assets have been subject to substantial changes;
(c) where the modification does not result in derecognition of all or part of the modified asset, its impact on expected losses shall be reported in ‘Changes due to modifications without derecognition’.
165. Write-offs shall be reported in accordance with paragraphs 72 to 74 of this Part of this Annex and in accordance with the following:
(a) where the debt instrument is partially or totally de-recognised because there is no reasonable expectation of recovery, the decrease in the loss allowance reported due to the amounts written off shall be reported in: ‘Decrease in allowance account due to write-offs;
(b) ‘Amounts written-off directly to the statement of profit or loss’ shall be the amounts of financial assets written-off during the reporting period that exceed any allowance account of the respective financial assets at the derecognition date. They shall include all amounts written-off during the reporting period and not only those which are still subject to enforcement activity.
166. ‘Other adjustments’ shall include any amount not reported in the previous columns, including among others the adjustments on expected losses due to foreign exchange differences where it is consistent with the reporting of the impact of foreign exchange in template 2.
11.3. Transfers between impairment stages (gross basis presentation) (12.2)
167. For financial assets the gross carrying amount and for off-balance exposures that are subject to the impairment requirements of IFRS 9 the nominal amount that has been transferred between impairment stages during the reporting period shall be reported in template 12.2.
168. Only the gross carrying amount or the nominal amount of those financial assets or off-balance exposures which are in a different impairment stage at the reporting reference date than they were at the beginning of the financial year or their initial recognition shall be reported. For on-balance exposures for which the impairment reported in template 12.1 includes an off-balance sheet component [IFRS 9.5.5.20 and IFRS 7.B8E], the change in stage of the on-balance sheet and off-balance sheet component shall be considered.
169. For the reporting of the transfers that have taken place during the financial year, financial assets or off-balance exposures that have changed multiple times the impairment stage since the beginning of the financial year or their initial recognition shall be reported as having been transferred from their impairment stage at the opening of the financial year or initial recognition to the impairment stage in which they are included at the reporting reference date.
170. The gross carrying amount or the nominal amount to be reported in template 12.2 shall be the gross carrying amount or the nominal value at the reporting date, regardless of whether this amount was higher or lower at the date of the transfer.
12. COLLATERAL AND GUARANTEES RECEIVED (13)
12.1. Breakdown of collateral and guarantees by loans and advances other than held for trading (13.1)
171. The collateral and guarantees backing the loans and advances, independently of their legal form, shall be reported by type of pledges: loans collateralised by immovable property and other collateralised loans, and by financial guarantees received. The loans and advances shall be broken down by counterparties and purpose.
172. In template 13.1, the ‘maximum amount of the collateral or guarantee that can be considered’ shall be reported. The sum of the amounts of the financial guarantee and/or collateral shown in the related columns of template 13.1 shall not exceed the carrying amount of the related loan.
173. For reporting loans and advances according to the type of pledge the following definitions shall be used:
(a) within ‘Loans collateralised by immovable property’, ‘Residential’ shall include loans secured by residential immovable property and ‘Commercial’ loans secured by pledges of immovable property other than residential including offices and commercial premises and other types of commercial immovable property. The determination of whether immovable property collateral shall be residential or commercial shall be made in accordance with the CRR;
(b) within ‘Other collateralised loans’, ‘Cash [Debt instruments issued]’ shall include (a) deposits in the reporting institution that have been pledged as collateral for a loan and (b) debt securities issued by the reporting institution which have been pledged as collateral for a loan. ‘Rest’ shall include pledges of other securities issued by any third parties or pledges of other assets;
(c) ‘Financial guarantees received’ shall include contracts that in accordance with paragraph 114 of this Part of this Annex require the issuer to make specified payments to reimburse the institution of a loss it incurs, because a specified debtor fails to make payment where due in accordance with the original or modified terms of a debt instrument.
174. For loans and advances that have simultaneously more than one type of collateral or guarantee, the amount of the ‘Maximum collateral/guarantee that can be considered’ shall be allocated according to its quality starting from the one with the best quality. For loans collateralised by immovable property, immovable property collateral shall always be reported first, irrespective of its quality compared to other collateral. Where the ‘Maximum collateral/guarantee that can be considered’ exceeds the value of immovable property collateral, its remaining value shall be allocated to other collateral types and guarantees according to its quality starting from the one with best quality.
12.2. Collateral obtained by taking possession during the period [held at the reporting date] (13.2)
175. This template shall include the carrying amount of the collateral that has been obtained between the beginning and the end of the reference period and that remains recognised in the balance sheet at the reference date.
12.3. Collateral obtained by taking possession [tangible assets] accumulated (13.3)
176. ‘Foreclosure [tangible assets]’ shall be the cumulative carrying amount of tangible assets obtained by taking possession of collateral that remains recognised in the balance sheet at the reference date excluding those classified as ‘Property, plant and equipment’.
13. FAIR VALUE HIERARCHY: FINANCIAL INSTRUMENTS AT FAIR VALUE (14)
177. Institutions shall report the value of financial instruments measured at fair value according to the hierarchy provided by IFRS 13.72. Where national GAAP under BAD also require the allocation of assets measured at fair value between different levels of fair value, institutions under national GAAP shall also report this template.
178. ‘Change in fair value for the period’ shall include gains or losses from re-measurements in accordance with IFRS 9, IFRS 13 or national GAAP where applicable, in the period of the instruments that continue to exist at the reporting date. These gains and losses shall be reported as for inclusion in the statement of profit or loss, or where applicable, in the statement of comprehensive income; thus, the amounts reported are before taxes.
179. ‘Accumulated change in fair value before taxes’ shall include the amount of gains or losses from re-measurements of the instruments accumulated from the initial recognition to the reference date.
14. DERECOGNITION AND FINANCIAL LIABILITIES ASSOCIATED WITH TRANSFERRED FINANCIAL ASSETS (15)
180. Template 15 shall include information on transferred financial assets of which part or all do not qualify for de-recognition, and financial assets entirely derecognised for which the institution retains servicing rights.
181. The associated liabilities shall be reported according to the portfolio in which the related transferred financial assets were included in the assets side and not according to the portfolio in which they were included in the liability side.
182. The column ‘Amounts derecognised for capital purposes’ shall include the carrying amount of the financial assets recognised for accounting purposes but de-recognised for prudential purposes because the institution is treating them as securitisation positions for capital purposes in accordance with Articles 109, 243 and 244 of CRR.
183. ‘Repurchase agreements’ (‘repos’) shall be transactions in which the 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. Transactions involving the temporary transfer of gold against cash collateral shall also be considered ‘Repurchase agreements’ (‘repos’). Amounts received by the institution in exchange for financial assets transferred to a third party (‘temporary acquirer’) shall be classified under ‘repurchase agreements’ where there is a commitment to reverse the operation and not merely an option to do so. Repurchase agreements shall also include repo-type operations which may include:
(a) Amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral;
(b) Amounts received in exchange for securities temporarily transferred to a third party in the form of sale/buy-back agreement.
184. ‘Repurchase agreements’ (‘repos’) and ‘reverse repurchase loans’ (‘reverse repos’) shall involve cash received or loaned out by the institution.
185. In a securitisation transaction, where the transferred financial assets are derecognized, institutions shall declare the gains (losses) generated by the item within the income statement corresponding to the ‘accounting portfolios’ in which the financial assets were included prior to their de-recognition.
15. BREAKDOWN OF SELECTED STATEMENT OF PROFIT OR LOSS ITEMS (16)
186. For selected items of the income statement further breakdowns of gains (or income) and losses (or expenses) shall be reported.
15.1. Interest income and expenses by instrument and counterparty sector (16.1)
187. Interest income shall be broken down in accordance with both of the following:
(a) interest income on financial and other assets;
(b) interest income on financial liabilities with negative effective interest rate.
188. Interest expenses shall be broken down in accordance with both of the following:
(a) interest expenses on financial and other liabilities;
(b) interest expenses on financial assets with negative effective interest rate.
189. Interest income on financial assets and on financial liabilities with a negative effective interest rate shall include interest income on derivatives held for trading, debt securities, and loans and advances, as well as on deposits, debt securities issued and other financial liabilities with a negative effective interest rate.
190. Interest expenses on financial liabilities and on financial assets with a negative effective interest rate shall include interest expenses on derivatives held for trading, deposits, debt securities issued and other financial liabilities, as well as on debt securities and loans and advances with a negative effective interest rate.
191. For the purpose of template 16.1, short positions shall be considered within other financial liabilities. All instruments in the various portfolios shall be taken into account except those included in the items ‘Derivatives - Hedge accounting’ not used to hedge interest rate risk.
192. ‘Derivatives - Hedge accounting, interest rate risk’ shall include the interest income and expenses on hedging instruments where the hedged items generate interest.
193. Where the clean price is used, interest on derivatives held for trading shall include the amounts related to those derivatives held for trading which qualify as ‘economic hedges’ that are included as interest income or expenses to correct the income and expense of the hedged financial instruments from an economic but not accounting point of view. In such case interest income on economic hedge derivatives shall be reported separately within interest income from trading derivatives. Time-apportioned fees or balancing payments in relation to credit derivatives measured at fair value and used to manage the credit risk of part or all of a financial instrument that is designated at fair value at that occasion shall also be reported within interest on derivatives held for trading.
194. Under IFRS, ‘of which: interest-income on impaired financial assets’ means interest income on credit-impaired financial assets, including purchased or originated credit-impaired financial assets. Under national GAAP under BAD, it shall include interest income on assets impaired with a specific or general impairment allowance for credit risk.
15.2. Gains or losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss by instrument (16.2)
195. Gains and losses on de-recognition of financial assets and financial liabilities not measured at fair value through profit or loss shall be broken down by type of financial instrument and by accounting portfolio. For each item, the net realised gain or loss stemming from the derecognised transaction shall be reported. The net amount represents the difference between realised gains and realised losses.
196. Template 16.2 shall apply under IFRS to financial assets and liabilities at amortised cost, and debt instruments measured at fair value through other comprehensive income. Under national GAAP based on BAD, template 16.2 shall apply to financial assets measured at cost-based method, at fair value through equity, and according to other measurement methods such as the lower of cost or market. Gains and losses of financial instruments classified as trading under the relevant national GAAP based on BAD shall not be reported in this template regardless of the valuation rules applicable for these instruments.
15.3. Gains or losses on financial assets and liabilities held for trading by instrument (16.3)
197. Gains and losses on financial assets and liabilities held for trading shall be broken down by type of instrument; each item of the breakdown shall be the net realised and unrealised amount (gains minus losses) of the financial instrument.
198. Gains and losses from foreign currency trading on the spot market, excluding exchange of foreign notes and coins, shall be included as trading gains and losses. Gains and losses from precious metal trading or de-recognition and re-measurement shall not be included in trading gains and losses but in ‘Other operating income’ or ‘Other operating expense’ in accordance with paragraph 316 of this Part.
199. The item ‘of which: economic hedges with use of the fair value option’ shall include only gains and losses on credit derivatives measured at fair value through profit or loss and used to manage the credit risk of all or part of a financial instrument that is designated at fair value through profit or loss at that occasion in accordance with IFRS 9.6.7. Gains or losses due to the reclassification of financial assets out of the amortised cost accounting portfolio and into the fair value through profit or loss accounting portfolio or into the held for trading portfolio [IFRS 9.5.6.2] shall be reported in ‘of which: gains and losses due to the reclassification of assets at amortised cost’.
15.4. Gains or losses on financial assets and liabilities held for trading by risk (16.4)
200. Gains and losses on financial assets and financial liabilities held for trading shall also be broken down by type of risk; each item of the breakdown is the net realised and unrealised amount (gains minus losses) of the underlying risk (interest rate, equity, foreign exchange, credit, commodity and other) associated to the exposure, including related derivatives. Gains and losses from exchange differences shall be included in the item in which the rest of gains and losses arising from the converted instrument are included. Gains and losses on financial assets and financial liabilities other than derivatives shall be included in the risk categories as follows:
(a) interest rate: including trading of loans and advances, deposits and debt securities (held or issued);
(b) equity: including trading of shares, quotas of UCITS and other equity instruments;
(c) foreign exchange trading: including exclusively trading on foreign exchanges;
(d) credit risk: including trading of credit link notes;
(e) commodities: this item shall include only derivatives because gains and losses on commodities held with trading intent shall be reported under ‘Other operating income’ or ‘Other operating expense’ in accordance with paragraph 316 of this Part;
(f) other: including trading of financial instruments which cannot be classified in other breakdowns.
15.5. Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument (16.4.1)
201. Gains and losses on non-trading financial assets mandatorily at fair value through profit or loss shall be broken down by type of instrument; each item of the breakdown is the net realised and unrealised amount (gains minus losses) of the financial instrument.
202. Gains or losses due to the reclassification of financial assets out of the amortised cost accounting portfolio and into the non-trading financial assets mandatorily at fair value through profit or loss accounting portfolio [IFRS 9.5.6.2] shall be reported in ‘of which: gains and losses due to the reclassification of assets at amortised cost’.
15.6. Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5)
203. Gains and losses on financial assets and liabilities designated at fair value through profit or loss shall be broken down by type of instrument. Institutions shall report the net realised and unrealised gains or losses and the amount of change in fair value of financial liabilities in the period due to changes in the credit risk (own credit risk of the borrower or issuer) where own credit risk is not reported within other comprehensive income.
204. Where a credit derivative measured at fair value is used to manage the credit risk of all or part of a financial instrument that is designated at fair value through profit or loss at that occasion, the gains or losses of the financial instrument upon that designation shall be reported in ‘of which: gains or (–) losses upon designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net’. Subsequent fair value gains or losses on these financial instruments shall be reported in ‘of which: gains or (–) losses after the designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net’.
15.7. Gains or losses from hedge accounting (16.6)
205. All gains and losses from hedge accounting, except interest income or expense where the clean price is used, shall be broken down by type of hedge accounting: fair value hedge, cash flow hedge and hedge of net investments in foreign operations. Gains and losses related to fair value hedge shall be broken down between the hedging instrument and the hedged item. Gains and losses on hedging instruments shall not include gains and losses related to elements of the hedging instruments that are not designated as hedging instruments in accordance with IFRS 9.6.2.4. These not designated hedging instruments shall be reported in accordance with paragraph 60 of this Part. Gains and losses from hedge accounting shall also include gains and losses on hedges of a group of items with offsetting risk positions (hedges of a net position).
206. ‘Fair value changes of the hedged item attributable to the hedged risk’ shall also include gains and losses on hedged items where the items are debt instruments measured at fair value through other comprehensive income in accordance with IFRS 9.4.1.2A [IFRS 9.6.5.8].
207. Under national GAAP based on BAD, the breakdown by type of hedges as provided for in this template shall be reported to the extent the breakdown is compatible with the applicable accounting requirements.
15.8. Impairment on non-financial assets (16.7)
208. ‘Additions’ shall be reported where, for the accounting portfolio or main category of assets, the estimation of the impairment for the period results in recognition of net expenses. ‘Reversals’ shall be reported where, for the accounting portfolio or main category of assets, the estimation of the impairment for the period result in the recognition of net income.
16. RECONCILIATION BETWEEN ACCOUNTING AND CRR SCOPE OF CONSOLIDATION (17)
209. ‘Accounting scope of consolidation’ shall include the carrying amount of assets, liabilities and equity as well as the nominal amounts of the off-balance sheet exposures prepared using the accounting scope of consolidation; that is, including in the consolidation subsidiaries that are insurance undertakings and non-financial corporations. Institutions shall account for the subsidiaries, joint ventures and associates using the same method as in their financial statements.
210. In this template, the item ‘Investments in subsidiaries, joint ventures and associates’ shall not include subsidiaries as with the accounting scope of consolidation all subsidiaries are fully consolidated.
211. ‘Assets under reinsurance and insurance contracts’ shall include assets under reinsurance ceded as well as, if any, assets related to insurance and reinsurance contracts issued.
212. ‘Liabilities under insurance and reinsurance contracts’ shall include liabilities under insurance and reinsurance contracts issued.
17. NON-PERFORMING EXPOSURES (18)
213. For the purpose of template 18, non-performing exposures shall be those that satisfy any of the following criteria:
(a) material exposures which are more than 90 days past due;
(b) the debtor is assessed as unlikely to pay its credit obligations in full without realisation of collateral, regardless of the existence of any past due amount or of the number of days past due.
214. That categorisation as non-performing exposures shall apply notwithstanding the classification of an exposure as defaulted for regulatory purposes in accordance with Article 178 of CRR or as impaired for accounting purposes in accordance with the applicable accounting framework.
215. Exposures in respect of which a default is considered to have occurred in accordance with Article 178 of CRR and exposures that have been found impaired in accordance with the applicable accounting framework shall always be considered as non-performing exposures. Under IFRS, for the purpose of template 18, impaired exposures shall be those that have been found credit-impaired (Stage 3), including purchased or originated credit-impaired assets. Exposures included in impairment stages other than Stage 3 shall be considered as non-performing where they meet the criteria to be considered as non-performing.
216. Exposures shall be categorised for their entire amount and without taking into account the existence of any collateral. Materiality shall be assessed in accordance with Article 178 of CRR.
217. For the purpose of template 18, ‘exposures’ shall include all debt instruments (debt securities and loans and advances which shall include also cash balances at central banks and other demand deposits) and off-balance sheet exposures, except those held for trading exposures.
218. Debt instruments shall be included in the following accounting portfolios: (a) debt instruments at cost or amortised cost, (b) debt instruments at fair value through other comprehensive income or through equity subject to impairment and (c) debt instruments at strict LOCOM or fair value through profit or loss or through equity not subject to impairment, in accordance with the criteria of paragraph 233 of this Part. Each category shall be broken down by instrument and by counterparty.
219. Under IFRS and relevant national GAAP based on BAD, off-balance sheet exposures shall comprise the following revocable and irrevocable items:
(a) loan commitments given;
(b) financial guarantees given;
(c) other commitments given.
220. Debt instruments classified as held for sale in accordance with IFRS 5 shall be reported separately.
221. In template 18 for debt instruments, ‘gross carrying amount’ shall be reported as defined in paragraph 34 of Part 1 of this Annex. For off-balance sheet exposures, the nominal amount as defined in paragraph 118 of this Part of this Annex shall be reported.
222. For the purpose of template 18, an exposure is ‘past-due’ where it meets the criteria of paragraph 96 of this Part.
223. For the purpose of template 18, ‘debtor’ means an obligor within the meaning of Article 178 of CRR.
224. A commitment shall be considered as a non-performing exposure for its nominal amount where, drawn down or otherwise used, it would lead to exposures that present a risk of not being paid back in full without realisation of collateral.
225. Financial guarantees given shall be considered as non-performing exposures for their nominal amount where the financial guarantee is at risk of being called by the guaranteed party, including, in particular, where the underlying guaranteed exposure meets the criteria to be considered as non-performing, referred to in paragraph 213. Where the guaranteed party is past-due on the amount due under the financial guarantee contract, the reporting institution shall assess whether the resulting receivable meets the non-performing criteria.
226. Exposures classified as non-performing in accordance with paragraph 213 shall be categorised as either non-performing on an individual basis (‘transaction based’) or as non-performing for the overall exposure to a given debtor (‘debtor based’). For the categorisation of non-performing exposures on an individual basis or to a given debtor, the following categorisation approaches shall be used for the different types of non-performing exposures:
(a) for non-performing exposures classified as defaulted in accordance with Article 178 of CRR, the categorisation approach of that Article shall be applied;
(b) for exposures that are classified as non-performing due to impairment under the applicable accounting framework, the recognition criteria for impairment under the applicable accounting framework shall be applied;
(c) for other non-performing exposures that are neither classified as defaulted nor as impaired, the provisions of Article 178 of CRR for defaulted exposures shall be applied.
227. Where an institution has on-balance sheet exposures to a debtor that are past due by more than 90 days and the gross carrying amount of the past due exposures represents more than 20% of the gross carrying amount of all on-balance sheet exposures to that debtor, all on- and off-balance sheet exposures to that debtor shall be considered as non-performing. Where a debtor belongs to a group, the need to also consider exposures to other entities of the group as non-performing shall be assessed, where they are not already considered as impaired or defaulted in accordance with Article 178 of CRR, except for exposures affected by isolated disputes that are unrelated to the solvency of the counterparty.
228. Exposures shall be considered to have ceased being non-performing where all of the following conditions are met:
(a) the exposure meets the exit criteria applied by the reporting institution for the discontinuation of the impairment and default classification according to the applicable accounting framework and Article 178 of the CRR respectively;
(b) the situation of the debtor has improved to the extent that full repayment, according to the original or where applicable the modified conditions, is likely to be made;
(c) the debtor does not have any amount past-due by more than 90 days.
229. An exposure shall remain classified as non-performing while the conditions in points (a), (b) and (c) of paragraph 228 of this Part of this Annex are not met, even though the exposure has already met the discontinuation criteria applied by the reporting institution for the impairment and default classification according to the applicable accounting framework and Article 178 of CRR respectively.
230. The classification of a non-performing exposure as non-current asset held for sale in accordance with IFRS 5 does not discontinue their classification as non-performing exposure.
231. Granting forbearance measures to a non-performing exposure shall not discontinue the non-performing status of this exposure. Where exposures are non-performing with forbearance measures, as referred to in paragraph 262, those exposures shall be considered to have ceased being non-performing where all the following conditions are met:
(a) exposures are not considered to be impaired or defaulted by the reporting institution according to the applicable accounting framework and Article 178 of the CRR, respectively;
(b) one year has passed since the latest between the moment where forbearance measures were applied and the moment where exposures have been classified as non-performing;
(c) there is not, following the forbearance measures, any past-due amount or concern regarding the full repayment of the exposure according to the post-forbearance conditions. The absence of concerns shall be determined after an analysis of the debtor’s financial situation by the institution. Concerns may be considered as no longer existing where the debtor has paid, via its regular payments in accordance with the post-forbearance conditions, a total equal to the amount that was previously past-due (where there were past-due amounts) or that has been written-off (where there were no past-due amounts) under the forbearance measures or the debtor has otherwise demonstrated its ability to comply with the post-forbearance conditions.
The specific exit conditions referred to in points (a), (b) and (c) shall apply in addition to the criteria applied by reporting institutions for impaired and defaulted exposures according to the applicable accounting framework and Article 178 of CRR, respectively.
232. Where the conditions referred to in paragraph 231 of this Part of this Annex are not met at the end of the one year period specified in point (b) of that paragraph, the exposure shall continue to be identified as non-performing forborne exposure until all conditions are met. The conditions shall be assessed at least on a quarterly basis.
233. The accounting portfolios under IFRS listed in paragraph 15 of Part 1 of this Annex and under relevant national GAAP based on BAD listed in paragraph 16 of Part 1 of this Annex shall be reported as follows in template 18:
(a) ‘Debt instruments at cost or at amortised cost’ shall encompass debt instruments included in any of the following:
(i) ‘financial assets at amortised cost’ (IFRS);
(ii) ‘Non-trading non-derivative financial assets at a cost based method’, including debt instruments under moderate LOCOM (national GAAP based on BAD);
(iii) ‘Other non-trading non-derivative financial assets’, except debt instruments measured at strict LOCOM (national GAAP based on BAD);
(b) ‘Debt instruments at fair value through other comprehensive income or through equity subject to impairment’ shall encompass debt instruments included in any of the following:
(i) ‘Financial assets at fair value through other comprehensive income’ (IFRS);
(ii) ‘Non-trading non-derivative financial assets measured at fair value to equity’, where instruments in that measurement category can be subject to impairment in accordance with the applicable accounting framework under national GAAP based on BAD;
(c) ‘Debt instruments at strict LOCOM, or at fair value through profit or loss or through equity not subject to impairment’ shall encompass debt instruments included in any of the following:
(i) ‘Non-trading financial assets mandatorily at fair value through profit or loss’ (IFRS);
(ii) ‘Financial assets designated at fair value through profit or loss’ (IFRS);
(iii) ‘Non-trading non-derivative financial assets measured at fair value through profit or loss’ (national GAAP based on BAD);
(iv) ‘Other non-trading non-derivative financial assets’ where debt instruments are measured under strict LOCOM (national GAAP based on BAD);
(v) ‘Non-trading non-derivative financial assets measured at fair value through equity’, where debt instruments in that measurement category are not subject to impairment in accordance with the applicable accounting framework under GAAP based on BAD.
234. Where IFRS or the relevant national GAAP based on BAD provide for the designation of commitments at fair value through profit and loss, the carrying amount of any asset resulting from that designation and measurement at fair value shall be reported in ‘Financial assets designated at fair value through profit or loss’ (IFRS) or ‘Non-trading non-derivative financial assets measured at fair value through profit or loss’ (national GAAP based on BAD). The carrying amount of any liability resulting from that designation shall not be reported in template F18. The notional amount of all commitments designated at fair value through profit or loss shall be reported in template 9.
235. Past due exposures shall be reported separately within the performing and non-performing categories for their entire amount as defined in paragraph 96 of this Part. Exposures past due by more than 90 days but that are not material in accordance with Article 178 of CRR shall be reported within performing exposures in ‘Past due > 30 days <= 90 days’.
236. Non-performing exposures shall be reported broken down by past due time bands. Exposures that are not past due or are past due by 90 days or less but nevertheless are identified as non-performing due to the likelihood of non-full repayment shall be reported in a dedicated column. Exposures that present both past due amounts and a likelihood of non-full repayment shall be allocated by past-due time bands consistent with the number of days that they are past due.
237. The following exposures shall be identified in separate columns:
(a) exposures which are considered to be impaired in accordance with the applicable accounting framework; under IFRS, the amount of credit-impaired assets (Stage 3), including purchased or originated credit-impaired assets, shall be reported in this column;
(b) exposures in respect of which a default is considered to have occurred in accordance with Article 178 of CRR.
238. ‘Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions’ figures shall be reported in accordance with paragraphs 11, 69 to 71, 106 and 110 of this Part.
239. Information on collateral held and guarantees received on non-performing exposures shall be reported separately. Amounts reported for collateral received and guarantees received shall be calculated in accordance with paragraphs 172 and 174 of this Part. The sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount or nominal amount of the related exposure.
18. FORBORNE EXPOSURES (19)
240. For the purpose of template 19, forborne exposures shall be debt contracts in respect of which forbearance measures have been applied. Forbearance measures consist of concessions towards a debtor that is experiencing or about to experience difficulties in meeting its financial commitments (‘financial difficulties’).
241. For the purpose of template 19, a concession may entail a loss for the lender and shall refer to either of the following actions:
(a) a modification of the previous terms and conditions of a contract that the debtor is considered unable to comply with due to its financial difficulties (‘troubled debt’) resulting in insufficient debt service ability and that would not have been granted had the debtor not been experiencing financial difficulties;
(b) a total or partial refinancing of a troubled debt contract, that would not have been granted had the debtor not been experiencing financial difficulties.
242. Evidence of a concession shall include at least any of the following:
(a) a difference in favour of the debtor between the modified terms of the contract and the previous terms of the contract;
(b) inclusion in a modified contract of more favourable terms than other debtors with a similar risk profile could have obtained from the same institution at that time.
243. The exercise of clauses which, where used at the discretion of the debtor, enable the debtor to change the terms of the contract (‘embedded forbearance clauses’) shall be treated as a concession where the institution approves executing those clauses and concludes that the debtor is experiencing financial difficulties.
244. For the purposes of Annexes III and IV as well as this Annex, ‘refinancing’ means the use of debt contracts to ensure the total or partial payment of other debt contracts the current terms of which the debtor is unable to comply with.
245. For the purpose of template 19, ‘debtor’ shall include all the legal entities in the debtor’s group which are within the accounting scope of consolidation and natural persons who control that group.
246. For the purpose of template 19, ‘debt’ shall include loans and advances (which include also cash balances at central banks and other demand deposits), debt securities and revocable and irrevocable loan commitments given including those loan commitments designated at fair value through profit and loss that are assets at the reporting date. ‘Debt’ shall exclude exposures held for trading.
247. ‘Debt’ shall also include loans and advances and debt securities classified as non-current assets and disposal groups classified as held for sale in accordance with IFRS 5.
248. For the purpose of template 19, ‘exposure’ shall have the same meaning as given for ‘debt’ in paragraph 247 of this Part.
249. The accounting portfolios under IFRS listed in paragraph 15 of Part 1 of this Annex and under relevant national GAAP based on BAD listed in paragraph 16 of Part 1 of this Annex shall be reported in template 19 as defined in paragraph 233 of this Part.
250. For the purpose of template 19, ‘institution’ means the institution which applied the forbearance measures.
251. In template 19 for ‘debt’, the ‘gross carrying amount’ shall be reported as defined in paragraph 34 of Part 1 of this Annex. For loan commitments given which are off-balance sheet exposures, the nominal amount as defined in paragraph 118 of this Part of this Annex shall be reported.
252. Exposures shall be regarded as forborne where a concession has been made, irrespective of whether any amount is past due or of the classification of the exposures as impaired in accordance with the applicable accounting framework or as defaulted in accordance with Article 178 of CRR. Exposures shall not be treated as forborne where the debtor is not in financial difficulties. Under IFRS, modified financial assets [IFRS 9.5.4.3 and Appendix A] shall be treated as forborne provided that a concession as defined in paragraphs 240 and 241 of this Part of this Annex has been made, regardless of the incidence of the modification on the change in the credit risk of the financial asset since initial recognition. Any of the following shall be treated as forbearance measures:
(a) a modified contract that has been classified as non-performing before the modification or would in the absence of modification be classified as non-performing;
(b) the modification that has been made to a contract involves a total or partial cancellation by write-offs of the debt;
(c) the institution approves the use of embedded forbearance clauses for a debtor who is non-performing or who would be considered as non-performing without the use of those clauses;
(d) simultaneously with or close in time to the concession of additional debt by the institution, the debtor made payments of principal or interest on another contract with the institution that was non-performing or would in the absence of refinancing be classified as non-performing.
253. A modification involving repayments made by taking possession of collateral shall be treated as a forbearance measure where that modification constitutes a concession.
254. There is a rebuttable presumption that forbearance has taken place in any of the following circumstances:
(a) the modified contract was totally or partially past due by more than 30 days (without being non-performing) at least once during the three months prior to its modification or would be more than 30 days past due, totally or partially, without modification;
(b) simultaneously with or close in time to the concession of additional debt by the institution, the debtor made payments of principal or interest on another contract with the institution that was totally or partially past due by 30 days at least once during the three months prior to its refinancing;
(c) the institution approves the use of embedded forbearance clauses for 30 days past due debtors or debtors who would be 30 days past due without the exercise of those clauses.
255. Financial difficulties shall be assessed at debtor level as referred to in paragraph 245. Only exposures to which forbearance measures have been applied shall be identified as forborne exposures.
256. Forborne exposures shall be included within the non-performing exposures category or the performing exposures category in accordance with paragraphs 213 to 224 and 260 of this Part. The classification as forborne exposure shall be discontinued where all of the following conditions are met:
(a) the forborne exposure is considered to be performing, including where it has been reclassified from the non-performing exposures category after an analysis of the financial condition of the debtor showed that it no longer met the conditions to be considered as non-performing;
(b) a minimum two year period has passed from the date the forborne exposure was considered to be performing (‘probation period’);
(c) regular payments of more than an insignificant aggregate amount of principal or interest have been made during at least half of the probation period;
(d) none of the exposures to the debtor is more than 30 days past due at the end of the probation period.
257. Where the conditions referred to in paragraph 256 are not met at the end of the probation period, the exposure shall continue to be identified as performing forborne under probation until all the conditions are met. The conditions shall be assessed at least on a quarterly basis.
258. Forborne exposures which are classified as non-current assets held for sale in accordance with IFRS 5 shall continue to be classified as forborne exposures.
259. A forborne exposure may be considered as performing from the date the forbearance measures were applied where both of the following conditions are met:
(a) that extension has not led the exposure to be classified as non-performing;
(b) the exposure was not considered to be a non-performing exposure at the date the forbearance measures were extended.
260. Where additional forbearance measures are applied to a performing forborne exposure under probation that has been reclassified out of non-performing category or the exposure becomes more than 30 days past due, it shall be classified as non-performing.
261. ‘Performing exposures with forbearance measures’ (performing forborne exposures) shall comprise forborne exposures that do not meet the criteria to be considered as non-performing and are included in the performing exposures category. Performing forborne exposures are under probation according to paragraph 256, including where paragraph 259 applies. Performing forborne exposures under probation that have been reclassified out of the non-performing exposures category shall be reported separately within the performing exposures with forbearance measures in the column ‘of which: Performing forborne exposures under probation reclassified from non-performing’.
262. ‘Non-performing exposures with forbearance measures’ (non-performing forborne exposures) shall comprise forborne exposures that meet the criteria to be considered as non-performing and are included in the non-performing exposures category. Those non-performing forborne exposures shall include the following:
(a) exposures which have become non-performing due to the application of forbearance measures;
(b) exposures which were non-performing prior to the extension of forbearance measures;
(c) forborne exposures which have been reclassified from the performing category, including exposures reclassified in application of paragraph 260.
263. Where forbearance measures are extended to exposures which were non-performing prior to the extension of forbearance measures, the amount of those forborne exposures shall be separately identified in the column ‘of which: forbearance of exposures non-performing prior to forbearance measures’.
264. The following non-performing exposures with forbearance measures shall be identified in separate columns:
(a) exposures which are considered to be impaired in accordance with the applicable accounting framework. Under IFRS, the amount of credit-impaired assets (Stage 3), including purchased or originated credit-impaired assets shall be reported in this column;
(b) exposures in respect of which a default is considered to have occurred in accordance with Article 178 of CRR.
265. The column ‘Refinancing’ shall comprise the gross carrying amount of the new contract (‘refinancing debt’) granted as part of a refinancing transaction which qualifies as a forbearance measure, as well as the gross carrying amount of the old re-paid contract that is still outstanding.
266. Forborne exposures combining modifications and refinancing shall be allocated to the column ‘Instruments with modifications of the terms and conditions’ or the column ‘Refinancing’ according to the measure that has the most impact on cash-flows. Refinancing by a pool of banks shall be reported in the column ‘Refinancing’ for the total amount of refinancing debt provided by or refinanced debt still outstanding at the reporting institution. Repackaging of several debts into a new debt shall be reported as a modification, unless there is also a refinancing transaction that has a larger impact on cash-flows. Where forbearance through modification of the terms and conditions of a troubled exposure leads to its de-recognition and to the recognition of a new exposure, that new exposure shall be treated as forborne debt.
267. Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions shall be reported in accordance with paragraphs 11, 69 to 71, 106 and 110 of this Part.
268. Collateral and guarantees received on exposures with forbearance measures shall be reported for all exposures with forbearance measures, regardless of their performing or non-performing status. Amounts reported for collateral received and guarantees received shall be calculated in accordance with paragraphs 172 and 174 of this Part. The sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related exposure.
19. GEOGRAPHICAL BREAKDOWN (20)
269. Template 20 shall be reported where the institution exceeds the threshold described in Article 5.1(a)(iv) of this Regulation.
19.1. Geographical breakdown by location of activities (20.1-20.3)
270. The geographical breakdown by location of the activities in templates 20.1 to 20.3 distinguishes between ‘domestic activities’ and ‘non-domestic activities’. For the purposes of this Part,‘location’ means the jurisdiction of incorporation of the legal entity which has recognised the corresponding asset or liability; for branches, it means the jurisdiction of its residence. For these purposes, ‘domestic’ shall include the activities recognised in the Member State where the reporting institution is located.
19.2. Geographical breakdown by residence of the counterparty (20.4-20.7)
271. Templates 20.4 to 20.7 contain information ‘country-by-country’ on the basis of the residence of the immediate counterparty as defined in paragraph 43 of Part 1 of this Annex. The breakdown provided shall include exposures or liabilities with residents in each foreign country in which the institution has exposures. Exposures or liabilities with international organisations and multilateral development banks shall not be assigned to the country of residence of the institution but to the geographical area ‘Other countries’.
272. ‘Derivatives’ shall include both trading derivatives, including economic hedges, and hedging derivatives under IFRS and under GAAP, reported in templates 10 and 11.
273. Assets held for trading under IFRS and trading assets under GAAP shall be identified separately. Financial assets subject to impairment shall have the same meaning as in paragraph 93 of this Part. Assets measured under LOCOM that have credit risk induced value adjustments shall be considered as impaired.
274. In templates 20.4 and 20.7, ‘Accumulated impairment’ and ‘Accumulated negative changes in fair value due to credit risk on non-performing exposures’ shall be reported as defined in paragraphs 69 to 71 of this Part.
275. In template 20.4 for debt instruments, ‘gross carrying amount’ shall be reported as defined in paragraph 34 of Part 1 of this Annex. For derivatives and equity instruments, the amount to be reported shall be the carrying amount. In column ‘Of which: Non-performing’ debt instruments shall be reported as defined in paragraphs 213 to 232 of this Part. Debt forbearance comprises all ‘debt’ contracts for the purpose of template 19 to which forbearance measures, as defined in paragraphs 240 to 255 of this Part, are extended.
276. In template 20.5, ‘Provisions for commitments and guarantees given’ shall include provisions measured under IAS 37, the credit losses of financial guarantees treated as insurance contracts under IFRS 4, and the provisions on loan commitments and financial guarantees under the impairment requirements of IFRS 9 and provisions for commitments and guarantees under national GAAP based on BAD in accordance with paragraph 11 of this Part.
277. In template 20.7, loans and advances not held for trading shall be reported with the classification by NACE Codes on a ‘country-by-country’ basis. NACE Codes shall be reported with the first level of disaggregation (by ‘section’). Loans and advances subject to impairment shall refer to the same portfolios as referred to in paragraph 93 of this Part.
20. TANGIBLE AND INTANGIBLE ASSETS: ASSETS SUBJECT TO OPERATING LEASE (21)
278. For the purposes of the calculation of the threshold in Article 9(e) of this Regulation tangible assets that have been leased by the institution (lessor) to third parties in agreements that qualify as operating leases under the relevant accounting framework shall be divided by total of tangible assets.
279. Under IFRS, assets that have been leased by the institution (as lessor) to third parties in operating leases shall be reported broken down by measurement method.
21. ASSET MANAGEMENT, CUSTODY AND OTHER SERVICE FUNCTIONS (22)
280. For the purposes of the calculation of the threshold in Article 9(f) of this Regulation, the amount of ‘net fee and commission income’ shall be the absolute value of the difference between ‘fee and commission income’ and ‘fee and commission expense’. For the same purposes, the amount of ‘net interest’ shall be the absolute value of the difference between ‘interest income’ and ‘interest expenses’.
21.1. Fee and commission income and expenses by activity (22.1)
281. The fee and commission income and expenses shall be reported by type of activity. Under IFRS, this template shall include fee and commission income and expenses other than both of the following:
(a) amounts considered for the calculation of the effective interest of financial instruments [IFRS 7.20.(c)];
(b) amounts arising from financial instruments that are measured at fair value through profit or loss [IFRS 7.20.(c).(i)].
282. Transaction costs directly attributable to the acquisition or issue of financial instruments not measured at fair value through profit or loss shall not be included; they shall form part of the initial acquisition/issue value of these instruments and shall be amortised to profit or loss over their residual life using the effective interest rate [see IFRS 9.5.1.1].
283. Under IFRS, transaction costs directly attributable to the acquisition or issue of financial instruments measured at fair value through profit or loss shall be included as a part of ‘Gains or losses on financial assets and liabilities held for trading, net’, ‘Gain or losses on non-trading financial assets mandatorily at fair value through profit or loss, net’ and ‘Gains or losses on financial assets and liabilities designated at fair value through profit or loss, net’, depending on the accounting portfolio in which they are classified. They shall not be part of the initial acquisition or issuance value of these instruments and are immediately recognized in profit or loss.
284. Institutions shall report fee and commission income and expenses according to the following criteria:
(a) ‘Securities. Issuances’ shall include fees and commissions received for the involvement in the origination or issuance of securities not originated or issued by the institution;
(b) ‘Securities. Transfer orders’ shall include fees and commissions generated by the reception, transmission and execution on behalf of customers of orders to buy or sell securities;
(c) ‘Securities. Other’ shall include fees and commissions generated by the institution providing other services related with securities not originated or issued by the institution;
(d) ‘Clearing and settlement’ shall include fee and commission income (expenses) generated by (charged to) the institution where participating in counterparty, clearing and settlement facilities;
(e) ‘Asset management’, ‘Custody’, ‘Central administrative services for collective investment undertakings’, ‘Fiduciary transactions’, ‘Payment services’ shall include fee and commission income (expenses) generated by (charged to) the institution where providing these services;
(f) ‘Structured finance’ shall include fees and commissions received for the involvement in the origination or issuance of financial instruments other than securities originated or issued by the institution;
(g) fees from ‘Loan servicing activities’ shall include, on the income side, the fee and commission income generated by the institution providing loan servicing services and on the expense side, the fee and commission expense charged to the institution by loan service providers;
(h) ‘Loan commitments given’ and ‘Financial guarantees given’ shall include the amount, recognized as income during the period, of the amortization of the fees and commission for these activities initially recognised as ‘other liabilities’;
(i) ‘Loan commitments received’ and ‘Financial guarantees received’ shall include the fee and commission recognised as expense by the institution during the period as a consequence of the charge made to the counterparty that has given the loan commitment or the financial guarantee that is initially recognised as ‘other assets’;
(j) ‘Other’ shall include the rest of fee and commission income (expenses) generated by (charged to) the institution such as those derived from ‘other commitments’, from foreign exchange services (such as exchange of foreign banknotes or coins) or from providing (receiving) other fee-based advice and services.
21.2. Assets involved in the services provided (22.2)
285. Business related to asset management, custody functions, and other services provided by the institution shall be reported using the following definitions:
(a) ‘Asset management’ shall refer to assets belonging directly to the customers, for which the institution is providing management. ‘Asset management’ shall be reported by type of customer: collective investment undertakings, pension funds, customer portfolios managed on a discretionary basis, and other investment vehicles;
(b) ‘Custody assets’ shall refer to the services of safekeeping and administration of financial instruments for the account of clients provided by the institution and services related to custodianship such as cash and collateral management. ‘Custody assets’ shall be reported by type of customers for which the institution is holding the assets distinguishing between collective investment undertakings and others. The item ‘of which: entrusted to other entities’ shall refer to the amount of assets included in custody assets for which the institution has given the effective custody to other entities;
(c) ‘Central administrative services for collective investment’ shall refer to the administrative services provided by the institution to collective investment undertakings. It shall include, among others, the services of transfer agent; of compiling accounting documents; of preparing the prospectus, financial reports and all other documents intended for investors; of carrying out the correspondence by distributing financial reports and all other documents intended for investors; of carrying out issues and redemptions and keeping the register of investors; as well as of calculating the net asset value;
(d) ‘Fiduciary transactions’ shall refer to the activities where the institution acts in its own name but for the account and at the risk of its customers. Frequently, in fiduciary transactions, the institution provides services, such as custody asset management services to a structured entity or managing portfolios on a discretionary basis. All fiduciary transactions shall be reported exclusively in this item without regarding whether the institution provides additionally other services;
(e) ‘Payment services’ shall refer to the collection on behalf of customers of payments generated by debt instruments that are neither recognised on the balance sheet of the institution nor originated by it;
(f) ‘Customer resources distributed but not managed’ shall refer to products issued by entities outside the prudential group that the institution has distributed to its current customers. This item shall be reported by type of product;
(g) ‘Amount of the assets involved in the services provided’ shall include the amount of assets in relation to which the institution is acting, using the fair value. Other measurement bases including nominal value may be used where the fair value is not available. Where the institution provides services to entities such as collective investment undertakings, pension funds, the assets concerned may be shown at the value at which these entities report the assets in their own balance sheet. Reported amounts shall include accrued interest, where appropriate.
22. INTERESTS IN UNCONSOLIDATED STRUCTURED ENTITIES (30)
286. For the purposes of Annexes III and IV as well as this Annex, ‘liquidity support drawn’ means the sum of the carrying amount of the loan and advances granted to unconsolidated structured entities and the carrying amount of debt securities held that have been issued by unconsolidated structured entities.
287. ‘Losses incurred by the reporting institution in the current period’ shall include losses due to impairment and any other losses incurred during the reporting period by a reporting institution relating to its interests in unconsolidated structured entities.
23. RELATED PARTIES (31)
288. Institutions shall report amounts and/or transactions related to the balance sheet and the off-balance sheet exposures where the counterparty is a related party in accordance with IAS 24.
289. Intra-group transactions and intra-group outstanding balances of the prudential group shall be eliminated. Under ‘Subsidiaries and other entities of the same group’, institutions shall include balances and transactions with subsidiaries that have not been eliminated either because the subsidiaries are not fully consolidated with the prudential scope of consolidation or because, in accordance with Article 19 of CRR, the subsidiaries are excluded from the scope of prudential consolidation for being immaterial or because, for institutions that are part of a wider group, the subsidiaries are of the ultimate parent, not of the institution. Under ‘Associates and joint ventures’, institutions shall include the portions of balances and transactions with joint ventures and associates of the group to which the entity belongs that have not been eliminated where proportional consolidation is applied.
23.1. Related parties: amounts payable to and amounts receivable from (31.1)
290. For ‘Loan commitments, financial guarantees and other commitments received’, the amounts that shall be reported shall be the sum of the ‘nominal’ of loan and other commitments received and the ‘maximum amount of the guarantee that can be considered’ of financial guarantees received as defined in paragraph 119 of this Part.
291. ‘Accumulated impairment and accumulated negative changes in fair value due to credit risk on non-performing exposures’ shall be reported as defined as in paragraphs 69 to 71 in this Part only for non-performing exposures. ‘Provisions on non-performing off-balance sheet exposures’ shall include provisions as defined as in paragraphs 11, 106 and 111 of this Part for exposures which are non-performing in accordance with paragraphs 213 to 239 of this Part.
23.2. Related parties: expenses and income generated by transactions with (31.2)
292. ‘Gains or losses on de-recognition of other than financial assets’ shall include all the gains and losses on de-recognition of non-financial assets generated by transactions with related parties. This item shall include the gains and losses on de-recognition of non-financial assets, which have been generated by transactions with related parties and that are part of any of the following line items of the ‘Statement of profit or loss’:
(a) ‘Gains or losses on de-recognition of investments in subsidiaries, joint ventures and associates’, where reporting under national GAAP based in BAD;
(b) ‘Gains or losses on de-recognition of non-financial assets’;
(c) ‘Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations’;
(d) ‘Profit or loss after tax from discontinued operations’.
293. ‘Impairment or (–) reversal of impairment on non-performing exposures’ shall include impairment losses as defined in paragraphs 51 to 53 of this Part for exposures which are non-performing in accordance with paragraphs 213 to 239 of this Part. ‘Provisions or (–) reversal of provisions on non-performing exposures’ shall include provision as defined in paragraph 50 of this Part for off-balance sheet exposures which are non-performing in accordance with paragraphs 213 to 239 of this Part.
24. GROUP STRUCTURE (40)
294. Institutions shall provide detailed information as of the reporting date on subsidiaries, joint ventures and associates fully or proportionally consolidated in the accounting scope of consolidation as well as entities reported as ‘Investments in subsidiaries, joint ventures and associates’ in accordance with paragraph 4 of this Part, including also those entities in which investments are held for sale under IFRS 5. All entities regardless the activity they perform shall be reported.
295. Equity instruments that do not meet the criteria to be classified as investments in subsidiaries, joint ventures and associates and own shares of the reporting institution owned by it (‘Treasury shares’), shall be excluded from the scope of this template.
24.1. Group structure: ‘entity-by-entity’ (40.1)
296. The following information shall be reported on a ‘entity-by-entity’ basis and the following definitions apply for the purposes of Annexes III and IV as well as this Annex:
(a) ‘LEI code’ shall include the LEI code of the investee. Where a LEI code exists for the investee it shall be reported;
(b) ‘Entity code’ shall include the identification code of the investee. The entity code is a row identifier and shall be unique for each row in template 40.1.
(c) ‘Entity name’ shall include the name of the investee;
(d) ‘Entry date’ means the date in which the investee entered within the ‘scope of the group’;
(e) ‘Share capital of investee’ means the total amount of capital issued by the investee as at the reference date;
(f) ‘Equity of investee’, ‘Total assets of the Investee’ and ‘Profit or (loss) of the Investee’ shall include the amounts of these items in the last financial statements of the investee;
(g) ‘Residence of investee’ means the country of residence of the investee;
(h) ‘Sector of investee’ means the sector of counterparty as defined in paragraph 42 of Part 1 of this Annex;
(i) ‘NACE code’ shall be provided on the basis of the principal activity of the investee. For non-financial corporations, NACE codes shall be reported with the first level of disaggregation (by ‘section’); for financial corporations, NACE codes shall be reported with a two level detail (by ‘division’);
(j) ‘Accumulated equity interest (%)’ shall be the percentage of ownership instruments held by the institution as of the reference date;
(k) ‘Voting rights (%)’ means the percentages of voting rights associated to the ownership instruments held by the institution as of the reference date.
(l) ‘Group structure [relationship]’ shall indicate the relationship between the ultimate parent and the investee (parent or entity with joint control of the reporting institution, subsidiary, joint venture or associate);
(m) ‘Accounting treatment [Accounting Group]’ shall indicate the relationship between the accounting treatment with the accounting scope of consolidation (full consolidation, proportional consolidation, equity method or other);
(n) ‘Accounting treatment [CRR Group]’ shall indicate the relationship between the accounting treatment with the CRR scope of consolidation (full consolidation, proportional consolidation, equity method or other);
(o) ‘Carrying amount’ means amounts reported on the balance sheet of the institution for investees that are neither fully nor proportionally consolidated;
(p) ‘Acquisition cost’ means the amount paid by the investors;
(q) ‘Goodwill link to the investee’ means the amount of goodwill reported on the consolidated balance sheet of the reporting institution for the investee in the items ‘goodwill’ or ‘investments in subsidiaries, joint ventures and associated’;
(r) ‘Fair value of the investments for which there are published price quotations’ means the price at the reference date; it shall be provided only if the instruments are quoted.
24.2. Group structure: ‘instrument-by-instrument’ (40.2)
297. The following information shall be reported on an ‘instrument-by-instrument’ basis:
(a) ‘Security code’ shall include the ISIN code of the security. For securities without ISIN code assigned, it shall include another code that uniquely identifies the security. ‘Security code’ and ‘Holding company code’ shall be a composite row identifier, and together shall be unique for each row in template 40.2;
(b) ‘Holding company code’ shall be the identification code of the entity within the group that holds the investment. ‘Holding company LEI code’ shall include the LEI code for the company holding the security. Where a LEI code exists for the holding company it shall be reported;
(c) ‘Entity code’, ‘Accumulated equity interest (%)’, ‘Carrying amount’ and ‘Acquisition cost’ are defined above. The amounts shall correspond to the security held by the related holding company.
25. FAIR VALUE (41)
25.1. Fair value hierarchy: financial instruments at amortised cost (41.1)
298. Information on the fair value of financial instruments measured at amortised cost, using the hierarchy in IFRS 13.72, 76, 81, and 86 shall be reported in this template. Where national GAAP under BAD also requires the allocation of assets measured at fair value between different levels of fair value, institutions under national GAAP shall also report this template.
25.2. Use of fair value option (41.2)
299. Information on the use of fair value option for financial assets and liabilities designated at fair value through profit or loss shall be reported in this template.
300. ‘Hybrid contracts’ shall include for liabilities the carrying amount of hybrid financial instruments classified, as a whole, in these accounting portfolios; that is, it shall include non-separated hybrid instruments in their entirely.
301. ‘Managed for credit risk’ shall include the carrying amount of instruments that are designated at fair value through profit or loss at the occasion of their hedging against credit risk by credit derivatives measured at fair value through profit or loss in accordance with IFRS 9.6.7.
26. TANGIBLE AND INTANGIBLE ASSETS: CARRYING AMOUNT BY MEASUREMENT METHOD (42)
302. ‘Property, plant and equipment’, ‘Investment property’ and ‘Other intangible assets’ shall be reported by the criteria used in their measurement.
303. ‘Other intangible assets’ shall include all other intangible assets than goodwill.
27. PROVISIONS (43)
304. This template shall include reconciliation between the carrying amount of the item ‘Provisions’ at the beginning and end of the period by the nature of the movements, except provisions measured under IFRS 9 that shall instead be reported in template 12.
305. ‘Other commitments and guarantees given measured under IAS 37 and guarantees given measured under IFRS 4’ shall include provisions measured under IAS 37 and the credit losses of financial guarantees treated as insurance contracts under IFRS 4.
28. DEFINED BENEFIT PLANS AND EMPLOYEE BENEFITS (44)
306. These templates shall include accumulated information of all defined benefit plans of the institution. Where there is more than one defined benefit plan, aggregated amount of all plans shall be reported.
28.1. Components of net defined benefit plan assets and liabilities (44.1)
307. Template on components of net defined benefit plan assets and liabilities shall show the reconciliation of the accumulated present value of all net defined benefit liabilities (assets) as well as reimbursement rights [IAS 19.140 (a), (b)].
308. ‘Net defined benefit assets’ shall include, in the event of a surplus, the surplus amounts that shall be recognised in the balance sheet as they are not affected by the limits set up in IAS 19.63. The amount of this item and the amount recognised in the memo item ‘Fair value of any right to reimbursement recognized as asset’ shall be included in the item ‘Other assets’ of the balance sheet.
28.2. Movements in defined benefit obligations (44.2)
309. Template on movements in defined benefit obligations shall show the reconciliation of opening and closing balances of the accumulated present value of all defined benefit obligations of the institution. The effects of the different elements listed in IAS 19.141 during the period shall be presented separately.
310. The amount of ‘Closing balance [present value]’ in the template for movements in defined benefit obligations shall be equal to ‘Present value defined benefit obligations’.
28.3. Memo items [related to staff expenses] (44.3)
311. For reporting of memorandum items related to staff expenses, the following definitions shall be used:
(a) ‘Pension and similar expenses’ shall include the amount recognized in the period as staff expenses for any post – employment benefit obligations (both defined contributions plans and defined benefits plans) and contributions to social security funds;
(b) ‘Share based payments’ shall include the amount recognized in the period as staff expenses for share based payments.
29. BREAKDOWN OF SELECTED ITEMS OF STATEMENT OF PROFIT OR LOSS (45)
29.1. Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio (45.1)
312. ‘Financial liabilities designated at fair value through profit or loss’ shall only include the gains and losses due to the change in the own credit risk of issuers of liabilities designated at fair value through profit or loss where the reporting institution has chosen to recognise them in profit or loss because a recognition in other comprehensive income would create or enlarge an accounting mismatch.
29.2. Gains or losses on de-recognition of non-financial assets (45.2)
313. ‘Gains or losses on de-recognition of non-financial assets’ shall be broken down by type of asset; each line item shall include the gain or the loss on the asset that has been derecognised. ‘Other assets’ shall include other tangible assets, intangible assets and investments not reported elsewhere.
29.3. Other operating income and expenses (45.3)
314. Other operating income and expenses shall be broken down according to the following items: fair value adjustments on tangible assets measured using the fair value model; rental income and direct operating expenses from investment property; income and expenses on operating leases other than investment property and the rest of operating income and expenses.
315. ‘Operating leases other than investment property’ shall include, for the column ‘income’, the returns obtained, and for the column ‘expenses’ the costs incurred by the institution as lessor in their operating leasing activities other than those with assets classified as investment property. The costs for the institution as lessee shall be included in the item ‘Other administrative expenses’.
316. Gains or losses from derecognition and re-measurements of holdings of gold, other precious metals and other commodities measured at fair value less cost to sell shall be reported among the items included in ‘Other operating income. Other’ or ‘Other operating expenses. Other’
30. STATEMENT OF CHANGES IN EQUITY (46)
317. The statement of changes in equity discloses the reconciliation between the carrying amount at the beginning of the period (opening balance) and the end of the period (closing balance) for each component of equity.
318. ‘Transfers among components of equity’ shall include all amounts transferred within equity, including both gains and losses due to own-credit risk of liabilities designated at fair value through profit or loss and the accumulated fair value changes of equity instruments measured at fair value through other comprehensive income that are transferred to other components of equity upon de-recognition.
PART 3
MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS
1. The Tables 2 and 3 map exposure classes used to calculate capital requirements according to the CRR to counterparty sectors used in FINREP tables.
Table 2
Standardised Approach
SA exposure classes (CRR Article 112) |
FINREP counterparty sectors |
Comments |
(a) Central governments or central banks |
(1) Central banks (2) General governments |
These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty |
(b) Regional governments or local authorities |
(2) General governments |
These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty |
(c) Public sector entities |
(2) General governments (3) Credit institutions (4) Other financial corporations (5) Non financial corporations. |
These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty |
(d) Multilateral development banks |
(3) Credit institutions |
These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty |
(e) International organisations |
(2) General governments |
These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty |
(f) Institutions (i.e. credit institutions and investment firms) |
(3) Credit institutions (4) Other financial corporations |
These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty |
(g) Corporates |
(4) Other financial corporations (5) Non financial corporations. (6) Households |
These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty |
(h) Retail |
(4) Other financial corporations (5) Non financial corporations (6) Households |
These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty |
(i) Secured by mortgages on immovable property |
(2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households |
These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. |
(j) In default |
(1) Central banks (2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households |
These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. |
(ja) Items associated with particularly high risk |
(1) Central banks (2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households |
These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. |
(k) Covered bonds |
(3) Credit institutions (4) Other financial corporations (5) Non-financial corporations |
These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. |
(l) Securitisation positions |
(2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households |
These exposures shall be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation. In FINREP, where securitized positions remain recognised in the balance sheet, the counterparty sectors shall be the sectors of the immediate counterparties of these positions. |
(m) Institutions and corporates with a short-term credit assessment |
(3) Credit institutions (4) Other financial corporations (5) Non-financial corporations |
These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. |
(n) Collective investment undertakings |
Equity instruments |
Investments in CIU shall be classified as equity instruments in FINREP, regardless of whether the CRR allows look-through. |
(o) Equity |
Equity instruments |
In FINREP, equities shall be separated as instruments under different categories of financial assets |
(p) Other items |
Various items of the balance sheet |
In FINREP, other items may be included under different asset categories. |
Table 3
Internal Ratings Based Approach
IRBA exposure classes (CRR Article 147) |
FINREP counterparty sectors |
Comments |
(a) Central governments and central banks |
(1) Central banks (2) General governments (3) Credit institutions |
These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty |
(b) Institutions (i.e. credit institution and investment firms as well as some general governments and multilateral banks) |
(2) General governments (3) Credit institutions (4) Other financial corporations |
These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty |
(c) Corporates |
(4) Other financial corporations (5) Non-financial corporations (6) Households |
These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty |
(d) Retail |
(4) Other financial corporations (5) Non-financial corporations (6) Households |
These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty |
(e) Equity |
Equity instruments |
In FINREP, equities shall be separated as instruments under different categories of financial assets |
(f) Securitisation positions |
(2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households |
These exposures shall be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation positions. In FINREP, where securitized positions remain recognised in the balance sheet, the counterparty sectors shall be the sectors of the immediate counterparties of these positions |
(g) Other non credit obligations |
Various items of the balance sheet |
In FINREP, other items may be included under different asset categories. |
ANNEX VI
REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY
IP LOSSES TEMPLATES |
|||
Template number |
Template code |
Name of the template /group of templates |
Short name |
|
|
IP LOSSES |
LE |
15 |
C 15.00 |
Exposures and losses from lending collateralised by immovable property |
CR IP LOSSES |
C 15.00 — EXPOSURES AND LOSSES FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY (CR IP LOSSES)
Country:
|
Losses |
Exposures |
||||
Sum of losses stemming from lending up to the reference percentages |
Sum of overall losses |
Sum of the exposures |
||||
|
of which: immovable property valued with mortgage lending value |
|
of which: immovable property valued with mortgage lending value |
|||
Row |
column |
010 |
020 |
030 |
040 |
050 |
collateralised by: |
|
|
|
|
|
|
010 |
Residential property |
|
|
|
|
|
020 |
Commercial immovable property |
|
|
|
|
|
ANNEX VII
INSTRUCTIONS FOR THE REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY
1. This Annex contains additional instructions in relation to the tables included in Annex VI of this Regulation. This Annex complements the instructions in format of references included in the tables in Annex VI.
2. All the general instructions included in Part I of Annex II of this regulation shall also apply.
1. Reporting scope
3. Data specified in Article 101(1) of CRR is subject to reporting by all institutions using immovable property for the purposes of Part Three, Title II of CRR.
4. The template covers all national markets an institution/group of institution is exposed to (see Article 101(1) CRR). According to Article 101(2) sentence 3 the data shall be reported for each property market within the Union separately.
2. Definitions
5. Definition of loss: ‘Loss’ means ‘economic loss’ as defined in Article 5(2) CRR, including losses stemming from leased property. The recovery flows stemming from other sources (e.g. bank guarantees, life insurance, etc.) shall not be recognised when calculating losses stemming from immovable property. Losses of one position shall not be netted with the profit of a successful recovery of another position.
6. According to the definition of Article 5(2) CRR, for exposures secured by residential and commercial property the calculation of economic loss should start from outstanding exposure value at reporting date and should include at least: (i) proceeds from collateral realisation; (ii) direct costs (including interest rates payments and workouts costs linked to the liquidation of the collateral); and (iii) indirect costs (including operating costs of the workout unit). All components need to be discounted to the reporting reference date.
7. Exposure value: The exposure value follows the rules stipulated in Part Three, Title II of CRR (see Chapter 2 for institutions using the standardised approach, and Chapter 3 for institutions using the IRB approach).
8. Property value: The property value follows the rules stipulated in Part Three, Title II of CRR
9. F/X effect: The reporting currency shall be used with the exchange rate at the reporting date. Moreover, the estimates of the economic losses should consider the F/X effect if the exposure or collateral is denominated in different currency.
3. Geographical breakdown
10. Following the reporting scope, the CR IP Losses reporting shall consist of the following templates:
a) one total template
b) one template for each national market in the Union where the institution is exposed to, and
c) one template aggregating the data for all national markets outside the Union where the institution is exposed to.
4. Reporting of exposures and losses
11. Exposures: All exposures that are treated according to Part Three, Title II of CRR and where the collateral is used to reduce own funds requirements, are reported in CR IP Losses. This also means that in case the risk mitigation effect of immovable property is only used for internal purposes (i.e. under Pillar 2) or for large exposures (see Part Four CRR), the exposures and losses concerned must not reported.
12. Losses: The institution which has the exposure by the end of the reporting period shall report the losses. Losses shall be reported as soon as provisions are to be booked according to accounting rules. Also estimated losses should be reported. Loss data shall be collected on a loan-by-loan basis, i.e. aggregation of individual loss data stemming from exposures collateralised by immovable property.
13. Reference date: The exposure value from the date of default should be used for reporting of losses.
a) Losses should be reported for all defaults on loans secured by real estate property that occur during the respective reporting period and irrespective of whether the work out is completed during the period or not. Loss data reported as of 30 June shall refer to the period 1 January until 30 June and loss data reported as of 31 December shall refer to the whole calendar year. Since there may be a long time lag between default and loss realisation, loss estimates (which includes incomplete workout process) shall be reported in cases where the workout has not been completed within the reporting period.
b) For all defaults observed within the reporting period, there are three scenarios: (i.) defaulted loan can be restructured so that it is no longer treated as in default (no loss observed); (ii.) realization of all collateral is completed (completed workout, actual loss known); or (iii.) incomplete workout (loss estimates to be used). Loss reporting shall include only losses stemming from scenario (ii.) realisation of collateral (observed losses) and scenario (iii.) incomplete workout (estimates of losses).
c) As losses shall be reported only for exposures having defaulted during the reporting period, changes to losses of exposures having defaulted during previous reporting periods will not be reflected in the reported data. I.e. proceeds from the realisation of the collateral at a later reporting period or lower realised costs than previously estimated shall not be reported.
14. Role of the valuation of the property: The latest valuation of the property before the default date of the exposure is needed as reference date for reporting the part of exposure secured by mortgages on immovable property. After default, the property might be re-valued. This new value should however not be relevant for identifying the part of the exposure which was originally fully (and completely) secured by the mortgages on immovable property. However the new value of the property shall be considered in economic loss reporting (a reduced property value is part of economic costs). In other words, the latest valuation of the property before the default date shall be used to determine which part of the loss shall be reported in cell 010 (identification of exposure values which is fully and completely secured) and the re-valued property value for the amount to be reported (estimation a possible workout from collateral) in cells 010 and 030.
15. Treatment of loan sales during the reporting period: The institution which has the exposure by the end of the reporting period shall report losses, but only if a default for that exposure was identified.
5. Instructions concerning specific positions
Columns |
|
010 |
Sum of losses stemming from lending up to the reference percentages Article 101(1) points a) and point (d) of CRR respectively, Market value and mortgage lending value according to Article 4(74) and (76) of CRR This column collects all losses stemming from lending collateralised by residential property or by commercial immovable property up to the part of exposure treated as fully and completely secured according to Article 124 paragraph 1 of CRR. |
020 |
Of which: immovable property valued with mortgage lending value Reporting of those losses, where the value of the collateral has been calculated as mortgage lending value. |
030 |
Sum of overall losses Article 101(1) point (b) and point (e) CRR respectively Market value and mortgage lending value according to Article 4(74) and (76) of CRR This column collects all losses stemming from lending collateralised by residential property or by commercial immovable property up to the part of exposure treated as fully secured according to Article 124 paragraph 1 of CRR. |
040 |
Of which: immovable property valued with mortgage lending value Reporting of those losses, where the value of the collateral has been calculated as mortgage lending value |
050 |
Sum of the exposures Article 101(1) point (c) and point (f) CRR respectively The value to be reported is only that part of the exposure value which is treated as fully secured by immovable property, i.e. the part that is treated as unsecured is not relevant for the loss reporting. |
Rows |
|
010 |
Residential property |
020 |
Commercial immovable property |
ANNEX VIII
TEMPLATES FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK
LARGE EXPOSURES TEMPLATES
Template number |
Template code |
Name of the template/group of templates |
Short name |
|
|
LARGE EXPOSURES |
LE |
26 |
C 26.00 |
Large Exposures limits |
LE LIMITS |
27 |
C 27.00 |
Identification of the counterparty |
LE 1 |
28 |
C 28.00 |
Exposures in the non-trading and trading book |
LE 2 |
29 |
C 29.00 |
Detail of the exposures to individual clients within groups of connected clients |
LE 3 |
30 |
C 30.00 |
Maturity buckets of the exposures in the non-trading and trading book |
LE 4 |
31 |
C 31.00 |
Maturity buckets of exposures to individual clients within groups of connected clients |
LE 5 |
C 26.00 — Large Exposures limits (LE Limits)
|
Applicable limit |
|
column |
||
010 |
||
row |
|
|
010 |
Non institutions |
|
020 |
Institutions |
|
030 |
Institutions in % |
|
C 27.00 — Identification of the counterparty (LE 1)
COUNTERPARTY IDENTIFICATION |
||||||
Code |
Name |
LEI code |
Residence of the counterparty |
Sector of the counterparty |
NACE code |
Type of counterparty |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
|
|
|
|
|
|
|
C 28.00 — Exposures in the non-trading and trading book (LE 2)
COUNTERPARTY |
ORIGINAL EXPOSURES |
(-) Value adjustments and provisions |
(-) Exposures deducted from own funds |
Exposure value before application of exemptions and CRM |
ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES |
(-) Amounts exempted |
Exposure value after application of exemptions and CRM |
|||||||||||||||||||||||||||
Code |
Group or individual |
Transactions where there is an exposure to underlying assets |
|
(-) Substitution effect of eligible credit risk mitigation techniques |
(-) Funded credit protection other than substitution effect |
(-) Real estate |
||||||||||||||||||||||||||||
|
Direct exposures |
Indirect exposures |
Additional exposures arising from transactions where there is an exposure to underlying assets |
|||||||||||||||||||||||||||||||
Total original exposure |
Of which: defaulted |
Debt instruments |
Equity instruments |
Derivatives |
Off balance sheet items |
Debt instruments |
Equity instruments |
Derivatives |
Off balance sheet items |
Total |
Of which: Non-trading book |
% of eligible capital |
(-) Debt instruments |
(-) Equity instruments |
(-) Derivatives |
(-) Off balance sheet items |
Total |
Of which: Non-trading book |
% of eligible capital |
|||||||||||||||
Loan commitments |
Financial guarantees |
Other commitments |
Loan commitments |
Financial guarantees |
Other commitments |
(-) Loan commitments |
(-) Financial guarantees |
(-) Other commitments |
||||||||||||||||||||||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
340 |
350 |
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|
C 29.00 — Detail of the exposures to individual clients within groups of connected clients (LE 3)
COUNTERPARTY |
ORIGINAL EXPOSURES |
(-) Value adjustments and provisions |
(-) Exposures deducted from own funds |
Exposure value before application of exemptions and CRM |
ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES |
(-) Amounts exempted |
Exposure value after application of exemptions and CRM |
||||||||||||||||||||||||||||
Code |
Group code |
Transactions where there is an exposure to underlying assets |
Type of connection |
|
(-) Substitution effect of eligible credit risk mitigation techniques |
(-) Funded credit protection other than substitution effect |
(-) Real estate |
||||||||||||||||||||||||||||
|
Direct exposures |
Indirect exposures |
Additional exposures arising from transactions where there is an exposure to underlying assets |
||||||||||||||||||||||||||||||||
Total original exposure |
Of which: defaulted |
Debt instruments |
Equity instruments |
Derivatives |
Off balance sheet items |
Debt instruments |
Equity instruments |
Derivatives |
Off balance sheet items |
Total |
Of which: Non-trading book |
% of eligible capital |
(-) Debt instruments |
(-) Equity instruments |
(-) Derivatives |
(-) Off balance sheet items |
Total |
Of which: Non-trading book |
% of eligible capital |
||||||||||||||||
Loan commitments |
Financial guarantees |
Other commitments |
Loan commitments |
Financial guarantees |
Other commitments |
(-) Loan commitments |
(-) Financial guarantees |
(-) Other commitments |
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010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
340 |
350 |
360 |
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C 30.00 — Maturity buckets of the exposures in the non-trading and trading book (LE 4)
COUNTER PARTY |
MATURITY BUCKETS OF THE EXPOSURE |
MATURITY BUCKETS OF THE EXPOSURE |
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Code |
Up to 1 Month |
Greater than 1 month 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 7 Months |
Greater than 7 months up to 8 Months |
Greater than 8 months up to 9 Months |
Greater than 9 months up to 10 Months |
Greater than 10 months up to 11 Months |
Greater than 11 months up to 12 Months |
Greater than 12 months up to 15 Months |
Greater than 15 months up to 18 Months |
Greater than 18 months up to 21 Months |
Greater than 21 months up to 24 Months |
Greater than 24 months up to 27 Months |
Greater than 27 months up to 30 Months |
Greater than 30 months up to 33 Months |
Greater than 33 months up to 36 Months |
Greater than 3 years up to 5 years |
Greater than 5 years up to 10 years |
Greater than 10 years |
Undefined maturity |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
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C 31.00 — Maturity buckets of the exposures to individual clients within groups of connected clients (LE 5)
COUNTERPARTY |
MATURITY BUCKETS OF THE EXPOSURE |
MATURITY BUCKETS OF THE EXPOSURE |
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Code |
Group code |
Up to 1 Month |
Greater than 1 month 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 7 Months |
Greater than 7 months up to 8 Months |
Greater than 8 months up to 9 Months |
Greater than 9 months up to 10 Months |
Greater than 10 months up to 11 Months |
Greater than 11 months up to 12 Months |
Greater than 12 months up to 15 Months |
Greater than 15 months up to 18 Months |
Greater than 18 months up to 21 Months |
Greater than 21 months up to 24 Months |
Greater than 24 months up to 27 Months |
Greater than 27 months up to 30 Months |
Greater than 30 months up to 33 Months |
Greater than 33 months up to 36 Months |
Greater than 3 years up to 5 years |
Greater than 5 years up to 10 years |
Greater than 10 years |
Undefined maturity |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
260 |
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ANNEX IX
INSTRUCTIONS FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK
Table of Contents |
|
PART I: |
GENERAL INSTRUCTIONS |
1. |
Structure and conventions |
PART II: |
TEMPLATE RELATED INSTRUCTIONS |
1. |
Scope and level of the LE reporting |
2. |
Structure of the LE template |
3. |
Definitions for the purposes of the LE reporting |
4. |
C 26.00 — LE Limits template |
4.1. |
Instructions concerning specific rows |
5. |
C 27.00 — Identification of the counterparty (LE1) |
5.1. |
Instructions concerning specific columns |
6. |
C 28.00 — Exposures in the non-trading and trading book (LE2) |
6.1. |
Instructions concerning specific columns |
7. |
C 29.00 — Details of the exposures to individual clients within groups of connected clients (LE3) |
7.1. |
Instructions concerning specific columns |
8. |
C 30.00 — Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial sector entities (LE 4) |
8.1. |
Instructions concerning specific columns |
9. |
C 31.00 — Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial sector entities: detail of the exposures to individual clients within groups of connected clients (LE5) |
9.1. |
Instructions concerning specific columns |
PART I: GENERAL INSTRUCTIONS
1. Structure and conventions
1. The reporting framework on large exposures (‘LE’) shall consist of six templates which include the following information:
(a) large exposures limits;
(b) identification of the counterparty (template LE1);
(c) exposures in the non-trading and trading book (template LE2);
(d) detail of the exposures to individual clients within groups of connected clients (template LE3);
(e) maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities (template LE4);
(f) maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities: detail of the exposures to individual clients within groups of connected clients (template LE5).
2. The instructions include legal references as well as detailed information regarding the data that shall be reported in each template.
3. The instructions and the validation rules follow the labelling convention set in the following paragraphs, when referring to the columns, rows and cells of the templates.
4. The following convention is generally used in the instructions and validation rules: {Template;Row;Column}. An asterisk sign shall be used to express that the validation is done for all the rows reported.
5. In the case of validations within a template, in which only data points of that template are used, notations do not refer to a template: {Row;Column}.
6. ABS(Value): the absolute value without sign. Any amount that increases the exposures shall be reported as a positive figure. On the contrary, any amount that reduces the exposures shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure shall be reported for that item.
PART II: TEMPLATE RELATED INSTRUCTIONS
In this Annex, instructions relating to the reporting of Large Exposures shall also apply to the reporting of significant exposures required by Articles 9 and 11, in accordance with the scope defined in those Articles.
1. Scope and level of the LE reporting
1. In order to report information on large exposures to clients or groups of connected clients according to Article 394(1) of Regulation (EU) No 575/2013 (‘CRR’) on a solo basis, institutions shall use the templates LE1, LE2 and LE3.
2. In order to report information on large exposures to clients or groups of connected clients according to Article 394(1) of CRR on a consolidated basis, the parent institutions in a Member State shall use templates LE1, LE2 and LE3.
3. Every large exposure defined in accordance with Article 392 of CRR shall be reported, including the large exposures that shall not be considered for the compliance with the large exposure limit laid down in Article 395 of CRR.
4. In order to report information on the 20 largest exposures to clients or groups of connected clients according to the last sentence of Article 394(1) of CRR on a consolidated basis, the parent institutions in a Member State which are subject to Part Three, Title II, Chapter 3, of CRR shall use templates LE1, LE2 and LE3. The exposure value resulting from subtracting the amount in column 320 (‘Amounts exempted’) of template LE2 from the amount in column 210 (‘Total’) of that same template is the amount that shall be used for determining these 20 largest exposures.
5. In order to report information on the ten largest exposures to institutions as well as on the ten largest exposures to unregulated financial sector entities according to points (a) to (d) of Article 394(2) of CRR on a consolidated basis, the parent institutions in a Member State shall use templates LE1, LE2 and LE3. For the reporting of the maturity structure of these exposures according to Article 394(2)(e) of CRR, the parent institutions in a Member State shall use templates LE4 and LE5. The exposure value calculated in column 210 (‘Total’) of template LE2 is the amount that shall be used for determining these 20 largest exposures.
6. The data on the large exposures and the relevant largest exposures to groups of connected clients and individual clients not belonging to a group of connected clients shall be reported in the template LE2 (in which a group of connected clients shall be reported as one single exposure.
7. Institutions shall report in the LE3 template data regarding the exposures to individual clients belonging to the groups of connected clients, which are reported in the LE2 template. The reporting of an exposure to an individual client in the LE2 template shall not be duplicated in the LE3 template.
2. Structure of the LE template
8. The columns of the template LE1 shall present the information related to the identification of individual clients or groups of connected clients to which an institution has an exposure.
9. The columns of the templates LE2 and LE3 shall present the following blocks of information:
(a) the exposure value before application of exemptions and before taking into account the effect of the credit risk mitigation, including the direct, indirect exposure and additional exposures arising from transactions where there is an exposure to underlying assets;
(b) the effect of the exemptions and of the credit risk mitigation techniques;
(c) the exposure value after application of exemptions and after taking into account the effect of the credit risk mitigation calculated for the purpose of Article 395(1) of CRR.
10. The columns of the templates LE4 and LE5 shall present the information regarding the maturity buckets to which the expected maturing amounts of the ten largest exposures to institutions as well as the ten largest exposures to unregulated financial sector entities shall be allocated.
3. Definitions and general instructions for the purposes of the LE reporting
11. ‘Group of connected clients’ is defined in Article 4(1)(39) of CRR.
12. ‘Unregulated financial sector entities’ are defined in Article 142(1)(5) of CRR.
13. ‘Institutions’ is defined in Article 4(1)(3) of CRR
14. Exposures to ‘civil-law associations’ shall be reported. In addition, institutions shall add the credit amounts of the civil-law association to the indebtedness of each partner. Exposures towards civil law associations featuring quotas shall be divided or allocated to the partners according to their respective quotas. Certain constructions (e.g. joint accounts, communities of heirs, straw-man loans) working in fact civil law associations have to be reported just like them.
15. Assets and off balance sheet items shall be used without risk weights or degrees of risk in accordance to Article 389 of CRR. Specifically, credit conversion factors shall not be applied to off balance sheet items.
16. ‘Exposures’ are defined in Article 389 of CRR.
(a) any asset or off-balance sheet items in the non-trading and trading book including items set out in Article 400 of CRR, but excluding items which fall under effect of points (a) to (d) of Article 390(6) of CRR.
(b) ‘indirect exposures’ are those exposures allocated to the guarantor or to the issuer of the collateral rather than to the immediate borrower in accordance with Article 403 of CRR. The definitions here may not differ in any possible respect from the definitions provided in the basic act.]
The exposures to groups of connected clients shall be calculated in accordance with Article 390(5).
17. The ‘netting agreements’ shall be allowed to be taken into account to the effects of large exposures exposure value as laid down in Article 390(1), (2) and (3) of CRR. The exposure value of a derivative instrument listed in Annex II of CRR shall be determined in accordance with Part Three, Title II, Chapter 6, of CRR with the effects of contracts of novation and other netting agreements taken into account for the purposes of those methods in accordance with Part Three, Title II, Chapter 6, of CRR. The exposure value of repurchase transaction, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions may be determined either in accordance with Part Three, Title II, Chapter 4 or Chapter 6, of CRR. In accordance with Article 296 of CRR, the exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a counterparty of the reporting institution shall be reported as ‘other commitments’ in the LE templates.
18. The ‘value of an exposure’ shall be calculated according to Article 390 of CRR.
19. The effect of the full or partial application of exemptions and eligible credit risk mitigation (CRM) techniques for the purposes of calculating of exposures for the purpose of Article 395(1) CRR is described in Articles 399 to 403 of CRR.
20. Reverse repurchase agreements which fall under the reporting for large exposures shall be reported according to Article 402(3) of CRR. Provided that the criteria in Article 402(3) of CRR are met the institution shall report the large exposures to each third party for the amount of the claim that the counterparty to the transaction has on this third party and not for the amount of the exposure to the counterparty.
4. C 26.00 — LE Limits template
4.1. Instructions concerning specific rows
Rows |
Legal references and instructions |
010 |
Non institutions Articles 395(1), 458(2)(d)(ii), 458(10) and 459(b) of CRR. The amount of the applicable limit for counterparties other than institutions shall be reported. This amount is 25 % of the eligible capital, which is reported in row 226 of template 4 of Annex I, unless a more restrictive percentage applies due to the application of national measures in accordance with Article 458 of CRR or the delegated acts adopted in accordance with Article 459(b) of CRR. |
020 |
Institutions Articles 395(1), 458(2)(d)(ii), 458(10) and 459(b) of CRR. The amount of the applicable limit for counterparties which are institutions shall be reported. According to Article 395(1) of CRR, this amount shall be the following: — if the 25 % of the eligible capital is greater than EUR 150 million (or a lower limit than EUR 150 million set out by the competent authority in accordance with the third paragraph of Article 395(1) of CRR, 25 % of the eligible capital shall be reported; — if EUR 150 million (or a lower limit set out by the competent authority in accordance with the third paragraph of Article 395(1) of CRR is greater than 25 % of the institution’s eligible capital, EUR 150 million (or the lower limit if set out by the competent authority) shall be reported. If the institution has determined a lower limit in terms of its eligible capital, required by the second subparagraph of Article 395(1) of CRR, that limit shall be reported. These limits may be stricter in case of application of national measures in accordance with Article 395(6) or Article 458 of CRR or the delegated acts adopted in accordance with Article 459(b) of CRR. |
030 |
Institutions in % Articles 395(1) and 459(a) of CRR. The amount that shall be reported is the absolute limit (reported in row 020) expressed as a percentage of the eligible capital. |
5. C 27.00 — Identification of the counterparty (LE1)
5.1. Instructions concerning specific columns
Column |
Legal references and instructions |
010-070 |
Counterparty Identification: Institutions shall report the identification of any counterparty for which information is being submitted in any of the templates C 28.00 to C 31.00. The identification of the group of connected clients shall not be reported, unless the national reporting system provides a unique code for the group of connected clients. According to Article 394(1)(a) of CRR, institutions shall report the identification of the counterparty to which they have a large exposure as defined in Article 392 of CRR. According to Article 394(2)(a) of CRR, institutions shall report the identification of the counterparty to which they have the largest exposures (in the cases where the counterparty is an institution or an unregulated financial sector entity). |
010 |
Code The code is a row identifier, and must be unique for each row in the table. The code shall be used to identify the individual counterparty. However, the purpose of this column is to link counterparty details in C 27.00 with exposures reported in C 28.00 – C 31.00. The code of the group of connected clients shall not be reported, unless the national reporting system provides a unique code for the group of connected clients. The codes shall be used in a consistent way across time. The composition of the code depends on the national reporting system, unless a uniform codification is available in the Union. |
020 |
Name The name shall correspond to the name of the group whenever a group of connected clients is reported. In any other case, the name shall correspond to the individual counterparty. For a group of connected clients, the name that shall be reported shall be the name of the parent company or, when the group of connected clients does not have a parent, it shall be the group’s commercial name. |
030 |
LEI Code The legal entity identifier code of the counterparty. |
040 |
Residence 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 last edition of the Eurostat’s ‘Balance of Payments Vademecum’) For groups of connected clients, no residence shall be reported. |
050 |
Sector of the counterparty One sector shall be allocated to every counterparty on the basis of FINREP economic sector classes: (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. |
060 |
NACE code For the economic sector, the NACE codes (Nomenclature statistique des activités économiques dans l’Union européenne = Statistical Classification of Economic Activities in the European Union) shall be used. This column shall apply only for the counterparties ‘Other financial corporations’ and ‘Non-financial corporations’. NACE codes shall be used for ‘Non-financial corporations’ with one level detail (e.g. ‘F – Construction’) and for ‘Other financial corporations’ with a two level detail, which provides separate information on insurance activities (e.g. ‘K65 — Insurance, reinsurance and pension funding, except compulsory social security’). The ‘Other financial corporations’ and ‘Non-financial corporations’ economic sectors shall be classified on the basis of FINREP counterparty breakdown. For groups of connected clients, no NACE code shall be reported. |
070 |
Type of counterparty Article 394(2) of CRR The type of the counterparty of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities shall be specified by using ‘I’ for institutions or ‘U’ for unregulated financial sector entities. |
6. C 28.00 — Exposures in the non-trading and trading book (LE2)
6.1. Instructions concerning specific columns
Column |
Legal references and instructions |
010 |
Code For a group of connected clients, if a unique code is available at national level, this code shall be reported as the code of the group of connected clients. Where there is no unique code at the national level, the code that shall be reported shall be the code of the parent company in C 27.00. In the cases where the group of connected clients does not have a parent, the code that shall be reported shall be the code of the individual entity which is considered by the institution as the most significant within the group of connected clients. In any other case, the code shall correspond to the individual counterparty. The codes shall be used in a consistent way across time. The composition of the code depends on the national reporting system, unless a uniform codification is available in the EU. |
020 |
Group or individual The institution shall report ‘1’ for the reporting of exposures to individual clients or ‘2’ for the reporting of exposures to groups of connected clients. |
030 |
Transactions where there is an exposure to underlying assets Article 390(7) of CRR In accordance with further technical specifications by the national competent authorities, when the institution has exposures to the reported counterparty through a transaction where there is an exposure to underlying assets, the equivalent to ‘Yes’ shall be reported; otherwise the equivalent to ‘No’ shall be reported. |
040-180 |
Original exposures Articles 24, 389, 390 and 392 of CRR. The institution shall report in this block of columns the original exposures of direct exposures, indirect exposures, and additional exposures arising from transactions where there is an exposure to underlying assets. According to Article 389 of CRR, assets and off balance sheet items shall be used without risk weights or degrees of risk. Specifically, credit conversion factors shall not be applied to off balance sheet items. These columns shall contain the original exposure, i.e. the exposure value without taking into account value adjustments and provisions, which shall be deducted in column 210. The definition and calculation of the exposure value is set out in Articles 389 and 390 of CRR. The valuation of assets and off-balance-sheet items shall be effected in accordance with the accounting framework to which the institution is subject, according to Article 24 of CRR. Exposures deducted from own funds, which are not exposures according to Article 390(6)(e), shall be included in these columns. These exposures shall be deducted in column 200. Exposures referred to in points (a) to (d) of Article 390(6)of CRR shall not be included in these columns. Original exposures shall include any asset and off-balance sheet items according to Article 400 of CRR. The exemptions shall be deducted for the purpose of Article 395(1) of CRR in column 320. Exposures from both non-trading and trading book shall be included. For the breakdown of the exposures in financial instruments, where different exposures arising from netting agreements constitute a single exposure, the latter shall be allocated to the financial instrument corresponding to the principal asset included in the netting agreement (in addition, see the introductory section). |
040 |
Total original exposure The institution shall report the sum of direct exposures and indirect exposures as well as the additional exposures that arise from the exposure to transactions where there is an exposure to underlying assets. |
050 |
Of which: defaulted Article 178 of CRR. The institution shall report the part of the total original exposure corresponding to defaulted exposures. |
060-110 |
Direct exposures Direct exposures shall mean the exposures on ‘immediate borrower’ basis. |
060 |
Debt instruments Regulation (EC) No 25/2009 (‘ECB/2008/32’) Annex II, Part 2, table, categories 2 and 3. Debt instruments shall include debt securities, and loans and advances. The instruments included in this column shall be those qualified as ‘loans of up to and including one year/over one year and up to and including five years/of over five years’ original maturity’, or as ‘securities other than shares’, according to ECB/2008/32. Repurchase transactions, securities or commodities lending or borrowing transactions (securities financing transactions) and margin lending transactions shall be included in this column. |
070 |
Equity instruments ECB/2008/32 Annex II, Part 2, table, categories 4 and 5. The instruments included in this column shall be those qualified as ‘Shares and other equities’ or as ‘MMF shares/units’ according to ECB/2008/32. |
080 |
Derivatives Article 272(2) and Annex II of CRR. The instruments that shall be reported in this column shall include derivatives listed in Annex II of CRR and long settlement transactions, as defined in Article 272(2) of CRR. Credit derivatives that are subject to counterparty credit risk shall be included in this column. |
090-110 |
Off balance sheet items Annex I of CRR. The value that shall be reported in these columns shall be the nominal value before any reduction of specific credit risk adjustments and without application of conversion factors. |
090 |
Loan commitments Annex I, points 1(c) and (h), 2(b)(ii), 3(b)(i) and 4(a) of CRR. Loan commitments are firm commitments to provide credit under pre-specified terms and conditions, except those that are derivatives because they can be settled net in cash or by delivering or issuing another financial instrument. |
100 |
Financial guarantees Annex I, points 1(a),(b) and (f), of CRR. Financial guarantees are contracts that require the issuer to make specified payments to reimburse the holder for a loss it incurs because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument. Credit derivatives that are not included in the column ‘derivatives’ shall be reported in this column. |
110 |
Other commitments Other commitments are the items in Annex I to CRR that are not included in the previous categories. The exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a counterparty of the institution shall be reported in this column. |
120-180 |
Indirect exposures Article 403 of CRR. According to Article 403 of CRR, a credit institution may use the substitution approach where an exposure to a client is guaranteed by a third party, or secured by collateral issued by a third party. The institution shall report in this block of columns the amounts of the direct exposures that are re-assigned to the guarantor or the issuer of collateral provided that the latter would be assigned an equal or lower risk weight than the risk weight which would be applied to the third party under Part Three, Title II, Chapter 2 of CRR. The protected reference original exposure (direct exposure) shall be deducted from the exposure to the original borrower in the columns of ‘Eligible credit risk mitigation techniques’. The indirect exposure shall increase the exposure to the guarantor or issuer of collateral via substitution effect. This shall apply also to guarantees given within a group of connected clients. The institution shall report the original amount of the indirect exposures in the column that corresponds to the type of direct exposure guaranteed or secured by collateral such as, when the direct exposure guaranteed is a debt instrument, the amount of ‘Indirect exposure’ assigned to the guarantor shall be reported under the column ‘Debt instruments’. Exposures arising from credit-linked notes shall also be reported in this block of columns, according to Article 399 of CRR. |
120 |
Debt instruments See column 060. |
130 |
Equity instruments See column 070. |
140 |
Derivatives See column 080. |
150-170 |
Off balance sheet items The value of these columns shall be the nominal value before any reduction of specific credit risk adjustments and conversion factors are applied. |
150 |
Loan commitments See column 090. |
160 |
Financial guarantees See column 100. |
170 |
Other commitments See column 110. |
180 |
Additional exposures arising from transactions where there is an exposure to underlying assets Article 390(7) of CRR. Additional exposures that arise from transactions where there is an exposure to underlying assets. |
190 |
(-) Value adjustments and provisions Articles 34, 24, 110 and 111 of CRR. Value adjustment and provisions included in the corresponding accounting framework (Directive 86/635/EEC or Regulation (EC) No 1606/2002) that affect the valuation of exposures according to Articles 24 and 110 of CRR. Value adjustments and provisions against the gross exposure given in column 040 shall be reported in this column. |
200 |
(-) Exposures deducted from own funds Article 390(6)(e) of CRR. Exposures deducted from own funds, which shall be included in the different columns of Total original exposure, shall be reported. |
210-230 |
Exposure value before application of exemptions and CRM Article 394(1)(b) of CRR. Institutions shall report the exposure value before taking into account the effect of the credit risk mitigation, where applicable. |
210 |
Total The exposure value to be reported in this column shall be the amount used for determining whether an exposure is a large exposure according to the definition in Article 392 of CRR. This shall include the original exposure after subtracting value adjustments and provisions and the amount of the exposures deducted from own funds. |
220 |
Of which: Non-trading book The amount of the non-trading book from the total exposure before exemptions and CRM. |
230 |
% of eligible capital Articles 4(1)(71)(b) and 395 of CRR. The amount that shall be reported is the percentage of the exposure value before application of exemptions and CRM related to the eligible capital of the institution, as defined in Article 4(1)(71)(b) of CRR. |
240-310 |
(-) Eligible credit risk mitigation (CRM) techniques Articles 399 and 401 to 403 of CRR. CRM techniques as defined in Article 4(1)(57) of CRR. For the purposes of this reporting, the CRM techniques recognised in Part Three, Title II, Chapter 3 and 4, of CRR shall be used in accordance with Articles 401 to 403 of CRR. CRM techniques may have three different effects in the LE regime: substitution effect; funded credit protection other than substitution effect; and real estate treatment. |
240-290 |
(-) Substitution effect of eligible credit risk mitigation techniques Article 403 of CRR. The amount of funded and unfunded credit protection that shall be reported in these columns shall correspond to the exposures guaranteed by a third party, or secured by collateral issued by a third party, where the institution decides to treat the exposure as incurred with the guarantor or the issuer of collateral. |
240 |
(-) Debt instruments See column 060. |
250 |
(-) Equity instruments See column 070. |
260 |
(-) Derivatives See column 080. |
270-290 |
(-) Off balance sheet items The value of these columns shall be without application of conversion factors. |
270 |
(-) Loan commitments See column 090. |
280 |
(-) Financial guarantees See column 100. |
290 |
(-) Other commitments See column 110. |
300 |
(-) Funded credit protection other than substitution effect Article 401 of CRR. The institution shall report the amounts of funded credit protection, as defined in Article 4(1)(58) of CRR, that are deducted from the exposure value due to the application of Article 401 of CRR. |
310 |
(-) Real estate Article 402 of CRR. The institution shall report the amounts deducted from the exposure value due to the application of Article 402 of CRR. |
320 |
(-) Amounts exempted Article 400 of CRR. The institution shall report the amounts exempted from the LE regime. |
330-350 |
Exposure value after application of exemptions and CRM Article 394(1)(d) of CRR. The institution shall report the exposure value after taking into account the effect of the exemptions and credit risk mitigation calculated for the purpose of Article 395(1) of CRR. |
330 |
Total This column shall include the amount to be taken into account in order to comply with the large exposures limit set out in Article 395 of CRR. |
340 |
Of which: Non-trading book The institution shall report the total exposure after application of exemptions and after taking into account the effect of CRM belonging to the non-trading book. |
350 |
% of eligible capital The institution shall report the percentage of the exposure value after application of exemptions and CRM related to the eligible capital of the institution, as defined in Article 4(1)(71)(b) of CRR. |
7. C 29.00 — Details of the exposures to individual clients within groups of connected clients (LE3)
7.1. Instructions concerning specific columns
Column |
Legal references and instructions |
010-360 |
The institution shall report in template LE3 the data of the individual clients belonging to the groups of connected clients included in the rows of template LE2. |
010 |
Code Columns 010 and 020 are a composite row identifier, and together must be unique for each row in the table. The code of the individual counterparty belonging to the groups of connected clients shall be reported. |
020 |
Group code Columns 010 and 020 are a composite row identifier, and together must be unique for each row in the table. If a unique code for a group of connected clients is available at national level, this code shall be reported. Where there is no unique code at the national level, the code that shall be reported shall be the code used for reporting exposures to the Group of Connected clients in C 28.00 (LE2). Where a client belongs to several groups of connected clients, it shall be reported as a member of all the groups of connected clients. |
030 |
Transactions where there is an exposure to underlying assets See column 030 of template LE2. |
040 |
Type of connection The type of connection between the individual entity and the group of connected clients shall be specified by using either: ‘a’ within the meaning of Article 4(1)(39)(a) of CRR (control); or ‘b’ within the meaning of Article 4(1)(39)(b) of CRR (interconnectedness). |
050-360 |
When financial instruments in template LE2 are provided to the whole group of connected clients they shall be allocated to the individual counterparties in template LE3 in accordance with the business criteria of the institution. The remaining instructions are the same as for template LE2. |
8. C 30.00 — Maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities (template LE 4)
8.1. Instructions concerning specific columns
Column |
Legal references and instructions |
010 |
Code The code is a row identifier and must be unique for each row in the table. See column 010 of template LE1. |
020-250 |
Maturity buckets of the exposure Article 394(2)(e) of CRR The institution shall report this information for the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities. The maturity buckets are defined with a monthly interval up to one year, with a quarterly interval from one year up to three years and with larger intervals from three years onwards. Each exposure value before application of exemptions and CRM (column 210 of LE2 template) shall be reported with the whole outstanding amount in the respective maturity bucket of its expected residual maturity. In case of several separate relationships constituting an exposure to a client, each of these parts of the exposure shall be reported with the whole outstanding amount in the respective maturity bucket of its expected residual maturity. Instruments which do not have a fixed maturity, like equity, shall be included in the column ‘undefined maturity’. The expected maturity of the exposure shall be reported for both direct and indirect exposures. For direct exposures, when allocating expected amounts of equity instruments, debt instruments and derivatives into the different maturity buckets of this template, the instructions of the maturity ladder template of the additional metrics on liquidity shall be used (see consultation paper CP18 published on 23.05.2013). In the case of off-balance sheet items, the maturity of the underlying risk shall be used in the allocation of expected amounts to maturity buckets. More specifically, for forward deposits that means the maturity structure of the deposit; for financial guarantees, the maturity structure of the underlying financial asset; for undrawn facilities of loan commitments, the maturity structure of the loan; and for other commitments, the maturing structure of the commitment. In the case of indirect exposures, the allocation into maturity buckets shall be based on the maturity of the guaranteed operations which generate the direct exposure. In case an exposure or a part of an exposure is to be regarded as defaulted and is reported as such in template C 28.00 (LE 2, column 050) and C 29.00 (LE 3, column 060), the expected run-off of the defaulted exposure must be allocated to the respective maturity buckets as follows: — When the reporting entity, in spite of the default, has a clear calendar of expected repayments of the exposure, it shall allocate them into the respective buckets accordingly. — When the reporting entity does not have a reasoned view of when defaulted amounts will be repaid (if ever), it shall allocate them into the category ‘undefined maturity’. |
9. C 31.00 — Maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities: detail of the exposures to individual clients within groups of connected clients (template LE5)
9.1. Instructions concerning specific columns
Column |
Legal references and instructions |
010-260 |
The institution shall report in template LE5 the data of the individual counterparties belonging to the groups of connected clients included in the rows of template LE4. |
010 |
Code Columns 010 and 020 are a composite row identifier and together must be unique for each row in the table. See column 010 of template LE3. |
020 |
Group code Columns 010 and 020 are a composite row identifier and together must be unique for each row in the table. See column 020 of template LE3. |
030-260 |
Maturity buckets of the exposures See columns 020-250 of template LE4. |
ANNEX X
REPORTING ON LEVERAGE
LEVERAGE RATIO REPORTING TEMPLATES |
|||
Template code |
Template code |
Name of the template |
Short name |
47 |
C 47.00 |
Leverage ratio calculation |
LRCalc |
40 |
C 40.00 |
Alternative treatment of the exposure measure |
LR1 |
41 |
C 41.00 |
On- and Off-Balance Sheet items — Additional breakdown of exposures |
LR2 |
42 |
C 42.00 |
Alternative definition of capital |
LR3 |
43 |
C 43.00 |
Alternative breakdown of leverage ratio exposure measure components |
LR4 |
44 |
C 44.00 |
General information |
LR5 |
C 40.00 — ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1)
Row |
|
Column |
|||||||
010 |
020 |
040 |
050 |
070 |
075 |
085 |
120 |
||
Accounting balance sheet value |
Accounting value assuming no netting or other CRM |
Add-on for SFTs |
Add-on under the mark-to market method (assuming no netting or other CRM) |
Notional amount/ nominal value |
Capped notional amount |
Capped notional amount (same reference name) |
Leverage ratio exposure amount hypothetically exempted |
||
010 |
Derivatives |
|
|
|
|
|
|
|
|
020 |
Credit derivatives (protection sold) |
|
|
|
|
|
|
|
|
030 |
Credit derivatives (protection sold), which are subject to a close out clause |
|
|
|
|
|
|
|
|
040 |
Credit derivatives (protection sold), which are not subject to a close out clause |
|
|
|
|
|
|
|
|
050 |
Credit derivatives (protection bought) |
|
|
|
|
|
|
|
|
060 |
Financial derivatives |
|
|
|
|
|
|
|
|
070 |
SFTs covered by a master netting agreement |
|
|
|
|
|
|
|
|
080 |
SFTs not covered by a master netting agreement |
|
|
|
|
|
|
|
|
090 |
Other assets |
|
|
|
|
|
|
|
|
100 |
Low-risk off-balance sheet items under the RSA; of which: |
|
|
|
|
|
|
|
|
110 |
Revolving retail exposures; of which |
|
|
|
|
|
|
|
|
120 |
Unconditionally cancellable credit cards commitments |
|
|
|
|
|
|
|
|
130 |
Non revolving unconditionally cancellable commitments |
|
|
|
|
|
|
|
|
140 |
Medium/low risk off-balance sheet items under the RSA |
|
|
|
|
|
|
|
|
150 |
Medium risk off-balance sheet items under the RSA |
|
|
|
|
|
|
|
|
160 |
Full risk off-balance sheet items under the RSA |
|
|
|
|
|
|
|
|
170 |
(memo item) Drawn amount of revolving retail exposures |
|
|
|
|
|
|
|
|
180 |
(memo item) Drawn amounts on unconditionally cancellable credit cards commitments |
|
|
|
|
|
|
|
|
190 |
(memo item) Drawn amounts on non-revolving unconditionally cancellable commitments |
|
|
|
|
|
|
|
|
210 |
Cash collateral received in derivatives transactions |
|
|
|
|
|
|
|
|
220 |
Receivables for cash collateral posted in derivatives transactions |
|
|
|
|
|
|
|
|
230 |
Securities received in an SFT that are recognised as an asset |
|
|
|
|
|
|
|
|
240 |
SFT cash conduit lending (cash receivables) |
|
|
|
|
|
|
|
|
250 |
Exposures that can benefit from treatment under Article 113(6) of the CRR |
|
|
|
|
|
|
|
|
260 |
Exposures that meet the conditions in points (a) to (c) of Article 429(14) of the CRR |
|
|
|
|
|
|
|
|
C 41.00 — ON- AND OFF-BALANCE SHEET ITEMS — ADDITIONAL BREAKDOWN OF EXPOSURES (LR2)
Row |
|
Column |
||
010 |
020 |
030 |
||
On- and off- balance sheet exposures (SA exposures) |
On- and off- balance sheet exposures (IRB exposures) |
Nominal value |
||
010 |
Total on- and off-balance sheet exposures belonging to the non-trading book as well as exposures of the trading book subject to counterparty credit risk (breakdown in accordance with the risk weight): |
|
|
|
020 |
= 0 % |
|
|
|
030 |
> 0 % and ≤ 12 % |
|
|
|
040 |
> 12 % and ≤ 20 % |
|
|
|
050 |
> 20 % and ≤ 50 % |
|
|
|
060 |
> 50 % and ≤ 75 % |
|
|
|
070 |
> 75 % and ≤ 100 % |
|
|
|
080 |
> 100 % and ≤ 425 % |
|
|
|
090 |
> 425 % and ≤ 1 250 % |
|
|
|
100 |
Exposures in default |
|
|
|
110 |
(memo item) Low risk off-balance sheet items and off-balance sheet items attracting a 0 % conversion factor under the solvency ratio |
|
|
|
C 42.00 — ALTERNATIVE DEFINITION OF CAPITAL (LR3)
Row |
|
Column |
010 |
||
010 |
Common Equity Tier 1 capital — fully phased-in definition |
|
020 |
Common Equity Tier 1 capital — transitional definition |
|
030 |
Total own funds — fully phased-in definition |
|
040 |
Total own funds — transitional definition |
|
055 |
Asset amount deducted — from CET1 items — fully phased-in definition |
|
065 |
Asset amount deducted — from CET1 items — transitional definition |
|
075 |
Asset amount deducted — from own funds items — fully phased-in definition |
|
085 |
Asset amount deducted — from own funds items — transitional definition |
|
C 43.00 — ALTERNATIVE BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4)
Row |
Off-balance sheet items, derivatives, SFTs and trading book |
Column |
|
||
010 |
020 |
||||
Leverage Ratio Exposure Value |
RWA |
||||
010 |
Off-balance sheet items; of which |
|
|
|
|
020 |
Trade finance; of which |
|
|
||
030 |
Under official export credit insurance scheme |
|
|
||
040 |
Derivatives and SFTs subject to a cross-product netting agreement |
|
|
||
050 |
Derivatives not subject to a cross-product netting agreement |
|
|
||
060 |
SFTs not subject to a cross-product netting agreement |
|
|
||
065 |
Exposure amounts resulting from the additional treatment for credit derivatives |
|
|
||
070 |
Other assets belonging to the trading book |
|
|
||
Row |
Other non-trading book exposures |
Column |
|||
010 |
020 |
030 |
040 |
||
Leverage Ratio Exposure Value |
RWAs |
||||
SA Exposures |
IRB Exposures |
SA Exposures |
IRB Exposures |
||
080 |
Covered bonds |
|
|
|
|
90 |
Exposures treated as sovereigns |
|
|
|
|
100 |
Central governments and central banks |
|
|
|
|
110 |
Regional governments and local authorities treated as sovereigns |
|
|
|
|
120 |
MDBs and International organisations treated as sovereigns |
|
|
|
|
130 |
PSEs treated as sovereigns |
|
|
|
|
140 |
Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns |
|
|
|
|
150 |
Regional governments and local authorities not treated as sovereigns |
|
|
|
|
160 |
MDBs not treated as sovereigns |
|
|
|
|
170 |
PSEs not treated as sovereigns |
|
|
|
|
180 |
Institutions |
|
|
|
|
190 |
Secured by mortgages on immovable properties; of which |
|
|
|
|
200 |
Secured by mortgages of residential properties |
|
|
|
|
210 |
Retail exposures; of which |
|
|
|
|
220 |
Retail SME |
|
|
|
|
230 |
Corporate; of which |
|
|
|
|
240 |
Financial |
|
|
|
|
250 |
Non-financial; of which |
|
|
|
|
260 |
SME exposures |
|
|
|
|
270 |
Exposures other than SME exposures |
|
|
|
|
280 |
Exposures in default |
|
|
|
|
290 |
Other exposures; of which |
|
|
|
|
300 |
Securitisation exposures |
|
|
|
|
310 |
Trade finance (memo item); of which |
|
|
|
|
320 |
Under official export credit insurance scheme |
|
|
|
|
C 44.00 — GENERAL INFORMATION (LR5)
Row |
|
Column |
010 |
||
010 |
Institution's company structure |
|
020 |
Derivatives treatment |
|
040 |
Institution type |
|
C 47.00 — LEVERAGE RATIO CALCULATION (LRCalc)
|
Column |
|
LR Exposure: Reporting reference date |
||
Row |
Exposure Values |
010 |
010 |
SFTs: Exposure in accordance with Article 429(5) and 429(8) of the CRR |
|
020 |
SFTs: Add-on for counterparty credit risk |
|
030 |
Derogation for SFTs: Add-on in accordance with Article 429b(4) and 222 of the CRR |
|
040 |
Counterparty credit risk of SFT agent transactions in accordance with Article 429b(6) of the CRR |
|
050 |
(-) Exempted CCP leg of client-cleared SFT exposures |
|
060 |
Derivatives: Current replacement cost |
|
070 |
(-) Eligible cash variation margin received offset against derivatives market value |
|
080 |
(-) Exempted CCP leg of client-cleared trade exposures (replacement costs) |
|
090 |
Derivatives: Add-on under the mark-to-market method |
|
100 |
(-) Exempted CCP leg of client-cleared trade exposures (potential future exposure) |
|
110 |
Derogation for derivatives: original exposure method |
|
120 |
(-) Exempted CCP leg of client-cleared trade exposures (original exposure method) |
|
130 |
Capped notional amount of written credit derivatives |
|
140 |
(-) Eligible purchased credit derivatives offset against written credit derivatives |
|
150 |
Off-balance sheet items with a 10 % CCF in accordance with Article 429(10) of the CRR |
|
160 |
Off-balance sheet items with a 20 % CCF in accordance with Article 429(10) of the CRR |
|
170 |
Off-balance sheet items with a 50 % CCF in accordance with Article 429(10) of the CRR |
|
180 |
Off-balance sheet items with a 100 % CCF in accordance with Article 429(10) of the CRR |
|
190 |
Other assets |
|
200 |
Gross up for derivatives collateral provided |
|
210 |
(-) Receivables for cash variation margin provided in derivatives transactions |
|
220 |
(-) Exempted CCP leg of client-cleared trade exposures (initial margin) |
|
230 |
Adjustments for SFT sales accounting transactions |
|
240 |
(-) Fiduciary assets |
|
250 |
(-) Intragroup exposures (solo basis) exempted in accordance with Article 429(7) of the CRR |
|
260 |
(-) Exposures exempted in accordance with Article 429(14) of the CRR |
|
270 |
(-) Asset amount deducted — Tier 1 capital — fully phased-in definition |
|
280 |
(-) Asset amount deducted — Tier 1 capital — transitional definition |
|
290 |
Total Leverage Ratio exposure — using a fully phased-in definition of Tier 1 capital |
|
300 |
Total Leverage Ratio exposure — using a transitional definition of Tier 1 capital |
|
Row |
Capital |
|
310 |
Tier 1 capital — fully phased-in definition |
|
320 |
Tier 1 capital — transitional definition |
|
Row |
Leverage Ratio |
|
330 |
Leverage Ratio — using a fully phased-in definition of Tier 1 capital |
|
340 |
Leverage Ratio — using a transitional definition of Tier 1 capital |
|
ANNEX XI
REPORTING ON LEVERAGE
PART I: |
GENERAL INSTRUCTIONS |
1. |
TEMPLATE LABELLING AND OTHER CONVENTIONS |
1.1. |
TEMPLATE LABELLING |
1.2. |
NUMBERING CONVENTION |
1.3. |
ABBREVIATIONS |
1.4. |
SIGN CONVENTION |
PART II: |
TEMPLATE RELATED INSTRUCTIONS |
1. |
STRUCTURE AND FREQUENCY |
2. |
FORMULAS FOR LEVERAGE RATIO CALCULATION |
3. |
MATERIALITY THRESHOLDS FOR DERIVATIVES |
4. |
C47.00 — LEVERAGE RATIO CALCULATION (LRCALC) |
5. |
C40.00 — ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1) |
6. |
C41.00 — ON- AND OFF-BALANCE SHEET ITEMS — ADDITIONAL BREAKDOWN OF EXPOSURES (LR2) |
7. |
C42.00 — ALTERNATIVE DEFINITION OF CAPITAL (LR3) |
8. |
C43.00 — ALTERNATIVE BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4) |
9. |
C44.00 — GENERAL INFORMATION (LR5) |
PART I: GENERAL INSTRUCTIONS
1. Template labelling and other conventions
1.1. Template labelling
1. This Annex contains additional instructions for the templates (hereinafter ‘LR’) included in Annex X of this Regulation.
2. Overall, the framework consists of six templates:
— C47.00: Leverage Ratio Calculation (LRCalc): Leverage ratio calculation;
— C40.00: Leverage Ratio Template 1 (LR1): Alternative treatment of the exposure measure;
— C41.00: Leverage Ratio Template 2 (LR2): On and off-balance sheet items — additional breakdown of exposures;
— C42.00: Leverage Ratio Template 3 (LR3): Alternative definition of capital;
— C43.00: Leverage Ratio Template 4 (LR4): Breakdown of leverage ratio exposure measure components; and
— C44.00: Leverage Ratio Template 5 (LR5): General information.
3. For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting.
1.2. Numbering convention
4. The document will follow the labelling convention set in the following paragraphs, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules.
5. The following general notation is followed in the instructions: {Template;Row;Column}. An asterisk sign will be used to refer to the whole row or column.
6. In the case of validations within a template, where only data points from that template are used, notations will not refer to a template: {Row;Column}.
7. For the purpose of the reporting on leverage, ‘of which’ refers to an item that is a subset of a higher level exposure category whereas ‘memo item’ refers to a separate item that is not a subset of an exposure class. Reporting of both types of cells is mandatory unless otherwise specified.
1.3. Abbreviations
8. For the purposes of this annex and related templates the following abbreviations are used:
(a) CRR, which is an abbreviation of Capital Requirements Regulation and shall mean Regulation (EU) No 575/2013;
(b) SFT, which is an abbreviation of Securities Financing Transaction and shall mean ‘repurchase transaction, securities or commodities lending or borrowing transaction, long settlement transaction and margin lending transaction’ as referred to in Regulation (EU) No 575/2013;
(c) CRM, which is an abbreviation for Credit Risk Mitigation.
1.4. Sign convention
9. All amounts shall be reported as positive figures. An exception are the amounts reported in {LRCalc;050;010}, {LRCalc;070;010}, {LRCalc;080;010}, {LRCalc;100;010}, {LRCalc;120;010}, {LRCalc;140;010}, {LRCalc;210;010}, {LRCalc;220;010}, {LRCalc;240;010}, {LRCalc;250;010}, {LRCalc;260;010}, {LRCalc;310;010}, {LRCalc;320;010}, {LRCalc;270;010}, {LRCalc;280;010}, {LRCalc;330;010}, {LRCalc;340;010}, {LR3;010;010}, {LR3;020;010}, {LR3;030;010}, {LR3;040;010}, {LR3;055;010}, {LR3;065;010}, {LR3;075;010} and {LR3;085;010}. Thereby note that {LRCalc;050;010}, {LRCalc;070;010}, {LRCalc;080;010}, {LRCalc;100;010}, {LRCalc;120;010}, {LRCalc;140;010}, {LRCalc;210;010}, {LRCalc;220;010}, {LRCalc;240;010}, {LRCalc;250;010}, {LRCalc;260;010}, {LRCalc;270;010}, {LRCalc;280;010}, {LR3;055;010}, {LR3;065;010}, {LR3;075;010} and {LR3;085;010} only take negative values. Also note that, apart from extreme cases, {LRCalc;310;010}, {LRCalc;320;010}, {LRCalc;330;010}, {LRCalc;340;010}, {LR3;010;010}, {LR3;020;010}, {LR3;030;010} and {LR3;040;010} only take positive values.
PART II: TEMPLATE RELATED INSTRUCTIONS
1. Structure and frequency
1. The leverage ratio template is divided into two parts. Part A comprises all the data items that enter into the calculation of the leverage ratio that institutions shall submit to competent authorities in accordance with the first subparagraph of Article 430(1) of the CRR, while Part B comprises all the data items that institutions shall submit in accordance with the second subparagraph of Article 430(1) of the CRR (i.e. for the purposes of the report referred to in Article 511 of the CRR).
2. When compiling the data for this ITS, institutions shall consider the treatment of fiduciary assets in accordance with Article 429(13) of the CRR.
2. Formulas for leverage ratio calculation
3. The leverage ratio is based on a capital measure and a total exposure measure, which can be calculated with cells from Part A.
4. Leverage Ratio — fully phased-in definition = {LRCalc;310;010}/{LRCalc;290;010}.
5. Leverage Ratio — transitional definition = {LRCalc;320;010}/{LRCalc;300;010}.
3. Materiality thresholds for derivatives
6. In order to reduce the reporting burden for institutions with limited exposures in derivatives, the following measures are used to gauge the relative importance of derivatives exposures to the total exposure of the leverage ratio. Institutions shall calculate these measures as follows:
7.
.
8. Where total exposure measure is equal to: {LRCalc;290;010}.
9. Total notional value referenced by derivatives = {LR1; 010;070}. This is a cell that institutions shall always report.
10. Credit derivatives volume = {LR1;020;070} + {LR1;050;070}. These are cells that institutions shall always report.
11. Institutions are required to report the cells referred to in paragraph 14 in the next reporting period, if any of the following conditions is met:
— the derivatives share referred to in paragraph 7 is more than 1,5 % on two consecutive reporting reference dates;
— the derivatives share referred to in paragraph 7 exceeds 2,0 %.
12. Institutions for which the total notional value referenced by derivatives as defined in paragraph 9 exceeds 10 billion EUR shall report the cells referred to in paragraph 14, even though their derivatives share does not fulfil the conditions described in paragraph 11.
13. Institutions are required to report the cells referred to in paragraph 15 if any of the following conditions is met:
— the credit derivatives volume referred to in paragraph 10 is more than 300 million EUR on two consecutive reporting reference dates;
— the credit derivatives volume referred to in paragraph 10 exceeds 500 million EUR.
14. The cells which are required to be reported by institutions in accordance with paragraph 11 are the following: {LR1;010;010}, {LR1;010;020}, {LR1;010;050}, {LR1;020;010}, {LR1;020;020}, {LR1;020;050}, {LR1;030;050}, {LR1;030;070}, {LR1;040;050}, {LR1;040;070}, {LR1;050;010}, {LR1;050;020}, {LR1;050;050}, {LR1;060;010}, {LR1;060;020}, {LR1;060;050} and {LR1;060;070}.
15. The cells which are required to be reported by institutions in accordance with paragraph 13 are the following: {LR1;020;075}, {LR1;050;075} and {LR1;050;085}.
4. C47.00 — Leverage ratio calculation (LRCalc)
16. This part of the reporting template collects the data that are needed to calculate the leverage ratio as defined in Articles 429, 429a and 429b of the CRR.
17. Institutions shall perform the reporting of the leverage ratio quarterly. In each quarter, the value ‘at reporting reference date’ shall be the value at the last calendar day of the third month of the respective quarter.
18. Institutions shall report {010;010} to {030;010}, {060;010}, {090;010}, {110;010}, and {150;010} to {190;010} as if the exemptions referred to in {050;010}, {080;010}, {100;010}, {120;010}, and {220;010} did not apply.
19. Institutions shall report {010;010} to {240;010} as if the exemptions referred to in {250;010} and {260;010} did not apply.
20. Any amount that increases the own funds or the leverage ratio exposure shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the leverage ratio exposure 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.
|
Legal references and instructions |
Row and column |
Exposure Values |
{010;010} |
SFTs: Exposure in accordance with Articles 429(5) and 429(8) of the CRR Articles 429(5)(d) and 429(8) of the CRR The exposure for SFTs calculated in accordance with Article 429(5)(d) and (8) of the CRR. Institutions shall consider in this cell transactions in accordance with Article 429b(6)(c). Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include those items in {190,010}. Institutions shall not include in this cell agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with Article 429b(6)(a) of the CRR. |
{020;010} |
SFTs: Add-on for counterparty credit risk Article 429b(1) of the CRR The add-on for counterparty credit risk of SFTs, including those that are off-balance sheet, determined in accordance with Article 429b(2) or (3) of the CRR, as applicable. Institutions shall consider in this cell transactions in accordance with Article 429b(6)(c). Institutions shall not include in this cell agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with Article 429b(6)(a) of the CRR. Institutions shall instead include those items in {040;010}. |
{030;010} |
Derogation for SFTs: Add-on in accordance with Articles 429b(4) and 222 of the CRR Article 429b(4) and 222 of the CRR The exposure value for SFTs, including those that are off-balance sheet, calculated in accordance with Article 222 of the CRR, subject to a 20 % floor for the applicable risk weight. Institutions shall consider in this cell transactions in accordance with Article 429b(6)(c) of the CRR. Institutions shall not consider in this cell transactions for which the add-on part of the leverage ratio exposure value is determined in accordance with the method defined in Article 429b(1) of the CRR. |
{040;010} |
Counterparty credit risk of SFT agent transactions in accordance with Article 429b(6) of the CRR Article 429b(6)(a), (2) and (3) of the CRR The exposure value for agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with Article 429b(6)(a) of the CRR, consists only of the add-on determined in accordance with Article 429b(2) or (3) of the CRR, as applicable. Institutions shall not include in this cell transactions in accordance with Article 429b(6)(c). Institutions shall instead include those items in {010;010} and {020;010} or {010;010} and {030;010}, as applicable. |
{050;010} |
(-) Exempted CCP leg of client-cleared SFT exposures Articles 429(11) and 306(1)(c) of the CRR The exempted CCP leg of client-cleared trade exposures of SFTs, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR. Where the exempted leg to the CCP is a security it shall not be reported in this cell unless it is a re-pledged security that under the applicable accounting framework (i.e. in accordance with the first sentence of Article 111(1) of the CRR) is included at full value. Institutions shall, as if no exemption applies, also include the amount reported in this cell in {010;010}, {020;010} and {030;010}, and, if the condition in the second half of the previous sentence is met, in {190;010}. Where there is initial margin posted by the institution for an exempted leg of an SFT that is reported in {190;010} and not reported in {020;010} or {030;010}, then the institution can report it in this cell. |
{060;010} |
Derivatives: Current replacement cost Articles 429a, 274, 295, 296, 297 and 298 of the CRR. The current replacement cost as specified in Article 274(1) of the CRR of contracts listed in Annex II of the CRR and credit derivatives including those that are off-balance sheet reported gross of variation margin received. As determined by Article 429a(1) of the CRR, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295 of the CRR. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (25)(c) of Article 272 of the CRR and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in Article 295(c) of the CRR. Institutions shall not include in this cell contracts measured by application of the original exposure method in accordance with Articles 429a(8) and 275 of the CRR. |
{070;010} |
(-) Eligible cash variation margin received offset against derivatives market value Article 429a(3) of the CRR Variation margin received in cash from the counterparty eligible for offsetting against the replacement cost portion of the derivatives exposure in accordance with Article 429a(3) of the CRR. Any cash variation margin received on an exempted CCP leg in accordance with Article 429(11) of the CRR shall not be reported. |
{080;010} |
(-) Exempted CCP leg of client-cleared trade exposures (replacement costs) Article 429(11) of the CRR The replacement cost portion of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR. This amount shall be reported gross of cash variation margin received on this leg. Institutions shall include the amount reported in this cell also in {060;010} as if no exemption applied. |
{090;010} |
Derivatives: Add-on under the mark-to-market method Articles 429a, 274, 295, 296, 297, 298 and 299(2) of the CRR This cell provides the add-on for the potential future exposure of contracts listed in Annex II of the CRR and of credit derivatives including those that are off-balance sheet calculated in accordance with the mark-to-market Method (Article 274 of the CRR for contracts listed in Annex II of the CRR and Article 299(2) of the CRR for credit derivatives) and applying netting rules in accordance with Article 429a(1) of the CRR. In determining the exposure value of those contracts, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295 of the CRR. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (25)(c) of Article 272 of the CRR and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in Article 295(c) of the CRR. In accordance with the second subparagraph of Article 429a(1) of the CRR, when determining the potential future credit exposure of credit derivatives, institutions shall apply the principles laid down in Article 299(2)(a) of the CRR to all their credit derivatives, not just those assigned to the trading book. Institutions shall not include in this cell contracts measured by application of the original exposure method in accordance with Articles 429a(8) and 275 of the CRR. |
{100;010} |
(-) Exempted CCP leg of client-cleared trade exposures (potential future exposure) Article 429(11) of the CRR The potential future exposure of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR. Institutions shall include the amount reported in this cell also in {090;010} as if no exemption applied. |
{110;010} |
Derogation for derivatives: original exposure method Articles 429a(8) and 275 of the CRR This cell provides the exposure measure of contracts listed in points 1 and 2 of Annex II of the CRR calculated in accordance with the original exposure method set out in Article 275 of the CRR. Institutions that apply the original exposure method shall not reduce the exposure measure by the amount of variation margin received in cash in accordance with Article 429a(8) of the CRR. Institutions that do not use the original exposure method shall not report this cell. Institutions shall not consider in this cell contracts measured by application of the mark-to-market method in accordance with Articles 429a(1) and 274 of the CRR. |
{120;010} |
(-) Exempted CCP leg of client-cleared trade exposures (original exposure method) Article 429(11) of the CRR The exempted CCP leg of client-cleared trade exposures when applying the original exposure method as set out in Article 275 of the CRR, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR. Institutions shall include the amount reported in this cell also in {110;010} as if no exemption applied. |
{130;010} |
Capped notional amount of written credit derivatives Article 429a(5) to (7) of the CRR Capped notional value of written credit derivatives (i.e. where the institution is providing credit protection to a counterparty) as set out in Article 429a(5) to (7) of the CRR. |
{140;010} |
(-) Eligible purchased credit derivatives offset against written credit derivatives Article 429a(5) to (7) of the CRR Capped notional value of purchased credit derivatives (i.e. where the institution is buying credit protection from a counterparty) on the same reference names as those credit derivatives written by the institution, where the remaining maturity of the purchased protection is equal to or greater than the remaining maturity of the sold protection. Hence, the value shall not be greater than the value entered in {130;010} for each reference name. |
{150;010} |
Off-balance sheet items with a 10 % CCF in accordance with Article 429(10) of the CRR Articles 429(10), 111(1)(d) and 166(9) of the CRR The exposure value, in accordance with Articles 429(10) and 111(1)(d) of the CRR, of low risk off-balance sheet items that would be assigned a 0 % credit conversion factor referred to in points 4(a) to (c) of Annex I of the CRR (as a reminder the exposure value here shall be 10 % of the nominal value). That is commitments which may be cancelled unconditionally at any time by the institution without prior notice (UCC), or that effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness. As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) of the CRR. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. |
{160;010} |
Off-balance sheet items with a 20 % CCF in accordance with Article 429(10) of the CRR Articles 429(10), 111(1)(c) and 166(9) of the CRR The exposure value, in accordance with Articles 429(10) and 111(1)(c) of the CRR, of medium/low risk off-balance-sheet items that would be assigned a 20 % credit conversion factor referred to in points 3(a) and (b) of Annex I of the CRR (as a reminder the exposure value here shall be 20 % of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) of the CRR. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. |
{170;010} |
Off-balance sheet items with a 50 % CCF in accordance with Article 429(10) of the CRR Articles 429(10), 111(1)(b) and 166(9) of the CRR The exposure value, in accordance with Articles 429(10) and 111(1)(b) of the CRR, of medium risk off-balance sheet items that would be assigned a 50 % credit conversion factor as defined in the Standardised Approach to credit risk referred to in points 2(a) and (b) of Annex I of the CRR (as a reminder the exposure value here shall be 50 % of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments. This cell includes liquidity facilities and other commitments to securitisations. In other words the CCF for all liquidity facilities in accordance with Article 255 of the CRR is 50 % regardless of the maturity. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) of the CRR. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. |
{180;010} |
Off-balance sheet items with a 100 % CCF in accordance with CRR 429 (10) Articles 429(10), 111(1)(a) and 166(9) of the CRR The exposure value, in accordance with Articles 429(10) and 111(1)(a) of the CRR, of high risk off-balance sheet items that would be assigned a 100 % credit conversion factor referred to in points 1(a) to (k) of Annex I of the CRR (as a reminder the exposure value here shall be 100 % of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments. This cell includes liquidity facilities and other commitments to securitisations. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) of the CRR. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. |
{190;010} |
Other assets Article 429(5) of the CRR All assets other than contracts listed in Annex II of the CRR, credit derivatives and SFTs (e.g. amongst others assets to be reported in this cell are accounting receivables for cash variation margin provided where recognised under the operative accounting framework, liquid assets as defined under the liquidity coverage ratio, failed and unsettled transactions). Institutions shall base valuation on the principles set out in Article 429(5) of the CRR. Institutions shall include in this cell cash received or any security that is provided to a counterparty via SFTs and that is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Furthermore, institutions shall recognise items that are deducted from CET1 and Additional Tier 1 items (e.g. intangibles, deferred tax assets etc.) here. |
{200;010} |
Gross-up for derivatives collateral provided Article 429a(2) of the CRR The amount of any derivatives collateral provided where the provision of that collateral reduces the amount of assets under the applicable accounting framework, as set out in Article 429a(2) of the CRR. Institutions shall not include in this cell initial margin for client-cleared derivative transactions with a qualifying CCP (QCCP) or eligible cash variation margin, as defined in Article 429a(3) of the CRR. |
{210;010} |
(-) Receivables for cash variation margin provided in derivatives transactions Third subparagraph of Article 429a(3) of the CRR The receivables for variation margin paid in cash to the counterparty in derivatives transactions if the institution is required, under the applicable accounting framework, to recognise these receivables as an asset, provided that the conditions in points (a) to (e) of Article 429a(3) of the CRR are met. The amount reported shall also be included in the other assets reported in {190, 010}. |
{220;010} |
(-) Exempted CCP leg of client-cleared trade exposures (initial margin) Article 429(11) of the CRR The initial margin (posted) portion of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR. The amount reported shall also be included in the other assets reported in {190, 010}. |
{230;010} |
Adjustments for SFT sales accounting transactions Article 429b(5) of the CRR The value of securities lent in a repurchase transaction that are derecognised due to a sales accounting transaction under the applicable accounting framework. |
{240;010} |
(-) Fiduciary assets Article 429(13) of the CRR The value of fiduciary assets that meet the IAS 39 criteria for derecognition and, where applicable, IFRS 10 for deconsolidation, in accordance with Article 429(13) of the CRR, assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). The amount reported shall also be included in the other assets reported in {190, 010}. |
{250;010} |
(-) Intragroup exposures (solo basis) exempted in accordance with Article 429(7) of the CRR Articles 429(7) and 113(6) of the CRR Exposures that have not been consolidated on the applicable level of consolidation, that can benefit from the treatment laid down in Article 113(6) of the CRR, provided that all the conditions set out in points (a) to (e) of Article 113(6) of the CRR are met and where the competent authorities have given their approval. The amount reported shall also be included in the applicable cells above as if no exemption applied. |
{260;010} |
(-) Exposures exempted in accordance with Article 429(14) of the CRR Article 429(14) of the CRR Exposures exempted in accordance with 429(14) of the CRR subject to the therein stated conditions being met and where the competent authorities have given their approval. The amount reported shall also be included in the applicable cells above as if no exemption applied. |
{270;010} |
(-) Asset amount deducted — Tier 1 capital — fully phased-in definition Articles 429(4)(a) and 499(1)(a) of the CRR It includes all the adjustments that target the value of an asset and which are required by: — Articles 32 to 35 of the CRR, or — Articles 36 to 47 of the CRR, or — Articles 56 to 60 of the CRR, as applicable. Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Title I of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {010;010} to {260;010}, nor shall they report any adjustment that does not deduct the value of a specific asset. As these amounts are already deducted from the capital measure, they reduce the leverage ratio exposure and shall be reported as a negative figure. |
{280;010} |
(-) Asset amount deducted — Tier 1 capital — transitional definition Articles 429(4)(a) and 499(1)(b) of the CRR It includes all the adjustments that adjust the value of an asset and which are required by: — Articles 32 to 35 of the CRR, or — Articles 36 to 47 of the CRR, or — Articles 56 to 60 of the CRR' as applicable. Institutions shall take into account exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, in addition to taking into account the derogations laid down in Chapter 1 and 2 of Title I of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {010;010} to {260;010}, nor shall they report any adjustment that does not deduct the value of a specific asset. As these amounts are already deducted from the capital measure, they reduce the leverage ratio exposure and shall be reported as a negative figure. |
{290;010} |
Total Leverage Ratio exposure — using a fully phased-in definition of Tier 1 capital Institutions shall report the following amount: {LRCalc;010;010} + {LRCalc;020;010} + {LRCalc;030;010} + {LRCalc;040;010} + {LRCalc;050;010} + {LRCalc;060;010} + {LRCalc;070;010} + {LRCalc;080;010} + {LRCalc;090;010} + {LRCalc;100;010} + {LRCalc;110;010} + {LRCalc;120;010} + {LRCalc;130;010} + {LRCalc;140;010} + {LRCalc;150;010} + {LRCalc;160;010} + {LRCalc;170;010} + {LRCalc;180;010} + {LRCalc;190;010} + {LRCalc;200;010} + {LRCalc;210;010} + {LRCalc;220;010} + {LRCalc;230;010} + {LRCalc;240;010} + {LRCalc;250;010} + {LRCalc;260;010} + {LRCalc;270;010}. |
{300;010} |
Total Leverage Ratio exposure — using a transitional definition of Tier 1 capital Institutions shall report the following amount: {LRCalc;010;010} + {LRCalc;020;010} + {LRCalc;030;010} + {LRCalc;040;010} + {LRCalc;050;010} + {LRCalc;060;010} + {LRCalc;070;010} + {LRCalc;080;010} + {LRCalc;090;010} + {LRCalc;100;010} + {LRCalc;110;010} + {LRCalc;120;010} + {LRCalc;130;010} – {LRCalc;140;010} + {LRCalc;150;010} + {LRCalc;160;010} + {LRCalc;170;010} + {LRCalc;180;010} + {LRCalc;190;010} + {LRCalc;200;010} + {LRCalc;210;010} + {LRCalc;220;010} + {LRCalc;230;010} + {LRCalc;240;010} + {LRCalc;250;010} + {LRCalc;260;010} + {LRCalc;280;010}. |
Row and column |
Capital |
{310;010} |
Tier 1 capital — fully phased-in definition Articles 429(3) and 499(1) of the CRR This is the amount of Tier 1 capital as calculated in accordance with Article 25 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Title I of Part Ten of the CRR. |
{320;010} |
Tier 1 capital — transitional definition Articles 429(3) and 499(1) of the CRR This is the amount of Tier 1 capital as calculated in accordance with Article 25 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Title I of Part Ten of the CRR. |
Row and column |
Leverage Ratio |
{330;010} |
Leverage Ratio — using a fully phased-in definition of Tier 1 capital Articles 429(2) and 499(1) of the CRR This is the leverage ratio as calculated under paragraph 4 of Part II of this Annex. |
{340;010} |
Leverage Ratio — using a transitional definition of Tier 1 capital Articles 429(2) and 499(1) of the CRR This is the leverage ratio as calculated under paragraph 5 of Part II of this Annex. |
5. C40.00 — Alternative treatment of the Exposure Measure (LR1)
21. This part of the reporting collects data on an alternative treatment of derivatives, SFTs and off-balance sheet items.
22. Institutions shall determine the ‘accounting balance sheet values’ in LR1 based on the applicable accounting framework in accordance with Article 4(1)(77) of the CRR. ‘Accounting value assuming no netting or other CRM’ refers to the accounting balance sheet value not taking into account any effects of netting or other credit risk mitigation.
23. Apart from {250;120} and {260;120}, institutions shall report LR1 as if the exemptions referred to in LRCalc cells {050;010}, {080;010}, {100;010}, {120;010}, {220;010}, {250;010} and {260;010} did not apply.
Row and column |
Legal references and instructions |
{010;010} |
Derivatives — Accounting balance sheet value This is the sum of {020;010}, {050;010} and {060;010}. |
{010;020} |
Derivatives — Accounting value assuming no netting or other CRM This is the sum of {020;020}, {050;020} and {060;020}. |
{010;050} |
Derivatives — Add-on under the mark-to-market method (assuming no netting or other CRM) This is the sum of {020;050}, {050;050} and {060;050}. |
{010;070} |
Derivatives — Notional amount This is the sum of {020;070}, {050;070} and {060;070}. |
{020;010} |
Credit derivatives (protection sold) — Accounting balance sheet value Article 4(1)(77) of the CRR The accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is selling credit protection to a counterparty and the contract is recognised as an asset on the balance sheet. |
{020;020} |
Credit derivatives (protection sold) — Accounting value assuming no netting or other CRM Article 4(1)(77) of the CRR The accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is selling credit protection to a counterparty and the contract is recognised as an asset on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). |
{020;050} |
Credit derivatives (protection sold) — Add-on under the mark-to-market method (assuming no netting or other CRM) This is the sum of {030;050} and {040;050}. |
{020;070} |
Credit derivatives (protection sold) — Notional amount This is the sum of cells {030;070} and {040;070}. |
{020;075} |
Credit derivatives (protection sold) — Capped notional amount This cell provides the notional amount referenced by the credit derivatives (protection sold) as in {020; 070} after reduction by any negative fair value changes that have been incorporated in Tier 1 capital with respect to the written credit derivative. |
{030;050} |
Credit derivatives (protection sold), which are subject to a close-out clause — Add-on under the mark-to-market method (assuming no netting or other CRM) Article 299(2) of the CRR This cell provides the potential future exposure of credit derivatives where the institution is selling credit protection to a counterparty subject to a close-out clause assuming no netting or other CRM. Institutions shall not include in this cell the add-on for credit derivatives where the institution is selling credit protection to a counterparty not subject to a close-out clause. Institutions shall instead include this in {LR1;040;050}. A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty. Institutions shall consider all credit derivatives, not just those assigned to the trading book. |
{030;070} |
Credit derivatives (protection sold), which are subject to a close-out clause — Notional amount This cell provides the notional amount referenced by credit derivatives where the institution is selling credit protection to a counterparty subject to a close-out clause. A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty. Institutions shall consider all credit derivatives, not just those assigned to the trading book. |
{040;050} |
Credit derivatives (protection sold), which are not subject to a close-out clause — Add-on under the mark-to-market method (assuming no netting or other CRM) Article 299(2) of the CRR This cell provides the potential future exposure of credit derivatives where the institution is selling credit protection to a counterparty not subject to a ‘close-out clause’ assuming no netting or other CRM. A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty. Institutions shall consider all credit derivatives, not just those assigned to the trading book. |
{040;070} |
Credit derivatives (protection sold), which are not subject to a close-out clause — Notional amount This cell provides the notional amount referenced by credit derivatives where the institution is selling credit protection to a counterparty not subject to a ‘close-out clause’. A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty. Institutions shall consider all credit derivatives, not just those assigned to the trading book |
{050;010} |
Credit derivatives (protection bought) — Accounting balance sheet value Article 4(1)(77) of the CRR The accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is buying credit protection from a counterparty and the contract is recognised as an asset on the balance sheet. Institutions shall consider all credit derivatives, not just those assigned to the trading book. |
{050;020} |
Credit derivatives (protection bought) — Accounting value assuming no netting or other CRM Article 4(1)(77) of the CRR The accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is buying credit protection from a counterparty and the contract is recognised as an asset on the balance sheet assuming no prudential or accounting netting or CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). Institutions shall consider all credit derivatives, not just those assigned to the trading book. |
{050;050} |
Credit derivatives (protection bought) — Add-on under the mark-to-market method (assuming no netting or other CRM) Article 299(2) of the CRR This cell provides the potential future exposure of credit derivatives where the institution is buying credit protection from a counterparty assuming no netting or other CRM. Institutions shall consider all credit derivatives, not just those assigned to the trading book |
{050;070} |
Credit derivatives (protection bought) — Notional amount This cell provides the notional amount referenced by credit derivatives where the institution is buying credit protection from a counterparty. Institutions shall consider all credit derivatives, not just those assigned to the trading book |
{050;075} |
Credit derivatives (protection bought) — Capped notional amount This cell provides the notional amount referenced by credit derivatives (protection bought) as in {050;050} after reduction by any positive fair value changes that have been incorporated in Tier 1 capital with respect to the bought credit derivative. |
{050;085} |
Credit derivatives (protection bought) — Capped notional amount (same reference name) The notional amount referenced by credit derivatives where the institution is buying credit protection on the same underlying reference name as those credit derivatives written by the reporting institution. For the purpose of reporting this cell value, underlying reference names are considered the same if they refer to the same legal entity and level of seniority. Credit protection bought on a pool of reference entities is considered the same if this protection is economically equivalent to buying protection separately on each of the individual names in the pool. If an institution is buying credit protection on a pool of reference names, then this credit protection is only considered the same if the bought credit protection covers the entirety of the subsets of the pool on which credit protection has been sold. In other words, offsetting may only be recognised when the pool of reference entities and the level of subordination in both transactions are identical. For each reference name, the notional amounts of credit protection bought which are considered in this cell shall not exceed the amounts reported in {020;075} and {050;075}. |
{060;010} |
Financial derivatives — Accounting balance sheet value Article 4(1)(77) of the CRR The accounting balance sheet value under the applicable accounting framework of contracts listed in Annex II of the CRR where the contracts are recognised as assets on the balance sheet. |
{060;020} |
Financial derivatives — Accounting value assuming no netting or other CRM Article 4(1)(77) of the CRR The accounting balance sheet value under the applicable accounting framework of contracts listed in Annex II of the CRR where the contracts are recognised as assets on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). |
{060;050} |
Financial derivatives — Add-on under the mark-to-market method (assuming no netting or other CRM) Article 274 of the CRR This cell provides the regulatory potential future exposure of contracts listed in Annex II of the CRR assuming no netting or other CRM. |
{060;070} |
Financial derivatives — Notional amount This cell provides the notional amount referenced by contracts listed in Annex II of the CRR. |
{070;010} |
SFTs covered by a master netting agreement — Accounting balance sheet value Articles 4(1)(77) and 206 of the CRR The accounting balance sheet value of SFTs under the applicable accounting framework that are covered by a master netting agreement eligible under Article 206 of the CRR. Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in {090,010}. |
{070;020} |
SFTs covered by a master netting agreement — Accounting value assuming no netting or other CRM Articles 4(77) and 206 of the CRR The accounting balance sheet value under the applicable accounting framework of SFTs that are covered by a master netting agreement eligible under Article 206 of the CRR where the contracts are recognised as an asset on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). Furthermore, where sale accounting is achieved for an SFT under the applicable accounting framework, institutions shall reverse all sales-related accounting entries. Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in {090,020}. |
{070;040} |
Securities financing transactions covered by a master netting agreement — Add-on for SFT Articles 206 of the CRR For SFTs, including those that are off-balance sheet, that are covered by a netting agreement that meets the requirements in Article 206 of the CRR, institutions shall form netting sets. For each netting set, institutions shall calculate the add-on for current counterparty exposure (CCE) in accordance with the formula
Where i = each transaction included in the netting set. Ei = for transaction i, the value Ei as defined in Article 220(3) of the CRR. Ci = for transaction i, the value Ci as defined in Article 220(3) of the CRR. Institutions shall aggregate the outcome of this formula for all netting sets and report the result in this cell. |
{080;010} |
SFTs not covered by a master netting agreement — Accounting balance sheet value Article 4(1)(77) of the CRR The accounting balance sheet value under the applicable accounting framework of SFTs that are not covered by a master netting agreement eligible under Article 206 of the CRR where the contracts are recognised as assets on the balance sheet. Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in {090,010}. |
{080;020} |
SFTs not covered by a master netting agreement — Accounting value assuming no netting or other CRM Article 4(1)(77) of the CRR The accounting balance sheet value under the applicable accounting framework of SFTs that are not covered by a master netting agreement eligible under Article 206 of the CRR where the contracts are recognised as assets on the balance sheet assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). Furthermore, where sale accounting is achieved for an SFT under the applicable accounting framework, institutions shall reverse all sales-related accounting entries. Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in {090,020}. |
{080;040} |
SFTs not covered by a master netting agreement — Add-on for SFT Articles 206 of the CRR For SFTs, including those that are off-balance sheet, that are not covered by a master netting agreement eligible under Article 206 of the CRR, institutions shall form sets that consist of all assets included in a transaction (i.e. each SFT is treated as its own set), and shall determine for each set the add-on for current counterparty exposure (CCE) in accordance with the formula CCE = max {(E – C); 0} Where E = , the value Ei as defined in Article 220(3) of the CRR. C = , the value Ci as defined in Article 220(3) of the CRR. Institutions shall aggregate the outcome of this formula for all of above-mentioned sets and report the result in this cell. |
{090;010} |
Other assets — Accounting balance sheet value Article 4(1)(77) of the CRR The accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II of the CRR, credit derivatives and SFTs. |
{090;020} |
Other assets — Accounting value assuming no netting or other CRM Article 4(1)(77) of the CRR The accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II of the CRR, credit derivatives and SFTs assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). |
{100;070} |
Low risk off-balance sheet items in the RSA; of which — nominal value Article 111 of the CRR This cell provides the nominal value of off-balance sheet items that would be assigned a 0 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. |
{110;070} |
Revolving retail exposures; of which — Nominal value Articles 111 and 154(4) of the CRR This cell provides the nominal value of off-balance sheet qualifying revolving retail exposures that meet the conditions set in points (a) to (c) of Article 154(4) of the CRR. This value shall not be reduced by specific credit risk adjustments. This covers all exposures that are to individuals, are revolving and unconditionally cancellable as described in point (b) of Article 149 of the CRR, and are in total limited to EUR 100 000 per obligor. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. |
{120;070} |
Unconditionally cancellable credit cards commitments — Nominal value Articles 111 and 154(4) of the CRR This cell provides the nominal value of credit cards commitments that are unconditionally cancellable at any time by the institution without prior notice (UCC) that would receive a 0 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments. Institutions shall not include in this cell credit commitments that effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness but are not UCC. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. |
{130;070} |
Non revolving unconditionally cancellable commitments — Nominal value Articles 111 and 154(4) of the CRR It provides the nominal value of other commitments that are unconditionally cancellable at any time by the institution without prior notice (UCC) and that would receive a 0 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments. Institutions shall not include in this cell credit commitments that effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness but are not UCC. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. |
{140;070} |
Medium/low risk off-balance sheet items under the RSA — Nominal value Article 111 of the CRR This cell provides the nominal value of off-balance sheet items that would be assigned a 20 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. |
{150;070} |
Medium risk off-balance sheet items under the RSA — Nominal value Article 111 of the CRR This cell provides the nominal value of off-balance sheet items that would be assigned a 50 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. |
{160;070} |
Full risk off-balance sheet items under the RSA — Nominal value Article 111 of the CRR This cell provides the nominal value of off-balance sheet items that would be assigned a 100 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. |
{170;070} |
(memo item) Drawn amounts of revolving retail exposures — Nominal value Article 154(4) of the CRR This cell provides the nominal value of amounts drawn on off-balance sheet revolving retail exposures. This value shall not be reduced by specific credit risk adjustments. |
{180;070} |
(memo item) Drawn amounts on unconditionally cancellable credit card commitments — Nominal value Articles 111 and 154(4) of the CRR This cell provides the nominal value of amounts drawn on unconditionally cancellable credit card commitments. This value shall not be reduced by specific credit risk adjustments. |
{190;070} |
(memo item) Drawn amounts on non-revolving unconditionally cancellable commitments — Nominal value Articles 111 and 154(4) of the CRR This cell provides the nominal value of amounts drawn on non-revolving unconditionally cancellable commitments. This value shall not be reduced by specific credit risk adjustments. |
{210;020} |
Cash collateral received in derivatives transactions — Accounting value assuming no netting or other CRM The accounting balance sheet value under the applicable accounting framework of cash collateral received in derivatives transactions assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). For the purpose of this cell, cash is defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks is included to the extent that these deposits can be withdrawn in times of stress. Institutions shall not report cash on deposit with other institutions in this cell. |
{220;020} |
Receivables for cash collateral posted in derivatives transactions — Accounting value assuming no netting or other CRM The accounting balance sheet value under the applicable accounting framework of receivables for cash collateral posted against derivatives transactions assuming no accounting netting or CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). Institutions that are permitted under the applicable accounting framework to net the receivable for cash collateral posted against the related derivative liability (negative fair value) and that elect to do so shall reverse out the netting and report the net cash receivable. |
{230;020} |
Securities received in an SFT that are recognised as an asset — Accounting value assuming no netting or other CRM The accounting balance sheet value under the applicable accounting framework of securities received in an SFT that are recognised as an asset under the applicable accounting framework assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). |
{240;020} |
SFT cash conduit lending (cash receivables) — Accounting value assuming no netting or other CRM The accounting balance sheet value under the applicable accounting framework of the cash receivable for the cash on-lent to the securities owner in a qualifying cash conduit lending transaction (CCLT) assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). For the purpose of this cell, cash is defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks is included to the extent that these deposits can be withdrawn in times of stress. Institutions shall not report in this cell cash on deposit with other institutions. A CCLT is defined as a combination of two transactions where an institution borrows securities from the securities owner and on-lends securities to the securities borrower. Concurrently, the institution receives cash collateral from the securities borrower and on-lends the cash received to the securities owner. A qualifying CCLT shall comply with all the following conditions: (a) both of the individual transactions which comprise the qualifying CCLT shall be effected on the same trade date, or for international transactions adjacent business days; (b) where its comprising transactions do not specify a maturity, the institution shall have the legal right to close out either side of the CCLT, that is both of its comprising transactions, at any time and without prior notice; (c) where its comprising transactions specify a maturity, the CCLT shall not give rise to maturity mismatches for the institution; the institution shall have the legal right to close out either side of the CCLT, that is both of its comprising transactions, at any time and without prior notice; (d) it does not give rise to any other incremental exposures. |
{250;120} |
Exposures that can benefit from treatment under Article 113(6) of the CRR — Leverage ratio exposure amount hypothetically exempted The amount of total leverage ratio exposure that would be exempted if competent authorities would to the fullest extent grant permission to exempt exposures for which all the conditions set out in points (a) to (e) of Article 113(6) of the CRR are met and for which approval laid down in Article 113(6) of the CRR has been provided. If the competent authority already grants permission to the fullest extent then the value in this cell equals that in {LRCalc;250;010}. |
{260;120} |
Exposures that meet conditions in points (a) to (c) of Article 429(14) of the CRR — Leverage ratio exposure amount hypothetically exempted The amount of total leverage ratio exposure that would be exempted if competent authorities would to the fullest extent grant permission to exempt exposures that meet conditions in points (a) to (c) of Article 429(14) of the CRR. If the competent authority already grants permission to the fullest extent then the value in this cell equals that in {LRCalc;260;010}. |
6. C41.00 — On- and off-balance sheet items — additional breakdown of exposures (LR2)
24. Template LR2 provides information on additional breakdown items of all on- and off-balance sheet exposures ( 11 ) belonging to the non-trading book and of all exposures of the trading book subject to counterparty credit risk. The breakdown is in accordance with the risk weights applied under the credit risk section of the CRR. The information is derived differently for exposures under respectively the Standardised and the IRB Approach.
25. For exposures supported by CRM techniques implying the substitution of the risk weighting of the counterparty with the risk weighting of the guarantee, institutions shall refer to the risk weight after the substitution effect. Under the IRB Approach, institutions shall proceed with the following calculation: for exposures (other than those for which specific regulatory risk weights are provided for) belonging to each obligor grade, the risk weight shall be derived by dividing the risk weighted exposure obtained from the risk weight formula or the supervisory formula (for credit risk and securitisations exposures, respectively) by the exposure value after taking into account inflows and outflows due to CRM techniques with substitution effect on the exposure. Under the IRB Approach, exposures classified as in default shall be excluded from {020;010} to {090;010} and included in {100;010}. Under the Standardised Approach, exposures falling under Article 112(j) of the CRR shall be excluded from {020;020} to {090;020} and included in {100;020}.
26. Under both approaches, institutions shall consider exposures deducted from the regulatory capital as being applied a 1 250 % risk weight.
Row |
Legal references and instructions |
010 |
Total on- and off-balance sheet exposures belonging to the non-trading book as well as exposures of the trading book subject to counterparty credit risk (breakdown in accordance with the risk weight): This is the sum of {020:*} to {100;*}. |
020 |
= 0 % Exposures with a 0 % risk weight. |
030 |
> 0 % and ≤ 12 % Exposures with a risk weight included within a range of risk weights strictly greater than 0 % and smaller than or equal to 12 %. |
040 |
> 12 % and ≤ 20 % Exposures with a risk weight included within a range of risk weights strictly greater than 12 % and smaller than or equal to 20 %. |
050 |
> 20 % and ≤ 50 % Exposures with a risk weight included within a range of risk weights strictly greater than 20 % and smaller than or equal to 50 %. |
060 |
> 50 % and ≤ 75 % Exposures with a risk weight included within a range of risk weights strictly greater than 50 % and smaller than or equal to 75 %. |
070 |
> 75 % and ≤ 100 % Exposures with a risk weight included within a range of risk weights strictly greater than 75 % and smaller than or equal to 100 %. |
080 |
> 100 % and ≤ 425 % Exposures with a risk weight included within a range of risk weights strictly greater than 100 % and smaller than or equal to 425 %. |
090 |
> 425 % and ≤ 1 250 % Exposures with a risk weight included within a range of risk weights strictly greater than 425 % and smaller than or equal to 1 250 %. |
100 |
Exposures in default Under the Standardised Approach, exposures falling under Article 112(j) of the CRR. Under the IRB approach, all exposures with a PD of 100 % are exposures in default. |
110 |
(memo item) Low-risk off-balance sheet items or off-balance sheet items attracting a 0 % conversion factor under the solvency ratio Low risk off-balance sheet items in accordance with Article 111 of the CRR and off-balance sheet items attracting a 0 % conversion factor in accordance with Article 166 of the CRR. |
Column |
Legal references and instructions |
010 |
On- and off-balance sheet exposures (SA exposures) On- and off-balance sheet exposure values after taking into account value adjustments, all CRM and credit conversion factors, as calculated under Title II, Chapter 2, Part Three of the CRR. |
020 |
On and off-balance sheet exposures (IRB exposures) On- and off-balance sheet exposures values in accordance with Article 166 of the CRR and the first sentence of the second subparagraph of Article 230(1) of the CRR, after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure. For off-balance sheet items, institutions shall apply the conversion factors as defined in Article 166(8) to (10) of the CRR. |
030 |
Nominal value Exposure values of off-balance sheet items as defined in Articles 111 and 166 of the CRR without the application of conversion factors. |
7. C42.00 — Alternative definition of capital (LR3)
27. Template LR3 provides information on the capital measures needed for the review of Article 511 of the CRR.
Row and column |
Legal references and instructions |
{010;010} |
Common Equity Tier 1 capital — fully phased-in definition Article 50 of the CRR This is the amount of CET1 capital as defined in Article 50 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. |
{020;010} |
Common Equity Tier 1 capital — transitional definition Article 50 of the CRR This is the amount of CET1 capital as calculated defined in Article 50 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. |
{030;010} |
Total own funds — fully phased-in definition Article 72 of the CRR This is the amount of own funds as defined in Article 72 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. |
{040;010} |
Total own funds — transitional definition Article 72 of the CRR This is the amount of own fund as defined in Article 72 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. |
{055;010} |
Asset amount deducted — from CET1 items — fully phased-in definition It includes the amount of regulatory adjustments to CET1 items that adjust the value of an asset and which are required by: — Articles 32 to 35 of the CRR, or — Articles 36 to 47 of the CRR, as applicable Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset. As these adjustments reduce the total own funds, they shall be reported as a negative figure. |
{065;010} |
Asset amount deducted — from CET1 items — transitional definition It includes the amount of regulatory adjustments from CET1 that adjust the value of an asset and which are required by: — Articles 32 to 35 of the CRR, or — Articles 36 to 47 of the CRR, as applicable. Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, in addition taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset. As these adjustments reduce the total own funds, they shall be reported as a negative figure. |
{075;010} |
Asset amount deducted — from own funds items — fully phased-in definition It includes the amount of regulatory adjustments from own funds items that adjust the value of an asset and which are required by: — Articles 32 to 35 of the CRR, or — Articles 36 to 47 of the CRR, or — Articles 56 to 60 of the CRR, or — Articles 66 to 70 of the CRR, as applicable. Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in rows {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset. As these adjustments reduce the total own funds, they shall be reported as a negative figure. |
{085,010} |
Asset amount deducted — from own funds items — transitional definition It includes the amount of regulatory adjustments from own funds items that adjust the value of an asset and which are required by: — Articles 32 to 35 of the CRR, or — Articles 36 to 47 of the CRR, or — Articles 56 to 60 of the CRR, or — Articles 66 to 70 of the CRR, as applicable. Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, in addition taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset. As these adjustments reduce the total own funds, they shall be reported as a negative figure. |
8. C43.00 — Alternative breakdown of leverage ratio exposure measure components (LR4)
28. Institutions shall report the leverage ratio exposure values in LR4 after the application of exemptions, as applicable, referred to in the following LRCalc cells: {050;010}, {080;010}, {100;010}, {120;010}, {220; 010}, {250;010} and {260;010}.
29. In order to avoid double-counting, institutions shall uphold the equation referred to in the following paragraph:
30. The equation that institutions shall uphold according to paragraph 29 is: [{LRCalc;010;010} + {LRCalc;020;010} + {LRCalc;030;010} + {LRCalc;040;010} + {LRCalc;050;010} + {LRCalc;060;010} + {LRCalc;070;010} + {LRCalc;080;010} + {LRCalc;090;010} + {LRCalc;100;010} + {LRCalc;110;010} + {LRCalc;120;010} + {LRCalc;130;010} + {LRCalc;140;010} + {LRCalc;150;010} + {LRCalc;160;010} + {LRCalc;170;010} + {LRCalc;180;010} + {LRCalc;190;010} + {LRCalc;200;010} + {LRCalc;210;010} + {LRCalc;220;010} + {LRCalc;230;010} + {LRCalc;240;010} + {LRCalc;250;010} + {LRCalc;260;010}] = [{LR4;010;010} + {LR4;040;010} + {LR4;050;010} + {LR4;060;010} + {LR4;065;010} + {LR4;070;010} + {LR4;080;010} + {LR4;080;020} + {LR4;090;010} + {LR4;090;020} + {LR4;140;010} + {LR4;140;020} + {LR4;180;010} + {LR4;180;020} + {LR4;190;010} + {LR4;190;020} + {LR4;210;010} + {LR4;210;020} + {LR4;230;010} + {LR4;230;020} + {LR4;280;010} + {LR4;280;020} + {LR4;290;010} + {LR4;290;020}].
Row and column |
Legal references and instructions |
{010;010} |
Off-balance sheet items; of which — Leverage Ratio Exposure Value The leverage ratio exposure value calculated as the sum of {LRCalc;150;010}, {LRCalc;160;010}, {LRCalc;170;010} and {LRCalc;180;010}. |
{010;020} |
Off-balance sheet items; of which — RWA The risk-weighted exposure amount of off-balance sheet items — excluding SFTs and derivatives — as in the Standardised Approach and the IRB Approach. For exposures under the Standardised Approach, institutions shall determine the risk-weighted exposure amount in accordance with Chapter 2, Title II, Part Three of the CRR. For exposures under the IRB Approach, institutions shall determine the risk-weighted exposure amount in accordance with Chapter 3, Title II, Part Three of the CRR. |
{020;010} |
Trade Finance; of which — Leverage Ratio Exposure Value The leverage ratio exposure value of off-balance sheet items related to trade finance. For the purpose of the reporting in LR4, off-balance sheet items related to trade finance shall relate to issued and confirmed import and export letters of credit which are short-term and self-liquidating, and similar transactions. |
{020;020} |
Trade Finance; of which — RWA The risk-weighted exposure value of off-balance sheet items — excluding SFTs and derivatives — related to trade finance. For the purpose of the reporting in LR4, off-balance sheet items related to trade finance shall relate to issued and confirmed import and export letters of credit which are short-term and self-liquidating, and similar transactions. |
{030;010} |
Under official export credit insurance scheme — Leverage Ratio Exposure Value The leverage ratio exposure value of off-balance sheet items related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees. |
{030;020} |
Under official export credit insurance scheme — RWA The risk-weighted exposure value of off-balance sheet items — excluding SFTs and derivatives — related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees. |
{040;010} |
Derivatives and SFTs subject to a cross-product netting agreement — Leverage Ratio Exposure Value The leverage ratio exposure value of derivatives and SFTs if subject to a cross-product netting agreement as defined in Article 272(25) of the CRR. |
{040;020} |
Derivatives and SFTs subject to a cross-product netting agreement — RWA The risk-weighted exposure amounts to credit and counterparty credit risk as calculated under Title II of Part Three of the CRR of derivatives and SFTs, including those that are off-balance sheet, if subject to a cross-product netting agreement as defined in Article 272(25) of the CRR. |
{050;010} |
Derivatives not subject to a cross-product netting agreement — Leverage Ratio Exposure Value The leverage ratio exposure value of derivatives if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR. |
{050;020} |
Derivatives not subject to a cross-product netting agreement — RWA The risk-weighted exposure amounts to credit and counterparty credit risk of derivatives as calculated under Title II of Part Three of the CRR, including those that are off-balance sheet, if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR. |
{060;010} |
SFTs not subject to a cross-product netting agreement — Leverage Ratio Exposure Value The leverage ratio exposure value of exposures of SFTs if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR. |
{060;020} |
SFTs not subject to a cross-product netting agreement — RWA The risk-weighted exposure amounts to credit and counterparty credit risk of SFTs, as calculated under Title II of Part Three of the CRR, including those that are off-balance sheet, if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR. |
{065;010} |
Exposure amounts resulting from the additional treatment for credit derivatives — Leverage Ratio Exposure Value This cell shall equal the difference between {LRCalc;130;010} and {LRCalc;140;010}. |
{070;010} |
Other assets belonging to the trading book — Leverage Ratio Exposure Value The leverage ratio exposure value of items reported in {LRCalc;190;010} excluding non-trading book items. |
{070;020} |
Other assets belonging to the trading book — RWA Own fund requirements multiplied by 12.5 of items subject to Title IV of Part Three of the CRR. |
{080;010} |
Covered bonds — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of assets that are exposures in the form of covered bonds as defined in Article 129 of the CRR. Institutions shall report net of defaulted exposures. |
{080;020} |
Covered bonds — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure value of assets that are exposures in the form of covered bonds as defined in Article 161(1)(d) of the CRR. Institutions shall report net of defaulted exposures. |
{080;030} |
Covered bonds — RWA — SA exposures The risk-weighted exposure amount of assets that are exposures in the form of covered bonds as in Article 129 of the CRR. Institutions shall report net of defaulted exposures. |
{080;040} |
Covered bonds — RWA — IRB exposures The risk-weighted exposure amount of assets that are exposures in the form of covered bonds as in Article 161(1)(d) of the CRR. Institutions shall report net of defaulted exposures. |
{090,010} |
Exposures treated as sovereigns — Leverage Ratio Exposure Value — SA exposures This is the sum of cells from {100,010} to {130,010}. Institutions shall report net of defaulted exposures. |
{090;020} |
Exposures treated as sovereigns — Leverage Ratio Exposure Value — IRB exposures This is the sum of cells from {100,020} to {130,020}. Institutions shall report net of defaulted exposures. |
{090;030} |
Exposures treated as sovereigns — RWA — SA exposures This is the sum of cells from {100,030} to {130,030}. Institutions shall report net of defaulted exposures. |
{090;040} |
Exposures treated as sovereigns — RWA — IRB exposures This is the sum of cells from {100,040} to {130,040}. Institutions shall report net of defaulted exposures. |
{100;010} |
Central governments and central banks — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of assets that are exposures to central governments or central banks as defined in Article 114 of the CRR. Institutions shall report net of defaulted exposures. |
{100;020} |
Central governments and central banks — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure value of assets that are exposures to central governments or central banks as defined in Article 147(2)(a) of the CRR. Institutions shall report net of defaulted exposures. |
{100;030} |
Central governments and central banks — RWA — SA exposures The risk-weighted exposure amount of assets that are exposures to central governments or central banks as defined in Article 114 of the CRR. Institutions shall report net of defaulted exposures. |
{100;040} |
Central governments and central banks — RWA — IRB exposures The risk-weighted exposure amount of assets that are exposures to central governments or central banks as defined in Article 147(2)(a) of the CRR. Institutions shall report net of defaulted exposures. |
{110;010} |
Regional governments and local authorities treated as sovereigns — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of assets that are exposures to regional governments and local authorities treated as sovereigns that fall under Article 115(2) and (4) of the CRR. Institutions shall report net of defaulted exposures. |
{110;020} |
Regional governments and local authorities treated as sovereigns — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure value of assets that are exposures to regional governments and local authorities that fall under Article 147(3)(a) of the CRR. Institutions shall report net of defaulted exposures. |
{110;030} |
Regional governments and local authorities treated as sovereigns — RWA — SA exposures The risk-weighted exposure amount of assets that are exposures to regional governments and local authorities treated as sovereigns that fall under Article 115(2) and (4) of the CRR. Institutions shall report net of defaulted exposures. |
{110;040} |
Regional governments and local authorities treated as sovereigns — RWA — IRB exposures The risk-weighted exposure amount of assets that are exposures to regional governments and local authorities that fall under Article 147(3)(a) of the CRR. Institutions shall report net of defaulted exposures. |
{120;020} |
MDBs and international organisations treated as sovereigns — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure value of assets that are exposures to multilateral development banks and international organisations that fall under Article 147(3)(b) and (c) of the CRR. Institutions shall report net of defaulted exposures. |
{120;010} |
MDBs and international organisations treated as sovereigns — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of assets that are exposures to multilateral development banks and international organisations that fall under Articles 117(2) and 118 of the CRR. Institutions shall report net of defaulted exposures. |
{120;030} |
MDBs and international organisations treated as sovereigns — RWA — SA exposures The risk-weighted exposure amount of assets that are exposures to multilateral development banks and international organisations that fall under Articles 117(2) and 118 of the CRR. Institutions shall report net of defaulted exposures. |
{120;040} |
MDBs and international organisations treated as sovereigns — RWA — IRB exposures The risk-weighted exposure amount of assets that are exposures to multilateral development banks and international organisations that fall under Article 147(3)(b) and (c) of the CRR. Institutions shall report net of defaulted exposures. |
{130;010} |
PSEs treated as sovereigns — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of assets that are exposures to public sector entities that fall under Article 116(4) of the CRR. Institutions shall report net of defaulted exposures. |
{130;020} |
PSEs treated as sovereigns — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure amount of assets that are exposures to public sector entities that fall under Article 147(3)(a) of the CRR. Institutions shall report net of defaulted exposures. |
{130;030} |
PSEs treated as sovereigns — RWA — SA exposures The risk-weighted exposure amount of assets that are exposures to public sector entities that fall under Article 116(4) of the CRR. Institutions shall report net of defaulted exposures. |
{130;040} |
PSEs treated as sovereigns — RWA — IRB exposures The risk-weighted exposure amount of assets that are exposures to public sector entities that fall under Article 147(3)(a) of the CRR. Institutions shall report net of defaulted exposures. |
{140;010} |
Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns — Leverage Ratio Exposure Value — SA exposures This is the sum of cells from {150,010} to {170,010}. Institutions shall report net of defaulted exposures. |
{140;020} |
Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns — Leverage Ratio Exposure Value — IRB exposures This is the sum of cells from {150,020} to {170,020}. Institutions shall report net of defaulted exposures. |
{140;030} |
Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns — RWA — SA exposures This is the sum of cells from {150,030} to {170,030}. Institutions shall report net of defaulted exposures. |
{140;040} |
Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns — RWA — IRB exposures This is the sum of cells from {150,040} to {170,040}. Institutions shall report net of defaulted exposures. |
{150;010} |
Regional governments and local authorities not treated as sovereigns — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 115(1), (3) and (5) of the CRR. Institutions shall report net of defaulted exposures. |
{150;020} |
Regional governments and local authorities not treated as sovereigns — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure value of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 147(4)(a) of the CRR. Institutions shall report net of defaulted exposures. |
{150;030} |
Regional governments and local authorities not treated as sovereigns — RWA — SA exposures The risk-weighted exposure amount of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 115(1), (3) and (5) of the CRR. Institutions shall report net of defaulted exposures. |
{150;040} |
Regional governments and local authorities not treated as sovereigns — RWA — IRB exposures The risk-weighted exposure amount of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 147(4)(a) of the CRR. Institutions shall report net of defaulted exposures. |
{160;010} |
MDBs not treated as sovereigns — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of assets that are exposures to multilateral development banks that fall under Article 117(1) and (3) of the CRR. Institutions shall report net of defaulted exposures. |
{160;020} |
MDBs not treated as sovereigns — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure value of assets that are exposures to multilateral development banks not treated as sovereigns that fall under Article 147(4)(c) of the CRR. Institutions shall report net of defaulted exposures. |
{160;030} |
MDBs not treated as sovereigns — RWA — SA exposures The risk-weighted exposure amount of assets that are exposures to multilateral development banks that fall under Article 117(1) and (3) of the CRR. Institutions shall report net of defaulted exposures. |
{160;040} |
MDBs not treated as sovereigns — RWA — IRB exposures The risk-weighted exposure amount of assets that are exposures to multilateral development banks not treated as sovereigns that fall under Article 147(4)(c) of the CRR. Institutions shall report net of defaulted exposures. |
{170;010} |
PSEs not treated as sovereigns — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of assets that are exposures to public sector entities that fall under Article 116(1), (2), (3) and (5) of the CRR. Institutions shall report net of defaulted exposures. |
{170;020} |
PSEs not treated as sovereigns — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure value of assets that are exposures to public sector entities not treated as sovereigns that fall under Article 147(4)(b) of the CRR. Institutions shall report net of defaulted exposures. |
{170;030} |
PSEs not treated as sovereigns — RWA — SA exposures The risk-weighted exposure amount of assets that are exposures to public sector entities that fall under Article 116(1), (2), (3) and (5) of the CRR. Institutions shall report net of defaulted exposures. |
{170;040} |
PSEs not treated as sovereigns — RWA — IRB exposures The risk-weighted exposure amount assets that are exposures to public sector entities not treated as sovereigns that fall under Article 147(4)(b) of the CRR. Institutions shall report net of defaulted exposures. |
{180;010} |
Institutions — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of assets that are exposures to institutions that fall under Articles 119 to 121 of the CRR. Institutions shall report net of defaulted exposures. |
{180;020} |
Institutions — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure value of assets that are exposures to institutions that fall under Article 147(2)(b) of the CRR and are not exposures in the form of covered bonds under Article 161(d) of the CRR and do not fall under Article 147(4)(a) to (c) of the CRR. Institutions shall report net of defaulted exposures. |
{180;030} |
Institutions — RWA — SA exposures The risk-weighted exposure amount of assets that are exposures to institutions that fall under Articles 119 to 121 of the CRR. Institutions shall report net of defaulted exposures. |
{180;040} |
Institutions — RWA — IRB exposures The risk-weighted exposure amount of assets that are exposures to institutions that fall under Article 147(2)(b) of the CRR and are not exposures in the form of covered bonds under Article 161(d) of the CRR and do not fall under Article 147(4)(a) to (c) of the CRR. Institutions shall report net of defaulted exposures. |
{190;010} |
Secured by mortgages on immovable properties; of which — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of assets that are exposures secured by mortgages on immovable property that fall under Article 124 of the CRR. Institutions shall report net of defaulted exposures. |
{190;020} |
Secured by mortgages on immovable properties; of which — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure value of assets that are exposures to corporate under Article 147(2)(c) or retail exposures under Article 147(2)(d) of the CRR if these exposures are secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. Institutions shall report net of defaulted exposures. |
{190;030} |
Secured by mortgages on immovable properties; of which — RWA — SA exposures The risk-weighted exposure amount of assets that are exposures secured by mortgages on immovable property that fall under Article 124 of the CRR. Institutions shall report net of defaulted exposures. |
{190;040} |
Secured by mortgages on immovable properties; of which — RWA — IRB exposures The risk-weighted exposure amount of assets that are exposures to corporate under Article 147(2)(c) or retail exposures under Article 147(2)(d) of the CRR if these exposures are secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. Institutions shall report net of defaulted exposures. |
{200;010} |
Secured by mortgages of residential properties — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of assets that are exposures fully and completely secured by mortgages on residential property that fall under Article 125 of the CRR. Institutions shall report net of defaulted exposures. |
{200;020} |
Secured by mortgages of residential properties — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure value of assets that are exposures to corporates under Article 147(2)(c) or retail exposures under Article 147(2)(d) of the CRR if these exposures are secured by mortgages on residential property in accordance with Article 199(1)(a) of the CRR. Institutions shall report net of defaulted exposures. |
{200;030} |
Secured by mortgages of residential properties — RWA — SA exposures The risk-weighted exposure amount of assets that are exposures fully and completely secured by mortgages on residential property that fall under Article 125 of the CRR. Institutions shall report net of defaulted exposures. |
{200;040} |
Secured by mortgages of residential properties — RWA — IRB exposures The risk-weighted exposure amount of assets that are exposures to corporates under Article 147(2)(c) or retail exposures under Article 147(2)(d) of the CRR if these exposures are secured by mortgages on residential property in accordance with Article 199(1)(a) of the CRR. Institutions shall report net of defaulted exposures. |
{210;010} |
Retail exposures; of which — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of assets that are retail exposures that fall under Article 123 of the CRR. Institutions shall report net of defaulted exposures. |
{210;020} |
Retail exposures; of which — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure value of assets that are retail exposures under Article 147(2)(d) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. Institutions shall report net of defaulted exposures. |
{210;030} |
Retail exposures; of which — RWA — SA exposures The risk-weighted exposure amount of assets that are retail exposures that fall under Article 123 of the CRR. Institutions shall report net of defaulted exposures. |
{210;040} |
Retail exposures; of which — RWA — IRB exposures The risk-weighted exposure amount of assets that are retail exposures under Article 147(2)(d) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. Institutions shall report net of defaulted exposures. |
{220;010} |
Retail SME — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of assets that are retail exposures to small- and medium-sized enterprises that fall under Article 123 of the CRR. For the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR. Institutions shall report net of defaulted exposures. |
{220;020} |
Retail SME — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure value of assets that are retail exposures under Article 147(2)(d) of the CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. For the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR. Institutions shall report net of defaulted exposures. |
{220;030} |
Retail SME — RWA — SA exposures The risk-weighted exposure amount of assets that are retail exposures to small- and medium-sized enterprises that fall under Article 123 of the CRR. For the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR. Institutions shall report net of defaulted exposures. |
{220;040} |
Retail SME — RWA — IRB exposures The risk-weighted exposure amount of assets that are retail exposures under Article 147(2)(d) of the CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. For the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR. Institutions shall report net of defaulted exposures. |
{230;010} |
Corporate; of which — Leverage Ratio Exposure Value — SA exposures This is the sum of {240,010} and {250,010}. Institutions shall report net of defaulted exposures. |
{230;020} |
Corporate; of which — Leverage Ratio Exposure Value — IRB exposures This is the sum of {240,020} and {250,020}. Institutions shall report net of defaulted exposures. |
{230;030} |
Corporate; of which — RWA — SA exposures This is the sum of {240,030} and {250,030}. Institutions shall report net of defaulted exposures. |
{230;040} |
Corporate; of which — RWA — IRB exposures This is the sum of {240,040} and {250,040}. Institutions shall report net of defaulted exposures. |
{240;010} |
Financial — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of assets that are exposures to financial corporates that fall under Article 122 of the CRR. For the purpose of the reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {180;10}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in Article 4(1)(27) of the CRR other than institutions referred to in {180;10}. Institutions shall report net of defaulted exposures. |
{240;020} |
Financial — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure value of assets that are exposures to financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {180;10}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in Article 4(1)(27) of the CRR other than institutions referred to in {180;10}. Institutions shall report net of defaulted exposures. |
{240;030} |
Financial — RWA — SA exposures The risk-weighted exposure amount of assets that are exposures to financial corporates that fall under Article 122 of the CRR. For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {180;10}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in Article 4(1)(27) of the CRR other than institutions referred to in {180;10}. Institutions shall report net of defaulted exposures. |
{240;040} |
Financial — RWA — IRB exposures The risk-weighted exposure amount of assets that are exposures to financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {180;10}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in Article 4(1)(27) of the CRR other than institutions referred to in {180;10}. Institutions shall report net of defaulted exposures. |
{250;010} |
Non-financial; of which — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of assets that are exposures to non-financial corporates that fall under Article 122 of the CRR. This is the sum of {260,010} and {270,010}. Institutions shall report net of defaulted exposures. |
{250;020} |
Non-financial; of which — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure value of assets that are exposures to non-financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. This is the sum of {260,020} and {270,020}. Institutions shall report net of defaulted exposures. |
{250;030} |
Non-financial; of which — RWA — SA exposures The risk-weighted exposure amount of assets that are exposures to non-financial corporates that fall under Article 122 of the CRR. This is the sum of {260,030} and {270,030}. Institutions shall report net of defaulted exposures. |
{250;040} |
Non-financial; of which — RWA — IRB exposures The risk-weighted exposure amount of assets that are exposures to non-financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. This is the sum of {260,040} and {270,040}. Institutions shall report net of defaulted exposures. |
{260;010} |
SME exposures — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of assets that are exposures to corporates in the form of small- and medium-sized enterprises that fall under Article 122 of the CRR. For the purpose of this cell, a small and medium enterprise is in accordance with Article 501(2)(b) of the CRR. Institutions shall report net of defaulted exposures. |
{260;020} |
SME exposures — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure value of assets that are exposures to corporates under Article 147(2)(c) of the CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. For the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR. Institutions shall report net of defaulted exposures. |
{260;030} |
SME exposures — RWA — SA exposures The risk-weighted exposure amount of assets that are exposures to corporates in the form of small- and medium-sized enterprises that fall under Article 122 of the CRR. For the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR. Institutions shall report net of defaulted exposures. |
{260;040} |
SME exposures — RWA — IRB exposures The risk-weighted exposure amount of assets that are exposures to corporates under Article 147(2)(c) of the CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. For the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR. Institutions shall report net of defaulted exposures. |
{270;010} |
Exposures other than SME exposures — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of assets that are exposures to corporates that fall under Article 122 of the CRR and that are not reported in {230;040} and {250;040}. Institutions shall report net of defaulted exposures. |
{270;020} |
Exposures other than SME exposures — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure value of assets that are exposures to corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR and that are not reported in {230;040} and {250;040}. Institutions shall report net of defaulted exposures. |
{270;030} |
Exposures other than SME exposures — RWA — SA exposures The risk-weighted exposure amount of assets that are exposures to corporates that fall under Article 122 of the CRR and that are not reported in {230;040} and {250;040}. Institutions shall report net of defaulted exposures. |
{270;040} |
Exposures other than SME exposures — RWA — IRB exposures The risk-weighted exposure amount of assets that are exposures to corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR and that are not reported in {230;040} and {250;040}. Institutions shall report net of defaulted exposures. |
{280;010} |
Exposures in default — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of assets that are exposures in default and thus fall under Article 127 of the CRR. |
{280;020} |
Exposures in default — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure value of assets categorised in the exposures classes listed in Article 147(2) of the CRR if a default in accordance with Article 178 of the CRR has occurred. |
{280;030} |
Exposures in default — RWA — SA exposures The risk-weighted exposure amount of assets that are exposures in default and thus fall under Article 127 of the CRR. |
{280;040} |
Exposures in default — RWA — IRB exposures The risk-weighted exposure amount of assets categorised in the exposures classes listed in Article 147(2) of the CRR if a default in accordance with Article 178 of the CRR has occurred. |
{290;010} |
Other exposures; of which — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of assets categorised in the exposures classes listed in Article 112(k), (m), (n), (o), (p) and (q) of the CRR. Institutions shall report assets that are deducted from the own funds (e.g. intangibles) but cannot be categorised otherwise here, even if such a categorisation is not required for determining risk-based own funds requirements in columns {*; 030} and {*; 040}. Institutions shall report net of defaulted exposures. |
{290;020} |
Other exposures; of which — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure amount of assets categorised in the exposures classes listed in Article 147(2)(e), (f) and (g) of the CRR. Institutions shall report assets that are deducted from the own funds (e.g. intangibles) but cannot be categorised otherwise here, even if such a categorisation is not required for determining risk-based own funds requirements in columns {*; 030} and {*; 040}. Institutions shall report net of defaulted exposures. |
{290;030} |
Other exposures; of which — RWA — SA exposures The risk-weighted exposure value of assets categorised in the exposures classes listed in Article 112(k), (m), (n), (o), (p) and (q) of the CRR. Institutions shall report net of defaulted exposures. |
{290;040} |
Other exposures; of which — RWA — IRB exposures The risk-weighted exposure value of assets categorised in the exposures classes listed in Article 147(2)(e), (f) and (g) of the CRR. Institutions shall report net of defaulted exposures. |
{300;010} |
Securitisation exposures — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of assets that are exposures to securitisations that fall under Article 112(m) of the CRR. Institutions shall report net of defaulted exposures. |
{300;020} |
Securitisation exposures — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure value of assets that are exposures to securitisations and fall under Article 147(2)(f) of the CRR. Institutions shall report net of defaulted exposures. |
{300;030} |
Securitisation exposures — RWA — SA exposures The risk-weighted exposure amount of assets that are exposures to securitisations that fall under Article 112(m) of the CRR. Institutions shall report net of defaulted exposures. |
{300;040} |
Securitisation exposures — RWA — IRB exposures The risk-weighted exposure amount of assets that are exposures to securitisations and fall under Article 147(2)(f) of the CRR. Institutions shall report net of defaulted exposures. |
{310;010} |
Trade finance (memo item); of which — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions. Institutions shall report net of defaulted exposures. |
{310;020} |
Trade finance (memo item); of which — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure amount of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions. Institutions shall report net of defaulted exposures. |
{310;030} |
Trade finance (memo item); of which — RWA — SA exposures The risk-weighted exposure value of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions. Institutions shall report net of defaulted exposures. |
{310;040} |
Trade finance (memo item); of which — RWA — IRB exposures The risk-weighted exposure amount of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions. Institutions shall report net of defaulted exposures. |
{320;010} |
Under official export credit insurance scheme — Leverage Ratio Exposure Value — SA exposures The leverage ratio exposure value of on-balance sheet items related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees. Institutions shall report net of defaulted exposures. |
{320;020} |
Under official export credit insurance scheme — Leverage Ratio Exposure Value — IRB exposures The leverage ratio exposure amount of on-balance sheet items related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees. Institutions shall report net of defaulted exposures. |
{320;030} |
Under official export credit insurance scheme — RWA — SA exposures The risk-weighted exposure value of on-balance sheet items related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees. Institutions shall report net of defaulted exposures. |
{320;040} |
Under official export credit insurance scheme — RWA — IRB exposures The risk-weighted exposure amount of on-balance sheet items related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees. Institutions shall report net of defaulted exposures. |
9. C44.00 — General information (LR5)
31. Additional information is collected here for the purpose of categorising the institution activities and the regulatory options chosen by the institution.
Row and column |
Instructions |
{010;010} |
Institution's company structure The institution shall classify its company structure in accordance with the categories given below: — Joint stock company; — Mutual/cooperative; — Other non-joint stock company. |
{020;010} |
Derivatives treatment The institution shall specify the regulatory derivatives treatment in accordance with the categories given below: — Original exposure method; — Mark-to-market method. |
{040;010} |
Institution type The institution shall classify its institution type in accordance with the categories given below: — Universal banking (retail/commercial and investment banking); — Retail/commercial banking; — Investment banking; — Specialised lender. |
ANNEX XII
REPORTING ON LIQUIDITY
LIQUIDITY TEMPLATES |
||
Template number |
Template code |
Name of the template/group of templates |
LIQUIDITY COVERAGE TEMPLATES |
||
|
|
PART I — LIQUID ASSETS |
51 |
C 51.00 |
LIQUIDITY COVERAGE — LIQUID ASSETS |
|
|
PART II — OUTFLOWS |
52 |
C 52.00 |
LIQUIDITY COVERAGE — OUTFLOWS |
|
|
PART III — INFLOWS |
53 |
C 53.00 |
LIQUIDITY COVERAGE — INFLOWS |
|
|
PART IV — COLLATERAL SWAPS |
54 |
C 54.00 |
LIQUIDITY COVERAGE — COLLATERAL SWAPS |
STABLE FUNDING TEMPLATES |
||
|
|
PART V — STABLE FUNDING |
60 |
C 60.00 |
STABLE FUNDING — ITEMS REQUIRING STABLE FUNDING |
61 |
C 61.00 |
STABLE FUNDING — ITEMS PROVIDING STABLE FUNDING |
C 51.00 — LIQUIDITY COVERAGE — LIQUID ASSETS
|
Market value |
Value according to Article 418 of CRR |
Amount |
Undrawn amount of line |
|||
Row |
ID |
Item |
Legal references |
010 |
020 |
030 |
040 |
010-390 |
1 |
ASSETS WHICH MEET THE REQUIREMENTS OF ARTICLES 416 AND 417 OF CRR |
Article 416 and 417 of CRR |
|
|
|
|
010 |
1,1 |
cash |
Article 416(1)(a) of CRR |
|
|
|
|
020 |
1,2 |
exposures to central bank |
Article 416(1)(a) of CRR |
|
|
|
|
030 |
1.2.1 |
of which: exposures that can be withdrawn in times of stress |
Article 416(1)(a) of CRR |
|
|
|
|
040-110 |
1,3 |
Other transferable assets representing claims on or guaranteed by |
Article 416(1)(c) of CRR |
|
|
|
|
040-050 |
1.3.1 |
transferable assets representing claims on or guaranteed by the central government of a Member State, on a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquid assets |
Article 416(1)(c)(i) of CRR |
|
|
|
|
040 |
1.3.1.1 |
representing claims |
Article 416(1)(c)(i) of CRR |
|
|
|
|
050 |
1.3.1.2 |
guaranteed by |
Article 416(1)(c)(i) of CRR |
|
|
|
|
060-070 |
1.3.2 |
transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities-in the domestic currency of the central bank and public sector entity |
Article 416(1)(c)(ii) of CRR |
|
|
|
|
060 |
1.3.2.1 |
representing claims on |
Article 416(1)(c)(ii) of CRR |
|
|
|
|
070 |
1.3.2.2 |
guaranteed by |
Article 416(1)(c)(ii) of CRR |
|
|
|
|
080-090 |
1.3.3 |
transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks; |
Article 416(1)(c)(iii) of CRR |
|
|
|
|
080 |
1.3.3.1 |
representing claims on |
Article 416(1)(c)(iii) of CRR |
|
|
|
|
090 |
1.3.3.2 |
guaranteed by |
Article 416(1)(c)(iii) of CRR |
|
|
|
|
100-110 |
1.3.4 |
transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism |
Article 416(1)(c)(iv) of CRR |
|
|
|
|
100 |
1.3.4.1 |
representing claims on |
Article 416(1)(c)(iv) of CRR |
|
|
|
|
110 |
1.3.4.2 |
guaranteed by |
Article 416(1)(c)(iv) of CRR |
|
|
|
|
120-140 |
1,4 |
total shares or units in CIUs with underlying assets specified in Article 416 |
Article 416(6) and 418(2) CRR |
|
|
|
|
120 |
1.4.1 |
underlying assets in point (a) of article 416(1) |
Article 418(2)(a) of CRR |
|
|
|
|
130 |
1.4.2 |
underlying assets in point (b) and (c) of article 416(1) |
Article 418(2)(b) of CRR |
|
|
|
|
140 |
1.4.3 |
underlying assets in point (d) of article 416(1) |
Article 418(2)(c) of CRR |
|
|
|
|
150 |
1,5 |
standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralised by liquid assets and excluding emergency liquidity assistance |
Article 416(1) (e) CRR |
|
|
|
|
160-170 |
1,6 |
deposits with the central credit institution and other statutory or contractually available liquid funding from a central credit institution or institutions that are members of a network referred to in Article 113(7) or eligible for the waiver provided in Article 10 CRR, to the extent that this funding is not collateralized by liquid assets |
Article 416(1) (f) CRR |
|
|
|
|
160 |
1.6.1 |
deposits |
Article 416(1) (f) CRR |
|
|
|
|
170 |
1.6.2 |
contractually available liquid funding |
Article 416(1) (f) CRR |
|
|
|
|
Row |
ID |
Item |
Legal references |
Extremely high liquidity and credit quality assets |
High liquidity and credit quality assets |
||
Market value |
Value according to Article 418 of CRR |
Market value |
Value according to Article 418 of CRR |
||||
180 |
1,7 |
assets issued by a credit institution which has been set up by a Member State central or regional government where at least one of the conditions in Article 416 (2)(a)(iii) is met |
Article 416(2)(a)(iii) of CRR |
|
|
|
|
190-210 |
1,8 |
non financial corporate bonds |
Article 416(1)(b) or (d) of CRR |
|
|
|
|
190 |
1.8.1 |
credit quality step 1 |
Article 122 CRR |
|
|
|
|
200 |
1.8.2 |
credit quality step 2 |
Article 122 CRR |
|
|
|
|
210 |
1.8.3 |
credit quality step 3 |
Article 122 CRR |
|
|
|
|
220-240 |
1,9 |
bonds issued by a credit institution eligible for the treatment set out in Article 129(4) or (5) |
Article 416(2)(a)(i) of CRR |
|
|
|
|
220 |
1.9.1 |
credit quality step 1 |
Article 129(4) or 129(5) of CRR |
|
|
|
|
230 |
1.9.2 |
credit quality step 2 |
Article 129(4) or 129(5) of CRR |
|
|
|
|
240 |
1.9.3 |
credit quality step 3 |
Article 129(4) or 129(5) of CRR |
|
|
|
|
250-270 |
1.10 |
non residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR |
Article 416(2)(a)(i) of CRR |
|
|
|
|
250 |
1.10.1 |
credit quality step 1 |
Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR |
|
|
|
|
260 |
1.10.2 |
credit quality step 2 |
Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR |
|
|
|
|
270 |
1.10.3 |
credit quality step 3 |
Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR |
|
|
|
|
280-300 |
1,11 |
residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR |
Article 416(2)(a)(i) of CRR |
|
|
|
|
280 |
1.11.1 |
credit quality step 1 |
Chapter 5 Title 2 of part V and Article 125 of CRR |
|
|
|
|
290 |
1.11.2 |
credit quality step 2 |
Chapter 5,Title 2 of part V and Article 125 of CRR |
|
|
|
|
300 |
1.11.3 |
credit quality step 3 |
Chapter 5,Title 2, and Article 125 of CRR |
|
|
|
|
310-330 |
1.12 |
bonds issued by a credit institution as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in 1.9 |
Article 416(2)(a)(ii) of CRR |
|
|
|
|
310 |
1.12.1 |
credit quality step 1 |
Article 129(4) or 129(5) of CRR |
|
|
|
|
320 |
1.12.2 |
credit quality step 2 |
Article 129(4) or 129(5) of CRR |
|
|
|
|
330 |
1.12.3 |
credit quality step 3 |
Article 129(4) or 129(5) of CRR |
|
|
|
|
340-360 |
1,13 |
other transferable assets that are of extremely high liquidity and credit quality |
Article 416(1)(b) of CRR |
|
|
|
|
340 |
1.13.1 |
credit quality step 1 |
Chapter 2,Title 2, Part III of CRR |
|
|
|
|
350 |
1.13.2 |
credit quality step 2 |
Chapter 2,Title 2, Part III of CRR |
|
|
|
|
360 |
1.13.3 |
credit quality step 3 |
Chapter 2,Title 2, Part III of CRR |
|
|
|
|
370-390 |
1,14 |
other transferable assets that are of high liquidity and credit quality |
Article 416(1)(d) of CRR |
|
|
|
|
370 |
1.14.1 |
credit quality step 1 |
Chapter 2,Title 2, Part III of CRR |
|
|
|
|
380 |
1.14.2 |
credit quality step 2 |
Chapter 2,Title 2, Part III of CRR |
|
|
|
|
390 |
1.14.3 |
credit quality step 3 |
Chapter 2,Title 2, Part III of CRR |
|
|
|
|
400-410 |
2 |
ASSETS WHICH MEET THE REQUIREMENTS OF ART. 416 (1) (b) AND (d) BUT DO NOT MEET THE REQUIREMENTS OF ART. 417 (b)AND (c) CRR |
|
Market value |
Value according to Article 418 of CRR |
Amount |
Undrawn amount of line |
400 |
2,1 |
assets not controlled by a liquidity management function |
Article 417 (c) of CRR |
|
|
|
|
410 |
2,2 |
assets not legally and practically readily available at any time during the next 30 days to be liquidated via outright sale via a simple repurchase agreements on an approved repurchase markets |
Article 417 (b) of CRR |
|
|
|
|
420-610 |
3 |
ITEMS SUBJECT TO SUPPLEMENTARY REPORTING OF LIQUID ASSETS |
|
|
|
|
|
420 |
3,1 |
Cash |
Annex III, article 1 CRR |
|
|
|
|
430 |
3,2 |
Central bank exposures, to the extent that these exposures can be drawn down in times of stress |
Annex III, article 2 CRR |
|
|
|
|
440-480 |
3,3 |
transferable securities with a 0% risk weight and not an obligation of an institution or any of its affiliated entities |
Annex III, article 3 CRR |
|
|
|
|
440 |
3.3.1 |
representing claims on sovereigns |
Annex III, article 3 CRR |
|
|
|
|
450 |
3.3.2 |
claims guaranteed by sovereigns |
Annex III, article 3 CRR |
|
|
|
|
460 |
3.3.3 |
representing claims on or claims guaranteed by central banks |
Annex III, article 3 CRR |
|
|
|
|
470 |
3.3.4 |
representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities |
Annex III, article 3 CRR |
|
|
|
|
480 |
3.3.5 |
representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development banks |
Annex III, article 3 CRR |
|
|
|
|
490 |
3,4 |
Transferable securities other than those referred to in 3.3 representing claims on or claims guaranteed by sovereigns or central banks issued in domestic currencies by the sovereign or central bank in the currency and country in which the liquidity risk is being taken or issued in foreign currencies, to the extent that holding of such debt matches the liquidity needs of the bank’s operations in that third country |
Annex III, article 4 CRR |
|
|
|
|
500-550 |
3,5 |
transferable securities with a 20% risk weight and not an obligation of an institution or any of its affiliated entities |
Annex III, article 5 CRR |
|
|
|
|
500 |
3.5.1 |
representing claims on sovereigns |
Annex III, article 5 CRR |
|
|
|
|
510 |
3.5.2 |
claims guaranteed by sovereigns |
Annex III, article 5 CRR |
|
|
|
|
520 |
3.5.3 |
representing claims on or claims guaranteed by central banks |
Annex III, article 5 CRR |
|
|
|
|
530 |
3.5.4 |
representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities |
Annex III, article 5 CRR |
|
|
|
|
540 |
3.5.5 |
representing claims on or claims guaranteed by multilateral development banks |
Annex III, article 5 CRR |
|
|
|
|
550 |
3,6 |
transferable securities other than those referred to in point 3.3 to 3.5 of the LCR-Assets's template that fulfil all the conditions specifed in Art. 5 of Annex III CRR |
Annex III, article 6 CRR |
|
|
|
|
560 |
3,7 |
transferable securities other than those referred to in 3.3 to 3.6 that qualify for a 50 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and do not represent a claim on an SSPE, an institution or any of its affiliated entities |
Annex III, article 7 CRR |
|
|
|
|
570 |
3,8 |
transferable securities other than those referred to in 3.3 to 3.7 that are collateralised by assets that qualify for a 35 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and are fully and completely secured by mortgages on residential property in accordance with Article 125 |
Annex III, article 8 CRR |
|
|
|
|
580 |
3,9 |
standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralised by liquid assets and excluding emergency liquidity assistance |
Annex III, article 9 CRR |
|
|
|
|
590 |
3.10 |
Legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution or institutions that are members of the network referred to in Article 113(7), or eligible for the waiver provided in Article 10, to the extent that this funding is not colateralised by liqduid assets, if the credit institution belongs to a network in accordance with legal or statutory provisions. |
Annex III, article 10 CRR |
|
|
|
|
600 |
3,11 |
exchange traded, centrally cleared common equity shares, that are a constituent of a major stock index, denominated in the domestic currency of the Member State and not issued by an institution or any of its affiliates |
Annex III, article 11 CRR |
|
|
|
|
610 |
3,12 |
gold listed on a recognised exchange, held on an allocated basis |
Annex III, article 12 CRR |
|
|
|
|
Row |
ID |
Item |
Legal references |
Market value |
Value according to Article 418 of CRR |
Amount |
Undrawn amount of line |
620-850 |
4 |
ASSETS WHICH DO NOT MEET THE REQUIREMENTS OF ARTICLE 416 (1) - (3) OF CRR BUT STILL MEET THE REQUIREMENTS OF ART. 417 (b) AND (c ) CRR |
|
|
|
|
|
620-640 |
4,1 |
financial corporate bonds |
Article 416 (2) of CRR |
|
|
|
|
620 |
4.1.1 |
credit quality step 1 |
Article 120(1) of CRR |
|
|
|
|
630 |
4.1.2 |
credit quality step 2 |
Article 120(1) of CRR |
|
|
|
|
640 |
4.1.3 |
credit quality step 3 |
Article 120(1) of CRR |
|
|
|
|
650-670 |
4,2 |
own issuances |
Article 416.3(b) -of CRR |
|
|
|
|
650 |
4.2.1 |
credit quality step 1 |
Article 120(1) of CRR |
|
|
|
|
660 |
4.2.2 |
credit quality step 2 |
Article 120(1) of CRR |
|
|
|
|
670 |
4.2.3 |
credit quality step 3 |
Article 120(1) of CRR |
|
|
|
|
680-700 |
4,3 |
unsecured credit institution issuances |
Article 416 of CRR |
|
|
|
|
680 |
4.3.1 |
credit quality step 1 |
Article 120(1) of CRR |
|
|
|
|
690 |
4.3.2 |
credit quality step 2 |
Article 120(1) of CRR |
|
|
|
|
700 |
4.3.3 |
credit quality step 3 |
Article 120(1) of CRR |
|
|
|
|
710-730 |
4,4 |
non residential mortgage backed instruments not already reported in 1.10 |
Article 416 (4)(b) CRR |
|
|
|
|
710 |
4.4.1 |
credit quality step 1 |
Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR |
|
|
|
|
720 |
4.4.2 |
credit quality step 2 |
Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR |
|
|
|
|
730 |
4.4.3 |
credit quality step 3 |
Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR |
|
|
|
|
740-760 |
4,5 |
residential mortgage backed instruments not already reported in 1.11 |
Article 509(3)(a) CRR |
|
|
|
|
740 |
4.5.1 |
credit quality step 1 |
Chapter 5,Title 2 of Part III and Article 125 of CRR |
|
|
|
|
750 |
4.5.2 |
credit quality step 2 |
Chapter 5,Title 2 of Part III and Article 125 of CRR |
|
|
|
|
760 |
4.5.3 |
credit quality step 3 |
Chapter 5,Title 2 of Part III and Article 125 of CRR |
|
|
|
|
770 |
4,6 |
equities listed on a recognised exchange and major index linked equity instruments, not self issued or issued by financial institutions |
Article 509(3)(c) and 416(4)(a) of CRR |
|
|
|
|
780 |
4,7 |
gold |
Article 509(3)(c) and 416(4)(a) of CRR |
|
|
|
|
790 |
4,8 |
guaranteed bonds not already reported above |
Article 509(3)(c) of CRR |
|
|
|
|
800 |
4,9 |
covered bonds not already reported above |
Article 509(3)(c) of CRR |
|
|
|
|
810 |
4.10 |
corporate bonds not already reported above |
Article 509(3)(c) of CRR |
|
|
|
|
820 |
4.11 |
funds based on the assets reported in 4.5 -4.10 |
Article 509(3)(c) of CRR |
|
|
|
|
830-850 |
4.12 |
other categories of central bank eligible securities or loans |
Article 509(3)(b) of CRR |
|
|
|
|
830 |
4.12.1 |
local government bonds |
Article 509(3)(b) of CRR |
|
|
|
|
840 |
4.12.2 |
commercial paper |
Article 509(3)(b) of CRR |
|
|
|
|
850 |
4.12.3 |
credit claims |
Article 416(4)(c) of CRR |
|
|
|
|
860-870 |
5 |
TREATMENT FOR JURISDICTIONS WITH INSUFFICIENT HQLA |
Article 419(2)(a) of CRR |
|
|
|
|
860 |
5,1 |
Use of derogation A (foreign currency) |
Article 419(2)(a) of CRR |
|
|
|
|
870 |
5,2 |
Use of derogation B (credit line from the relevant central bank) |
Article 419(2)(b) of CRR |
|
|
|
|
880-900 |
6 |
REPORTING OF SHAR'IAH COMPLIANT ASSETS AS ALTERNATIVE ASSETS UNDER 509(2)(i). Shar'iah -compliant financial products as alternative to assetss that would qualify as liquid assets for the purposes of Article 416, for the use of Shar'iah compliant banks |
Article 509(2)(i) of CRR |
|
|
|
|
880 |
6.1 |
credit quality step 1 |
|
|
|
|
|
890 |
6.2 |
credit quality step 2 |
|
|
|
|
|
900 |
6.3 |
credit quality step 3 |
|
|
|
|
|
C 52.00 — LIQUIDITY COVERAGE — OUTFLOWS
|
Amount |
Outflow |
|
||||||||||||
Row |
ID |
Item |
Legal references |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
020-1370 |
1 |
OUTFLOWS |
|
|
|
|
|
|
|
|
|
|
|
|
|
020-100 |
1,1 |
retail deposits |
Article 421 of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
020-040 |
1.1.1 |
covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country |
Article 421(1) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
020 |
1.1.1.1 |
part of an established relationship making withdrawal highly unlikely |
Article 421(1)(a) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
030 |
1.1.1.2 |
held in transactional accounts, including accounts to which salaries are regularly credited |
Article 421(1)(b) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
040 |
1.1.2 |
covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country which do not qualify to be reported in items 1.1.1.1 or 1.1.1.2 |
Article 421(2) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
050 |
1.1.3 |
uninsured retail deposits |
Article 421(2) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
060-080 |
1.1.4 |
deposits subject to different outflows than specified in Article 421(1) or 421(2) |
Article 421(3) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
060 |
1.1.4.1 |
Category 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
070 |
1.1.4.2 |
Category 2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
080 |
1.1.4.3 |
Category 3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
090 |
1.1.5 |
deposits in third countries where a higher outflow is applied |
Article 421(4) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
100 |
1.1.6 |
deposits exempted from the calculation of outflows where the conditions of Art. 421(5)(a) and (b) have been met |
Article 421(5) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
110-1130 |
1,2 |
outflows on other liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
1.2.1 |
liabilities resulting from the institution's own operating expenses |
Article 422(1) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
Row |
ID |
Item |
Legal references |
Market value |
Where the counterparty is not a central bank |
Where the counterparty is a central bank |
Where the counterparty is the central government, a public sector entity of the Member state in which the credit istitution has been authorised or has establised a branch, or a multilateral development bank (Art.422.2(d)) |
||||||||
extremely high liquidity and credit quality assets |
high liquidity and credit quality |
other liquidity and credit quality |
extremely high liquidity and credit quality assets |
high liquidity and credit quality |
other liquidity and credit quality |
Assets which do not qualify as liquid assets in accordance with Article 416 |
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Amount due |
Value according to Art. 418 CRR |
Amount due |
Value according to Art. 418 CRR |
Amount due |
Amount due |
Value according to Art. 418 CRR |
Amount due |
Value according to Art. 418 CRR |
Amount due |
Amount due |
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120-950 |
1.2.2 |
Liabilities resulting from secured lending and capital market driven transactions as defined in Article 192: |
Article 422(2) of CRR |
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120-190 |
1.2.2.1 |
Other transferable assets representing claims on or guaranteed by |
Article 416(1)(c) of CRR |
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120-130 |
1.2.2.1.1 |
transferable assets representing claims on or guaranteed by the central government of a Member State, a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquidity assets |
Article 416(1)(c)(i) of CRR |
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120 |
1.2.2.1.1.1 |
representing claims |
Article 416(1)(c)(i) of CRR |
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130 |
1.2.2.1.1.2 |
guaranteed by |
Article 416(1)(c)(i) of CRR |
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140-150 |
1.2.2.1.2 |
transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities in the domestic currency of the central bank and public sector entity |
Article 416(1)(c)(ii) of CRR |
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140 |
1.2.2.1.2.1 |
representing claims on |
Article 416(1)(c)(ii) of CRR |
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150 |
1.2.2.1.2.2 |
guaranteed by |
Article 416(1)(c)(ii) of CRR |
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160-170 |
1.2.2.1.3 |
transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks; |
Article 416(1)(c)(iii) of CRR |
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160 |
1.2.2.1.3.1 |
representing claims on |
Article 416(1)(c)(iii) of CRR |
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170 |
1.2.2.1.3.2 |
guaranteed by |
Article 416(1)(c)(iii) of CRR |
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180-190 |
1.2.2.1.4 |
transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism |
Article 416(1)(c)(iv) of CRR |
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180 |
1.2.2.1.4.1 |
representing claims on |
Article 416(1)(c)(iv) of CRR |
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190 |
1.2.2.1.4.2 |
guaranteed by |
Article 416(1)(c)(iv) of CRR |
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200-220 |
1.2.2.2 |
total shares or units in CIUs with underlying assets specified in Article 416 |
Article 416(6) and 418(2) CRR |
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200 |
1.2.2.2.1 |
underlying assets in point (a) of article 416(1) |
Article 418(2)(a) of CRR |
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210 |
1.2.2.2.2 |
underlying assets in point (b) and (c) of article 416(1) |
Article 418(2)(b) of CRR |
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220 |
1.2.2.2.3 |
underlying assets in point (d) of article 416(1) |
Article 418(2)(c) of CRR |
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230 |
1.2.2.3 |
assets issued by a credit institution which has been set up by a Member State central or regional government where at least one of the conditions in Article 416 (2)(a)(iii) is met |
Article 416(2)(a)(iii) of CRR |
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240-260 |
1.2.2.4 |
non financial corporate bonds |
Article 416(1)(b) or (d) of CRR |
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240 |
1.2.2.4.1 |
credit quality step 1 |
Article 122 CRR |
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250 |
1.2.2.4.2 |
credit quality step 2 |
Article 122 CRR |
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260 |
1.2.2.4.3 |
credit quality step 3 |
Article 122 CRR |
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270-290 |
1.2.2.5 |
bonds issued by a credit institution eligible for the treatment set out in Article 129(4) or (5) |
Article 416(2)(a)(i) of CRR |
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270 |
1.2.2.5.1 |
credit quality step 1 |
Article 129(4) or 129(5) of CRR |
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280 |
1.2.2.5.2 |
credit quality step 2 |
Article 129(4) or 129(5) of CRR |
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290 |
1.2.2.5.3 |
credit quality step 3 |
Article 129(4) or 129(5) of CRR |
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300-320 |
1.2.2.6 |
non residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR |
Article 416(2)(a)(i) of CRR |
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300 |
1.2.2.6.1 |
credit quality step 1 |
Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR |
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310 |
1.2.2.6.2 |
credit quality step 2 |
Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR |
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320 |
1.2.2.6.3 |
credit quality step 3 |
Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR |
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330-350 |
1.2.2.7 |
residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR |
Article 416(2)(a)(i) of CRR |
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330 |
1.2.2.7.1 |
credit quality step 1 |
Chapter 5 Title 2 of part V and Article 125 of CRR |
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340 |
1.2.2.7.2 |
credit quality step 2 |
Chapter 5, Title 2 of part V and Article 125 of CRR |
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350 |
1.2.2.7.3 |
credit quality step 3 |
Chapter 5, Title 2, and Article 125 of CRR |
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360-380 |
1.2.2.8 |
bonds issued by a credit institution as defined in Art. 52(4) of Directive 2009/65/EC other than those referred to in 1.9 of LCR-Assets' template |
Article 416(2)(a)(ii) of CRR |
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360 |
1.2.2.8.1 |
credit quality step 1 |
Article 129(4) or 129(5) of CRR |
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370 |
1.2.2.8.2 |
credit quality step 2 |
Article 129(4) or 129(5) of CRR |
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380 |
1.2.2.8.3 |
credit quality step 3 |
Article 129(4) or 129(5) of CRR |
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390-410 |
1.2.2.9 |
other transferable assets that are of extremely high liquidity and credit quality |
Article 416(1)(b) of CRR |
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390 |
1.2.2.9.1 |
credit quality step 1 |
Chapter 2, Title 2, Part III of CRR |
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400 |
1.2.2.9.2 |
credit quality step 2 |
Chapter 2, Title 2, Part III of CRR |
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410 |
1.2.2.9.3 |
credit quality step 3 |
Chapter 2, Title 2, Part III of CRR |
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420-440 |
1.2.2.10 |
other transferable assets that are of high liquidity and credit quality |
Article 416(1)(d) of CRR |
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420 |
1.2.2.10.1 |
credit quality step 1 |
Chapter 2, Title 2, Part III of CRR |
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430 |
1.2.2.10.2 |
credit quality step 2 |
Chapter 2, Title 2, Part III of CRR |
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|
440 |
1.2.2.10.3 |
credit quality step 3 |
Chapter 2, Title 2, Part III of CRR |
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450-460 |
1.2.2.11 |
Assets which meet the requirements of article 416 point (1) (b) and (d) but do not meet the requirements of Article 417 (b) and (c) CRR |
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450 |
1.2.2.11.1 |
assets not controlled by a liquidity management function |
Article 417 (c) of CRR |
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460 |
1.2.2.11.2 |
assets not legally and practically readily available at any time during the next 30 days to be liquidated via outright sale via a simple repurchase agreements on an approved repurchase markets |
Article 417 (b) of CRR |
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480-680 |
1.2.2.12 |
Items subject to supplementary reporting of liquid assets |
|
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480 |
1.2.2.12.1 |
Cash |
Annex III, article 1 CRR |
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490 |
1.2.2.12.2 |
Central bank exposures, to the extent that these exposures can be drawn down in times of stress |
Annex III, article 2 CRR |
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500-540 |
1.2.2.12.3 |
transferable securities with a 0% risk weight and not an obligation of an institution or any of its affiliated entities |
Annex III, article 3 CRR |
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500 |
1.2.2.12.3.1 |
representing claims on sovereigns |
Annex III, article 3 CRR |
|
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|
510 |
1.2.2.12.3.2 |
claims guaranteed by sovereigns |
Annex III, article 3 CRR |
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|
520 |
1.2.2.12.3.3 |
representing claims on or claims guaranteed by central banks |
Annex III, article 3 CRR |
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|
530 |
1.2.2.12.3.4 |
representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities |
Annex III, article 3 CRR |
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|
540 |
1.2.2.12.3.5 |
representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development banks |
Annex III, article 3 CRR |
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|
550 |
1.2.2.12.4 |
Transferable securities other than those referred to in 3.3 of the LCR-Assets' template representing claims on or claims guaranteed by sovereigns or central banks issued in domestic currencies by the sovereign or central bank in the currency and country in which the liquidity risk is being taken or issued in foreign currencies, to the extent that holding of such debt matches the liquidity needs of the bank’s operations in that third country |
Annex III, article 4 CRR |
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|
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570-610 |
1.2.2.12.5 |
transferable securities with a 20 % risk weight and not an obligation of an institution or any of its affiliated entities |
Annex III, article 5 CRR |
|
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|
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|
|
570 |
1.2.2.12.5.1 |
representing claims on sovereigns |
Annex III, article 5 CRR |
|
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|
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|
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|
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|
|
580 |
1.2.2.12.5.2 |
claims guaranteed by sovereigns |
Annex III, article 5 CRR |
|
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|
|
590 |
1.2.2.12.5.3 |
representing claims on or claims guaranteed by central banks |
Annex III, article 5 CRR |
|
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|
|
600 |
1.2.2.12.5.4 |
representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities |
Annex III, article 5 CRR |
|
|
|
|
|
|
|
|
|
|
|
|
610 |
1.2.2.12.5.5 |
representing claims on or claims guaranteed by multilateral development banks |
Annex III, article 5 CRR |
|
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|
|
|
|
|
|
|
|
620 |
1.2.2.12.6 |
transferable securities other than those referred to in point 3.3 to 3.5 of the LCR-Assets's template that fulfil all the conditions specifed in Point 6 of Annex III CRR |
Annex III, article 6 CRR |
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|
|
630 |
1.2.2.12.7 |
transferable securities other than those referred to in 3.3 to 3.6 of the LCR-Assets' template that qualify for a 50 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and do not represent a claim on an SSPE, an institution or any of its affiliated entities |
Annex III, article 7 CRR |
|
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|
|
640 |
1.2.2.12.8 |
transferable securities other than those referred to in 3.3 to 3.7 of the LCR-Assets' template that are collateralised by assets that qualify for a 35 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and are fully and completely secured by mortgages on residential property in accordance with Art. 125 CRR |
Annex III, article 8 CRR |
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|
650 |
1.2.2.12.9 |
standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralised by liquid assets and excluding emergency liquidity assistance |
Annex III, article 9 CRR |
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|
660 |
1.2.2.12.10 |
Legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution or institutions that are members of the network referred to in Article 113(7), or eligible for the waiver provided in Article 10, to the extent that this funding is not colateralised by liqduid assets, if the credit institution belongs to a network in accordance with legal or statutory provisions. |
Annex III, article 10 CRR |
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|
670 |
1.2.2.12.11 |
exchange traded, centrally cleared common equity shares, that are a constituent of a major stock index, denominated in the domestic currency of the Member State and not issued by an institution or any of its affiliates |
Annex III, article 11 CRR |
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|
680 |
1.2.2.12.12 |
gold listed on a recognised exchange, held on an allocated basis |
Annex III, article 12 CRR |
|
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|
|
690-920 |
1.2.2.13 |
ASSETS WHICH DO NOT MEET THE REQUIREMENTS OF ARTICLE 416 (1)-(3) OF CRR but still meet the requirements of Article 417 (b) and (c) CRR. |
|
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|
|
690-710 |
1.2.2.13.1 |
financial corporate bonds |
Article 416 (2) of CRR |
|
|
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|
|
|
|
|
|
|
|
|
690 |
1.2.2.13.1.1 |
credit quality step 1 |
Article 120(1) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
700 |
1.2.2.13.1.2 |
credit quality step 2 |
Article 120(1) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
710 |
1.2.2.13.1.3 |
credit quality step 3 |
Article 120(1) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
720-740 |
1.2.2.13.2 |
own issuances |
Article 416.3(b) of CRR |
|
|
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|
|
|
|
|
|
|
|
|
720 |
1.2.2.13.2.1 |
credit quality step 1 |
Article 120(1) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
730 |
1.2.2.13.2.2 |
credit quality step 2 |
Article 120(1) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
740 |
1.2.2.13.2.3 |
credit quality step 3 |
Article 120(1) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
750-770 |
1.2.2.13.3 |
unsecured credit institution issuances |
Article 416 of CRR |
|
|
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|
|
|
|
|
|
|
|
|
750 |
1.2.2.13.3.1 |
credit quality step 1 |
Article 120(1) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
760 |
1.2.2.13.3.2 |
credit quality step 2 |
Article 120(1) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
770 |
1.2.2.13.3.3 |
credit quality step 3 |
Article 120(1) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
780-800 |
1.2.2.13.4 |
asset backed securities not already reported in 1.10 to 1.11.3 |
Article 416 (4)(b) CRR |
|
|
|
|
|
|
|
|
|
|
|
|
780 |
1.2.2.13.4.1 |
credit quality step 1 |
Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
790 |
1.2.2.13.4.2 |
credit quality step 2 |
Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
800 |
1.2.2.13.4.3 |
credit quality step 3 |
Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
810-830 |
1.2.2.13.5 |
residential mortgage backed securities not already reported in 1.10 to 1.11.3 |
Article 509(3)(a) CRR |
|
|
|
|
|
|
|
|
|
|
|
|
810 |
1.2.2.13.5.1 |
credit quality step 1 |
Chapter 5, Title 2 of Part III and Article 125 of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
820 |
1.2.2.13.5.2 |
credit quality step 2 |
Chapter 5, Title 2 of Part III and Article 125 of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
830 |
1.2.2.13.5.3 |
credit quality step 3 |
Chapter 5, Title 2 of Part III and Article 125 of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
840 |
1.2.2.13.6 |
equities listed on a recognised exchange and major index linked equity instruments, not self issued or issued by financial institutions |
Article 509(3)(c) and 416(4)(a) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
850 |
1.2.2.13.7 |
gold |
Article 509(3)(c) and 416(4)(a) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
860 |
1.2.2.13.8 |
guaranteed bonds not already reported above |
Article 509(3)(c) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
870 |
1.2.2.13.9 |
covered bonds not already reported above |
Article 509(3)(c) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
880 |
1.2.2.13.10 |
corporate bonds not already reported above |
Article 509(3)(c) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
890 |
1.2.2.13.11 |
funds based on the assets reported in 4.5 -4.9 |
Article 509(3)(c) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
900-920 |
1.2.2.13.12 |
other categories of central bank eligible securities or loans |
Article 509(3)(b) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
900 |
1.2.2.13.12.1 |
local government bonds |
Article 509(3)(b) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
910 |
1.2.2.13.12.2 |
commercial paper |
Article 509(3)(b) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
920 |
1.2.2.13.12.3 |
credit claims |
Article 416(4)(c) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
930-950 |
1.2.2.14 |
Reporting of Shar'iah compliant assets as an alternative assets under 509(2)(i) |
|
|
|
|
|
|
|
|
|
|
|
|
|
930-950 |
1.2.2.14.1 |
Shar'iah -compliant financial products as an alternative to assetss that would qualify as liquid assets for the purposes of Article 416, for the use of Shar'iah compliant banks |
Article 509(2)(i) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
930 |
1.2.2.14.1.1 |
credit quality step 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
940 |
1.2.2.14.1.2 |
credit quality step 2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
950 |
1.2.2.14.1.3 |
credit quality step 3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Row |
ID |
Item |
Legal References |
Amount deposited by clients that are financial customers |
Outflow |
Amount deposited by clients that are not financial customers |
Outflow |
Amount |
|
|
|
|
|
|
|
960-1030 |
1.2.3 |
deposits that have to be maintained by the depositor: |
Article 422 (3) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
960-990 |
1.2.3.1. |
in order to obtain clearing, custody or cash management services or other comparable services (excluding correspondent banking or prime brokerage services) |
Article 422 (3)(a) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
960-970 |
1.2.3.1.1 |
which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country |
|
|
|
|
|
|
|
|
|
|
|
|
|
960 |
1.2.3.1.1.1 |
of which there is evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality |
|
|
|
|
|
|
|
|
|
|
|
|
|
970 |
1.2.3.1.1.2 |
of which there is no evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality |
|
|
|
|
|
|
|
|
|
|
|
|
|
980-990 |
1.2.3.1.2 |
which are not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country |
|
|
|
|
|
|
|
|
|
|
|
|
|
980 |
1.2.3.1.2.1 |
of which there is evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality |
|
|
|
|
|
|
|
|
|
|
|
|
|
990 |
1.2.3.1.2.2 |
of which there is no evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality |
|
|
|
|
|
|
|
|
|
|
|
|
|
1000 |
1.2.3.2 |
in the context of an established operational relationship other than that reported in 1.2.3.1.1 and 1.2.3.1.2 |
Article 422 (3)(c) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1010 |
1.2.3.2.1 |
of which are correspondent banking or prime brokerage services |
Article 422 (3)(c) and (4) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1020 |
1.2.3.3 |
in the context of common task sharing within an institutional protection scheme meeting the requirements of Article 113(7) or as a legal or statutory minimum deposit by another entity being a member of the same institutional protection scheme |
Article 422 (3)(b) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1030 |
1.2.3.4 |
to obtain cash clearing and central credit institution services and where the credit institution belongs to a network in accordance with legal or statutory provisions; |
Article 422.3(d) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1040 |
1.2.4 |
Deposits from credit institutions placed at central credit institutions that are considered as liquid assets in accordance with Article 416(1)(f) |
Article 422(3) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1050 |
1.2.5 |
liqudity lines for assets specified in Article 416(1)(f) |
Article 416(1)(f) |
|
|
|
|
|
|
|
|
|
|
|
|
Row |
ID |
Item |
Legal References |
Amount |
Outflow |
|
|
|
|
|
|
|
|
|
|
1060-1070 |
1.2.6 |
liabilities not reported in 1.2.2 to 1.2.5 resulting from deposits by clients that are not financial customers |
Article 422(5) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1060 |
1.2.6.1 |
which are covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country |
Article 422(5) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1070 |
1.2.6.2 |
which are not covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country |
Article 422(5) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1080 |
1.2.7 |
net amount payable from the contracts listed in Annex II (net of collateral to be received that qualifies as liquid assets under Article 416 |
Article 422(6) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1090-1100 |
1.2.8 |
liabilities for which the competent authority has determined a lower outflow in accordance with Article 422(8) |
Article 422(8) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1090 |
1.2.8.1 |
where all the conditions of Article 422(8) (a), (b), (c) and (d) are met |
Article 422(8) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1100 |
1.2.8.2 |
where point (d) of Article 422(8)(d) has been waived by the competent authorities and all the conditions of Article 422 (8) (a), (b), and (c) are met for the purposes of applying the intra-group treatment of Article 19 (1)(b) in relation to institutions that are not subject to the waiver of Article 8 liabilities for which the competent authority has determined a lower outflow in accordance with article 422(9) |
Article 422(9) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1110-1120 |
1.2.9 |
outflows not captured above |
Article 420(1)(e) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1110 |
1.2.9.1 |
liabilities, including any contractual arrangements such as other off balance sheet and contingent funding obligations, including, but not limited to committed funding facilities, un-drawn loans and advances to wholesale counterparties, mortgages that have been agreed but not yet drawn down, credit cards, overdrafts, planned outflows related to renewal or extension of new retail or wholesale loans, planned derivative payables |
Article 420(2) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1120 |
1.2.9.2 |
trade finance off balance sheet related products, as defined in Article 429 and Annex I |
Article 420(2) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1130 |
1.2.10 |
all other liabilities |
Article 422(7) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
Row |
ID |
Item |
Legal References |
Amount |
Outflow |
Market value |
Value according to Article 418 of the CRR |
|
|
|
|
|
|
|
|
1140-1210 |
1,3 |
additional Outflows |
|
|
|
|
|
|
|
|
|
|
|
|
|
1140 |
1.3.1 |
for collateral other than assets referred to in Article 416.1(a) to (c) which is posted by the institution for contracts listed in Annex II and credit derivatives |
Article 423(1) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1150 |
1.3.2 |
corresponding to additional collateral needs that would result from a material deterioration in the credit quality of the institution |
Article 423(2) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1160 |
1.3.3 |
corresponding to additional collateral needs that would result from the impact of an adverse market scenario on the institution's derivatives transaction, financing transactions and other contracts if material |
Article 423 (3) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1170 |
1.3.4 |
corresponding to the market value of securities or other assets sold short and to be delivered within the 30 days horizon unless the institution owns the securities to be delivered or has borrowed them at terms requiring their return only after the 30 day horizon and the securities do not form part of the institutions liquid assets |
Article 423 (4) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1180 |
1.3.5 |
corresponding to the excess collateral the institution holds that can be contractually called at any time by the counterparty |
Article 423(5)(a) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1190 |
1.3.6 |
corresponding to collateral that is due to be returned to a counterparty |
Article 423(5)(b) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1200 |
1.3.7 |
corresponding to collateral that corresponds to assets that would qualify as liquid assets for the purposes of Article 416 that can be substituted for assets corresponding to assets that would not qualify as liquid assets for the purposes of Article 416 without the consent of the institution. |
Article 423(5)(c) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1210 |
1.3.8 |
deposits received as collateral |
Article 423(6) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
Row |
ID |
Item |
Legal References |
Amount |
Outflow |
|
|
|
|
|
|
|
|
|
|
1220-1370 |
1,4 |
outflows from credit and liquidity facilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
1220 |
1.4.1 |
maximum amount that can be drawn of undrawn committed credit facilities and undrawn committed liquidity facilities for retail clients |
Article 424 (2) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1230-1240 |
1.4.2 |
maximum amount that can be drawn of undrawn committed credit facilities and undrawn committed liquidity facilities for clients other than retail and financial customers |
Article 424(3) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1230 |
1.4.2.1 |
undrawn committed credit facilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
1240 |
1.4.2.2 |
undrawn committed liquidity facilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
1250 |
1.4.3 |
maximum amount that can be drawn of undrawn liquidity facilities that has been provided to an SSPE for the purpose of enabling such SSPE to purchase assets other than securities from clients that are not financial customers that exceeds the amount of assets currently purchased from clients and where the maximum amount that can be drawn is contractually limited to the amount of assets currently purchased |
Article 424(4) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1260-1270 |
1.4.4 |
maximum amount that can be drawn of other undrawn committed credit faciltiies and undrawn committed liquidity facilities not reported in 1.4.1, 1.4.2 or 1.4.3 |
Article 424(5) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1260 |
1.4.4.1 |
granted to SSPEs other than those in 1.4.3 |
Article 424(5) (a) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1270 |
1.4.4.2 |
arrangements under which the institution is required to buy or swap assets from an SSPE |
Article 424 (5)(b) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1280-1290 |
1.4.4.3 |
extended to credit institutions |
Article 424(5)(c) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1280 |
1.4.4.3.1 |
undrawn committed credit facilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
1290 |
1.4.4.3.2 |
undrawn committed liquidity facilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
1300-1310 |
1.4.4.4 |
extended to financial institutions and investment firms |
Article 424(5) (d) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1300 |
1.4.4.4.1 |
undrawn committed credit facilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
1310 |
1.4.4.4.2 |
undrawn committed liquidity facilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
1320 |
1.4.4.5 |
extended to other clients |
|
|
|
|
|
|
|
|
|
|
|
|
|
1330 |
1.4.4.6 |
extended to intra-group entity in accordance with article 424(5) |
Article 424(5) (d) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1340 |
1.4.5 |
maximum amount that can be drawn of undrawn credit and liquidity facilities granted for the purpose of funding promotional loans |
Article 424(6) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1350 |
1.4.6 |
maximum amount that can be drawn from all other contingent liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
1360 |
1.4.6.1 |
Of which: extended to intra-group entity in accordance with Article 424(5) |
Article 424(5) CRR |
|
|
|
|
|
|
|
|
|
|
|
|
1370 |
1.4.7 |
Outflows according to Article 105 CRD |
Article 105 CRD |
|
|
|
|
|
|
|
|
|
|
|
|
C 53.00 — LIQUIDITY COVERAGE — INFLOWS
|
Amount |
Inflow |
|
||||||
Row |
ID |
Item |
Legal references |
010 |
020 |
030 |
040 |
050 |
060 |
010-1030 |
|
INFLOWS |
Article 425 of CRR |
|
|
|
|
|
|
010-980 |
1 |
INFLOWS (CAPPED) |
Article 425 (1) of CRR |
|
|
|
|
|
|
010-060 |
1.1. |
Monies due from customers that are not financial customers |
Article 425 of CRR |
|
|
|
|
|
|
010 |
1.1.1. |
Monies due from retail customers |
Article 425 of CRR |
|
|
|
|
|
|
020 |
1.1.2 |
monies due from non-financial corporate customers payment |
Article 425 of CRR |
|
|
|
|
|
|
030 |
1.1.2.1 |
Of which: that the institution owing those monies treats according to Article 422 (2) (e) |
Article 425 (2) (e) |
|
|
|
|
|
|
040 |
1.1.3 |
monies due from central banks |
Article 425 (2)(a) of CRR |
|
|
|
|
|
|
050 |
1.1.1.3.1 |
Of which: that the institution owing those monies treats according to Article 422 (3) and (4) |
Article 425 (2)(e) of CRR |
|
|
|
|
|
|
060 |
1.1.4 |
monies due from other entities |
Article 425 (2)(a) of CRR |
|
|
|
|
|
|
070-080 |
1.2 |
Monies due from financial customers |
Article 425 (2) of CRR |
|
|
|
|
|
|
070 |
1.2.1 |
that the institution owing those monies treats according to Article 422(3) and (4) |
Article 425 (2)(e) of CRR |
|
|
|
|
|
|
080 |
1.2.2 |
that the competent authority has granted the permission to apply a lower outflow percentage according to Article 422.8 |
Article 422(8) of CRR |
|
|
|
|
|
|
090 |
1.3 |
monies due from trade financing transactions according to Article 425(2) point (b) |
Article 425 (2)(b) of CRR |
|
|
|
|
|
|
100 |
1.4 |
assets with an undefined contractual end date that are callable within 30 days |
Article 425 (2)(c) of CRR |
|
|
|
|
|
|
110 |
1.5 |
monies due from positions in major index equity instruments provided that there is no double counting with liquid assets |
Article 425 (2)(f) of CRR |
|
|
|
|
|
|
Row |
ID |
Item |
Legal references |
extremely high liquidity and credit quality assets |
high liquidity and credit quality |
other liquidity and credit quality |
|||
Amount due |
Market value of the asset securing the transaction |
Amount due |
Market value of the asset securing the transaction |
Amount due |
Market value of the asset securing the transaction |
||||
120-930 |
1.6 |
Monies due from secured lending and capital market driven transactions as defined in Article 192: |
Article 425.2.(d) of CRR |
|
|
|
|
|
|
120-190 |
1.6.1. |
Other transferable assets representing claims on or guaranteed by |
Article 416(1)(c) of CRR |
|
|
|
|
|
|
120-130 |
1.6.1.1 |
transferable assets representing claims on or guaranteed by the central government of a Member State, a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquidity assets |
Article 416(1)(c)(i) of CRR |
|
|
|
|
|
|
120 |
1.6.1.1.1 |
representing claims |
Article 416(1)(c)(i) of CRR |
|
|
|
|
|
|
130 |
1.6.1.1.2 |
guaranteed by |
Article 416(1)(c)(i) of CRR |
|
|
|
|
|
|
140-150 |
1.6.1.2 |
transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities -in the domestic currency of the central bank and public sector entity |
Article 416(1)(c)(ii) of CRR |
|
|
|
|
|
|
140 |
1.6.1.2.1 |
representing claims on |
Article 416(1)(c)(ii) of CRR |
|
|
|
|
|
|
150 |
1.6.1.2.2 |
guaranteed by |
Article 416(1)(c)(ii) of CRR |
|
|
|
|
|
|
160-170 |
1.6.1.3 |
transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks; |
Article 416(1)(c)(iii) of CRR |
|
|
|
|
|
|
160 |
1.6.1.3.1 |
representing claims on |
Article 416(1)(c)(iii) of CRR |
|
|
|
|
|
|
170 |
1.6.1.3.2 |
guaranteed by |
Article 416(1)(c)(iii) of CRR |
|
|
|
|
|
|
180-190 |
1.6.1.4 |
transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism |
Article 416(1)(c)(iv) of CRR |
|
|
|
|
|
|
180 |
1.6.1.4.1 |
representing claims on |
Article 416(1)(c)(iv) of CRR |
|
|
|
|
|
|
190 |
1.6.1.4.2 |
guaranteed by |
Article 416(1)(c)(iv) of CRR |
|
|
|
|
|
|
200-220 |
1.6.2 |
total shares or units in CIUs with underlying assets specified in Article 416 |
Article 416(6) and 418(2) CRR |
|
|
|
|
|
|
200 |
1.6.2.1 |
underlying assets in point (a) of article 416(1) |
Article 418(2)(a) of CRR |
|
|
|
|
|
|
210 |
1.6.2.2 |
underlying assets in point (b) and (c) of article 416(1) |
Article 418(2)(b) of CRR |
|
|
|
|
|
|
220 |
1.6.2.3 |
underlying assets in point (d) of article 416(1) |
Article 418(2)(c) of CRR |
|
|
|
|
|
|
230 |
1.6.3 |
assets issued by a credit institution which has been set up by a Member State central or regional government where at least one of the conditions in Article 416 (2)(a)(iii) is met |
Article 416(2)(a)(iii) of CRR |
|
|
|
|
|
|
240-260 |
1.6.4 |
non financial corporate bonds |
Article 416(1)(b) or (d) of CRR |
|
|
|
|
|
|
240 |
1.6.4.1 |
credit quality step 1 |
Article 122 CRR |
|
|
|
|
|
|
250 |
1.6.4.2 |
credit quality step 2 |
Article 122 CRR |
|
|
|
|
|
|
260 |
1.6.4.3 |
credit quality step 3 |
Article 122 CRR |
|
|
|
|
|
|
270-290 |
1.6.5 |
bonds issued by a credit institution eligible for the treatment set out in Article 129(4) or (5) |
Article 416(2)(a)(i) of CRR |
|
|
|
|
|
|
270 |
1.6.5.1 |
credit quality step 1 |
Article 129(4) or 129(5) of CRR |
|
|
|
|
|
|
280 |
1.6.5.2 |
credit quality step 2 |
Article 129(4) or 129(5) of CRR |
|
|
|
|
|
|
290 |
1.6.5.3 |
credit quality step 3 |
Article 129(4) or 129(5) of CRR |
|
|
|
|
|
|
300-320 |
1.6.6 |
non residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR |
Article 416(2)(a)(i) of CRR |
|
|
|
|
|
|
300 |
1.6.6.1 |
credit quality step 1 |
Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR |
|
|
|
|
|
|
310 |
1.6.6.2 |
credit quality step 2 |
Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR |
|
|
|
|
|
|
320 |
1.6.6.3 |
credit quality step 3 |
Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR |
|
|
|
|
|
|
330-350 |
1.6.7 |
residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR |
Article 416(2)(a)(i) of CRR |
|
|
|
|
|
|
330 |
1.6.7.1 |
credit quality step 1 |
Chapter 5 Title 2 of part V and Article 125 of CRR |
|
|
|
|
|
|
340 |
1.6.7.2 |
credit quality step 2 |
Chapter 5, Title 2 of part V and Article 125 of CRR |
|
|
|
|
|
|
350 |
1.6.7.3 |
credit quality step 3 |
Chapter 5, Title 2, and Article 125 of CRR |
|
|
|
|
|
|
360-380 |
1.6.8 |
bonds issued by a credit institution as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in 1.9 |
Article 416(2)(a)(ii) of CRR |
|
|
|
|
|
|
360 |
1.6.8.1 |
credit quality step 1 |
Article 129(4) or 129(5) of CRR |
|
|
|
|
|
|
370 |
1.6.8.2 |
credit quality step 2 |
Article 129(4) or 129(5) of CRR |
|
|
|
|
|
|
380 |
1.6.8.3 |
credit quality step 3 |
Article 129(4) or 129(5) of CRR |
|
|
|
|
|
|
390-410 |
1.6.9 |
other transferable assets that are of extremely high liquidity and credit quality |
Article 416(1)(b) of CRR |
|
|
|
|
|
|
390 |
1.6.9.1 |
credit quality step 1 |
Chapter 2, Title 2, Part III of CRR |
|
|
|
|
|
|
400 |
1.6.9.2 |
credit quality step 2 |
Chapter 2, Title 2, Part III of CRR |
|
|
|
|
|
|
410 |
1.6.9.3 |
credit quality step 3 |
Chapter 2, Title 2, Part III of CRR |
|
|
|
|
|
|
420-440 |
1.6.10 |
other transferable assets that are of high liquidity and credit quality |
Article 416(1)(d) of CRR |
|
|
|
|
|
|
420 |
1.6.10.1 |
credit quality step 1 |
Chapter 2, Title 2, Part III of CRR |
|
|
|
|
|
|
430 |
1.6.10.2 |
credit quality step 2 |
Chapter 2, Title 2, Part III of CRR |
|
|
|
|
|
|
440 |
1.6.10.3 |
credit quality step 3 |
Chapter 2, Title 2, Part III of CRR |
|
|
|
|
|
|
450-460 |
1.6.11 |
Assets which meet the requirements of article 416 point (1) (b) and (d) but do not meet the requirements of Article 417 (b) and (c) CRR |
|
|
|
|
|
|
|
450 |
1.6.11.1 |
assets not controlled by a liquidity management function |
Article 417 (c) of CRR |
|
|
|
|
|
|
460 |
1.6.11.2 |
assets not legally and practically readily available at any time during the next 30 days to be liquidated via outright sale via a simple repurchase agreements on an approved repurchase markets |
Article 417 (b) of CRR |
|
|
|
|
|
|
470-660 |
1.6.12 |
Items subject to supplementary reporting of liquid assets |
|
|
|
|
|
|
|
470 |
1.6.12.1 |
Cash |
Annex III, article 1 CRR |
|
|
|
|
|
|
480 |
1.6.12.2 |
Central bank exposures, to the extent that these exposures can be drawn down in times of stress |
Annex III, article 2 CRR |
|
|
|
|
|
|
490-530 |
1.6.12.3 |
transferable securities with a 0% risk weight and not an obligation of an institution or any of its affiliated entities |
Annex III, article 3 CRR |
|
|
|
|
|
|
490 |
1.6.12.3.1 |
representing claims on sovereigns |
Annex III, article 3 CRR |
|
|
|
|
|
|
500 |
1.6.12.3.2 |
claims guaranteed by sovereigns |
Annex III, article 3 CRR |
|
|
|
|
|
|
510 |
1.6.12.3.3 |
representing claims on or claims guaranteed by central banks |
Annex III, article 3 CRR |
|
|
|
|
|
|
520 |
1.6.12.3.4 |
representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities |
Annex III, article 3 CRR |
|
|
|
|
|
|
530 |
1.6.12.3.5 |
representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development banks |
Annex III, article 3 CRR |
|
|
|
|
|
|
540 |
1.6.12.4 |
Transferable securities other than those referred to in 3.3 representing claims on or claims guaranteed by sovereigns or central banks issued in domestic currencies by the sovereign or central bank in the currency and country in which the liquidity risk is being taken or issued in foreign currencies, to the extent that holding of such debt matches the liquidity needs of the bank’s operations in that third country |
Annex III, article 4 CRR |
|
|
|
|
|
|
550-590 |
1.6.12.5 |
transferable securities with a 20% risk weight and not an obligation of an institution or any of its affiliated entities |
Annex III, article 5 CRR |
|
|
|
|
|
|
550 |
1.6.12.5.1 |
representing claims on sovereigns |
Annex III, article 5 CRR |
|
|
|
|
|
|
560 |
1.6.12.5.2 |
claims guaranteed by sovereigns |
Annex III, article 5 CRR |
|
|
|
|
|
|
570 |
1.6.12.5.3 |
representing claims on or claims guaranteed by central banks |
Annex III, article 5 CRR |
|
|
|
|
|
|
580 |
1.6.12.5.4 |
representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities |
Annex III, article 5 CRR |
|
|
|
|
|
|
590 |
1.6.12.5.5 |
representing claims on or claims guaranteed by multilateral development banks |
Annex III, article 5 CRR |
|
|
|
|
|
|
600 |
1.6.12.6 |
transferable securities other than those referred to in point 3.3 to 3.5 of the LCR-Assets's template that fulfil all the conditions specifed in Art. 5 of Annex III CRR |
Annex III, article 6 CRR |
|
|
|
|
|
|
610 |
1.6.12.7 |
transferable securities other than those referred to in 3.3 to 3.6 that qualify for a 50 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and do not represent a claim on an SSPE, an institution or any of its affiliated entities |
Annex III, article 7 CRR |
|
|
|
|
|
|
620 |
1.6.12.8 |
transferable securities other than those referred to in 3.3 to 3.7 that are collateralised by assets that qualify for a 35 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and are fully and completely secured by mortgages on residential property in accordance with Article 125 |
Annex III, article 8 CRR |
|
|
|
|
|
|
630 |
1.6.12.9 |
standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralised by liquid assets and excluding emergency liquidity assistance |
Annex III, article 9 CRR |
|
|
|
|
|
|
640 |
1.6.12.10 |
Legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution or institutions that are members of the network referred to in Article 113(7), or eligible for the waiver provided in Article 10, to the extent that this funding is not colateralised by liqduid assets, if the credit institution belongs to a network in accordance with legal or statutory provisions. |
Annex III, article 10 CRR |
|
|
|
|
|
|
650 |
1.6.12.11 |
exchange traded, centrally cleared common equity shares, that are a constituent of a major stock index, denominated in the domestic currency of the Member State and not issued by an institution or any of its affiliates |
Annex III, article 11 CRR |
|
|
|
|
|
|
660 |
1.6.12.12 |
gold listed on a recognised exchange, held on an allocated basis |
Annex III, article 12 CRR |
|
|
|
|
|
|
670-920 |
1.6.13 |
ASSETS WHICH DO NOT MEET THE REQUIREMENTS OF ARTICLE 416 (1) - (3) OF CRR but still meet the requirements of Article 417 (b) and (c) CRR. |
|
|
|
|
|
|
|
670-690 |
1.6.13.1 |
financial corporate bonds |
Article 416 (2) of CRR |
|
|
|
|
|
|
670 |
1.6.13.1.1 |
credit quality step 1 |
Article 120(1) of CRR |
|
|
|
|
|
|
680 |
1.6.13.1.2 |
credit quality step 2 |
Article 120(1) of CRR |
|
|
|
|
|
|
690 |
1.6.13.1.3 |
credit quality step 3 |
Article 120(1) of CRR |
|
|
|
|
|
|
700-720 |
1.6.13.2 |
own issuances |
Article 416.3(b) of CRR |
|
|
|
|
|
|
700 |
1.6.13.2.1 |
credit quality step 1 |
Article 120(1) of CRR |
|
|
|
|
|
|
710 |
1.6.13.2.2 |
credit quality step 2 |
Article 120(1) of CRR |
|
|
|
|
|
|
720 |
1.6.13.2.3 |
credit quality step 3 |
Article 120(1) of CRR |
|
|
|
|
|
|
730-750 |
1.6.13.3 |
unsecured credit institution issuances |
Article 416 of CRR |
|
|
|
|
|
|
730 |
1.6.13.3.1 |
credit quality step 1 |
Article 120(1) of CRR |
|
|
|
|
|
|
740 |
1.6.13.3.2 |
credit quality step 2 |
Article 120(1) of CRR |
|
|
|
|
|
|
750 |
1.6.13.3.3 |
credit quality step 3 |
Article 120(1) of CRR |
|
|
|
|
|
|
760-780 |
1.6.13.4 |
non residential mortgage backed instruments not already reported in 1.10 of the LCR-Assets' template |
Article 416 (4)(b) CRR |
|
|
|
|
|
|
760 |
1.6.13.4.1 |
credit quality step 1 |
Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR |
|
|
|
|
|
|
770 |
1.6.13.4.2 |
credit quality step 2 |
Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR |
|
|
|
|
|
|
780 |
1.6.13.4.3 |
credit quality step 3 |
Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR |
|
|
|
|
|
|
790-810 |
1.6.13.5 |
residential mortgage backed instruments not already reported in 1.11 of the LCR-Assets' template |
Article 509(3)(a) CRR |
|
|
|
|
|
|
790 |
1.6.13.5.1 |
credit quality step 1 |
Chapter 5, Title 2 of Part III and Article 125 of CRR |
|
|
|
|
|
|
800 |
1.6.13.5.2 |
credit quality step 2 |
Chapter 5, Title 2 of Part III and Article 125 of CRR |
|
|
|
|
|
|
810 |
1.6.13.5.3 |
credit quality step 3 |
Chapter 5, Title 2 of Part III and Article 125 of CRR |
|
|
|
|
|
|
820 |
1.6.13.6 |
equities listed on a recognised exchange and major index linked equity instruments, not self issued or issued by financial institutions |
Article 509(3)(c) and 416(4)(a) of CRR |
|
|
|
|
|
|
830 |
1.6.13.7 |
gold |
Article 509(3)(c) and 416(4)(a) of CRR |
|
|
|
|
|
|
840 |
1.6.13.8 |
guaranteed bonds not already reported above |
Article 509(3)(c) of CRR |
|
|
|
|
|
|
850 |
1.6.13.9 |
covered bonds not already reported above |
Article 509(3)(c) of CRR |
|
|
|
|
|
|
860 |
1.6.13.10 |
corporate bonds not already reported above |
Article 509(3)(c) of CRR |
|
|
|
|
|
|
870 |
1.6.13.11 |
funds based on the assets reported in 4.5 - 4.9 |
Article 509(3)(c) of CRR |
|
|
|
|
|
|
880-900 |
1.6.13.12 |
other categories of central bank eligible securities or loans |
Article 509(3)(c) of CRR |
|
|
|
|
|
|
880 |
1.6.13.12.1 |
local government bonds |
Article 509(3)(c) of CRR |
|
|
|
|
|
|
890 |
1.6.13.12.2 |
commercial paper |
Article 509(3)(c) of CRR |
|
|
|
|
|
|
900 |
1.6.13.12.3 |
credit claims |
Article 416(4)(c) of CRR |
|
|
|
|
|
|
910-930 |
1.6.13.13 |
Shar'iah -compliant financial products as an alternative to assetss that would qualify as liquid assets for the purposes of Article 416, for the use of Shar'iah compliant banks |
Article 509(2)(i) of CRR |
|
|
|
|
|
|
910 |
1.6.13.13.1 |
credit quality step 1 |
|
|
|
|
|
|
|
920 |
1.6.13.13.2 |
credit quality step 2 |
|
|
|
|
|
|
|
930 |
1.6.13.13.3 |
credit quality step 3 |
|
|
|
|
|
|
|
Row |
ID |
Item |
Legal references |
Amount |
Inflow |
|
|
||
940-960 |
1.7 |
Undrawn credit and liquidity facilities and other commitments received from intra-group entity in accordance with article 425(4) of CRR |
Article 425 (4) of CRR |
|
|
|
|
|
|
940 |
1.7.1 |
where all the conditions of Article 425.4 (a), (b) and (c) are met |
|
|
|
|
|
|
|
950 |
1.7.2 |
where point (d) of Article 425(4) has been waived by the competent authorities and all the conditions of Article 425(4) (a), (b) and (c) are met for the purposes of applying the intra-group treatment of Article 19(1)(b) in relation to institutions that are not subject to the waiver of Article 7, undrawn credit and liquidity facilities and other commitments received from intra-group entity in accordance with article 425(5) |
Article 425 (4) (a) and (b) and (c) of CRR |
|
|
|
|
|
|
960 |
1.7.3 |
net receivables expected from the contracts listed in Annex II (net of collateral to be received that qualifies as liquid assets under Article 416) |
Article 425 (3) of CRR |
|
|
|
|
|
|
970 |
1,8 |
payments due on liquid assets not reflected in the market value of the asset |
Article 425 (7) of CRR |
|
|
|
|
|
|
980 |
1,9 |
other inflows |
|
|
|
|
|
|
|
990 |
2 |
TOTAL CASH INFLOWS EXCLUDED DUE TO THE CAP |
Article 425 of CRR |
|
|
|
|
|
|
1000-1030 |
3 |
INFLOWS EXEMPT FROM THE CAP |
Article 425 (1) of CRR |
|
|
|
|
|
|
1000 |
3.1 |
monies due from borrowers and bond investors related to mortgage lending funded by bonds eligible for the treatment set out in Article 129(4), (5) or (6) or in defined in Article 52(4) of Directive 2009/65/EC |
Article 425 (1) of CRR |
|
|
|
|
|
|
1010 |
3.2 |
inflows from promotional loans that the institution has passed through |
Article 425 (1) of CRR |
|
|
|
|
|
|
1020 |
3.3 |
inflows qualifying fro the treatment set out in article 113(6) or 113(7) |
Article 425 (1) of CRR |
|
|
|
|
|
|
1030 |
3.4 |
inflows from intra-group entity approved by competent authority |
Article 425 (1) of CRR |
|
|
|
|
|
|
C 54.00 — LIQUIDITY COVERAGE — COLLATERAL SWAPS
|
Other assets |
||||||
Within 30 days |
Over 30 days |
||||||
Notional |
Market value |
Notional |
Market value |
||||
Row |
ID |
Item |
Legal references |
010 |
020 |
030 |
040 |
010-060 |
1 |
ASSETS |
|
|
|
|
|
010 |
1.1 |
cash and exposures to central banks |
Article 416(1)(a) CRR |
|
|
|
|
020 |
1.2 |
other transferable assets according to Article 416(1)(b) |
Article 416(1)(b) CRR |
|
|
|
|
030-060 |
1.3 |
other transferable assets representing claims on or guaranteed by |
Article 416(1)(c) of CRR |
|
|
|
|
030 |
1.3.1 |
transferable assets representing claims on or guaranteed by the central government of a Member State, on a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the Institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquid assets |
Article 416(1)(c)(i) of CRR |
|
|
|
|
040 |
1.3.2 |
transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities -in the domestic currency of the central bank and public sector entity |
Article 416(1)(c)(ii) of CRR |
|
|
|
|
050 |
1.3.3 |
transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks |
Article 416(1)(c)(iii) of CRR |
|
|
|
|
060 |
1.3.4 |
transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism |
Article 416(1)(c)(iv) of CRR |
|
|
|
|
C 60.00 — STABLE FUNDING — ITEMS REQUIRING STABLE FUNDING
|
amount extremely high liquidity and credit quality |
amount high liquidity and credit quality |
amount other assets |
|||||||||||||||
within three months |
between three and 6 months |
between 6 and 9 months |
between 9 and 12 months |
after 12 months |
within three months |
between three and 6 months |
between 6 and 9 months |
between 9 and 12 months |
after 12 months |
within three months |
between three and 6 months |
between 6 and 9 months |
between 9 and 12 months |
after 12 months |
||||
Row |
ID |
Item |
Legal references |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
010-1330 |
1 |
ITEMS REQUIRING STABLE FUNDING |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
010-470 |
1.1 |
assets referred to in Article 416 |
Article 428(1)(a) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
010 |
1.1.1 |
cash |
Article 416(1)(a) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
020 |
1.1.2 |
exposures to central bank |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
1.1.2.1 |
Of which: exposures that can be withdrawn in times of stress |
Article 416(1)(a) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
040-050 |
1.1.3 |
transferable assets representing claims on or guaranteed by the central government of a Member State, a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquidity assets |
Article 416(1)(c)(i) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
1.1.3.1 |
representing claims |
Article 416(1)(c)(i) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
1.1.3.2 |
guaranteed by |
Article 416(1)(c)(i) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
060-070 |
1.1.4 |
transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities in the domestic currency of the central bank and public sector entity |
Article 416(c)(ii) of CRR |
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|
060 |
1.1.4.1 |
representing claims |
Article 416(c)(ii) |
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|
070 |
1.1.4.2 |
guaranteed by |
Article 416(c)(ii) |
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|
080-150 |
1.1.5 |
transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the European Commission and multilateral development banks |
Article 416(c)(iii) of CRR |
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080 |
1.1.5.1.a) |
representing claims |
Article 416(c)(iii) |
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090 |
1.1.5.2.a) |
guaranteed by |
Article 416(c)(iii) |
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100 |
1.1.5.1.b) |
amount unencumbered |
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|
110 |
1.1.5.2.b) |
amount encumbered for a period within three months |
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|
120 |
1.1.5.3.b) |
amount encumbered for a period between three and 6 months |
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130 |
1.1.5.4.b) |
amount encumbered for a period between 6 and 9 months |
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140 |
1.1.5.5.b) |
amount encumbered for a period between 9 and 12 months |
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150 |
1.1.5.6.b) |
amount encumbered for a period greater than 12 months |
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152-153 |
1.1.6 |
transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism |
Article 416(1)(c)(iv) of CRR |
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152 |
1.1.6.1 |
representing claims |
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153 |
1.1.6.2 |
guaranteed by |
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160-230 |
1.1.7 |
total shares or units in CIUs with underlying assets specified in Article 416 |
Article 418(2) of CRR |
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160 |
1.1.7.1.a |
underlying assets in point (a) of Article 416(1) |
Article 418(2)(a) of CRR |
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170 |
1.1.7.2.a |
underlying assets in point (b) and (c) of Article 416(1) |
Article 418 (2)(b) and (c) of CRR |
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175 |
1.1.7.3.a |
underlying assets in point (d) of Article 416(1) |
Article 418(2)(c) of CRR |
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180 |
1.1.7.1.b |
amount unencumbered |
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190 |
1.1.7.2.b |
amount encumbered for a period within three months |
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200 |
1.1.7.3.b |
amount encumbered for a period between three and 6 months |
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210 |
1.1.7.4.b |
amount encumbered for a period between 6 and 9 months |
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220 |
1.1.7.5.b |
amount encumbered for a period between 9 and 12 months |
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230 |
1.1.7.6.b |
amount encumbered for a period greater than 12 months |
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232-233 |
1.1.8 |
deposits with the central credit institution and other statutory or contractually available liquid funding from a central credit institution or institutions that are members of a network referred to in Article 113(7) or eligible for the waiver provided in Article 10 CRR, to the extent that this funding is not collateralized by liquid assets |
Article 416(1)(f) of CRR |
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232 |
1.1.8.1 |
deposits |
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233 |
1.1.8.2 |
contractually available liquid funding |
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234 |
1.1.9 |
Assets issued by a credit institution which has been set up by a Member State central or regional government where at least one of the conditions in Article 416(2)(a)(iii) is met |
Article 416(2)(a)(iii) of CRR |
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240-290 |
1.1.10 |
Other transferable assets not specified elsewhere |
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240 |
1.1.10.1 |
amount unencumbered |
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250 |
1.1.10.2 |
amount encumbered for a period within three months |
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|
260 |
1.1.10.3 |
amount encumbered for a period between three and 6 months |
|
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|
270 |
1.1.10.4 |
amount encumbered for a period between 6 and 9 months |
|
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|
280 |
1.1.10.5 |
amount encumbered for a period between 9 and 12 months |
|
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|
290 |
1.1.10.6 |
amount encumbered for a period greater than 12 months |
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|
300-350 |
1.1.11 |
non financial corporate bonds |
Article 416(1)(b) or (d) of CRR |
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300 |
1.1.11.1 |
amount unencumbered |
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310 |
1.1.11.2 |
amount encumbered for a period within three months |
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|
320 |
1.1.11.3 |
amount encumbered for a period between three and 6 months |
|
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|
330 |
1.1.11.4 |
amount encumbered for a period between 6 and 9 months |
|
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|
340 |
1.1.11.5 |
amount encumbered for a period between 9 and 12 months |
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|
350 |
1.1.11.6 |
amount encumbered for a period greater than 12 months |
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|
352-357 |
1.1.12 |
non residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR |
Article 416(2)(a)(i) of CRR |
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|
352 |
1.1.12.1 |
amount unencumbered |
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|
353 |
1.1.12.2 |
amount encumbered for a period within three months |
|
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|
354 |
1.1.12.3 |
amount encumbered for a period between three and 6 months |
|
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|
355 |
1.1.12.4 |
amount encumbered for a period between 6 and 9 months |
|
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|
356 |
1.1.12.5 |
amount encumbered for a period between 9 and 12 months |
|
|
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|
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|
357 |
1.1.12.6 |
amount encumbered for a period greater than 12 months |
|
|
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|
|
359-364 |
1.1.13 |
residential mortgage backed instruments issued by a credit institution if demonstrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR |
Article 416(2)(a)(i) of CRR |
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|
359 |
1.1.13.1 |
amount unencumbered |
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|
360 |
1.1.13.2 |
amount encumbered for a period within three months |
|
|
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|
|
|
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|
361 |
1.1.13.3 |
amount encumbered for a period between three and 6 months |
|
|
|
|
|
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|
|
|
|
|
|
|
|
362 |
1.1.13.4 |
amount encumbered for a period between 6 and 9 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
363 |
1.1.13.5 |
amount encumbered for a period between 9 and 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
364 |
1.1.13.6 |
amount encumbered for a period greater than 12 months |
|
|
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|
|
366-410 |
1.1.14 |
bonds eligible for the treatment set out in Art. 129(4) or (5), which meet the criteria in Art. 416(2)(a) CRR |
|
|
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|
366 |
1.1.14.1 |
amount unencumbered |
|
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|
|
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|
|
|
|
|
|
|
|
370 |
1.1.14.2 |
amount encumbered for a period within three months |
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
380 |
1.1.14.3 |
amount encumbered for a period between three and 6 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
390 |
1.1.14.4 |
amount encumbered for a period between 6 and 9 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
400 |
1.1.14.5 |
amount encumbered for a period between 9 and 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
410 |
1.1.14.6 |
amount encumbered for a period greater than 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
420-470 |
1.1.15 |
bonds as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in 1.1.9 |
Article 416(2)(a)(ii) of CRR |
|
|
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|
|
|
|
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|
|
|
420 |
1.1.15.1 |
amount unencumbered |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
430 |
1.1.15.2 |
amount encumbered for a period within three months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
440 |
1.1.15.3 |
amount encumbered for a period between three and 6 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
450 |
1.1.15.4 |
amount encumbered for a period between 6 and 9 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
460 |
1.1.15.5 |
amount encumbered for a period between 9 and 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
470 |
1.1.15.6 |
amount encumbered for a period greater than 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
480-530 |
1.2 |
securities and money market instruments not reported in 1.1 qualifying for credit step 1 under Article 122 |
Article 428(1)(b)(i) of CRR |
|
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|
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|
|
|
|
|
|
|
|
480 |
1.2.1 |
amount unencumbered |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
490 |
1.2.2 |
amount encumbered for a period within three months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
500 |
1.2.3 |
amount encumbered for a period between three and 6 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
510 |
1.2.4 |
amount encumbered for a period between 6 and 9 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
520 |
1.2.5 |
amount encumbered for a period between 9 and 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
530 |
1.2.6 |
amount encumbered for a period greater than 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
540-590 |
1.3 |
securities and money market instruments not reported in 1.1 qualifying for credit step 2 under Article 122 |
Article 428(1)(b)(ii) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
540 |
1.3.1 |
amount unencumbered |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
550 |
1.3.2 |
amount encumbered for a period within three months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
560 |
1.3.3 |
amount encumbered for a period between three and 6 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
570 |
1.3.4 |
amount encumbered for a period between 6 and 9 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
580 |
1.3.5 |
amount encumbered for a period between 9 and 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
590 |
1.3.6 |
amount encumbered for a period greater than 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
600-650 |
1.4 |
other securities and money market instruments not reported elsewhere |
Article 415(1)(b)(iii) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
600 |
1.4.1 |
amount unencumbered |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
610 |
1.4.2 |
amount encumbered for a period within three months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
620 |
1.4.3 |
amount encumbered for a period between three and 6 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
630 |
1.4.4 |
amount encumbered for a period between 6 and 9 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
640 |
1.4.5 |
amount encumbered for a period between 9 and 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
650 |
1.4.6 |
amount encumbered for a period greater than 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
660-710 |
1.5 |
equity securities of non-financial entities listed on a major index in a recognised exchange |
Article 428(1)(c) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
660 |
1.5.1 |
amount unencumbered |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
670 |
1.5.2 |
amount encumbered for a period within three months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
680 |
1.5.3 |
amount encumbered for a period between three and 6 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
690 |
1.5.4 |
amount encumbered for a period between 6 and 9 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
700 |
1.5.5 |
amount encumbered for a period between 9 and 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
710 |
1.5.6 |
amount encumbered for a period greater than 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
720-770 |
1.6 |
other equity securities |
Article 428(1)(d) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
720 |
1.6.1 |
amount unencumbered |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
730 |
1.6.2 |
amount encumbered for a period within three months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
740 |
1.6.3 |
amount encumbered for a period between three and 6 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
750 |
1.6.4 |
amount encumbered for a period between 6 and 9 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
760 |
1.6.5 |
amount encumbered for a period between 9 and 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
770 |
1.6.6 |
amount encumbered for a period greater than 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
780-830 |
1.7 |
gold |
Article 428(1)(e) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
780 |
1.7.1 |
amount unencumbered |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
790 |
1.7.2 |
amount encumbered for a period within three months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
800 |
1.7.3 |
amount encumbered for a period between three and 6 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
810 |
1.7.4 |
amount encumbered for a period between 6 and 9 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
820 |
1.7.5 |
amount encumbered for a period between 9 and 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
830 |
1.7.6 |
amount encumbered for a period greater than 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
840-890 |
1.8 |
other precious metals |
Article 428(1)(f) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
840 |
1.8.1 |
amount unencumbered |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
850 |
1.8.2 |
amount encumbered for a period within three months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
860 |
1.8.3 |
amount encumbered for a period between three and 6 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
870 |
1.8.4 |
amount encumbered for a period between 6 and 9 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
880 |
1.8.5 |
amount encumbered for a period between 9 and 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
890 |
1.8.6 |
amount encumbered for a period greater than 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total amount |
|
|
|
|
|
|
|
|
|
|
|||||||
900-1250 |
1.9 |
non-renewable loans and receivables |
Article 428(1)(g) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
900-950 |
1.9.1 |
the borrowers of which are natural persons other than commercial sole proprietors and partnerships |
Article 428(1)(g)(i) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
900 |
1.9.1.1 |
amount unencumbered |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
910 |
1.9.1.2 |
amount encumbered for a period within three months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
920 |
1.9.1.3 |
amount encumbered for a period between three and 6 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
930 |
1.9.1.4 |
amount encumbered for a period between 6 and 9 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
940 |
1.9.1.5 |
amount encumbered for a period between 9 and 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
950 |
1.9.1.6 |
amount encumbered for a period greater than 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
960-1010 |
1.9.2 |
SMEs that qualify for the retail exposure under the Standardised or IRB approaches for credit risk or to a company which is eligible for the treatment mentioned in Article 153(4) and where the aggregate deposit placed by the client or group of connected clients is less than EUR 1 million |
Article 428(1)(g)(ii) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
960 |
1.9.2.1 |
amount unencumbered |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
970 |
1.9.2.2 |
amount encumbered for a period within three months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
980 |
1.9.2.3 |
amount encumbered for a period between three and 6 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
990 |
1.9.2.4 |
amount encumbered for a period between 6 and 9 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1000 |
1.9.2.5 |
amount encumbered for a period between 9 and 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1010 |
1.9.2.6 |
amount encumbered for a period greater than 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1020-1070 |
1.9.3 |
the borrowers of which are sovereigns, central banks and public sector entities |
Article 428(1)(g)(iii) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1020 |
1.9.3.1 |
amount unencumbered |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1030 |
1.9.3.2 |
amount encumbered for a period within three months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1040 |
1.9.3.3 |
amount encumbered for a period between three and 6 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1050 |
1.9.3.4 |
amount encumbered for a period between 6 and 9 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1060 |
1.9.3.5 |
amount encumbered for a period between 9 and 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1070 |
1.9.3.6 |
amount encumbered for a period greater than 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1080-1130 |
1.9.4 |
the borrowers of which are not reported in item 1.9.1, 1.9.2 or 1.9.3 other than financial customers |
Article 428(1)(g)(iv) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1080 |
1.9.4.1 |
amount unencumbered |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1090 |
1.9.4.2 |
amount encumbered for a period within three months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1100 |
1.9.4.3 |
amount encumbered for a period between three and 6 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1110 |
1.9.4.4 |
amount encumbered for a period between 6 and 9 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1120 |
1.9.4.5 |
amount encumbered for a period between 9 and 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1130 |
1.9.4.6 |
amount encumbered for a period greater than 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1140-1190 |
1.9.5 |
the borrowers of which are credit institutions |
Article 428(1)(g)(vi) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1140 |
1.9.5.1 |
amount unencumbered |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1150 |
1.9.5.2 |
amount encumbered for a period within three months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1160 |
1.9.5.3 |
amount encumbered for a period between three and 6 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1170 |
1.9.5.4 |
amount encumbered for a period between 6 and 9 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1180 |
1.9.5.5 |
amount encumbered for a period between 9 and 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1190 |
1.9.5.6 |
amount encumbered for a period greater than 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1200-1250 |
1.9.6 |
the borrowers of which are financial customers (not referred to in 1.9.1, 1.9.2) other than credit institutions |
Article 428(1)(g)(vi) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1200 |
1.9.6.1 |
amount unencumbered |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1210 |
1.9.6.2 |
amount encumbered for a period within three months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1220 |
1.9.6.3 |
amount encumbered for a period between three and 6 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1230 |
1.9.6.4 |
amount encumbered for a period between 6 and 9 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1240 |
1.9.6.5 |
amount encumbered for a period between 9 and 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1250 |
1.9.6.6 |
amount encumbered for a period greater than 12 months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1260-1280 |
1.10 |
non-renewable loans and receivables reported in 1.9 that are collateralised by real estate |
Article 428(1)(h) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1260 |
1.10.1 |
collateralised by commercial real estate (CRE) |
Article 428(1)(h)(i) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1270 |
1.10.2 |
collateralised by residential real estate (PRE) |
Article 428(1)(h)(ii) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1280 |
1.10.3 |
match funded (pass-through) via bond eligible for treatment set out in article 129 (4) or (5) as defined in Article 52(4) of Directive 2009/65/EC |
Article 428(1)(h)(iii) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1290 |
1.11 |
derivatives receivables |
Article 428(1)(i) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1300 |
1.12 |
any other assets |
Article 428(1)(j) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1310 |
1.13 |
assets deducted from own funds not requiring stable funding |
Article 428(1) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1320 |
1.14 |
undrawn committed credit facilities that qualify as ‘medium risk’ or ‘medium/low risk’ under Annex I. |
Article 428(1)(k) of CRR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
C 61.00 — STABLE FUNDING — ITEMS PROVIDING STABLE FUNDING
|
Amount |
|||||||
within three months |
between three and 6 months |
between 6 and 9 months |
between 9 and 12 months |
after 12 months |
||||
Row |
ID |
Item |
Legal references |
010 |
020 |
030 |
040 |
050 |
010-260 |
1 |
ITEMS PROVIDING STABLE FUNDING |
|
|
|
|
|
|
010-030 |
1.1 |
own funds after deduction have been applied where apropriate |
Article 427(1)(a) of CRR |
|
|
|
|
|
010 |
1.1.1 |
tier 1 capital instruments |
Article 427(1)(a)(i) |
|
|
|
|
|
020 |
1.1.2 |
tier 2 capital instruments |
Article 427(1)(a)(ii) |
|
|
|
|
|
030 |
1.1.3* |
Memorandum item: Capital instruments and subordinated loans not eligible having an effective maturity of one year or greater |
Article 427(1)(a)(iii) |
|
|
|
|
|
040-260 |
1.2 |
liabilities excluding own funds |
Article 427(1)(b) of CRR |
|
|
|
|
|
040-060 |
1.2.1 |
retail deposits: |
Article 427(1)(b)(i-ii) of CRR |
|
|
|
|
|
040 |
1.2.1.1 |
as defined in Article 411(2) that qualify for the treatment in Article 421(1) |
Article 427(1)(b)(i) of CRR |
|
|
|
|
|
050 |
1.2.1.2 |
as defined in Article 411(2) that qualify for the treatment in Article 421(2) |
Article 427(1)(b)(ii) of CRR |
|
|
|
|
|
060 |
1.2.1.3 |
subject to higher outflows than specified in Article 421(1) or 421(2) |
|
|
|
|
|
|
070-130 |
1.2.2 |
liabilities from customers that are not financial customers |
Article 427(1)(b)(vii) of CRR |
|
|
|
|
|
070-090 |
1.2.2.1 |
liabilities from secured lending and capital market driven transactions |
Article 427(1)(b)(ix) of CRR |
|
|
|
|
|
070 |
1.2.2.1.1 |
collateralised by extremely high liquidity and credit quality assets |
Article 427(1)(b)(ix) of CRR |
|
|
|
|
|
080 |
1.2.2.1.2 |
collateralised by high liquidity and credit quality assets |
Article 427(1)(b)(ix) of CRR |
|
|
|
|
|
090 |
1.2.2.1.3 |
collateralised by any other assets |
Article 427(1)(b)(ix) of CRR |
|
|
|
|
|
100 |
1.2.2.2 |
liabilities from unsecured lending transactions |
Article 427(1)(b)(vii) of CRR |
|
|
|
|
|
110-130 |
1.2.2.3 |
liabilities that qualify for the treatment in Article 422(3) and (4) |
Article 427(1)(b)(iii) of CRR |
|
|
|
|
|
110 |
1.2.2.3.1 |
liabilities reported in 1.2.2.3 which are covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country |
Article 427(1)(b)(iv) of CRR |
|
|
|
|
|
120 |
1.2.2.3.2 |
liabilities reported in 1.2.2.3 which fall under point (b) of Article 422(3) |
Article 427(1)(b)(v) of CRR |
|
|
|
|
|
130 |
1.2.2.3.3 |
liabilities reported in 1.2.2.3 which fall under point (d) of Article 422(3) |
Article 427(1)(b)(vi) of CRR |
|
|
|
|
|
140-200 |
1.2.3 |
liabilities from customers that are financial customers |
Article 427(1)(b)(vii) of CRR |
|
|
|
|
|
140-160 |
1.2.3.1 |
liabilities from secured lending and capital market driven transactions |
Article 414(1)(b)(viii) of CRR |
|
|
|
|
|
140 |
1.2.3.1.1 |
collateralised by extremely high liquidity and credit quality assets |
Article 414(1)(b)(viii) of CRR |
|
|
|
|
|
150 |
1.2.3.1.2 |
collateralised by high liquidity and credit quality assets |
Article 414(1)(b)(viii) of CRR |
|
|
|
|
|
160 |
1.2.3.1.3 |
collateralised by any other assets |
Article 414(1)(b)(viii) of CRR |
|
|
|
|
|
170 |
1.2.3.2 |
liabilities from unsecured lending transactions |
Article 414(1)(b)(vi) of CRR |
|
|
|
|
|
180-200 |
1.2.3.3 |
liabilities that qualify for the treatment in Article 422(3) and (4) |
Article 414(1)(b)(iii) of CRR |
|
|
|
|
|
180 |
1.2.3.3.1 |
liabilities reported in 1.2.3.3 which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country |
Article 414(1)(b)(iv) of CRR |
|
|
|
|
|
190 |
1.2.3.3.2 |
liabilities reported in 1.2.3.3 which fall under point (b) of Article 422(3) |
Article 427(1)(b)(v) of CRR |
|
|
|
|
|
200 |
1.2.3.3.3 |
liabilities reported in 1.2.3.3 which fall under point (d) of Article 422(3) |
Article 427(1)(b)(vi) of CRR |
|
|
|
|
|
210 |
1.2.4 |
liabilities resulting from securities issued qualifying for the treatment in Article 129(4) or (5) |
Article 427(1)(b)(x) of CRR |
|
|
|
|
|
220 |
1.2.5 |
liabilities resulting from securities defined in Article 52(4) of Directive 2009/65/EC |
Article 427(1)(b)(x) of CRR |
|
|
|
|
|
230 |
1.2.6 |
other liabilities resulting from securities issued |
Article 427(1)(b)(xi) of CRR |
|
|
|
|
|
240 |
1.2.7 |
liabilities from derivatives payables contracts |
|
|
|
|
|
|
250 |
1.2.8 |
any other liabilities |
Article 427(1)(b)(xii) of CRR |
|
|
|
|
|
ANNEX XIII
REPORTING ON LIQUIDITY (PART 1 of 5: LIQUID ASSETS)
1. Liquid assets
1.1. General remarks
1. This is a summary template which contains information about assets for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are colored grey.
2. Assets shall be reported in one of six sections in this template:
3. Assets which meet the requirements of Article 416 and Article 417: assets identified as liquid for reporting purposes in the REGULATION (EU) NO 575/2013, which meet the operational requirements for holdings of liquid assets.
4. Assets which meet the requirements of Article 416 (1) (b) and (d) but do not meet the requirements of Article 417 (b) and (c) REGULATION (EU) NO 575/2013.
5. Items subject to supplementary reporting of liquid assets according to Annex III REGULATION (EU) NO 575/2013
6. Assets which do not meet the requirements of Article 416 REGULATION (EU) NO 575/2013 but meet the requirements of Article 417(b) and (c) REGULATION (EU) NO 575/2013.
7. Treatment for jurisdictions with insufficient liquid assets
8. Reporting of Shar'iah compliant assets as alternative assets under Article 509(2)(i).
1.2. Specific remarks
9. For items 1.1 to 1.2 institutions shall report the relevant amounts in column 030.
10. For items 1.3 to 1.4 institutions shall report the market value of assets in column 010 and the value according to Article 418 in column 020 for each category of assets.
11. For item 1.5 institutions shall report the relevant undrawn amount in column 040.
12. For item 1.6.1/1.6.2 institutions shall report the relevant amounts in column 030/040.
13. For items 1.7 to 2.2, in accordance with the last paragraph of Article 416(1) REGULATION (EU) NO 575/2013 and pending a uniform definition in accordance with Article 460 of high and extremely high liquidity and credit quality, institutions shall identify themselves in a given currency transferable assets that are of extremely high and high liquidity and credit quality and report their market value in columns 010 and 030 and the value according to Article 418 in columns 020 and 040.
14. For items 1.3 to 1.4 and 1.7 to 1.14, institutions shall only report assets that fulfill all the operational requirements referred to in Article 417 REGULATION (EU) NO 575/2013.
15. For items 2.1 to 2.2, institutions shall report assets which would otherwise qualify to be reported in section 1.1 to 1.14 but do not meet the operational requirements referred to in Article 417 (b) and (c) REGULATION (EU) NO 575/2013.
16. For items 1.1 to 2.2, with the exception of item 1.5, institutions shall only report assets which fulfill all the conditions referred to in Article 416(3) REGULATION (EU) NO 575/2013.
17. For items 3.1 to 3.12, institutions shall only report assets subject to supplementary reporting of liquid assets in accordance with Annex III REGULATION (EU) NO 575/2013. All items, with the exception of those referred to in sections 3.1, 3.2 and 3.9, must satisfy the conditions as set out in the last paragraph of that Annex.
18. For items 4.1 to 4.12.3, institutions shall only report assets which do not meet the requirements of Article 416 REGULATION (EU) NO 575/2013 but still meet the requirements of Article 417(b) and (c) REGULATION (EU) NO 575/2013
19. For items 5.1 to 5.2, institutions shall only report items related to the derogations as referred to in Article 419(2) REGULATION (EU) NO 575/2013 for currencies with constraints on the availability of liquid assets
20. For items 6.1 to 6.1.3, only Shar'iah compliant banks shall report items that are Shar'iah compliant financial products as an alternative to assets that would qualify as liquid assets for the purposes of Article 416 REGULATION (EU) NO 575/2013
21. The value of the liquid assets of all items in the template, with the exception of 1.1 to 1.2.1, 1.5 to 1.6.2, 3.1 to 3.2, 3.9 to 3.10 and 5.2 shall be the market value and the value after the application of the relevant haircuts. For items 1.1 to 1.2.1, 1.6 to 1.6.2, 3.1 to 3.2, 3.10 and 5.2 the amount of the item shall be reported. For item 1.5 and 3.9 the undrawn amount of the line shall be reported.
Liquid assets sub template
1.2.1. Instructions concerning specific rows
Row |
Legal references and instructions |
010-390 |
1. ASSETS WHICH MEET THE REQUIREMENTS OF ARTICLES 416 AND 417 REGULATION (EU) NO 575/2013 Assets reported in this section have been explicitly identified as potentially being of high or extremely high liquidity and credit quality.REGULATION (EU) NO 575/2013 |
010 |
1.1 Cash Article 416(1)(a) of REGULATION (EU) NO 575/2013 Total amount of cash including coins and banknotes/currency. Note cash on deposit with other institutions shall not be reported here and shall instead be reported in the collateral category of template 1.3 ‘Inflows’ if it qualifies as monies due over the next 30 days. |
020 |
1.2 Exposures to central banks Articles 416(1)(a) REGULATION (EU) NO 575/2013 Total amount of exposures to central banks. |
030 |
1.2.1 Exposures that can be withdrawn in times of stress Article 416(1)(a) REGULATION (EU) NO 575/2013 |
040-110 |
1.3 Other transferable assets representing claims on or guaranteed by Article 416.1(c) REGULATION (EU) NO 575/2013 |
040-050 |
1.3.1 Transferable assets representing claims on or guaranteed by the central government of a Member State, a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquid assets Article 416(1)(c)(i) REGULATION (EU) NO 575/2013 |
040 |
1.3.1.1 representing claims Assets specified in 1.3.1 that represent claims on the above counterparties, according to Article 416(1)(c)(i) |
050 |
1.3.1.2 guaranteed by Assets specified in 1.3.1 guaranteed by the above counterparties, according to Article 416(1)(c)(i) |
060-070 |
1.3.2 transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities in the domestic currency of the central bank and public sector entity Article 416(1)(c)(ii) REGULATION (EU) NO 575/2013 |
060 |
1.3.2.1 representing claims Assets specified in 1.3.2 that represent claims on the above counterparties, according to Article 416(1)(c)(ii) |
070 |
1.3.2.2 guaranteed by Assets specified in 1.3.2 guaranteed by the above counterparties, according to Article 416(1)(c)(ii) |
080-090 |
1.3.3 transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks Article 416(1)(c)(iii) REGULATION (EU) NO 575/2013 |
080 |
1.3.3.1 representing claims Assets specified in 1.3.3 that represent claims on the above counterparties, according to Article 416(1)(c)(iii) |
090 |
1.3.3.2 guaranteed by Assets specified in 1.3.3 guaranteed by the above counterparties, according to Article 416(1)(c)(iii) |
100-110 |
1.3.4 transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism Article 416(1)(c)(iv) REGULATION (EU) NO 575/2013 |
100 |
1.3.4.1 representing claims Assets specified in 1.3.4 that represent claims on the above counterparties, according to Article 416(1)(c)(iv) |
110 |
1.3.4.2 guaranteed by Assets specified in 1.3.4 guaranteed by the above counterparties, according to Article 416(1)(c)(iv) |
120-140 |
1.4 total shares or units in CIUs with underlying assets specified in Article 416 (1) Article 416(6) of REGULATION (EU) NO 575/2013 |
120 |
1.4.1 underlying assets in point (a) of Article 416(1) |
130 |
1.4.2 underlying assets in point (b) and (c) of Article 416(1) |
140 |
1.4.3 underlying assets in point (d) of Article 416(1) |
150 |
1.5 standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralized by liquid assets and excluding emergency liquidity assistance Article 416(1)(e) REGULATION (EU) NO 575/2013 |
160-170 |
1.6 deposits with the central credit institution and other statutory or contractually available liquid funding from a central credit institution or institutions that are members of a network referred to in Article 113(7) or eligible for the waiver provided in Article 10 REGULATION (EU) NO 575/2013, to the extent that this funding is not collateralized by liquid assets Article 416(1)(f) REGULATION (EU) NO 575/2013 if the credit institution belongs to a network in accordance with legal or statutory provisions, the legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution |
160 |
1.6.1 deposits |
170 |
1.6.2 contractually available funding |
180 |
1.7 Assets issued by a credit institution which has been set up by a Member State central or regional government Article 416(2)(a)(iii) REGULATION (EU) NO 575/2013 |
190-210 |
1.8 non-financial corporate bonds Article 416(1)(b) or (d) REGULATION (EU) NO 575/2013 Non-financial corporate bonds shall be reported according to their credit quality as per Article 122 REGULATION (EU) NO 575/2013. |
190 |
1.8.1 credit quality step 1 |
200 |
1.8.2 credit quality step 2 |
210 |
1.8.3 credit quality step 3 |
220-240 |
1.9 bonds issued by a credit institution eligible for the treatment set out in Article 129(4) or (5) Article 416(2)(a)(i)REGULATION (EU) NO 575/2013 Bonds eligible for the treatment set out in article 129 (4) or (5) shall be reported according to their credit quality as per Article 129(4) or (5) REGULATION (EU) NO 575/2013 |
220 |
1.9.1 credit quality step 1 |
230 |
1.9.2 credit quality step 2 |
240 |
1.9.3 credit quality step 3 |
250-270 |
1.10 asset backed instruments issued by a credit institution if demonstrated to be of the highest credit quality as established by EBA pursuant to the criteria in Article 509 (3), (4) and (5) Article 416(2)(a)(i)REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Articles 123, 124, 125, 126 of REGULATION (EU) NO 575/2013 |
250 |
1.10.1 credit quality step 1 |
260 |
1.10.2 credit quality step 2 |
270 |
1.10.3 credit quality step 3 |
280-300 |
1.11 Residential mortgage backed instruments of the instruments reported in lines 1.10.1, 1.10.2, 1.10.3 Article 416(2)(a)(i)REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Articles 123, 124, 125, 126 of REGULATION (EU) NO 575/2013 |
280 |
1.11.1 credit quality step 1 |
290 |
1.11.2 credit quality step 2 |
300 |
1.11.3 credit quality step 3 |
310-330 |
1.12 bonds as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in 1.9 Article 416(2)(a)(ii) REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Article 129(4) or 129(5) of REGULATION (EU) NO 575/2013 |
310 |
1.12.1 credit quality step 1 |
320 |
1.12.2 credit quality step 2 |
330 |
1.12.3 credit quality step 3 |
340-360 |
1.13 Other transferable assets that are of extremely high liquidity and credit quality Article 416.1(b) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013 Only items that are not specified in the rows above shall be reported here. |
340 |
1.13.1 credit quality step 1 |
350 |
1.13.2 credit quality step 2 |
360 |
1.13.3 credit quality step 3 |
|
1.14 Other transferable assets that are of high liquidity and credit quality Article 416.1(d) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013 Only items that are not specified in the rows above shall be reported here. |
370 |
1.14.1 credit quality step 1 |
380 |
1.14.2 credit quality step 2 |
390 |
1.14.3 credit quality step 3 |
400-410 |
2. ASSETS MEETING THE REQUIREMENTS OF ARTICLE 416 (1) (b) and (d) BUT DO NOT MEET THE REQUIREMENTS OF ARTICLE 417 (b) AND (c) REGULATION (EU) NO 575/2013 Items shall only be reported in one of the below sub-categories, also in case both provisions are not met. |
400 |
2.1 Assets not controlled by a liquidity management function Article 417(c) of REGULATION (EU) NO 575/2013 |
410 |
2.2 assets not legally and practically readily available at any time during the next 30 days to be liquidated via outright sale via a simple repurchase agreements on an approved repurchase markets Article 417(b) of REGULATION (EU) NO 575/2013 |
420-610 |
3. Items subject to supplementary reporting of liquid assets Institutions shall only report assets subject to supplementary reporting of liquid assets in accordance with Annex III REGULATION (EU) NO 575/2013. All items, with the exception of those referred to in sections 3.1, 3.2 and 3.9, must satisfy the conditions as set out in the last paragraph of that Annex. |
420 |
3.1 Cash Annex III Point 1 REGULATION (EU) NO 575/2013 Total amount of cash including coins and banknotes/currency. Only cash shall be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) of Article 416 (3) and can thus not be reported under reporting item 1.1. Note cash on deposit with other institutions shall not be reported here and shall instead be reported in the collateral category of template 1.3 ‘Inflows’ if it qualifies as monies due over the next 30 days. |
430 |
3.2 Central bank exposures, to the extent that these exposures can be drawn down in times of stress Annex III, Point 2 REGULATION (EU) NO 575/2013 Total amount of exposures to central banks, to the extent that these exposures can be drawn down in times of stress. These exposures shall only be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) and can thus not be reported under reporting item 1.3. |
440-480 |
3.3 transferable securities with a 0 % risk weight and not an obligation of an institution or any of its affiliated entities Annex III, Point 3 REGULATION (EU) NO 575/2013 Securities with a 0 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 5 of Annex III. Of which: |
440 |
3.3.1 representing claims on sovereigns Annex III, Point 3 REGULATION (EU) NO 575/2013 |
450 |
3.3.2 claims guaranteed by sovereigns Annex III, Point 3 REGULATION (EU) NO 575/2013 |
460 |
3.3.3 representing claims on or guaranteed by central banks Annex III, Point 3 REGULATION (EU) NO 575/2013 |
470 |
3.3.4 representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities Annex III, Point 3 REGULATION (EU) NO 575/2013 |
480 |
3.3.5 representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development bank Annex III, Point 3 REGULATION (EU) NO 575/2013 |
490 |
3.4 transferable securities other than those referred to in 3.3 representing claims on or claims guaranteed by sovereigns or central banks issued in domestic currencies by the sovereign or central bank in the currency and country in which the liquidty risk is being taken or issued in foreign currencies, to the extent that holding of such debt matches the liquidity needs of the bank's operations in that third country Annex III, Point 4 REGULATION (EU) NO 575/2013 |
500-550 |
3.5 transferable securities with a 20 % risk weight and not an obligation of an institution or any of its affiliated entities Annex III, Point 5 REGULATION (EU) NO 575/2013 Securities with a 20 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 5 of Annex III. Of which: |
500 |
3.5.1 representing claims on sovereigns Annex III, Point 5 REGULATION (EU) NO 575/2013 |
510 |
3.5.2 claims guaranteed by sovereigns Annex III, Point 5 REGULATION (EU) NO 575/2013 |
520 |
3.5.3 representing claims on or guaranteed by central banks Annex III, Point 5 REGULATION (EU) NO 575/2013 |
530 |
3.5.4 representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities Annex III, Point 5 REGULATION (EU) NO 575/2013 |
540 |
3.5.5 representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development bank Annex III, Point 5 REGULATION (EU) NO 575/2013 |
550 |
3.6 transferable securities other than those referred to in point 3.3 to 3.5.6 that qualify for a 20 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and fulfil any of the conditions specifed in Point 6 of Annex III of REGULATION (EU) NO 575/2013 Annex III, Point 6 REGULATION (EU) NO 575/2013 |
560 |
3.7 transferable securities other than those referred to in 3.3 to 3.6 that qualify for a 50 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and do not represent a claim on an SSPE, an institution or any of its affiliated entities Annex III, Point 7 REGULATION (EU) NO 575/2013 |
570 |
3.8 transferable securities other than those referred to in 3.3 to 3.7 that are collateralised by assets that qualify for a 35 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and are fully and completely secured by mortgages on residential property in accordance with Article 125 Annex III, Point 8 REGULATION (EU) NO 575/2013 |
580 |
3.9 standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralized by liquid assets and excluding emergency liquidity assistance Annex III, Point 9 REGULATION (EU) NO 575/2013 Only to the extent not reported under reporting item 1.5. |
590 |
3.10 Legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution or institutions that are members of the network referred to in Article 113(7), or eligible for the waiver provided in Article 10, to the extent that this funding is not collateralised by liquid assets, if the credit institution belongs to a network in accordance with legal or statutory provisions. Annex III, Point 10 REGULATION (EU) NO 575/2013 This item to be included only to the extent not reported under reporting item 1.6. |
600 |
3.11 exchange traded, centrally cleared common equity shares, that are a constituent of a major stock index, denominated in the domestic currency of the Member State and not issued by an institution or any of its affiliates Annex III, Point 11 REGULATION (EU) NO 575/2013 |
610 |
3.12 gold listed on a recognised exchange, held on an allocated basis Annex III, Point 12 REGULATION (EU) NO 575/2013 |
620-850 |
4 ASSETS WHICH DO NOT MEET THE REQUIREMENTS OF ARTICLE 416 REGULATION (EU) NO 575/2013 but still meet the requirements of Article 417 (b) and (c ) REGULATION (EU) NO 575/2013 |
620-640 |
4.1 Financial corporate bonds Article 416 (2) of REGULATION (EU) NO 575/2013 Bonds issued by an investment firm, insurance undertaking, financial holding company, a mixed financial holding company or any other entity that performs one or more of the activities listed in Annex I to Directive 2013/36/EU. Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 |
620 |
4.1.1 credit quality step 1 |
630 |
4.1.2 credit quality step 2 |
640 |
4.1.3 credit quality step 3 |
650-670 |
4.2 own issuances Article 416 (3)(b) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 |
650 |
4.2.1 credit quality step 1 |
660 |
4.2.2 credit quality step 2 |
670 |
4.2.3 credit quality step 3 |
680-700 |
4.3 unsecured credit institution issuances REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 |
680 |
4.3.1 credit quality step 1 |
690 |
4.3.2 credit quality step 2 |
700 |
4.3.3 credit quality step 3 |
710-730 |
4.4 asset backed securities not already reported in 1.10 to 1.11.3 Article 416(4)(b) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013 |
710 |
4.4.1 credit quality step 1 |
720 |
4.4.2 credit quality step 2 |
730 |
4.4.3 credit quality step 3 |
740-760 |
4.5 residential mortgage backed securities not already reported in 1.10 to 1.11.3 Article 509(3)(a) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013 |
740 |
4.5.1 credit quality step 1 |
750 |
4.5.2 credit quality step 2 |
760 |
4.5.3 credit quality step 3 |
770 |
4.6 equities listed on a recognised exchange and major index linked equity instruments, not self issued or issued by financial institutions Articles 416(4)(a) and 509(3)(c) of REGULATION (EU) NO 575/2013 |
780 |
4.7 gold not reported above under 3.1.2 Articles 416(4)(a) and 509(3)(c) of REGULATION (EU) NO 575/2013 |
790 |
4.8 guaranteed bonds not already reported above Article 509(3)(c) of REGULATION (EU) NO 575/2013 |
800 |
4.9 covered bonds not already reported above Article 509(3)(c) of REGULATION (EU) NO 575/2013 |
810 |
4.10 corporate bonds not already reported above Article 509(3)(c) of REGULATION (EU) NO 575/2013 |
820 |
4.11 funds based on the assets reported in 4.6 - 4.10 Article 509(3)(c) of REGULATION (EU) NO 575/2013 |
830-850 |
4.12 other categories of central bank eligible securities or loans Article 509(3)(b) of REGULATION (EU) NO 575/2013 |
830 |
4.12.1 local government bonds Article 509(3)(b) of REGULATION (EU) NO 575/2013 |
840 |
4.12.2 commercial paper Article 509(3)(b) of REGULATION (EU) NO 575/2013 |
850 |
4.12.3 credit claims Article 416(4)(c) of REGULATION (EU) NO 575/2013 |
860-870 |
5 Treatment for jurisdictions with insufficient HQLA Article 419(2) of REGULATION (EU) NO 575/2013 |
860 |
5.1 Use of derogation A (foreign currency) Article 419(2)(a) of REGULATION (EU) NO 575/2013 Total amount of assets held pursuant to derogation A |
870 |
5.2 Use of derogation B (credit line from the relevant central bank) Article 419(2)(b) of REGULATION (EU) NO 575/2013 Total amount of undrawn credit line held pursuant to derogation B |
880-900 |
6 Reporting of Shar'iah compliant assets as an alternative assets under 509(2)(i) Article 509(2)(i) of REGULATION (EU) NO 575/2013 of REGULATION (EU) NO 575/2013 |
880 |
6.1 credit quality step 1 |
890 |
6.1 credit quality step 2 |
900 |
6.1 credit quality step 3 |
REPORTING ON LIQUIDITY (PART 2 of 5: OUTFLOWS)
1. Outflows
1.1. General remarks
1. This is a summary template which contains information about liquidity outflows measured over the next 30 days, for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 of the REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are coloured grey.
2. In accordance with Article 420 REGULATION (EU) NO 575/2013, this section covers reporting requirements on retail deposits (Article 421), other deposits and liabilities (Article 422), additional outflows (Article 423) and outflows from credit and liquidity facilities (Article 424).
3. In accordance with Article 421(5) of the REGULATION (EU) NO 575/2013, institutions may exclude from the calculation of outflows certain clearly circumscribed categories of retail deposits. For completeness, the reporting of these deposits is requested in item 1.1.6 of the template.
1.2. Outflows sub template
1.2.1. Instructions concerning specific rows
Row |
Legal references and instructions |
020-137 |
1. OUTFLOWS Articles 421 to 424 of REGULATION (EU) NO 575/2013. Liabilities reported in this section have been explicitly identified as a potential source of liquidity outflows, over the next 30 days, for reporting purposes. |
020-100 |
1.1 Retail deposits Article 421 of REGULATION (EU) NO 575/2013 Total liability of retail deposits as defined in Article 411(2), including sight deposits and fixed term deposits, of REGULATION (EU) NO 575/2013 shall be reported in column 020. The resulting outflow after having applied the relevant outflow rate shall be reported in column 030. The following subcategories shall be reported: |
020-040 |
1.1.1 Covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country Article 421(1) of REGULATION (EU) NO 575/2013 |
020 |
1.1.1.1 part of an established relationship making withdrawal highly unlikely Article 421(1)(a) of REGULATION (EU) NO 575/2013 Of the retail deposits covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country reported in item 1.1.1, that which is part of an established relationship making withdrawal highly unlikely. Retail deposits which are both part of an established relationship making withdrawal highly unlikely and held in transactional accounts, including accounts to which salaries are regularly credited, shall instead be reported in item 1.1.1.2. |
030 |
1.1.1.2 held in transactional accounts, including accounts to which salaries are regularly credited Article 421(1)(b) of REGULATION (EU) NO 575/2013 Of the retail deposits covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country reported in item 1.1.1, that which is held in transactional accounts, including accounts to which salaries are regularly credited, making withdrawal highly unlikely. |
040 |
1.1.2 covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country which do not qualify to be reported in items 1.1.1.1 or 1.1.1.2 Article 421(2) of REGULATION (EU) NO 575/2013 Of the retail deposits covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country, those other deposits which do not qualify to be reported in items 1.1.1.1 or 1.1.1.2. |
050 |
1.1.3 uninsured retail deposits Article 421(2) of REGULATION (EU) NO 575/2013 Retail deposits not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country. |
060-080 |
1.1.4 deposits subject to higher outflows than specified in Article 421(1) or 421(2) Article 421(3) of REGULATION (EU) NO 575/2013 Retail deposits subject to higher outflows than those specified in Article 421(1) or 421(2) of REGULATION (EU) NO 575/2013REGULATION (EU) NO 575/2013 shall be reported in the following subcategories: |
060 |
1.1.4.1 deposits subject to higher outflow rate - Category 1 – medium risk of outflow Article 421(3) of REGULATION (EU) NO 575/2013 Retail deposits identified by institutions to be allocated to category 1. |
070 |
1.1.4.2 deposits subject to higher outflow rate - Category 2 – high risk of outflow Article 421(3) of REGULATION (EU) NO 575/2013 Retail deposits identified by institutions to be allocated to category 2. |
080 |
1.1.4.3 deposits subject to higher outflow rate – Category 3 - very high risk of outflow Article 421(3) of REGULATION (EU) NO 575/2013 Retail deposits identified by institutions to be allocated to category 3. |
090 |
1.1.5 deposits in third countries where a higher outflow is applied Article 421(4) of REGULATION (EU) NO 575/2013 Retail deposits taken in third countries subject to outflows in that third country which are higher than those specified in Article 421(1) or (2) of REGULATION (EU) NO 575/2013. |
100 |
1.1.6 deposits exempted from the calculation of outflows where the conditions of Art. 421(5) (a) and (b) have been met Article 421 (5) of REGULATION (EU) NO 575/2013 Retail deposits exempted from the calculation of outflows, as referred to in Article 421 (5) of REGULATION (EU) NO 575/2013. |
110-1130 |
1.2 outflows on other liabilities Article 422 REGULATION (EU) NO 575/2013 Total outflows on other liabilities due over the next 30 days shall be reported in the following subcategories as follows: Liabilities reported in this section shall only consist of general obligations other than retail deposits defined in Article 411(2) (which shall instead be reported in item 1.1. above). Liabilities reported here shall fall due over the next 30 days, have an earliest possible contractual maturity date within the next 30 days or have an undefined maturity date. This includes both (i) liabilities with options that are exercisable at the investor's discretion and (ii) liabilities with options exercisable at the institution's discretion where the institution's ability not to exercise the option is limited for reputational reasons. In particular, where the market expects certain liabilities to be redeemed within the next 30 days, before their legal final maturity date, such liabilities shall be included in the appropriate subcategory. |
110 |
1.2.1 liabilities resulting from the institution's own operating expenses Article 422(1) of REGULATION (EU) NO 575/2013 Total amount of liabilities due over the next 30 days resulting from the institution's own operating expenses. Examples include office and utilities expenses, accounting expenses, salary and wages etc and any other costs incurred by the operation of the institution's own activities. |
120-950 |
1.2.2 liabilities resulting from secured lending and capital market driven transactions as defined in Article 192 Article 422(2) of REGULATION (EU) NO 575/2013 For the following subcategories, institutions shall identify the amount of outflows relating to secured lending and capital market driven transactions over the next 30 days, the market value of the corresponding assets which collateralise the transactions and the value of these assets according to Article 418 REGULATION (EU) NO 575/2013. In accordance with Article 192: 1. ‘secured lending transaction’ means any transaction giving rise to an exposure secured by collateral which does not include a provision conferring upon the institution the right to receive margin at least daily; 2. ‘capital market-driven transaction’ means any transaction giving rise to an exposure secured by collateral which includes a provision conferring upon the institution the right to receive margin at least daily. Therefore, any transaction in which the institution has received a collateralised loan in cash, such as repurchase transactions as defined in Article 4 (83) of REGULATION (EU) NO 575/2013, expiring within 30 days shall be reported in this section. Institutions shall report the market value of the assets securing the secured lending and capital market driven transactions in column 010. Institutions shall report these transactions in one of seven categories: Category one: where the counterparty is not a central bank and the assets securing the transaction are of extremely high liquidity and credit quality, the amount due shall be reported in column 020 and the value according to Article 418 REGULATION (EU) NO 575/2013 of the asset securing the transaction shall be reported in column 030. Category two: where the counterparty is not a central bank and the assets securing the transaction are of high liquidity and credit quality, the amount due shall be reported in column 040 and the value according to Article 418 REGULATION (EU) NO 575/2013 of the asset securing the transaction shall be reported in column 050. Category three: where the counterparty is not a central bank and the assets securing the transaction are of other liquidity and credit quality, the amount due shall be reported in column 060. Category four: where the counterparty is a central bank and the assets securing the transaction are of extremely high liquidity and credit quality, the amount due shall be reported in column 070 the value according to Article 418 REGULATION (EU) NO 575/2013 of the asset securing the transaction shall be reported in column 080. Category five: where the counterparty is a central bank and the assets securing the transaction are of high liquidity and credit quality, the amount due shall be reported in column 090 the value according to Article 418 REGULATION (EU) NO 575/2013 of the asset securing the transaction shall be reported in column 100. Category six: where the counterparty is a central bank and the assets securing the transaction are of other liquidity and credit quality, the amount due shall be reported in column 110. Category seven: Where the counterparty is the central government, a public sector entity of the member state in which the credit institution has been authorised or has established a branch, or a multilateral development bank, the amount due shall be reported in column 120. Institutions shall allocate transactions by identifying the liquidity and credit quality of the assets securing the transaction using the same criteria as applied for the purpose of reporting assets in template 1.1 ‘Assets’. I.e. in accordance with Article 416(1) of REGULATION (EU) NO 575/2013, pending a uniform definition in accordance with Article 460 REGULATION (EU) NO 575/2013 of extremely high and high liquidity and credit quality, institutions shall identify themselves in a given currency transferable assets that are respectively of high or extremely high liquidity and credit quality. If the institution has deposited both ‘extremely high’, ‘high’ and ‘other’ liquidity and credit quality assets in a collateral pool and no assets are specifically assigned as collateral for the secured lending and capital market driven transaction, the institution shall assume that the assets with the lowest liquidity and credit quality are assigned first, i.e. assets with ‘other liquidity and credit quality’ shall be assigned first. Only once all those assets are fully assigned, shall assets of ‘high liquidity and credit quality’ be assigned. Only once all those assets are assigned too, shall ‘extremely high liquidity and credit quality’ be assigned. Collateral swaps where the institution simultaneously borrows collateral and lends collateral (in the form of assets other than cash), shall be reported as follows: The value of the asset borrowed shall be its market value in column 010 and its value according to Article 418 REGULATION (EU) NO 575/2013 in the appropriate column. Collateral swaps only relate to collateral, and there is no underlying ‘Amount due’ to be reported. The market value of the asset lent shall be reported in the ‘Market value of the asset securing the transaction’ column in the appropriate subcategory of .3 of template ‘Inflows’. Collateral swaps only relate to collateral, and there is no underlying ‘Amount due’ to be reported. |
120-190 |
1.2.2.1 Other transferable assets representing claims on or guaranteed by Article 416(1)(c) REGULATION (EU) NO 575/2013 Transactions backed by transferable assets shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category. Assets reported in this section have been explicitly identified as potentially being of extremely high or high liquidity and credit quality. Assets reported in this section must meet all the applicable requirements contained in Articles 416 and 417 REGULATION (EU) NO 575/2013. |
120-130 |
1.2.2.1.1 Transferable assets representing claims on or guaranteed by the central government of a Member State, a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquid assets Article 416(1)(c)(i) REGULATION (EU) NO 575/2013 |
120 |
1.2.2.1.1.1 representing claims Assets specified in 1.3.1 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(i) |
130 |
1.2.2.1.1.2 guaranteed by Assets specified in 1.3.1 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(i) |
140-150 |
1.2.2.1.2 transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities in the domestic currency of the central bank and public sector entity Article 416(1)(c)(ii) REGULATION (EU) NO 575/2013 |
140 |
1.2.2.1.2.1 representing claims Assets specified in 1.3.2 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(ii) |
150 |
1.2.2.1.2.2 guaranteed by Assets specified in 1.3.2 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(ii) |
160-170 |
1.2.2.1.3 transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks. Article 416(1)(c)(iii) REGULATION (EU) NO 575/2013 |
160 |
1.2.2.1.3.1 representing claims Assets specified in 1.3.3 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(iii) |
170 |
1.2.2.1.3.2 guaranteed by Assets specified in 1.3.3 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(iii) |
180-190 |
1.2.2.1.4 transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism Article 416(1)(c)(iv) REGULATION (EU) NO 575/2013 |
180 |
1.2.2.1.4.1 representing claims Assets specified in 1.3.4 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(iv) |
190 |
1.2.2.1.4.2 guaranteed by Assets specified in 1.3.4 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(iv) |
200-220 |
1.2.2.2 total shares or units in CIUs with underlying assets specified in Article 416 (1) Article 416(6) of REGULATION (EU) NO 575/2013 Total shares or units in CIUs with underlying assets specified in Article 416(1) REGULATION (EU) NO 575/2013 shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category. |
200 |
1.2.2.2.1 underlying assets in point (a) of article 416(1) |
210 |
1.2.2.2.2 underlying assets in point (b) and (c) of article 416(1) |
220 |
1.2.2.2.3 underlying assets in point (d) of article 416(1) |
230 |
1.2.2.3 Assets issued by a credit institution which has been set up by a Member State central or regional government Article 416(2)(a)(iii) REGULATION (EU) NO 575/2013 |
240-260 |
1.2.2.4 non-financial corporate bonds Article 416(1)(b) or (d) REGULATION (EU) NO 575/2013 Non-financial corporate bonds shall be reported according to their credit quality as per Article 122 REGULATION (EU) NO 575/2013 and in accordance with 1.2.2 above, in the appropriate sub-category. |
240 |
1.2.2.4.1 credit quality step 1 |
250 |
1.2.2.4.2 credit quality step 2 |
260 |
1.2.2.4.3 credit quality step 3 |
270-290 |
1.2.2.5 bonds issued by a credit institution eligible for the treatment set out in Article 129(4) or (5) Article 416(2)(a)(i)REGULATION (EU) NO 575/2013 Bonds eligible for the treatment set out in article 129 (4) or (5) shall be reported according to their credit quality as per Article 129(4) or (5) REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category |
270 |
1.2.2.5.1 credit quality step 1 |
280 |
1.2.2.5.2 credit quality step 2 |
290 |
1.2.2.5.3 credit quality step 3 |
300-320 |
1.2.2.6 asset backed instruments issued by a credit institution if demonstrated to be of the highest credit quality as established by EBA pursuant to the criteria in Article 509 (3), (4) and (5) Article 416(2)(a)(i)REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Article 123, 124, 125, 126 of REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category |
300 |
1.2.2.6.1 credit quality step 1 |
310 |
1.2.2.6.2 credit quality step 2 |
320 |
1.2.2.6.3 credit quality step 3 |
330-350 |
1.2.2.7 Residential mortgage backed instruments of the instruments reported in lines 1.10.1, 1.10.2, 1.10.3 of the liquid assets template Article 416(2)(a)(i)REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Article 123, 124, 125, 126 of REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category |
330 |
1.2.2.7.1 credit quality step 1 |
340 |
1.2.2.7.2 credit quality step 2 |
350 |
1.2.2.7.3 credit quality step 3 |
360-380 |
1.2.2.8 bonds as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in 1.9 Article 416(2)(a)(ii) REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Article 129(4) or 129(5) of REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category |
360 |
1.2.2.8.1 credit quality step 1 |
370 |
1.2.2.8.2 credit quality step 2 |
380 |
1.2.2.8.3 credit quality step 3 |
390-410 |
1.2.2.9 Other transferable assets that are of extremely high liquidity and credit quality Article 416.1(b) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category Only items that are not specified in the rows above shall be reported here. |
390 |
1.2.2.9.1 credit quality step 1 |
400 |
1.2.2.9.2 credit quality step 2 |
410 |
1.2.2.9.3 credit quality step 3 |
420-440 |
1.2.2.10 Other transferable assets that are of high liquidity and credit quality Article 416.1(d) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Chapter 2, Title 2, Part III of REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category. Only items that are not specified in the rows above shall be reported here. |
420 |
1.2.2.10.1 credit quality step 1 |
430 |
1.2.2.10.2 credit quality step 2 |
440 |
1.2.2.10.3 credit quality step 3 |
450-460 |
1.2.2.11 ASSETS MEETING THE REQUIREMENTS OF ARTICLE 416 (1) (b) AND (d) BUT DO NOT MEET THE REQUIREMENTS OF ARTICLE 417 (b) AND (c) REGULATION (EU) NO 575/2013 These items shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category. |
450 |
1.2.2.11.1 Assets not controlled by a liquidity management function Article 417(c) of REGULATION (EU) NO 575/2013 |
460 |
1.2.2.11.2 assets not legally and practically readily available at any time during the next 30 days to be liquidated via outright sale via a simple repurchase agreements on an approved repurchase markets Article 417(b) of REGULATION (EU) NO 575/2013 |
480-680 |
1.2.2.12 Items subject to supplementary reporting of liquid assets Institutions shall only report assets subject to supplementary reporting of liquid assets in accordance with Annex III REGULATION (EU) NO 575/2013. All items, with the exception of those referred to in sections 3.1, 3.2 and 3.9, must satisfy the conditions as set out in the last paragraph of that Annex. These items shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category. Only items that are not specified elsewhere in the template shall be reported here. |
480 |
1.2.2.12.1 Cash Annex III, Point 1 of REGULATION (EU) NO 575/2013 Total amount of cash including coins and banknotes/currency. Only cash shall be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) and can thus not be reported under reporting item 1.1. Note cash on deposit with other institutions shall not be reported here and shall instead be reported in the collateral category of template ‘Inflows’ if it qualifies as monies due over the next 30 days. |
490 |
1.2.2.12.2 Central bank exposures, to the extent that these exposures can be drawn down in times of stress Annex III, Point 2 of REGULATION (EU) NO 575/2013 Total amount of exposures to central banks, to the extent that these exposures can be drawn down in times of stress. These exposures shall only be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) and can thus not be reported under reporting item 1.3. |
500-540 |
1.2.2.12.3 transferable securities with a 0 % risk weight and not an obligation of an institution or any of its affiliated entities Annex III, Point 3 of REGULATION (EU) NO 575/2013 Securities with a 0 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 5 of Annex III. Of which: |
500 |
1.2.2.12.3.1 representing claims on sovereigns Annex III, Point 3 of REGULATION (EU) NO 575/2013 |
510 |
1.2.2.12.3.2 claims guaranteed by sovereigns Annex III, Point 3 of REGULATION (EU) NO 575/2013 |
520 |
1.2.2.12.3.3 representing claims on or guaranteed by central banks Annex III, Point 3 REGULATION (EU) NO 575/2013 |
530 |
1.2.2.12.3.4 representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities Annex III, Point 3 of REGULATION (EU) NO 575/2013 |
540 |
1.2.2.12.3.5 representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development bank Annex III, Point 3 of REGULATION (EU) NO 575/2013 |
550 |
1.2.2.12.4 transferable securities other than those referred to in 3.3 representing claims on or claims guaranteed by sovereigns or central banks issued in domestic currencies by the sovereign or central bank in the currency and country in which the liquidty risk is being taken or issued in foreign currencies, to the extent that holding of such debt matches the liquidity needs of the bank's operations in that third country Annex III, Point 4 of REGULATION (EU) NO 575/2013 |
570-610 |
1.2.2.12.5 transferable securities with a 20 % risk weight and not an obligation of an institution or any of its affiliated entities Annex III, Point 5 of REGULATION (EU) NO 575/2013 Securities with a 20 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 5 of Annex III. Of which: |
570 |
1.2.2.12.5.1 representing claims on sovereigns Annex III, Point 5 of REGULATION (EU) NO 575/2013 |
580 |
1.2.2.12.5.2 claims guaranteed by sovereigns Annex III, Point 5 of REGULATION (EU) NO 575/2013 |
590 |
1.2.2.12.5.3 representing claims on or guaranteed by central banks Annex III, Point 5 of REGULATION (EU) NO 575/2013 |
600 |
1.2.2.12.5.4 representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities Annex III, Point 5 of REGULATION (EU) NO 575/2013 |
610 |
1.2.2.12.5.5 representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development bank Annex III, Point 5 of REGULATION (EU) NO 575/2013 |
620 |
1.2.2.12.6 transferable securities other than those referred to in point 3.3 to 3.5.6 that qualify for a 20 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and fulfil any of the conditions specifed in Point 6 of Annex III of REGULATION (EU) NO 575/2013 Annex III, Point 6 of REGULATION (EU) NO 575/2013 |
630 |
1.2.2.12.7 transferable securities other than those referred to in 3.3 to 3.6 that qualify for a 50 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and do not represent a claim on an SSPE, an institution or any of its affiliated entities Annex III, Point 7 of REGULATION (EU) NO 575/2013 |
640 |
1.2.2.12.8 transferable securities other than those referred to in 3.3 to 3.7 that are collateralised by assets that qualify for a 35 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and are fully and completely secured by mortgages on residential property in accordance with Point 125 Annex III, Point 8 of REGULATION (EU) NO 575/2013 |
650 |
1.2.2.12.9 standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralized by liquid assets and excluding emergency liquidity assistance Annex III, Point 9 of REGULATION (EU) NO 575/2013 Total amount of standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralized by liquid assets and excluding emergency liquidity assistance. |
660 |
1.2.2.12.10 Legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution or institutions that are members of the network referred to in Article 113(7), or eligible for the waiver provided in Article 10, to the extent that this funding is not colateralised by liqduid assets, if the credit institution belongs to a network in accordance with legal or statutory provisions. Annex III, Point 10 of REGULATION (EU) NO 575/2013 |
670 |
1.2.2.12.11 exchange traded, centrally cleared common equity shares, that are a constituent of a major stock index, denominated in the domestic currency of the Member State and not issued by an institution or any of its affiliates Annex III, Point 11 of REGULATION (EU) NO 575/2013 |
680 |
1.2.2.12.12 gold listed on a recognised exchange, held on an allocated basis Annex III, Point 12 of REGULATION (EU) NO 575/2013 |
690-920 |
1.2.2.13 ASSETS WHICH DO NOT MEET THE REQUIREMENTS OF ARTICLE 416 REGULATION (EU) NO 575/2013 but still meet the requirements of Article 417 (b) and (c ) REGULATION (EU) NO 575/2013. These items shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category. |
690-710 |
1.2.2.13.1 financial corporate bonds Article 416 (2) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 |
690 |
1.2.2.13.1.1 credit quality step 1 |
700 |
1.2.2.13.1.2 credit quality step 2 |
710 |
1.2.2.3.1.3 credit quality step 3 |
720-740 |
1.2.2.13.2 own issuances Article 416 (3)(b) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 |
720 |
1.2.2.13.2.1 credit quality step 1 |
730 |
1.2.2.13.2.2 credit quality step 2 |
740 |
1.2.2.13.2.3 credit quality step 3 |
750-770 |
1.2.2.13.3 unsecured credit institution issuances Article 416 of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 |
750 |
1.2.2.13.3.1 credit quality step 1 |
760 |
1.2.2.13.3.2 credit quality step 2 |
770 |
1.2.2.4.13.3 credit quality step 3 |
780-800 |
1.2.2.13.4 asset backed securities not already reported in 1.10 to 1.11.3 Article 416(4)(b) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013 |
780 |
1.2.2.13.4.1 credit quality step 1 |
790 |
1.2.2.13.4.2 credit quality step 2 |
800 |
1.2.2.12.4.3 credit quality step 3 |
810-830 |
1.2.2.13.5 residential mortgage backed securities not already reported in 1.10 to 1.11.3 Article 509(3) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013 |
810 |
1.2.2.13.5.1 credit quality step 1 |
820 |
1.2.2.13.5.2 credit quality step 2 |
830 |
1.2.2.13.5.3 credit quality step 3 |
840 |
1.2.2.13.6 equities listed on a recognised exchange and major index linked equity instruments, not self issued or issued by financial institutions Article 509(3)(c) of REGULATION (EU) NO 575/2013 |
850 |
1.2.2.13.7 gold Article 509(3)(c) of REGULATION (EU) NO 575/2013 |
860 |
1.2.2.13.8 guaranteed bonds not already reported above Article 509(3)(c) of REGULATION (EU) NO 575/2013 |
870 |
1.2.2.13.9 covered bonds not already reported above Article 509(3)(c) of REGULATION (EU) NO 575/2013 |
880 |
1.2.2.13.10 corporate bonds not already reported above Article 509(3)(c) of REGULATION (EU) NO 575/2013 |
890 |
1.2.2.13.11 funds based on the assets reported in 4.5 - 4.10 Article 509(3)(c) of REGULATION (EU) NO 575/2013 |
900-920 |
1.2.2.13.12 other categories of central bank eligible securities or loans Article 509(3)(b) of REGULATION (EU) NO 575/2013 |
900 |
1.2.2.13.12.1 local government bonds Article 509(3)(b) of REGULATION (EU) NO 575/2013 |
910 |
1.2.2.13.12.2 commercial paper Article 509(3)(b) of REGULATION (EU) NO 575/2013 |
920 |
1.2.2.13.12.3 credit claims Article 416(4)(c) of REGULATION (EU) NO 575/2013 |
930-950 |
1.2.2.14 Reporting of Shar'iah compliant assets as an alternative assets under 509(2)(i) Articles 419(2)(a) of REGULATION (EU) NO 575/2013 and 509(2)(i) These items shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category. |
930 |
1.2.2.14.1 credit quality step 1 |
940 |
1.2.2.14.2 credit quality step 2 |
950 |
1.2.2.14.3 credit quality step 3 |
960-1030 |
1.2.3 Deposits that have to be maintained by the depositor Article 422(3) of REGULATION (EU) NO 575/2013 Total amount of deposits, including sight deposits and fixed term deposits, that have to be maintained by the depositor shall be reported in the following subcategories in columns 010 ‘Amount deposited by clients that are financial customers’ and column 030 ‘Amount deposited by clients that are not financial customers’ dependent on the counterparty type, as follows: |
960-990 |
1.2.3.1 in order to obtain clearing, custody or cash management services (excluding correspondent banking or prime brokerage) Article 422(3)(a) of REGULATION (EU) NO 575/2013 Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage), shall be reported in the following subcategories as follows: [Note: A clearing relationship, in this context, refers to a service arrangement that enables customers to transfer funds (or securities) indirectly through direct participants in domestic settlement systems to final recipients. Such services are limited to the following activities: transmission, reconciliation and confirmation of payment orders; daylight overdraft, overnight financing and maintenance of post-settlement balances; and determination of intra-day and final settlement positions. Clearing and related services must be provided under a legally binding agreement to institutional customers (Basel III liquidity rules text paragraph 75). A custody relationship, in this context, refers to the provision of safekeeping, reporting, processing of assets and/or the facilitation of the operational and administrative elements of related activities on behalf of customers in the process of their transacting and retaining financial assets. Custody related services must be provided under a legally binding custodial services or other similar agreement to institutional customers. Such services are limited to the settlement of securities transactions, the transfer of contractual payments, the processing of collateral, the execution of foreign currency transactions, the holding of related cash balances and the provision of ancillary cash management services. Also included is the receipt of dividends and other income, client subscriptions and redemptions, scheduled distributions of client funds and the payment of fees, taxes and other expenses. Custodial services can furthermore extend to asset and corporate trust servicing, treasury, escrow, funds transfer, stock transfer and agency services, including payment and settlement services (excluding correspondent banking), trade financing, and depository receipts (Basel III liquidity rules text paragraph 76). A cash management relationship, in this context, refers to the provision of cash management and related services to customers. Cash management and related] |
960-970 |
1.2.3.1.1 which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country, shall be reported in the following subcategories as follows: |
960 |
1.2.3.1.1.1 of which there is evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country and where there is evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality. |
970 |
1.2.3.1.1.2 of which there is no evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country yet there is no evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality, shall be reported in the following subcategories as follows: |
980-990 |
1.2.3.1.2 which are not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) which are not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country, shall be reported in the following subcategories as follows: |
980 |
1.2.3.1.2.1 of which there is evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) which are not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country and there is evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality. |
990 |
1.2.3.1.2.2 of which there is no evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) which are not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country and there is no evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality, shall be reported in the following subcategories as follows: |
1000 |
1.2.3.2 in the context of an established operational relationship other than that reported in 1.2.3.1.1 and 1.2.3.1.2 Article 422(3)(c) Total amount of deposits that have to be maintained by the depositor in the context of an established operational relationship other than that reported in 1.2.3.1.1 and 1.2.3.1.2. |
1010 |
1.2.3.2.1 of which are correspondent banking or prime brokerage services Total amount of deposits that have to be maintained by the depositor in the context of an established operational relationship other than that reported in 1.2.3.1.1 and 1.2.3.1.2 which are deposits relating to correspondent banking or prime brokerage services. |
1020 |
1.2.3.4 in the context of common task sharing within an institutional protection scheme or as a legal or statutory minimum deposit by another entity being a member of the same institutional protection scheme Article 422(3)(b) of REGULATION (EU) NO 575/2013 Total amount of deposits that have to be maintained by the depositor in the context of common task sharing within an institutional protection scheme meeting or as a legal or statutory minimum deposit by another entity being a member of the same institutional protection scheme. |
1030 |
1.2.3.5 to obtain cash clearing and central credit institution services and where the credit institution belongs to a network in accordance with legal or statutory provisions; Article 422(3)(d) of REGULATION (EU) NO 575/2013 Total amount of deposits that have to be maintained by the depositor to obtain cash clearing and central credit institution services and where the credit institution belongs to a network in accordance with legal or statutory provisions; |
1040 |
1.2.4 Deposits from credit institutions placed at central credit institutions that are considered as liquid assets in accordance with Article 416(1)(f) Article REGULATION (EU) NO 575/2013422(3), last paragraph Total amount of deposits from credit institutions placed at central credit institutions that are considered as liquid assets in accordance with Article 416(1)(f) |
1050 |
1.2.5 liquidity lines for assets specified in Article 416(1)(f) Article 416(1)(f) Total amount of liquidity lines for assets specified in Article 416(1)(f) |
1060-1070 |
1.2.6 liabilities not reported in 1.2.2 or 1.2.5 resulting from deposits by clients that are not financial clients Article 422(5) of REGULATION (EU) NO 575/2013 Total amount of liabilities not reported in 1.2.2 or 1.2.5 resulting from deposits by clients that are not financial clients. |
1060 |
1.2.6.1 which are covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country |
1070 |
1.2.6 which are not covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country |
1060 |
1.2.7 net amount payable from the contracts listed in Annex II (net of collateral to be received that qualifies as liquid assets under Article 416) Article 422(6) of REGULATION (EU) NO 575/2013 The net amount of payable expected over the 30 day horizon from the contracts listed in Annex II. Amounts shall: — be net across all counterparties — be net of collateral to be received that qualifies as liquid assets under Article 416 — not be the marked-to-market value, since the marked-to market value also includes estimates for contingent inflows and outflows and may include cash flows that occur beyond the 30-day horizon Note net amount receivable shall be reported in 1.3 ‘Inflows’ item 1.1.6 (net amount receivable from the contracts listed in Annex II (net of collateral to be received that qualifies as liquid assets under Article 416)). |
1090-1100 |
1.2.8 liabilities for which the competent authority has determined a lower outflow Article 422(8) of REGULATION (EU) NO 575/2013 Total amount of liabilities for which the competent authority has determined a lower outflow on a case-by-case basis, shall be reported in the following subcategories as follows: |
1090 |
1.2.8.1 where all the conditions of Article 422(8) (a), (b), (c) and (d) are met Total amount of liabilities for which the competent authority has granted a lower outflow on a case-by-case basis and where all the conditions of Article 422(8) (a), (b), (c) and (d) are met. |
1100 |
1.2.8.2 where all the conditions of Article 422(8) (a), (b), and (c) are met for the purposes of applying the intra-group treatment of Article 20(1)(b) in relation to institutions that are not subject to the waiver of Article 8 Total amount of liabilities for which the competent authority has granted a lower outflow on a case-by-case basis and where all the conditions of Article 422(8) (a), (b), and (c) are met for the purposes of applying the intra-group treatment of Article 20(1)(b) in relation to institutions that are not subject to the waiver of Article 8. |
1110-1120 |
1.2.9 liabilities, including any contractual arrangements such as other off balance sheet and contingent funding obligations, for which the competent authority has determined a higher outflow following the assessment referred to in Article 420(2) of REGULATION (EU) NO 575/2013 Articles 420(1)(e) and 420(2) of REGULATION (EU) NO 575/2013 Total amount of all liabilities, including any contractual arrangements such as other off balance sheet and contingent funding obligations, for which the competent authority has determined a higher outflow following the assessment referred to in Article 420(2) of REGULATION (EU) NO 575/2013. |
1110 |
1.2.9 liabilities, including any contractual arrangements such as other off balance sheet and contingent funding obligations, for which the competent authority has determined a higher outflow following the assessment referred to in Article 420(2) of REGULATION (EU) NO 575/2013 |
1120 |
1.2.9 liabilities, including any contractual arrangements such as other off balance sheet and contingent funding obligations, for which the competent authority has determined a higher outflow following the assessment referred to in Article 420(2) of REGULATION (EU) NO 575/2013 |
1130 |
1.2.10 all other liabilities Article 422(7) of REGULATION (EU) NO 575/2013 Total amount of all other liabilities. |
1140-1210 |
1.3 Additional Outflows Total amount of all additional outflows, shall be reported in the following subcategories as follows: |
1140 |
1.3.1 for collateral other than assets referred to in Article 416(1) (a) to (c) which is posted by the institution for contracts listed in Annex II Article 423(1) of REGULATION (EU) NO 575/2013 Total amount of all additional outflows for collateral other than assets referred to in Article 416(1) (a) to (c) which is posted by the institution for contracts listed in Annex II, shall be reported in the following subcategories as follows: |
1150 |
1.3.2 corresponding to additional collateral needs that would result from a material deterioration in the credit quality of the institution Article 423(2) of REGULATION (EU) NO 575/2013 Total amount of outflows corresponding to additional collateral needs that would result from a material deterioration in the credit quality of the institution. |
1160 |
1.3.3 corresponding to additional collateral needs that would result from the impact of an adverse market scenario on the institution's derivatives transaction, financing transactions and other contracts if material Article 423(3) of REGULATION (EU) NO 575/2013 Total amount of outflows corresponding to additional collateral needs that would result from the impact of an adverse market scenario. |
1170 |
1.3.4 corresponding to the market value of securities or other assets sold short and to be delivered within the 30 days horizon unless the institution owns the securities to be delivered or has borrowed them at terms requiring their return only after the 30 day horizon and the securities do not form part of the institutions liquid assets Article 423(4) of REGULATION (EU) NO 575/2013 Total amount of outflows corresponding to the market value of securities or other assets sold short and to be delivered within the 30 days horizon unless the institution owns the securities to be delivered or has borrowed them at terms requiring their return only after the 30 day horizon and the securities do not form part of the institutions liquid assets. |
1180 |
1.3.5 corresponding to the excess collateral the institution holds that can be contractually called at any time by the counterparty Article 423(5)(a) of REGULATION (EU) NO 575/2013 Total amount of outflows corresponding to the excess collateral the institution holds that can be contractually called at any time by the counterparty |
1190 |
1.3.6 corresponding to collateral that is due to be returned to a counterparty Article 423(5)(b) of REGULATION (EU) NO 575/2013 Total amount of outflows corresponding to collateral that is due to be returned to a counterparty |
1200 |
1.3.7 corresponding to collateral that corresponds to assets that would qualify as liquid assets for the purposes of Article 416 that can be substituted for assets corresponding to assets that would not qualify as liquid assets for the purposes of Article 416 without the consent of the credit institution. Article 423(5)(c) of REGULATION (EU) NO 575/2013 Total amount of outflows corresponding to collateral that corresponds to assets that would qualify as liquid assets for the purposes of Article 416 that can be substituted for assets corresponding to assets that would not qualify as liquid assets for the purposes of Article 416 without the consent of the credit institution. |
1210 |
1.3.8 deposits received as collateral Article 423(6) of REGULATION (EU) NO 575/2013 Total amount of outflows corresponding to deposits received as collateral |
1220-1370 |
1.4 Outflows from credit and liquidity facilities Total maximum amount that could be drawn from undrawn credit and liquidity facilities, shall be reported in the following subcategories as follows: [Note: This maximum amount that can be drawn may be assessed net of the value according to Article 418 of collateral to be provided if the institution can reuse the collateral and if the collateral in the form of liquid assets in accordance with Article 416. The collateral to be provided may not be assets issued by the counterparty of the facility or one of its affiliated entities. If the necessary information is available to the institution, the maximum amount that can be drawn for credit and liquidity facilities provided to SSPEs shall be determined as the maximum amount that could be drawn given an SSPEs own obligations coming due over the next 30 days.] |
1220 |
1.4.1 maximum amount that can be drawn of undrawn committed credit facilities and undrawn committed liquidity facilities for retail clients Article 424(2) REGULATION (EU) NO 575/2013 Total maximum amount that could result from undrawn committed credit and undrawn committed liquidity facilities for retail clients if they qualify for the retail exposure class under the Standardised or IRB approaches for credit risk. |
1230-1240 |
1.4.2 maximum amount that can be drawn of undrawn committed credit facilities and undrawn committed liquidity facilities for clients other than retail and financial customers Article 424(3) of REGULATION (EU) NO 575/2013 Total maximum amount that could result from undrawn committed credit and undrawn committed liquidity facilities for clients other than retail and financial customers, where they meet the following conditions: (a) they do not qualify for the retail exposure class under the Standardised or IRB approaches for credit risk; (b) they have been provided to clients that are not financial customers; (c) they have not been provided for the purpose of replacing funding of the client in situations where he is unable to obtain its funding requirements in the financial markets. |
1230 |
1.4.2.1 – undrawn committed credit facilities Total amount of 1.4.2 that constitute undrawn committed credit facilities |
1240 |
1.4.2.2 – undrawn committed liquidity facilities Total amount of 1.4.2 that constitute undrawn committed liquidity facilities |
1250 |
1.4.3 maximum amount that can be drawn of undrawn liquidity facilities that has been provided to an SSPE for the purpose of enabling such SSPE to purchase assets other than securities from clients that are not financial customers that exceeds the amount of assets currently purchased from clients and where the maximum amount that can be drawn is contractually limited to the amount of assets currently purchased Article 424(4) of REGULATION (EU) NO 575/2013 Total maximum amount that could result from undrawn liquidity facilities that has been provided to an SSPE for the purpose of enabling such SSPE to purchase assets other than securities from clients that are not financial customers. |
1260-1270 |
1.4.4 maximum amount that can be drawn of other undrawn committed credit faciltiies and undrawn committed liquidity facilities not reported in 1.4.1, 1.4.2 or 1.4.3 Article 424(5) of REGULATION (EU) NO 575/2013 Total maximum amount that could result from undrawn credit and liquidity facilities to customers other than that reported in 1.4.1, 1.4.2 or 1.4.3. This includes: (a) liquidity facilities that the institution has granted to SSPEs; (b) arrangements under which the institution is required to buy or swap assets from an SSPE. |
1260 |
1.4.4.1 granted to SSPEs other than those in 1.4.3 Article 424(5) point (a) of REGULATION (EU) NO 575/2013 Total amount of 1.4.4 that relates to items granted to SSPEs other than those in 1.4.3 |
1270 |
1.4.4.2 arrangements under which the institution is required to buy or swap assets from an SSPE Article 424.5 point (b) of REGULATION (EU) NO 575/2013 Total amount of 1.4.4 that relate to arrangements under which the institution is required to buy or swap assets from an SSPE |
1280-1290 |
1.4.4.3 extended to credit institutions Article 424.5 point (c) of REGULATION (EU) NO 575/2013 Total amount of 1.4.4 that relates to items extended to credit institutions |
1280 |
1.4.4.3.1 undrawn committed credit facilities Total amount of 1.4.4.3 that relate to undrawn committed credit facilities |
1290 |
1.4.4.3.2 undrawn committed liquidity facilities Total amount of 1.4.4.3 that relate to undrawn committed liquidity facilities |
1300-1310 |
1.4.4.4 extended to financial institutions and investment firms Article 424.5 point (d) of REGULATION (EU) NO 575/2013 Total amount of 1.4.4 that relates to items extended to financial institutions and investment firms excluding credit institutions |
1300 |
1.4.4.4.1 undrawn committed credit facilities Total amount of 1.4.4.4 that relate to undrawn committed credit facilities |
1310 |
1.4.4.4.2 undrawn committed liquidity facilities Total amount of 1.4.4.4 that relate to undrawn committed liquidity facilities |
1320 |
1.4.4.5 extended to other clients Total amount of 1.4.4 that relates to items extended to other clients |
1330 |
1.4.4.6 extended to intra-group entities Total amount of 1.4.4 that relates to items extended to a intra-group REGULATION (EU) NO 575/2013 entities |
1340 |
1.4.5 maximum amount that can be drawn of undrawn credit and liquidity facilities granted for the purpose of funding promotional loans Article 424(6) of REGULATION (EU) NO 575/2013 Total maximum amount that could result from undrawn credit and liquidity facilities granted for the sole purpose of directly or indirectly funding promotional loans qualifying for the exposure classes referred to in those paragraphs 2 and 3. Those promotional loans shall be available only to persons who are not financial customers on a non-competitive, not for profit basis in order to promote public policy objectives of that Member State central or regional government. It shall only be possible to draw on such facilities following a request for a promotional loan and up to the amount of such request. |
1350 |
1.4.6 maximum amount that can be drawn from all other contingent liabilities Total maximum amount that could result from all other contingent liabilities. These contingent funding obligations may be either contractual or non-contractual and are not lending commitments. Non-contractual contingent funding obligations include associations with, or sponsorship of, products sold or services provided that may require the support or extension of funds in the future under stressed conditions. Non-contractual obligations may be embedded in financial products and instruments sold, sponsored, or originated by the institution that can give rise to unplanned balance sheet growth arising from support given for reputational risk considerations. |
1360 |
1.4.6.1 extended to intra-group entities Amount of 1.4.6 that is extended to an intra-group REGULATION (EU) NO 575/2013 entities |
1370 |
1.4.7 outflows according to Article 105 CRD Total outflows stemming from the risk factors mentioned in points (a) and (d) of Article 105 REGULATION (EU) NO 575/2013 to the extent that they are expected to occur with 30 days. |
REPORTING ON LIQUIDITY (PART 3 of 5: INFLOWS)
1. Inflows
1.1. General remarks
1. This is a summary template which contains information about liquidity inflows measured over the next 30 days, for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 of the REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are coloured grey.
2. In accordance with Article 425(2) REGULATION (EU) NO 575/2013, liquidity inflows shall:
(i) comprise only contractual inflows from exposures that are not passed due and for which the bank has no reason to expect non-performance within the 30-day time horizon.
(ii) be reported in full,.
3. In accordance with Article 425(7) REGULATION (EU) NO 575/2013, institutions shall not report inflows from any of the liquid assets reported in accordance with Article 416 other than payments due on the assets that are not reflected in the market value of the asset.
4. In accordance with Article 425(8) REGULATION (EU) NO 575/2013, institutions shall not report inflows from any new obligations entered into.
1.2. Inflows sub template
1.2.1. Instructions concerning specific rows
Row |
Legal references and instructions |
010-030 |
INFLOWS Article 425 REGULATION (EU) NO 575/2013 Total inflows. Monies due reported in this section have been explicitly identified as a potential source of liquidity inflows, over the next 30 days, for reporting purposes, in Article 425 of REGULATION (EU) NO 575/2013. Amounts reported in the ‘amount column’ in each subcategory shall be full amounts i.e. not reduced, by the percentages given in the REGULATION (EU) NO 575/2013. |
010-980 |
1 Inflows Article 425 of REGULATION (EU) NO 575/2013 Column 010 refers to the total amount of monies due, whereas column 020 refers to the relevant inflow, after application of inflow rate where applicable. |
010-060 |
1.1 monies due from customers that are not financial customers Article 425(2)(a) of REGULATION (EU) NO 575/2013 Monies due over the next 30 days, (including interest payments) from customers that are not financial customers, shall be reported in the following subcategories as follows: [Note: these include maturing loans that have already been agreed to be rolled-over. Non-maturing loans are assumed not to represent a cash inflow and shall not be reported here]. |
010 |
1.1.1 monies due from retail customers Articles 425(2)(a) of REGULATION (EU) NO 575/2013 Monies due over the next 30 days from retail customers, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon, (including interest payments). |
020 |
1.1.2 monies due from non-financial corporate customers Article 425(2)(a) of REGULATION (EU) NO 575/2013 Monies due over the next 30 days from non-financial corporate customers, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon, (including interest payments). |
030 |
1.1.2.1 that the institution owing those monies treats according to Article 422 (3) and (4) Article 425(2)(e) REGULATION (EU) NO 575/2013 Of the amount reported in 1.1.2, the total amount due by the institution in order to obtain clearing, custody or cash management services according to Article 422(3) and (4). |
040 |
1.1.3 monies due from central banks Article 425(2)(a) of REGULATION (EU) NO 575/2013 Monies due over the next 30 days from central banks, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon, (including interest payments). |
050 |
1.1.3.1 that the institution owing those monies treats according to Article 422(3) and (4) Article 425(2)(e) of REGULATION (EU) NO 575/2013 Of the amount reported in 1.1.3, the total amount due by the institution in order to obtain clearing, custody or cash management services according to Article 422(3) and (4). |
060 |
1.1.4 monies due from other customers that are not financial customers Article 425(2)(a) of REGULATION (EU) NO 575/2013 Total amount of monies due over the next 30 days from customers that are not financial customers, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon, (including interest payments), not included in rows 1.1.1 to 1.1.3. |
070-080 |
1.2 monies due from financial customers Article 425(2) REGULATION (EU) NO 575/2013 Total amount of monies due over the next 30 days from financial customers, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon, (including interest payments). Secured lending and capital market transactions shall be reported in section 1.2. |
070 |
1.2.1 that the institution owing those monies treats according to Article 422(3) and (4) Article 425(2)e) of REGULATION (EU) NO 575/2013 Of the amount reported in 1.2, monies due by the institution in order to obtain clearing, custody or cash management services according to Article 422(3) and (4). |
080 |
1.2.2 that the competent authority has granted the permission to apply a lower outflow percentage according to 422(8) Article 422(8) of REGULATION (EU) NO 575/2013 Of the amount reported in 1.2, monies due that the competent authority has granted the permission to apply a lower outflow percentage according to 422(8) |
090 |
1.3 monies due from trade financing transactions according to article 425(2)(b) Article 425(2)(b) REGULATION (EU) NO 575/2013 Monies from trade financing transactions according to article 425(2)(b) |
100 |
1.4 assets with an undefined contractual end date according to Article 425(2)(c) Article 425(2)(c) REGULATION (EU) NO 575/2013 Assets with an undefined contractual end date according to Article 425(2)(c) |
110 |
1.5 monies due from positions in major index equity instruments provided that there is no double counting with liquid assets Article 425(2)(f) REGULATION (EU) NO 575/2013 Monies due from positions in major index equity instruments provided that there is no double counting with liquid assets |
120-930 |
1.6 Monies due from secured lending and capital market driven transactions as defined in Article 192 Article 425(2)(d) of REGULATION (EU) NO 575/2013 For the following subcategories, institutions shall identify the amount of inflows relating to secured lending and capital market driven transactions over the next 30 days and the market value of the corresponding assets which collateralise the transactions. In accordance with Article 192: 1. ‘secured lending transaction’ means any transaction giving rise to an exposure secured by collateral which does not include a provision conferring upon the institution the right to receive margin at least daily; 2. ‘capital market-driven transaction’ means any transaction giving rise to an exposure secured by collateral which includes a provision conferring upon the institution the right to receive margin at least daily. Therefore, any transaction in which the institution has provided a collateralised loan in cash, such as reverse repurchase transactions as defined in Article 4 (83) of REGULATION (EU) NO 575/2013, expiring within 30 days, shall be reported in this section. Institutions shall report the amount due with 30 days in columns 010, 030 and 050 and the market value of the assets securing the secured lending and capital market driven transactions in columns 020, 040 and 060, depending on the asset quality category the asset has been allocated to (extremely high liquidity and credit quality, high liquidity and credit quality and other liquidity and credit quality). Institutions shall allocate transactions by identifying the liquidity and credit quality of the assets securing the transaction using the same criteria as applied for the purpose of reporting assets in template 1.1 ‘Assets’. I.e. in accordance with Article 416(1) of REGULATION (EU) NO 575/2013, pending a uniform definition in accordance with Article 460 REGULATION (EU) NO 575/2013 of extremely high and high liquidity and credit quality, institutions shall identify themselves in a given currency transferable assets that are respectively of high or extremely high liquidity and credit quality. If the institution has received both ‘extremely high’, ‘high’ and ‘other’ liquidity and credit quality assets in a collateral pool and no assets are specifically assigned as collateral for the secured lending and capital market driven transaction, the institution shall assume that the assets with the lowest liquidity and credit quality are assigned first, i.e. assets with ‘other liquidity and credit quality’ shall be assigned first. Only once all those assets are fully assigned, shall assets of ‘high liquidity and credit quality’ be assigned. Only once all those assets are assigned too, shall ‘extremely high liquidity and credit quality’ be assigned. |
120-190 |
1.6.1 Other transferable assets representing claims on or guaranteed by Article 416.1(c) REGULATION (EU) NO 575/2013 Transactions backed by transferable assets shall be reported here, in the appropriate sub-category. Assets reported in this section have been explicitly identified as potentially being of extremely high or high liquidity and credit quality. Assets reported in this section must meet all the applicable requirements contained in Articles 416 and 417 REGULATION (EU) NO 575/2013. |
120-130 |
1.6.1.1 Transferable assets representing claims on or guaranteed by the central government of a Member State, a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquid assets Article 416(1)(c)(i) REGULATION (EU) NO 575/2013 |
120 |
1.6.1.1.1 representing claims Assets specified in 1.3.1 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(i) |
130 |
1.6.1.1.2 guaranteed by Assets specified in 1.3.1 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(i) |
140-150 |
1.6.1.2 transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities in the domestic currency of the central bank and public sector entity Article 416(1)(c)(ii) REGULATION (EU) NO 575/2013 |
140 |
1.6.1.2.1 representing claims Assets specified in 1.3.2 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(ii) |
150 |
1.6.1.2.2 guaranteed by Assets specified in 1.3.2 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(ii) |
160-170 |
1.6.1.3 transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks. Article 416(1)(c)(iii) REGULATION (EU) NO 575/2013 |
160 |
1.6.1.3.1 representing claims Assets specified in 1.3.3 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(iii) |
170 |
1.6.1.3.2 guaranteed by Assets specified in 1.3.3 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(iii) |
180-190 |
1.6.1.4 transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism Article 416(1)(c)(iv) REGULATION (EU) NO 575/2013 |
180 |
1.6.1.4.1 representing claims Assets specified in 1.3.4 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(iv) |
190 |
1.6.1.4.2 guaranteed by Assets specified in 1.3.4 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(iv) |
200-220 |
1.6.2 total shares or units in CIUs with underlying assets specified in Article 416 (1) Article 416(6) of REGULATION (EU) NO 575/2013 Total shares or units in CIUs with underlying assets specified in Article 416(1) REGULATION (EU) NO 575/2013 shall be reported here, using the appropriate sub-category according to the LCR liquid assets template. |
200 |
1.6.2.1 underlying assets in point (a) of article 416(1) |
210 |
1.6.2.2 underlying assets in point (b) and (c) of article 416(1) |
220 |
1.6.2.3 underlying assets in point (d) of article 416(1) |
230 |
1.6.3 Assets issued by a credit institution which has been set up by a Member State central or regional government Assets issued by a credit institution which has been set up by a Member State central or regional government where at least one of the conditions in Article 416 (2)(a)(iii) is met |
240-260 |
1.6.4 non-financial corporate bonds Article 416(1)(b) or (d) REGULATION (EU) NO 575/2013 Non-financial corporate bonds shall be reported according to their credit quality as per Article 122 REGULATION (EU) NO 575/2013, using the appropriate sub-category. |
240 |
1.6.4.1 credit quality step 1 |
250 |
1.6.4.2 credit quality step 2 |
260 |
1.6.4.3 credit quality step 3 |
270-290 |
1.6.5 bonds issued by a credit institution eligible for the treatment set out in Article 129(4) or (5) Article 416(2)(a)(i)REGULATION (EU) NO 575/2013 Bonds eligible for the treatment set out in article 129 (4) or (5) shall be reported according to their credit quality as per Article 129(4) or (5) REGULATION (EU) NO 575/2013, using the appropriate sub-category |
270 |
1.6.5.1 credit quality step 1 |
280 |
1.6.5.2 credit quality step 2 |
290 |
1.6.5.3 credit quality step 3 |
300-320 |
1.6.6 asset backed instruments issued by a credit institution if demonstrated to be of the highest credit quality as established by EBA pursuant to the criteria in Article 509 (3), (4) and (5) Article 416(2)(a)(i)REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Article 123, 124, 125, 126 of REGULATION (EU) NO 575/2013, using the appropriate sub-category |
300 |
1.6.6.1 credit quality step 1 |
310 |
1.6.6.2 credit quality step 2 |
320 |
1.6.6.3 credit quality step 3 |
330-350 |
1.6.7 Residential mortgage backed instruments of the instruments reported in lines 1.6.6 Article 416(2)(a)(i)REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Article 123, 124, 125, 126 of REGULATION (EU) NO 575/2013, using the appropriate sub-category |
330 |
1.6.7.1 credit quality step 1 |
340 |
1.6.7.2 credit quality step 2 |
350 |
1.6.7.3 credit quality step 3 |
360-380 |
1.6.8 bonds as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in line 1.9 of the liquid assets template Article 416(2)(a)(ii) REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Article 129(4) or 129(5) of REGULATION (EU) NO 575/2013 in the appropriate sub-category |
360 |
1.6.8.1 credit quality step 1 |
370 |
1.6.8.2 credit quality step 2 |
380 |
1.6.8.3 credit quality step 3 |
390-410 |
1.6.9 Other transferable assets that are of extremely high liquidity and credit quality Article 416.1(b) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013 in the appropriate sub-category Only items that are not specified in the rows above shall be reported here. |
390 |
1.6.9.1 credit quality step 1 |
400 |
1.6.9.2 credit quality step 2 |
410 |
1.6.9.3 credit quality step 3 |
420-440 |
1.6.10 Other transferable assets that are of high liquidity and credit quality Article 416.1(d) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013 in the appropriate sub-category. Only items that are not specified in the rows above shall be reported here. |
420 |
1.6.10.1 credit quality step 1 |
430 |
1.6.10.2 credit quality step 2 |
440 |
1.6.10.3 credit quality step 3 |
450-460 |
1.6.11 ASSETS MEETING THE REQUIREMENTS OF ARTICLE 416 (1) (b) AND (d) BUT DO NOT MEET THE REQUIREMENTS OF ARTICLE 417 (b) OR (c) REGULATION (EU) NO 575/2013 Items shall only be reported in one of the below sub-categories, also in case both provisions are not met. |
450 |
1.6.11.1 Assets not controlled by a liquidity management function Article 417(c) of REGULATION (EU) NO 575/2013 |
460 |
1.6.11.2 assets not legally and practically readily available at any time during the next 30 days to be liquidated via outright sale or via a simple repurchase agreements on an approved repurchase markets Article 417(b) of REGULATION (EU) NO 575/2013 |
470-660 |
1.6.12 Items subject to supplementary reporting of liquid assets Institutions shall only report assets subject to supplementary reporting of liquid assets in accordance with Annex III REGULATION (EU) NO 575/2013. All items, with the exception of those referred to in sections 3.1, 3.2 and 3.9, must satisfy the conditions as set out in the last paragraph of that Annex. These items shall be reported here in the appropriate sub-category. Only items that are not specified elsewhere in the template shall be reported here. |
470 |
1.6.12.1 Cash Annex III Point 1 REGULATION (EU) NO 575/2013 Total amount of cash including coins and banknotes/currency. Only cash shall be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) of Article 416(3) and can thus not be reported under reporting item 1.1. Note cash on deposit with other institutions shall not be reported here and shall instead be reported in the collateral category of template 1.3 ‘Inflows’ if it qualifies as monies due over the next 30 days. |
480 |
1.6.12.2 Central bank exposures, to the extent that these exposures can be drawn down in times of stress Annex III, Point 2 REGULATION (EU) NO 575/2013 Total amount of exposures to central banks, to the extent that these exposures can be drawn down in times of stress. These exposures shall only be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) of Article 416(3) and can thus not be reported under reporting item 1.3. |
490-530 |
1.6.12.3 transferable securities with a 0 % risk weight and not an obligation of an institution or any of its affiliated entities Annex III, Point 3 REGULATION (EU) NO 575/2013 Securities with a 0 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 3 of Annex III. Of which: |
490 |
1.6.12.3.1 representing claims on sovereigns Annex III, Point 3 REGULATION (EU) NO 575/2013 |
500 |
1.6.12.3.2 claims guaranteed by sovereigns Annex III, Point 3 REGULATION (EU) NO 575/2013 |
510 |
1.6.12.3.3 representing claims on or guaranteed by central banks Annex III, Point 3 REGULATION (EU) NO 575/2013 |
520 |
1.6.12.3.4 representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities Annex III, Point 3 REGULATION (EU) NO 575/2013 |
530 |
1.6.12.3.5 representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development bank Annex III, Point 3 REGULATION (EU) NO 575/2013 |
540 |
1.6.12.4 transferable securities other than those referred to in 3.3 representing claims on or claims guaranteed by sovereigns or central banks issued in domestic currencies by the sovereign or central bank in the currency and country in which the liquidty risk is being taken or issued in foreign currencies, to the extent that holding of such debt matches the liquidity needs of the bank's operations in that third country Annex III, Point 4 REGULATION (EU) NO 575/2013 |
550-590 |
1.6.12.5 transferable securities with a 20 % risk weight and not an obligation of an institution or any of its affiliated entities Annex III, Point 5 REGULATION (EU) NO 575/2013 Securities with a 20 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 5 of Annex III. Of which: |
550 |
1.6.12.5.1 representing claims on sovereigns Annex III, Point 5 REGULATION (EU) NO 575/2013 |
560 |
1.6.12.5.2 claims guaranteed by sovereigns Annex III, Point 5 REGULATION (EU) NO 575/2013 |
570 |
1.6.12.5.3 representing claims on or guaranteed by central banks Annex III, Point 5 REGULATION (EU) NO 575/2013 |
580 |
1.6.12.5.4 representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities Annex III, Point 5 REGULATION (EU) NO 575/2013 |
590 |
1.6.12.5.5 representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development bank Annex III, Point 5 REGULATION (EU) NO 575/2013 |
600 |
1.6.12.6 transferable securities other than those referred to in point 3.3 to 3.5.6 that qualify for a 20 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and fulfil any of the conditions specifed in Point 6 of Annex III of REGULATION (EU) NO 575/2013 Annex III, Point 6 REGULATION (EU) NO 575/2013 |
610 |
1.6.12.7 transferable securities other than those referred to in 3.3 to 3.6 that qualify for a 50 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and do not represent a claim on an SSPE, an institution or any of its affiliated entities Annex III, Point 7 REGULATION (EU) NO 575/2013 |
620 |
1.6.12.8 transferable securities other than those referred to in 3.3 to 3.7 that are collateralised by assets that qualify for a 35 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and are fully and completely secured by mortgages on residential property in accordance with Article 125 Annex III, Point 8 REGULATION (EU) NO 575/2013 |
630 |
1.6.12.9 standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralized by liquid assets and excluding emergency liquidity assistance Annex III, Point 9 REGULATION (EU) NO 575/2013 Total amount of standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralized by liquid assets and excluding emergency liquidity assistance. |
640 |
1.6.12.10 Legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution or institutions that are members of the network referred to in Article 113(7), or eligible for the waiver provided in Article 10, to the extent that this funding is not collateralised by liqduid assets, if the credit institution belongs to a network in accordance with legal or statutory provisions. Annex III, Point 10 REGULATION (EU) NO 575/2013 |
650 |
1.6.12.11 exchange traded, centrally cleared common equity shares, that are a constituent of a major stock index, denominated in the domestic currency of the Member State and not issued by an institution or any of its affiliates Annex III, Point 11 REGULATION (EU) NO 575/2013 |
660 |
1.6.12.12 gold listed on a recognised exchange, held on an allocated basis Annex III, Point 12 REGULATION (EU) NO 575/2013 |
670-920 |
1.6.13 ASSETS WHICH DO NOT MEET THE REQUIREMENTS OF ARTICLE 416 REGULATION (EU) NO 575/2013 but still meet the requirements of Article 417 (b) and (c ) REGULATION (EU) NO 575/2013. These items shall be reported here in the appropriate sub-category of the liquid assets template. |
670-690 |
1.6.13.1 financial corporate bonds Article 416 (2) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 |
670 |
1.6.13.1.1 credit quality step 1 |
680 |
1.6.13.1.2 credit quality step 2 |
690 |
1.6.13.1.3 credit quality step 3 |
700-720 |
1.6.13.2 own issuances Article 416 (3)(b) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 |
700 |
1.6.13.2.1 credit quality step 1 |
710 |
1.6.13.2.2 credit quality step 2 |
720 |
1.6.13.2.3 credit quality step 3 |
730-750 |
1.6.13.3 unsecured credit institution issuances Article 416 of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 |
730 |
1.6.13.3.1 credit quality step 1 |
740 |
1.6.13.3.2 credit quality step 2 |
750 |
1.6.13.3 credit quality step 3 |
760-780 |
1.6.13.4 asset backed securities not already reported in 1.6.6 Article 416(4)(b) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013 |
760 |
1.6.13.4.1 credit quality step 1 |
770 |
1.6.13.4.2 credit quality step 2 |
780 |
1.6.13.4.3 credit quality step 3 |
790-810 |
1.6.13.5 residential mortgage backed securities not already reported in 1.6.7 Article 509(3) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013 |
790 |
1.6.13.5.1 credit quality step 1 |
800 |
1.6.13.5.2 credit quality step 2 |
810 |
1.6.13.5.3 credit quality step 3 |
820 |
1.6.13.6 equities listed on a recognised exchange and major index linked equity instruments, not self issued or issued by financial institutions Articles 416(4)(a) and 509(3)(c) of REGULATION (EU) NO 575/2013 |
830 |
1.6.13.7 gold Articles 416(4)(a) and 509(3)(c) of REGULATION (EU) NO 575/2013 |
840 |
1.6.13.8 guaranteed bonds not already reported above Article 509(3)(c) of REGULATION (EU) NO 575/2013 |
850 |
1.6.13.9 covered bonds not already reported above Article 509(3)(c) of REGULATION (EU) NO 575/2013 |
860 |
1.6.13.10 corporate bonds not already reported above Article 509(3)(c) of REGULATION (EU) NO 575/2013 |
870 |
1.6.13.11 funds based on the assets reported in 1.6.13.6– 1.6.13.10 Article 509(3)(c) of REGULATION (EU) NO 575/2013 |
880-900 |
1.6.13.12 other categories of central bank eligible securities or loans Article 509(3)(b) of REGULATION (EU) NO 575/2013 |
880 |
1.6.13.12.1 local government bonds Article 509(3)(b) of REGULATION (EU) NO 575/2013 |
890 |
1.6.13.12.2 commercial paper Article 509(3)(b) of REGULATION (EU) NO 575/2013 |
900 |
1.6.13.12.3 credit claims Article 416(4)(c) of REGULATION (EU) NO 575/2013 |
910-930 |
1.6.13.13 Shar'iah-compliant financial products as an alternative to assetss that would qualify as liquid assets for the purposes of Article 416, for the use of Shar'iah compliant banks509(2)(i) Article 509(2)(i) of REGULATION (EU) NO 575/2013 |
910 |
1.6.13.13.1 credit quality step 1 |
920 |
1.6.13.13.2 credit quality step 2 |
930 |
1.6.13.13.3 credit quality step 3 |
940-960 |
1.7 undrawn credit and liquidity facilities and other commitments received from intra-group entities in accordance with article 425(4) Article 425(4) of REGULATION (EU) NO 575/2013 Total amount of undrawn credit and liquidity facilities and other commitments received from intra-group entities for which the competent authority has granted a higher inflow on a case-by-case basis, shall be reported in the following subcategories as follows: |
940 |
1.7.1 where all the conditions of Article 425(4) (a), (b) and (c) are met Article 425(4)(a),(b) and (c) REGULATION (EU) NO 575/2013 Total amount of monies due for which the competent authority has granted the permission to apply a higher inflow on a case by case basis and where all the conditions of Article 425(4) (a), (b) and (c) are met. |
950 |
1.7.2 where point (d) of Article 425(4) has been waived by the competent authorities and all the conditions of Article 425(4) (a), (b) and (c) are met for the purposes of applying the intra-group treatment of Article 20(1)(b) in relation to institutions that are not subject to the waiver of Article 8, undrawn credit and liquidity facilities and other commitments received from intra-group entity in accordance with article 425(5) Article 425(4) (a), (b), (c) and (d) of REGULATION (EU) NO 575/2013 Total amount of monies due for which the competent authority has granted the permission to apply, a higher inflow on a case by case basis and where all the conditions of Article 425(4) (a), (b), (c) and are met for the purposes of applying the intra-group treatment of Article 20(1)(b) in relation to institutions that are not subject to the waiver of Article 8 and where the condition of Article 425(4)(d) has been waived. |
960 |
1.7.3 net receivables expected from the contracts listed in Annex II (net of collateral to be received that qualifies as liquid assets under Article 416) Article 425(3) of REGULATION (EU) NO 575/2013 The net amount of receivables expected over the 30 day horizon from the contracts listed in Annex II. Amounts shall: — be net across all counterparties — be net of collateral to be received that qualifies as liquid assets under Art 416 — not be the marked-to-market value, since the marked-to market value also includes estimates for contingent inflows and outflows and may include cash flows that occur beyond the 30-day horizon Note net amount payable shall be reported in 1.2 ‘Outflows’ item 1.2.7 (net amount payable from the contracts listed in Annex II (net of collateral to be received that qualifies as liquid assets under Article 416). |
970 |
1.8 payments due on liquid assets not reflected in the market value of the asset Article 425(7) of REGULATION (EU) NO 575/2013 The total amount of any payment due on assets that qualify as liquid assets according to Article 416, not reflected in the market value of that asset. |
980 |
1.9 other inflows Total amount of all other inflows due not reported in items 1.1 to 1.8 |
990 |
2. Total inflows excluded due to cap Total monies due which are excluded due to an inflow cap which is set at 75 % of liquidity outflows in accordance with Article 425(1) of REGULATION (EU) NO 575/2013. This will require to be checked by reference to total outflows as calculated from the outflows template. |
1000-1030 |
3 inflows exempted from the cap |
1000 |
3.1 monies due from borrowers and bond investors related to mortgage lending Article 425(1) of REGULATION (EU) NO 575/2013 Mortgage lending funded by bonds eligible for the treatment set out in Article 129(4), (5) or (6) as in defined in Article 52(4) of Directive 2009/65/EC |
1010 |
3.2 inflows from promotional loans that the institution has passed through Article 425(1) of REGULATION (EU) NO 575/2013 |
1020 |
3.3 Inflows qualifying for the treatment set out in Article 113(6) or (7) Total amount of inflows which are deposits placed with other institutions which qualify for the treatments set out in Article 113(6) and Article 113(7), and are therefore exempt from the cap on inflows. Article 425(1) of REGULATION (EU) NO 575/2013 |
1030 |
3.4 Inflows from intra-group entity approved by the competent authority Article 425(1) of REGULATION (EU) NO 575/2013 |
REPORTING ON LIQUIDITY (PART 4 of 5: COLLATERAL SWAPS)
General remarks
1. This is a summary template which contains information that will allow EBA to assess whether secured lending and collateral swap transactions have been properly unwound, where liquid assets referred to in points (a), (b) and (c) of Article 416(1) have been obtained against collateral that does not qualify under points (a), (b) and (c) of Article 416(1).
(a) Collateral swaps sub template
i. Instructions concerning specific rows
Row |
Legal references and instructions |
1. Collateral Swaps Article 415(1) paragraph 2 of REGULATION (EU) NO 575/2013. Institutions shall report any collateral swap where liquid assets referred to in points (a), (b) or (c) of Article 416 have been obtained against collateral that does not qualify under points (a), (b) and(c) of Article 416(1). Assets that do not qualify under points (a), (b) and(c) of Article 416(1) of REGULATION (EU) NO 575/2013 are referred to as ‘other assets’ in this template. Collateral swaps maturating in less than or equal to 30 days shall be reported in columns 010 and 020. In column 010 the notional amount shall be reported. In column 020 the market value shall be reported. Collateral swaps maturating in greater than 30 days shall be reported in columns 030 and 040. In column 030 the notional amount shall be reported. In column 040 the market value shall be reported. |
|
010-060 |
1.0 Assets |
010 |
1.1 cash and exposures to central banks Article 416(1)(a) REGULATION (EU) NO 575/2013 |
020 |
1.2 other transferable assets according to Article 416(1)(b) Article 416(1)(b) REGULATION (EU) NO 575/2013 |
030-060 |
1.3 other transferable assets representing claims on or guaranteed by Article 416(1)(c) of REGULATION (EU) NO 575/2013 The following subcategories shall be reported: |
030 |
1.3.1 transferable assets representing claims on or guaranteed by the central government of a Member State, on a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquid assets Article 416(1)(c)(i) of REGULATION (EU) NO 575/2013 |
040 |
1.3.2 transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities in the domestic currency of the central bank and public sector entity Article 416(1)(c)(ii) of REGULATION (EU) NO 575/2013 |
050 |
1.3.3 transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks Article 416(1)(c)(iii) of REGULATION (EU) NO 575/2013 |
060 |
1.3.4 transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism Article 416(1)(c)(iv) of REGULATION (EU) NO 575/2013 |
REPORTING ON LIQUIDITY (PART 5 of 5: STABLE FUNDING)
1. Items providing stable funding
1.1. General remarks
1. This is a summary template which contains information about items providing stable funding. Items which do not need to be completed by institutions are coloured grey.
2. All own funds and liabilities reported on an institution's balance sheet shall be reported here. The total amount of these two categories shall therefore reflect the size of the institutions' total assets.
3. In accordance with Article 427(2) REGULATION (EU) NO 575/2013, liabilities shall be reported in five buckets as follows:
(a) liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is within three months of the reporting date, shall be reported in column F of the relevant category. All sight deposits shall be reported here.
(b) liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between three and six months from the reporting date, shall be reported in column G of the relevant category.
(c) liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between 6 and 9 months from the reporting date, shall be reported in column H of the relevant category.
(d) liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between 9 and 12 months from the reporting date, shall be reported in column I of the relevant category.
(e) liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is beyond one year of the reporting date and own funds shall be reported in column J of the relevant category.
4. Institutions shall assume that investors redeem a call option at the earliest possible date. For funding with options exercisable at the institution's discretion, reputational factors that may limit the institution's ability to exercise the option shall be taken into account. In particular, where the market expects certain liabilities to be redeemed before their legal final maturity date, institutions shall assume such behaviour.
5. For retail deposits reported in section 1.2, the same assumptions with regard to maturity for the Liquidity Coverage template shall be used in the Available Stable Funding template.
1.2. Items providing stable funding
1.2.1. Instructions concerning specific rows
Row |
Legal references and instructions |
010-250 |
1 ITEMS PROVIDING STABLE FUNDING Article 427 of REGULATION (EU) NO 575/2013 Total amount of own funds shall be reported in column J of the following subcategories as follows: [Note: except item 1.1.3, instruments which would otherwise qualify as ‘own funds’ but no longer meet the definition, such as instruments which no longer qualify due to their maturity, shall instead be reported in the applicable subcategory of section 1.2 ‘Liabilities excluding own funds’] |
010-030 |
1.1 Own funds Article 427(1)(a) of REGULATION (EU) NO 575/2013 The subcomponents of own funds, after deductions have been applied, consisting of the sum of Tier 1 capital and Tier 2 capital as specified in Articles 25 and 71 of REGULATION (EU) NO 575/2013, and related elements |
010 |
1.1.1 Tier 1 capital instruments Article 427(1)(a)(i) of REGULATION (EU) NO 575/2013 Total amount of Tier 1 capital as specified in Article 25 of REGULATION (EU) NO 575/2013. |
020 |
1.1.2 Tier 2 capital Article 427(1)(a)(ii) of REGULATION (EU) NO 575/2013 Total amount of Tier 2 capital as specified in Article 71 of REGULATION (EU) NO 575/2013. |
030 |
1.1.3 Other preferred shares and capital instruments in excess of Tier 2 allowable amount having an effective maturity of one year or greater Article 427(1)(a)(iii) of REGULATION (EU) NO 575/2013 Other preferred shares and capital instruments in excess of Tier 2 allowable amount having an effective maturity of one year or greater. |
040-260 |
1.2 Liabilities excluding own funds Article 427(1)(b) of REGULATION (EU) NO 575/2013 Total amount of liabilities excluding own funds shall be reported in columns 010 to 050 according to the closer of their maturity date and the earliest date at which they can contractually be called, in the relevant subcategory as follows: |
040-060 |
1.2.1 Retail deposits Article 427(1)(b)(i-ii)) of REGULATION (EU) NO 575/2013 Total amount of retail deposits shall be reported in columns 010 to 050 according to the closer of their maturity date and the earliest date at which they can contractually be called, in the relevant subcategory as follows: |
040 |
1.2.1.1 as defined in Article 421(1) Article 427(1)(b)(i) of REGULATION (EU) NO 575/2013 Total amount of retail deposits in accordance with Article 421(1) REGULATION (EU) NO 575/2013 as reported in item 1.1.1 of the liquidity coverage template ‘outflows’, for those deposits with a maturity of less than 30 days, of Liquidity Coverage template 1.2 ‘Outflows’. |
050 |
1.2.1.2 as defined in Article 421(2) Article 427(1)(b)(ii) of REGULATION (EU) NO 575/2013 Total amount of retail deposits in accordance with Article 421(2) REGULATION (EU) NO 575/2013, as reported in items 1.1.2-1.1.3 of the liquidity coverage template ‘outflows’, for those deposits with a maturity of less than 30 days, of Liquidity Coverage template 1.2 ‘Outflows’. |
060 |
1.2.1.3 subject to higher outflows than specified in Article 421(1) or 421(2) Total amount of retail deposits subject to higher outflows than specified in Articles 421(1) and 421 (2), as reported in item 1.1.4 of the liquidity coverage template ‘outflows’. |
070-130 |
1.2.2 liabilities from customers that are not financial customers Article 427(1)(b)(vii) of REGULATION (EU) NO 575/2013, 427(1)(b)(iii) Total amount of liabilities from customers that are not financial customers. |
070-090 |
1.2.2.1 liabilities from secured lending and capital market driven transactions Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013 Total amount of liabilities from secured lending and capital market driven transactions s defined in Article 192, from customers that are not financial customers |
070 |
1.2.2.1.1 collateralised by extremely high liquidity and credit quality assets Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013 Total amount collateralised by assets of extremely high liquidity and credit quality as reported in 1.1 Assets section 1 as ‘Extremely high liquidity and credit quality assets’. |
080 |
1.2.2.1.2 collateralised by high liquidity and credit quality assets Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013 Total amount collateralised by assets of high liquidity and credit quality as reported in 1.1 Assets section 1 as ‘High liquidity and credit quality assets’. |
090 |
1.2.2.1.3 collateralised by any other assets Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013 Total amount collateralised by other assets not reported in 1.2.2.1.1 or 1.2.2.1.2. |
100 |
1.2.2.2 liabilities from unsecured lending Article 427(1)(b)(vii) of REGULATION (EU) NO 575/2013 Total amount of liabilities from unsecured lending from customers that are not financial customers. |
110-130 |
1.2.2.3 liabilities that qualify for the treatment in Article 422(3) and (4) Article 427(1)(b)(iii) of REGULATION (EU) NO 575/2013 The total amount of liabilities that qualify for the treatment in Article 422 (3) and (4). |
110 |
1.2.2.3.1 liabilities reported in 1.2.2.3 which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country Article 427(1)(b)(iv) of REGULATION (EU) NO 575/2013 Of the liabilities reported in 1.2.2.3, the total amount which is covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country deposit guarantee scheme. |
120 |
1.2.2.3.2 liabilities reported in 1.2.2.3 which fall under point (b) of Article 422(3) Article 427(1)(b)(v) of REGULATION (EU) NO 575/2013 Of the liabilities reported in 1.2.2.3, the total amount of deposits that fall under point (b) of Article 422(3). |
130 |
1.2.2.3.3 liabilities reported in 1.2.2.3 which fall under point (d) of Article 422(3) Article 427(1)(b)(vi) of REGULATION (EU) NO 575/2013 Of the liabilities reported in 1.2.2.2.1, the total amount of deposits that fall under point (d) of Article 422(3). |
140-200 |
1.2.3 liabilities from customers that are financial customers Article 427(1)(b)(viii) of REGULATION (EU) NO 575/2013 Total amount of liabilities from customers that are financial customers |
140-160 |
1.2.3.1 liabilities from secured lending and capital market driven transactions Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013 Total amount of liabilities from secured lending and capital market driven transactions as defined in Article 192, from customers that are financial customers |
140 |
1.2.3.1.1 collateralised by extremely high liquidity and credit quality assets Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013 Total amount collateralised by extremely high liquidity and credit quality assets as reported in 1.1 Assets section 1 as ‘Extremely high liquidity and credit quality assets’. |
150 |
1.2.3.1.2 collateralised by highly liquidity and credit quality assets Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013 Total amount collateralised by high liquidity and credit quality assets as reported in 1.1 Assets section 1 as ‘High liquidity and credit quality assets’. |
160 |
1.2.3.1.3 collateralised by any other assets Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013 Total amount collateralised by other assets not reported in 1.2.2.1.1 or 1.2.2.1.2. |
170 |
1.2.3.2 liabilities from unsecured lending Article 427(1)(b)(viii) of REGULATION (EU) NO 575/2013 Total amount of liabilities from unsecured lending to customers that are financial customers. |
180-200 |
1.2.3.3 liabilities that qualify for the treatment in Article 422(3) and (4) Article 427(1)(b)(iii) of REGULATION (EU) NO 575/2013 The total amount of liabilities that qualify for the treatment in Article 422(3) and (4). |
180 |
1.2.3.3.1 liabilities reported in 1.2.3.3 which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country Article 427(1)(b)(iv) of REGULATION (EU) NO 575/2013 Of the liabilities reported in 1.2.3.3, the total amount which is covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country deposit guarantee scheme. |
190 |
1.2.3.3.2 liabilities reported in 1.2.3.3 which fall under point (b) of Article 422(3) Article 427(1)(b)(v) of REGULATION (EU) NO 575/2013 Of the liabilities reported in 1.2.3.3, the total amount of deposits that fall under point (b) of Article 422(3). |
200 |
1.2.3.3.3 liabilities reported in 1.2.3.3 which fall under point (d) of Article 422(3) Article 427(1)(b)(vi) of REGULATION (EU) NO 575/2013 Of the liabilities reported in 1.2.2.2.1, the total amount of deposits that fall under point (d) of Article 422(3). |
210 |
1.2.4 liabilities resulting from securities issued qualifying for the treatment in Article 129(4) or (5) Article 427(1)(b)(x) of REGULATION (EU) NO 575/2013 Total amount of liabilities resulting from securities issued qualifying for the treatment in Article 129 (covered bonds). |
220 |
1.2.5 liabilities resulting from securities defined in Article 52(4) of Directive 2009/65/EC Article 427(1)(b)(x) of REGULATION (EU) NO 575/2013 Total amount of liabilities resulting from securities issued qualifying for the treatment defined in Article 52(4) of Directive 2009/65/EC (covered bonds). |
230 |
1.2.6 other liabilities resulting from securities issued Article 427(1)(b)(xi) of REGULATION (EU) NO 575/2013 Total amount of liabilities resulting from securities issued, other than those reported in 1.1. |
240 |
1.2.7 liabilities from derivatives payables contracts Total amount of liabilities from derivatives payables contracts. |
250 |
1.2.8 any other liabilities Article 427(1)(b)(xii) of REGULATION (EU) NO 575/2013 Total amount of any other liabilities. |
2. Items requiring stable funding
2.1. General remarks
1. This is a summary template which contains information about items requiring stable funding. Items which do not need to be completed by institutions are coloured grey.
2. All assets reported on an institutions balance sheet shall be reported here. The total amount reported shall therefore reflect the size of total own funds and liabilities together.
3. Treatment of maturity:
(i) In accordance with Article 428(2) of the REGULATION (EU) NO 575/2013, items shall be presented in five buckets as follows:
(a) assets for which the closer of their maturity date and the earliest date at which they can contractually be called is within three months of the reporting date, shall be reported in column 010, 060 or 110 depending on the relevant category.
(b) assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between three and six months from the reporting date, shall be reported in column 020, 070, or 120 depending on the relevant category.
(c) assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between 6 and 9 months from the reporting date, shall be reported in column 030, 080, or 130 depending on the relevant category.
(d) assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between 9 and 12 months from the reporting date, shall be reported in column 040, 090, or 140 depending on the relevant category.
(e) assets for which the closer of their maturity date and the earliest date at which they can contractually be called is beyond one year of the reporting date and own funds shall be reported in column 050, 100, or 150 depending on the relevant category.
(ii) For options exercisable at the institution's discretion, institutions shall take into account reputational factors that may limit the ability not to exercise the option. In particular, if third parties expect that an option will not be exercised, the institution shall assume such behaviour for the purpose of reporting assets in this template.
(iii) Assets shall be reported according to their residual contract maturity and not behavioural assumptions.
4. In accordance with Article 510 of the REGULATION (EU) NO 575/2013, for the purpose of monitoring Stable Funding, for each category of assets reported in the required stable funding template, institutions shall provide a separate break down of the assets encumbrance as follows:
(i) The amount of assets reported which are unencumbered shall be reported in the first sub-category.
(ii) The amount of assets which are encumbered shall be reported in the relevant sub-line depending on the period of encumbrance, as follows:
i. for a period within three months
ii. for a period between three and 6 months
iii. for a period between 6 and 9 months
iv. for a period between 9 and 12 months
v. for a period greater than 12 months
5. Treatment of assets received or lent in secured lending and capital market driven transactions in accordance with Article 192 of REGULATION (EU) NO 575/2013:
(i) Institutions shall exclude assets which they have borrowed in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 (such as reverse repurchase transactions and collateral swaps) of which they do not have beneficial ownership.
(ii) Institutions shall report those assets they have lent in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 (such as repurchase transactions or collateral swaps) of which they retain beneficial ownership.
(iii) Where an institution has encumbered securities in repurchase transactions lent in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 but retained beneficial ownership and they remain on their balance sheet, they shall allocate such securities to the appropriate RSF category.
6. Treatment of derivatives payables and receivables:
(i) An institution will usually have both net derivatives liabilities (i.e. payables) and net derivative assets (i.e. receivables) on its balance sheet. Institutions shall calculate these according to regulatory netting rules, not accounting rules, and report the amounts in both template 1.1. ‘Required funding’ and template 1.2 ‘Stable funding’ accordingly.
2.2. Items requiring stable funding
2.2.1. Instructions concerning specific rows
Row |
Legal references and instructions |
010-1320 |
1 ITEMS REQUIRING STABLE FUNDING Total assets shall be reported as follows: 1. In columns P-T for assets which are not reported as liquid assets for the purpose of the liquidity coverage template. 2. In columns F-J for assets which are considered extremely high liquidity and credit quality for the purpose of the liquidity coverage template columns 3. In columns K-O for assets which are considered high liquidity and credit quality for the purpose of the liquidity coverage template. Assets shall be reported according to the closer of their maturity date and the earliest date at which they can contractually be called. |
010-470 |
1.1 Assets that would qualify as liquid in accordance with Article 416 Article 428(1)(a) of REGULATION (EU) NO 575/2013 Total assets referred to in Article 416 shall be reported within the relevant sub-line(s) and column(s) |
010 |
1.1.1 Cash Articles 416(1)(a) Total amount of cash including coins and banknotes/currency. |
020 |
1.1.2 Exposures to central banks Articles 416(1)(a) Total amount of deposits held with central banks. |
030 |
1.1.2.1 Of which: exposures that can be withdrawn in times of stress Article 416(1)(a) Total amount of deposits held with central banks to the extent that these deposits can be withdrawn in times of stress. |
040-050 |
1.1.3 transferable assets representing claims on or guaranteed by the central government of a Member state or a third country if the institution incurs a liquidity risk in that Member state or third country that it covers by holding those liquidity assets Article 416(1)(c)(i) of REGULATION (EU) NO 575/2013 Total amount of transferable assets referred to in Article 416(1)(c)(i) of REGULATION (EU) NO 575/2013 |
040 |
1.1.3.1 representing claims |
050 |
1.1.3.2 guaranteed by |
060-070 |
1.1.4 transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities in the domestic currency of the central bank and public sector entity Article 416(1)(c)(ii) of REGULATION (EU) NO 575/2013 |
060 |
1.1.4.1 representing claims |
070 |
1.1.4.2 guaranteed by |
080-150 |
1.1.5 transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the European Commission and multilateral development banks Article 416(1)(c)(iii) of REGULATION (EU) NO 575/2013 |
080 |
1.1.5.1 (a) representing claims |
090 |
1.1.5.2 (a) guaranteed by |
100 |
1.1.5.1 (b) amount unencumbered |
110 |
1.1.5.2 (b) encumbered for a period within three months |
120 |
1.1.5.3 (b) encumbered for a period between three months and six months |
130 |
1.1.5.4 (b) encumbered for a period between six and nine months |
140 |
1.1.5.5 (b) encumbered for a period between nine and twelve months |
150 |
1.1.5.6 (b) encumbered for a period greater than twelve months |
152-153 |
1.1.6 transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism Article 416(1)(c)(iii) of REGULATION (EU) NO 575/2013 |
152 |
1.1.6.1 representing claims |
153 |
1.1.6.2 guaranteed by |
160-230 |
1.1.7 total shares or units in CIUs with underlying assets specified in Article 416(1) Article 416(6) of REGULATION (EU) NO 575/2013 Total market value of shares or units in CIU's as referred to in Article 416(6) of REGULATION (EU) NO 575/2013 |
160 |
1.1.7.1 (a) underlying assets in point (a) of Article 416(1) |
170 |
1.1.7.2 (a) underlying assets in point (b) and (c) of Article 416(1) |
175 |
1.1.7.3 (a) underlying assets in point (d) of Article 416(1) |
180 |
1.1.7.1 (b) amount unencumbered |
190 |
1.1.7.2 (b) amount encumbered for a period within three months |
200 |
1.1.7.3 (b) amount encumbered for a period between three and 6 months |
210 |
1.1.7.4 (b) amount encumbered for a period between 6 and 9 months |
220 |
1.1.7.5 (b) amount encumbered for a period between 9 and 12 months |
230 |
1.1.7.6 (b) amount encumbered for a period greater than 12 months |
232-233 |
1.1.8 deposits with the central credit institution and other statutory or contractually available liquid funding from a central credit institution or institutions that are members of a network referred to in Article 113(7) or eligible for the waiver provided in Article 10 REGULATION (EU) NO 575/2013, to the extent that this funding is not collateralized by liquid assets |
232 |
1.1.8.1 deposits |
233 |
1.1.8.2 contractually available funding |
234 |
1.1.9 Assets issued by a credit institution which has been set up by a Member State central or regional government where at least one of the conditions in Article 416(2)(a)(iii) is met |
240-290 |
1.1.10 Other transferable assets not specified elsewhere |
240 |
1.1.10.1 amount unencumbered |
250 |
1.1.10.2 amount encumbered for a period within three months |
260 |
1.1.10.3 amount encumbered for a period between three and 6 months |
270 |
1.1.10.4 amount encumbered for a period between 6 and 9 months |
280 |
1.1.10.5 amount encumbered for a period between 9 and 12 months |
290 |
1.1.10.6 amount encumbered for a period greater than 12 months |
300-350 |
1.1.11 Non financial corporate bonds Article 416(1)(b) or (d) of REGULATION (EU) NO 575/2013 |
300 |
1.1.11.1 amount unencumbered |
310 |
1.1.11.2 amount encumbered for a period within three months |
320 |
1.1.11.3 amount encumbered for a period between three and 6 months |
330 |
1.1.11.4 amount encumbered for a period between 6 and 9 months |
340 |
1.1.11.5 amount encumbered for a period between 9 and 12 months |
350 |
1.1.11.6 amount encumbered for a period greater than 12 months |
351 |
1.1.12 non residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) REGULATION (EU) NO 575/2013 |
352 |
1.1.12.1 amount unencumbered |
353 |
1.1.12.2 amount encumbered for a period within three months |
354 |
1.1.12.3 amount encumbered for a period between three and 6 months |
355 |
1.1.12.4 amount encumbered for a period between 6 and 9 months |
356 |
1.1.12.5 amount encumbered for a period between 9 and 12 months |
357 |
1.1.12.6 amount encumbered for a period greater than 12 months |
358 |
1.1.13 residential mortgage backed instruments issued by a credit institution if demonstrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) REGULATION (EU) NO 575/2013 |
359 |
1.1.13.1 amount unencumbered |
360 |
1.1.13.2 amount encumbered for a period within three months |
361 |
1.1.13.3 amount encumbered for a period between three and 6 months |
362 |
1.1.13.4 amount encumbered for a period between 6 and 9 months |
363 |
1.1.13.5 amount encumbered for a period between 9 and 12 months |
364 |
1.1.13.6 amount encumbered for a period greater than 12 months |
365 |
1.1.14 bonds eligible for the treatment set out in Art. 129(4) or (5), which meet the criteria in Art. 416(2)(a) REGULATION (EU) NO 575/2013 |
366 |
1.1.14.1 amount unencumbered |
370 |
1.1.14.2 amount encumbered for a period within three months |
380 |
1.1.14.3 amount encumbered for a period between three and 6 months |
390 |
1.1.14.4 amount encumbered for a period between 6 and 9 months |
400 |
1.1.14.5 amount encumbered for a period between 9 and 12 months |
410 |
1.1.14.6 amount encumbered for a period greater than 12 months |
420-470 |
1.1.15 bonds as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in 1.1.9 |
420 |
1.1.15.1 amount unencumbered |
430 |
1.1.15.2 amount encumbered for a period within three months |
440 |
1.1.15.3 amount encumbered for a period between three and 6 months |
450 |
1.1.15.4 amount encumbered for a period between 6 and 9 months |
460 |
1.1.15.5 amount encumbered for a period between 9 and 12 months |
470 |
1.1.15.6 amount encumbered for a period greater than 12 months |
480-530 |
1.2 securities and money market instruments not reported in item 1.1, qualifying for credit step 1 under Article 122 Article 428(1)(b) (i)of REGULATION (EU) NO 575/2013 Total securities and money market instruments not already reported in item 1.1 Total market value of bonds as defined in Article 428(1)(b)(i) of REGULATION (EU) NO 575/2013 |
480 |
1.2.1 amount unencumbered |
490 |
1.2.2 amount encumbered for a period within three months |
500 |
1.2.3 amount encumbered for a period between three and 6 months |
510 |
1.2.4 amount encumbered for a period between 6 and 9 months |
520 |
1.2.5 amount encumbered for a period between 9 and 12 months |
530 |
1.2.6 amount encumbered for a period greater than 12 months |
540-590 |
1.3 securities and money market instruments not reported in item 1.1, qualifying for credit step 2 under Article 122 Total market value of bonds as defined in Article 428(1)(b)(ii) of REGULATION (EU) NO 575/2013 |
540 |
1.3.1 amount unencumbered |
550 |
1.3.2 amount encumbered for a period within three months |
560 |
1.3.3 amount encumbered for a period between three and 6 months |
570 |
1.3.4 amount encumbered for a period between 6 and 9 months |
580 |
1.3.5 amount encumbered for a period between 9 and 12 months |
580 |
1.3.6 amount encumbered for a period greater than 12 months |
600-650 |
1.4 Other securities and money market instruments not reported elsewhere Total market value of bonds as defined in Article 428(1)(b)(iii) of REGULATION (EU) NO 575/2013 |
600 |
amount unencumbered |
610 |
amount encumbered for a period within three months |
620 |
amount encumbered for a period between three and 6 months |
630 |
amount encumbered for a period between 6 and 9 months |
640 |
amount encumbered for a period between 9 and 12 months |
650 |
amount encumbered for a period greater than 12 months |
660-710 |
1.5 equity securities of non-financial entities listed on a major index in a recognised exchange Article 428(1)(c) of REGULATION (EU) NO 575/2013 Total equity securities of non-financial entities listed on a major index in a recognised exchange |
660 |
1.5.1 amount unencumbered |
670 |
1.5.2 amount encumbered for a period within three months |
680 |
1.5.2 amount encumbered for a period between three and 6 months |
690 |
1.5.3 amount encumbered for a period between 6 and 9 months |
700 |
1.5. 3 amount encumbered for a period between 9 and 12 months |
710 |
1.5.4 amount encumbered for a period greater than 12 months |
720-770 |
1.6 other equity securities Article 428(1)(d) of REGULATION (EU) NO 575/2013 Total equity securities not reported in 1.3 |
720 |
1.6.1 amount unencumbered |
730 |
1.6.2 amount encumbered for a period within three months |
740 |
1.6.3 amount encumbered for a period between three and 6 months |
750 |
1.6.4 amount encumbered for a period between 6 and 9 months |
760 |
1.6.5 amount encumbered for a period between 9 and 12 months |
770 |
1.6.6 amount encumbered for a period greater than 12 months |
780-830 |
1.7 gold Article 428(1)(e) of REGULATION (EU) NO 575/2013 |
780 |
1.7.1 amount unencumbered |
790 |
1.7.2 amount encumbered for a period within three months |
800 |
1.7.3 amount encumbered for a period between three and 6 months |
810 |
1.7.4 amount encumbered for a period between 6 and 9 months |
820 |
1.7.5 amount encumbered for a period between 9 and 12 months |
830 |
1.7.6 amount encumbered for a period greater than 12 months |
840-890 |
1.8 other precious metals Article 428(1)(f) of REGULATION (EU) NO 575/2013 Total holdings of precious metals other than gold [Note: examples include silver or platinum. Gold shall be reported in item 1.5 instead.] |
840 |
1.8.1 amount unencumbered |
850 |
1.8.2 amount encumbered for a period within three months |
860 |
1.8.3 amount encumbered for a period between three and 6 months |
870 |
1.8.4 amount encumbered for a period between 6 and 9 months |
880 |
1.8.5 amount encumbered for a period between 9 and 12 months |
890 |
1.8.6 amount encumbered for a period greater than 12 months |
900-1250 |
1.9 non-renewable loans and receivables Article 428(1)(g) of REGULATION (EU) NO 575/2013 Total non-renewable loans and receivables as referred to in Article 428(1)(g) of REGULATION (EU) NO 575/2013 shall be reported within the relevant sub-line(s) and column(s) |
900-950 |
1.9.1 The borrowers of which are natural persons other than commercial sole proprietors and partnerships Article 428(1)(g)(i) of REGULATION (EU) NO 575/2013 Total non-renewable loans and receivables where the borrowers of which are natural persons and where the aggregate deposit placed by that client or group of connected clients is less than EUR 1 million. |
900 |
1.9.1.1 amount unencumbered |
910 |
1.9.1.2 amount encumbered for a period within three months |
920 |
1.9.1.3 amount encumbered for a period between three and 6 months |
930 |
1.9.1.4 amount encumbered for a period between 6 and 9 months |
940 |
1.9.1.5 amount encumbered for a period between 9 and 12 months |
960 |
1.9.1.6 amount encumbered for a period greater than 12 months |
960-1010 |
1.9.2 the borrowers of which are small and medium-sized enterprises that qualify for the retail exposure class under the Standardised or IRB approaches for credit risk or to a company which is eligible for the treatment mentioned in Article 153(4) and where the aggregate deposit placed by that client or group of connected clients is less than EUR 1 million. Article 428(1)(g)(ii) of REGULATION (EU) NO 575/2013 Total non-renewable loans and receivables where the borrowers of which are small and medium-sized enterprises that qualify for the retail exposure class under the Standardised or IRB approaches for credit risk or to a company which is eligible for the treatment mentioned in Article 153(4) and where the aggregate deposit placed by that client or group of connected clients is less than EUR 1 million. |
960 |
1.9.2.1 amount unencumbered |
970 |
1.9.2.2 amount encumbered for a period within three months |
980 |
1.9.2.3 amount encumbered for a period between three and 6 months |
990 |
1.9.2.4 amount encumbered for a period between 6 and 9 months |
1000 |
1.9.2.5 amount encumbered for a period between 9 and 12 months |
1010 |
1.9.2.6 amount encumbered for a period greater than 12 months |
1020-1070 |
1.9.3 the borrowers of which are sovereigns, central banks and public sector entities (PSEs) Article 428(1)(g)(iii) of REGULATION (EU) NO 575/2013 Total non-renewable loans and receivables where the borrowers are sovereigns, central banks and public sector entities (PSEs) |
1020 |
1.9.3.1 amount unencumbered |
1030 |
1.9.3.2 amount encumbered for a period within three months |
1040 |
1.9.3.3 amount encumbered for a period between three and 6 months |
1050 |
1.9.3.4 amount encumbered for a period between 6 and 9 months |
1060 |
1.9.3.5 amount encumbered for a period between 9 and 12 months |
1070 |
1.9.3.6 amount encumbered for a period greater than 12 months |
1080-1130 |
1.9.4 the borrowers of which are not reported in item 1.9.1, 1.9.2 or 1.9.3, excluding financial customers Article 428(1)(g)(iv) of REGULATION (EU) NO 575/2013 Total non-renewable loans and receivables where the borrowers are not referred to in item 1.7.1, 1.7.2 or 1.7.3 and excluding financial customers. |
1080 |
1.9.4.1 amount unencumbered |
1090 |
1.9.4.2 amount encumbered for a period within three months |
1100 |
1.9.4.3 amount encumbered for a period between three and 6 months |
1110 |
1.9.4.4 amount encumbered for a period between 6 and 9 months |
1120 |
1.9.4.5 amount encumbered for a period between 9 and 12 months |
1130 |
1.9.4.6 amount encumbered for a period greater than 12 months |
1140-1190 |
1.9.5 the borrowers of which are credit institutions Article 428(1)(g)(v) of REGULATION (EU) NO 575/2013 Total non-renewable loans and receivables where the borrowers are credit institutions. |
1140 |
1.9.5.1 amount unencumbered |
1150 |
1.9.5.2 amount encumbered for a period within three months |
1160 |
1.9.5.3 amount encumbered for a period between three and 6 months |
1170 |
1.9.5.4 amount encumbered for a period between 6 and 9 months |
1180 |
1.9.5.5 amount encumbered for a period between 9 and 12 months |
1190 |
1.9.5.6 amount encumbered for a period greater than 12 months |
1200-1250 |
1.9.6 the borrowers of which are financial customers (not referred to in 1.9.1, 1.9.2 or 1.9.3) other than credit institutions Article 428(1)(g)(v) of REGULATION (EU) NO 575/2013 Total non-renewable loans and receivables where the borrowers are financial customers. |
1200 |
1.9.6.1 amount unencumbered |
1210 |
1.9.6.2 amount encumbered for a period within three months |
1220 |
1.9.6.3 amount encumbered for a period between three and 6 months |
1230 |
1.9.6.4 amount encumbered for a period between 6 and 9 months |
1240 |
1.9.6.5 amount encumbered for a period between 9 and 12 months |
1250 |
1.9.6.6 amount encumbered for a period greater than 12 months |
1260-1280 |
1.10 Non-renewable loans and receivables reported in 1.7 that are considered real estate Article 428(1) (h) REGULATION (EU) NO 575/2013 |
1260 |
1.10.1 Collateralised by commercial real estate Article 428(1)(h)(i) REGULATION (EU) NO 575/2013 |
1270 |
1.10.2 Collateralised by residential real estate Article 428(1)(h)(ii) REGULATION (EU) NO 575/2013 |
1280 |
1.10.3 Match funded (pass-through) via bond eligible for treatment set out in Article 129(4) or (5), or as defined in Article 52(4) of Directive 2009/65/EC Article 428(1)(h)(iii) REGULATION (EU) NO 575/2013 |
1290 |
1.11 derivatives receivables Article 428(1)(i) of REGULATION (EU) NO 575/2013 Total net derivatives receivables |
1300 |
1.12 any other assets Article 428(1)(j) of REGULATION (EU) NO 575/2013 Any other assets, not already reported in 1.1.1-1.8 above Note: assets deducted from own funds shall be reported in item 1.10. |
1310 |
1.13 assets deducted from own funds not requiring stable funding Article 428(1) of REGULATION (EU) NO 575/2013 All assets, deducted from own funds for the purpose of complying with REGULATION (EU) NO 575/2013 capital rules |
1320 |
1.14 Undrawn committed Credit facilities Article 428(1)(k) of REGULATION (EU) NO 575/2013 Credit facilities as referred to in Article 428(1)(k) of REGULATION (EU) NO 575/2013 |
ANNEX XIV
Single Data Point Model
All data items set out in Annexes I, III, IV, VI, VIII, X, XII and XVI shall be transformed into a single data point model which is the basis for uniform IT systems of institutions and competent authorities.
The single data point model shall meet the following criteria:
(a) provide a structured representation of all data items set out in Annexes I, III, IV, VI, VIII, X, XII and XVI;
(b) identify all the business concepts set out in Annexes I to XIII, XVI and XVII;
(c) provide a data dictionary identifying table labels, ordinate labels, axis labels, domain labels, dimension labels and member labels;
(d) provide metrics which define the property or amount of data points;
(e) provide data point definitions that are expressed as a composition of characteristics that univocally identify the financial concept;
(f) contain all the relevant technical specifications necessary for developing IT reporting solutions producing uniform supervisory data.
ANNEX XV
Validation Rules
The data items set out in Annexes I, III, IV, VI, VIII, X, XII and XVI shall be subject to validation rules ensuring data quality and consistency.
The validation rules shall meet the following criteria:
(a) define the logical relationships between relevant data points;
(b) include filters and preconditions that define a set of data to which a validation rule applies;
(c) check the consistency of the reported data;
(d) check the accuracy of the reported data;
(e) set default values which shall be applied where the relevant information has not been reported.
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 ABSs 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: central bank's eligible |
|
of which: issued by other entities of the group |
of which: central bank's eligible |
|
of which: central bank's eligible |
||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
||
010 |
Assets of the reporting institution |
|
|
|
|
|
|
|
|
|
|
020 |
Loans on demand |
|
|
|
|
|
|
|
|
|
|
030 |
Equity instruments |
|
|
|
|
|
|
|
|
|
|
040 |
Debt securities |
|
|
|
|
|
|
|
|
|
|
050 |
of which: covered bonds |
|
|
|
|
|
|
|
|
|
|
060 |
of which: asset-backed securities |
|
|
|
|
|
|
|
|
|
|
070 |
of which: issued by general governments |
|
|
|
|
|
|
|
|
|
|
080 |
of which: issued by financial corporations |
|
|
|
|
|
|
|
|
|
|
090 |
of which: issued by non-financial corporations |
|
|
|
|
|
|
|
|
|
|
100 |
Loans and advances other than loans on demand |
|
|
|
|
|
|
|
|
|
|
110 |
of which: mortgage loans |
|
|
|
|
|
|
|
|
|
|
120 |
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: issued by other entities of the group |
of which: central bank's eligible |
|||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
||
130 |
Collateral received by the reporting institution |
|
|
|
|
|
|
|
140 |
Loans on demand |
|
|
|
|
|
|
|
150 |
Equity instruments |
|
|
|
|
|
|
|
160 |
Debt securities |
|
|
|
|
|
|
|
170 |
of which: covered bonds |
|
|
|
|
|
|
|
180 |
of which: asset-backed securities |
|
|
|
|
|
|
|
190 |
of which: issued by general governments |
|
|
|
|
|
|
|
200 |
of which: issued by financial corporations |
|
|
|
|
|
|
|
210 |
of which: issued by non-financial corporations |
|
|
|
|
|
|
|
220 |
Loans and advances other than loans on demand |
|
|
|
|
|
|
|
230 |
Other collateral received |
|
|
|
|
|
|
|
240 |
Own debt securities issued other than own covered bonds or ABSs |
|
|
|
|
|
|
|
250 |
TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED |
|
|
|
|
|
|
|
F 32.03 — OWN COVERED BONDS AND ABSs 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 |
||||
010 |
020 |
030 |
040 |
||
010 |
Own covered bonds and asset-backed securities issued and not yet pledged |
|
|
|
|
020 |
Retained covered bonds issued |
|
|
|
|
030 |
Retained asset-backed securities issued |
|
|
|
|
040 |
Senior |
|
|
|
|
050 |
Mezzanine |
|
|
|
|
060 |
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 ABSs encumbered |
||||
|
of which: from other entities of the group |
|
of which: collateral received re-used |
of which: own debt securities encumbered |
||
010 |
020 |
030 |
040 |
050 |
||
010 |
Carrying amount of selected financial liabilities |
|
|
|
|
|
020 |
Derivatives |
|
|
|
|
|
030 |
of which: Over-The-Counter |
|
|
|
|
|
040 |
Deposits |
|
|
|
|
|
050 |
Repurchase agreements |
|
|
|
|
|
060 |
of which: central banks |
|
|
|
|
|
070 |
Collateralised deposits other than repurchase agreements |
|
|
|
|
|
080 |
of which: central banks |
|
|
|
|
|
090 |
Debt securities issued |
|
|
|
|
|
100 |
of which: covered bonds issued |
|
|
|
|
|
110 |
of which: asset-backed securities issued |
|
|
|
|
|
120 |
Other sources of encumbrance |
|
|
|
|
|
130 |
Nominal of loan commitments received |
|
|
|
|
|
140 |
Nominal of financial guarantees received |
|
|
|
|
|
150 |
Fair value of securities borrowed with non cash-collateral |
|
|
|
|
|
160 |
Other |
|
|
|
|
|
170 |
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)
|
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 |
|
|
Residual maturity of liabilities |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
010 |
Encumbered assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
020 |
Collateral received re-used (receiving leg) |
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
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 |
|||
010 |
020 |
030 |
040 |
050 |
|
||
010 |
Carrying amount of selected financial liabilities |
|
|
|
|
|
|
020 |
Derivatives |
|
|
|
|
|
|
030 |
of which: over-the-counter |
|
|
|
|
|
|
040 |
Deposits |
|
|
|
|
|
|
050 |
Repurchase agreements |
|
|
|
|
|
|
060 |
of which: central banks |
|
|
|
|
|
|
070 |
Collateralised deposits other than repurchase agreements |
|
|
|
|
|
|
080 |
of which: central banks |
|
|
|
|
|
|
090 |
Debt securities issued |
|
|
|
|
|
|
100 |
of which: covered bonds issued |
|
|
|
|
|
|
110 |
of which: asset-backed securities issued |
|
|
|
|
|
|
120 |
Other sources of encumbrance |
|
|
|
|
|
|
170 |
TOTAL SOURCES OF ENCUMBRANCE |
|
|
|
|
|
|
F 35.00 — COVERED BONDS ISSUANCE (AE-CB)
z-axis Cover pool identifier (open)
|
Compliance with Art. 129 CRR? |
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 |
|||||||||||||||||
010 |
012 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
||
010 |
Nominal amount |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
020 |
Present value (swap)/Market value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
Asset-specific value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
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: asset-backed securities |
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: mortgage loans |
|
of which: mortgage loans |
|||||||||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
|||
010 |
Central bank funding (of all types, including e.g. repos) |
Encumbered assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
020 |
Matching liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
Exchange traded derivatives |
Encumbered assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
Matching liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
Over-the-counter derivatives |
Encumbered assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
060 |
Matching liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
070 |
Repurchase agreements |
Encumbered assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
080 |
Matching liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
090 |
Collateralised deposits other than repurchase agreements |
Encumbered assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100 |
Matching liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
Covered bonds securities issued |
Encumbered assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
120 |
Matching liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
130 |
Asset-backed securities issued |
Encumbered assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
140 |
Matching liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150 |
Debt securities issued other than covered bonds and ABSs |
Encumbered assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
160 |
Matching liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
170 |
Other sources of encumbrance |
Encumbered assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
180 |
Contingent liabilities or securities lent |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
190 |
Total encumbered assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
200 |
|
of which central bank eligible |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
210 |
Total non-encumbered assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
220 |
|
of which central bank eligible |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
230 |
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 ABSs |
||||||||||||||||
Total |
of which: covered bonds |
of which: asset-backed securities |
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: mortgage loans |
|
of which: mortgage loans |
||||||||||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
|||
010 |
Central bank funding (of all types, including e.g. repos) |
Encumbered collateral received |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
020 |
Matching liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
Exchange traded derivatives |
Encumbered collateral received |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
Matching liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
Over-the-counter derivatives |
Encumbered collateral received |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
060 |
Matching liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
070 |
Repurchase agreements |
Encumbered collateral received |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
080 |
Matching liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
090 |
Collateralised deposits other than repurchase agreements |
Encumbered collateral received |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100 |
Matching liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
Covered bonds securities issued |
Encumbered collateral received |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
120 |
Matching liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
130 |
Asset-backed securities issued |
Encumbered collateral received |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
140 |
Matching liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150 |
Debt securities issued other than covered bonds and ABSs |
Encumbered collateral received |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
160 |
Matching liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
170 |
Other sources of encumbrance |
Encumbered collateral received |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
180 |
Contingent liabilities or securities lent |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
190 |
Total encumbered collateral received |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
200 |
|
of which central bank eligible |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
210 |
Total non-encumbered collateral received |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
220 |
|
of which central bank eligible |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
230 |
Encumbered + non-encumbered collateral received |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ANNEX XVII
REPORTING ON ASSET ENCUMBRANCE
Table of Contents |
|
GENERAL INSTRUCTIONS |
|
1. |
STRUCTURE AND CONVENTIONS |
1.1. |
STRUCTURE |
1.2. |
ACCOUNTING STANDARD |
1.3. |
NUMBERING CONVENTION |
1.4. |
SIGN CONVENTION |
1.5. |
LEVEL OF APPLICATION |
1.6. |
PROPORTIONALITY |
1.7. |
DEFINITION OF ENCUMBRANCE |
TEMPLATE-RELATED INSTRUCTIONS |
|
2. |
PART A: ENCUMBRANCE OVERVIEW |
2.1. |
TEMPLATE: AE-ASS. ASSETS OF THE REPORTING INSTITUTION |
2.1.1. |
GENERAL REMARKS |
2.1.2. |
INSTRUCTIONS CONCERNING SPECIFIC ROWS |
2.1.3. |
INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
2.2. |
TEMPLATE: AE-COL. COLLATERAL RECEIVED BY THE REPORTING INSTITUTION |
2.2.1. |
GENERAL REMARKS |
2.2.2. |
INSTRUCTIONS CONCERNING SPECIFIC ROWS |
2.2.3. |
INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
2.3. |
TEMPLATE AE-NPL. OWN COVERED BONDS AND ABSS ISSUED AND NOT YET PLEDGED |
2.3.1. |
GENERAL REMARKS |
2.3.2. |
INSTRUCTIONS CONCERNING SPECIFIC ROWS |
2.3.3. |
INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
2.4. |
TEMPLATE AE-SOU. SOURCES OF ENCUMBRANCE |
2.4.1. |
GENERAL REMARKS |
2.4.2. |
INSTRUCTIONS CONCERNING SPECIFIC ROWS |
2.4.3. |
INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
3. |
PART B: MATURITY DATA |
3.1. |
GENERAL REMARKS |
3.2. |
TEMPLATE: AE-MAT. MATURITY DATA |
3.2.1. |
INSTRUCTIONS CONCERNING SPECIFIC ROWS |
3.2.2. |
INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
4. |
PART C: CONTINGENT ENCUMBRANCE |
4.1. |
GENERAL REMARKS |
4.1.1. |
SCENARIO A: DECREASE OF 30 % OF ENCUMBERED ASSETS |
4.1.2. |
SCENARIO B: DEPRECIATION OF 10 % IN SIGNIFICANT CURRENCIES |
4.2. |
TEMPLATE: AE-CONT. CONTINGENT ENCUMBRANCE |
4.2.1. |
INSTRUCTIONS CONCERNING SPECIFIC ROWS |
4.2.2. |
INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
5. |
PART D: COVERED BONDS |
5.1. |
GENERAL REMARKS |
5.2. |
TEMPLATE: AE-CB. COVERED BONDS ISSUANCE |
5.2.1. |
INSTRUCTIONS CONCERNING Z-AXIS |
5.2.2. |
INSTRUCTIONS CONCERNING SPECIFIC ROWS |
5.2.3. |
INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
6. |
PART E: ADVANCED DATA |
6.1. |
GENERAL REMARKS |
6.2. |
TEMPLATE: AE-ADV1. ADVANCED TEMPLATE FOR ASSETS OF THE REPORTING INSTITUTION |
6.2.1. |
INSTRUCTIONS CONCERNING SPECIFIC ROWS |
6.2.2. |
INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
6.3. |
TEMPLATE: AE-ADV2. ADVANCED TEMPLATE FOR COLLATERAL RECEIVED BY THE REPORTING INSTITUTION |
6.3.1. |
INSTRUCTIONS CONCERNING SPECIFIC ROWS |
6.3.2. |
INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
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. Own covered bonds and asset-backed securities (hereinafter ‘ABS’) issued and not yet pledged
— AE-SOU. 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 9 to 11. Institutions that are not required to report financial information shall use their respective accounting framework.
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 paragraphs 9 and 10 of Part I of Annex V.
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 the first subparagraph of Article 99(1) of Regulation (EU) No 575/2013 (CRR). Consequently, institutions that are not subject to prudential requirements in accordance with Article 7 of CRR are not required to report information on asset encumbrance.
1.6. Proportionality
9. For the purpose of Article 16a(2)(b), the asset encumbrance level shall be calculated as follows:
— Carrying amount of encumbered assets and collateral = {AE-ASS;010;010} + {AE-COL;130;010}.
— Total assets and collateral = {AE-ASS;010;010} + {AE-ASS;010;060} + {AE-COL;130;010} + {AE-COL;130;040}.
— Asset encumbrance ratio = (Carrying amount of encumbered assets and collateral)/(Total assets and collateral)
10. For the purpose of Article 16a(2)(a), the sum of total assets shall be calculated as follows:
— Total assets = {AE-ASS;010;010} + {AE-ASS;010;060}
1.7. Definition of encumbrance
11. For the purpose 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 for instance assets that require prior approval before withdrawal or replacement by other assets, should 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. It should be noted, that if there is no impediment to withdrawal of collateral, such as prior approval, for the unused part of guarantee, then only the used amount should 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 should 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, should 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 these 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 should 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 paragraph 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 is reported as follows:
(i) the carrying amount of the deposit is registered as a source of encumbrance in {AE-SOU; r070; c010};
(ii) where the collateral is an asset of the reporting institution: its carrying amount is reported in {AE-ASS; *; c010} and {AE-SOU; r070; c030}; its fair value is reported in {AE-ASS; *; c040};
(iii) where the collateral has been received by the reporting institution, its fair value is reported in {AE-COL; *; c010}, {AE-SOU; r070; c030} and {AE-SOU; r070; c040}.
(b) Repo/matching repos
A repurchase agreement (hereinafter ‘repo’) is reported as follows:
(i) the carrying amount of the repo is reported as a source of encumbrance in {AE-SOU; r050; c010};
(ii) the collateral of the repo should be shown:
(iii) where the collateral is an asset of the reporting institution: its carrying amount is reported in {AE-ASS; *; c010} and {AE-SOU; r050; c030}; its fair value is reported in {AE-ASS; *; c040};
(iv) where the collateral has been received by the reporting institution through a previous reverse repurchase agreement (matching repo), its fair value is reported in {AE-COL; *; c010}, {AE-SOU; r050; c030} and in {AE-SOU; r050; c040}.
(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 i) and ii) above apply.
For operations where it is not possible to identify the specific collateral to each operation, as collateral is pooled together, the collateral breakdown must 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 is reported as follows:
(i) the fair value of the securities borrowed is reported as a source of encumbrance in {AE-SOU; r150; c010}. When the lender does not receive any securities in return for the securities lent but receives a fee instead, {AE-SOU; r150; c010} is reported as zero;
(ii) where the securities lent as collateral are an asset of the reporting institution: their carrying amount is reported in {AE-ASS; *; c010} and {AE-SOU; r150; c030}; their fair value is reported in {AE-ASS; *; c040};
(iii) where the securities lent as collateral are received by the reporting institution, their fair value is reported in {AE-COL; *; c010}, {AE-SOU; r150; c030} and {AE-SOU; r150; c040}.
(e) Derivatives (liabilities)
Collateralised derivatives with a negative fair value are reported as follows:
(i) the carrying amount of the derivative is reported as a source of encumbrance in {AE-SOU; r020; c010};
(ii) the collateral (initial margins required to open the position and any collateral placed for the market value of derivatives transactions) are reported as follows:
(i) where it is an asset of the reporting institution: its carrying amount is reported in {AE-ASS; *; c010} and {AE-SOU; r020; c030}; its fair value is reported in {AE-ASS; *; c040};
(ii) where it is collateral received by the reporting institution, its fair value is reported in {AE-COL; *; c010}, {AE-SOU; r020; c030} and {AE-SOU; r020; c040}.
(f) Covered bonds
Covered bonds for the entire asset encumbrance reporting are instruments referred to in the first subparagraph of Article 52(4) of the Directive 2009/65/EU, irrespective of whether these 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 proposed treatment below 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 is 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) is 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 is 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, c10} {AE-Sources, r110, c030} |
Central bank funding |
11 |
{AE-Sources, r060, c010} |
10 % (150) = 15 |
{AE-Assets, r100, c10} {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, c60} {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(61) of CRR.
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 |
010 |
Assets of the reporting institution IAS 1.9 (a), Implementation Guidance (IG) 6 Total assets of the reporting institution registered in its balance sheet. |
020 |
Loans on demand IAS 1.54 (i) It includes 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 are included in the row ‘other assets’. |
030 |
Equity instruments Equity instruments held by the reporting institution as defined in IAS 32.1. |
040 |
Debt securities Annex V, Part 1, paragraph 26. Debt instruments held by the reporting institution issued as securities that are not loans in accordance with the ECB BSI Regulation. |
050 |
of which: covered bonds Debt securities held by the reporting institution that are bonds referred to in the first subparagraph of Article 52(4) of Directive 2009/65/EC. |
060 |
of which: securitisations Debt securities held by the reporting institution that are securitisations as defined in Article 4(61) of CRR. |
070 |
of which: issued by general governments Debt securities held by the reporting institution which are issued by general governments. |
080 |
of which: issued by financial corporations Debt securities held by the reporting institution issued by financial corporations as defined in Annex V, Part I, paragraph 35, points (c) and (d). |
090 |
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 I, paragraph 35, point (e). |
100 |
Loans and advances other than loans on demand Loans and advances, that is, debt instruments held by the reporting institutions that are not securities, other than balances receivable on demand. |
110 |
of which: mortgage loans Loans and advances other than loans on demand that are mortgage loans according to Annex V, part 2, paragraph 41(h). |
120 |
Other assets Other assets of the reporting institution registered in the balance sheet other than those mentioned in the above rows 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 240 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 |
010 |
Carrying amount of encumbered assets Carrying amount of the assets held by the reporting institution that are encumbered according to the definition provided of asset encumbrance. Carrying amount means the amount reported in the asset side of the balance sheet. |
020 |
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. |
030 |
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. |
040 |
Fair value of encumbered assets IFRS 13 and Article 8 of Directive 2013/34/EU of the European Parliament and of the Council (1) for non-IFRS institutions. Fair value of the debt securities held by the reporting institution that are encumbered according to the definition provided of asset encumbrance. 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.) |
050 |
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. |
060 |
Carrying amount of non-encumbered assets Carrying amount of the assets held by the reporting institution that are non-encumbered according to the definition provided of asset encumbrance. Carrying amount means the amount reported in the asset side of the balance sheet. |
070 |
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. |
080 |
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. |
090 |
Fair value of non-encumbered assets IFRS 13 and Article 8 of Directive 2013/34/EU for non-IFRS institutions. Fair value of the debt securities held by the reporting institution that are non-encumbered according to the definition provided of asset encumbrance. 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.) |
100 |
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. |
(1) Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 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). |
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 ABSs, 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 purpose of the asset encumbrance reporting, securities borrowed in exchange for a fee without providing cash-collateral or non-cash collateral are reported as collateral received.
2.2.2. Instructions concerning specific rows
Rows |
Legal references and instructions |
130 |
Collateral received by the reporting institution All classes of collateral received by the reporting institution. |
140 |
Loans on demand Collateral received by the reporting institution that comprises loans on demand. (See legal references and instructions regarding row 020 of the AE-ASS template.) |
150 |
Equity instruments Collateral received by the reporting institution that comprises equity instruments. (See legal references and instructions regarding row 030 of the AE-ASS template.) |
160 |
Debt securities Collateral received by the reporting institution that comprises debt securities. (See legal references and instructions regarding row 040 of the AE-ASS template.) |
170 |
of which: covered bonds Collateral received by the reporting institution that comprises covered bonds. (See legal references and instructions regarding row 050 of the AE-ASS template.) |
180 |
of which: securitisations Collateral received by the reporting institution that comprises securitisations. (See legal references and instructions regarding row 060 of the AE-ASS template.) |
190 |
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 070 of the AE-ASS template.) |
200 |
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 080 of the AE-ASS template.) |
210 |
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 090 of the AE-ASS template.) |
220 |
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 100 of the AE-ASS template.) |
230 |
Other collateral received Collateral received by the reporting institution that comprises other assets. (See legal references and instructions regarding row 120 of the AE-ASS template.) |
240 |
Own debt securities issued other than own covered bonds or ABSs 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, these securities are not included in the category of assets of the reporting institution (row 010 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 are not 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 is 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 is reported in the AE-ASS templates as non-encumbered assets. Additional information about this 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) is reported in the AE-NPL template. |
250 |
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 |
010 |
Fair value of encumbered collateral received or own debt securities issued Fair value of the collateral received or own debt securities issued held/retained by the reporting institution that are encumbered according to the definition provided of asset encumbrance. 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.) |
020 |
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. |
030 |
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. |
040 |
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. |
050 |
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 asset-backed securities available for encumbrance that are issued by any entity within the prudential scope of consolidation. |
060 |
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. |
070 |
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 also includes 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 ABSs 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 |
010 |
Own covered bonds and ABSs issued and not yet pledged Own covered bonds and securitisations issued that are retained by the reporting institution and not encumbered. |
020 |
Retained covered bonds issued Own covered bonds issued that are retained by the reporting institution and not encumbered. |
030 |
Retained securitisations issued Own securitisations issued that are retained by the reporting institution and not encumbered. |
040 |
Senior Senior tranches of the own securitisations issued that are retained by the reporting institution and not encumbered. See Article 4(67) of CRR. |
050 |
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(67) of CRR. |
060 |
First loss First loss tranches of the own securitisations issued that are retained by the reporting institution and not encumbered. See Article 4(67) of CRR. |
2.3.3. Instructions concerning specific columns
Columns |
Legal references and instructions |
010 |
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. |
020 |
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. |
030 |
Of which: central bank eligible Fair value of the own covered bonds and own securitisations retained that meet each of the following conditions: (i) they are non-encumbered; (ii) they are available for encumbrance; (iii) 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. |
040 |
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; r170; c030} = {AE-ASS; r010; c010} + {AE-COL; r130; c010} + {AE-COL; r240; c010}.
2.4.2. Instructions concerning specific rows
Rows |
Legal references and instructions |
010 |
Carrying amount of selected financial liabilities Carrying amount of selected collateralised financial liabilities of the reporting institution insofar as these liabilities entail asset encumbrance for that institution. |
020 |
Derivatives Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, that is, with a negative fair value, insofar as these derivatives entail asset encumbrance for that institution. |
030 |
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 these derivatives entail asset encumbrance. |
040 |
Deposits Carrying amount of the collateralised deposits of the reporting institution insofar as these deposits entail asset encumbrance for that institution. |
050 |
Repurchase agreements Carrying amount of the repurchase agreements of the reporting institution insofar as these transactions entail asset encumbrance for that institution. Repurchase agreements (repos) are 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: — amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral and — amounts received in exchange for securities temporarily transferred to a third party in the form of a sale/buy-back agreement. |
060 |
of which: central banks Carrying amount of the repurchase agreements of the reporting institution with central banks insofar as these transactions entail asset encumbrance. |
070 |
Collateralised deposits other than repurchased agreements Carrying amount of the of the collateralised deposits other than repurchase agreements of the reporting institution insofar as these deposits entail asset encumbrance for that institution. |
080 |
of which: central banks Carrying amount of the collateralised deposits other than repurchase agreements of the reporting institution with central banks insofar as these deposits entail asset encumbrance for that institution. |
090 |
Debt securities issued Carrying amount of the debt securities issued by the reporting institution insofar as these securities issued entail asset encumbrance for that institution. The retained part of any issuance shall follow the specific treatment set out in point (vi) of paragraph 15 of Part A so that only the percentage of debt securities placed outside the entities of the group are to be included under this category. |
100 |
of which: covered bonds issued Carrying amount of covered bonds the assets of which are originated by the reporting institution insofar as these securities issued entail asset encumbrance for that institution. |
110 |
of which: securitisations issued Carrying amount of the securitisations issued by the reporting institution insofar as these securities issued entail asset encumbrance for that institution. |
120 |
Other sources of encumbrance Amount of collateralised transactions of the reporting institution other than financial liabilities, insofar as these transactions entail asset encumbrance for that institution. |
130 |
Nominal of loan commitments received Nominal amount of the loan commitments received by the reporting institution, insofar as these commitments received entail asset encumbrance for that institution. |
140 |
Nominal of financial guarantees received Nominal amount of the financial guarantees received by the reporting institution, insofar as these guarantees received entail asset encumbrance for that institution. |
150 |
Fair value of securities borrowed with non-cash collateral Fair value of the securities borrowed by the reporting institution without cash collateral, insofar as these transactions entail asset encumbrance for that institution. |
160 |
Other Amount of collateralised transactions of the reporting institution other than financial liabilities, not covered by the above items, insofar as these transactions entail asset encumbrance for that institution. |
170 |
TOTAL SOURCES OF ENCUMBRANCE Amount of all collateralised transactions of the reporting institution insofar as these transactions entail asset encumbrance for that institution. |
2.4.3. Instructions concerning specific columns
Columns |
Legal references and instructions |
010 |
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 these transactions entail asset encumbrance for that institution. Financial liabilities are reported at their carrying amount; contingent liabilities are reported at their nominal value; and securities lent with non-cash collateral are reported at their fair value. |
020 |
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 010. |
030 |
Assets, collateral received and own securities issued other than covered bonds and ABSs 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 are reported at their carrying amount, re-used collateral received and encumbered own securities issued other than covered bonds and securitisations are reported at their fair value. |
040 |
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 |
010 |
Encumbered assets For the purpose of this template, encumbered assets include all of the following: (a) the assets of the reporting institution (see instruction for row 010 of the AE-ASS template), which are 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 are reported at fair value. These amounts are 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). |
020 |
Collateral received re-used (receiving leg) See instructions for row 130 of the AE-COL template and column 040 of the AE-SOU template. The amounts are reported at fair value and distributed 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). |
030 |
Collateral received re-used (re-using leg) See instructions for row 130 of the AE-COL template and column 040 of the AE-SOU template. The amounts are reported at fair value and distributed 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 |
010 |
Open maturity On demand, without a specific maturity date |
020 |
Overnight Due date earlier or equal to 1 day |
030 |
> 1 day<=1wk Due date later than 1 day and earlier than or equal to 1 week |
040 |
> 1 wk<=2wks Due date later than 1 week and earlier than or equal to 2 weeks |
050 |
> 2wks <=1mth Due date later than 2 weeks and earlier than or equal to 1 month |
060 |
> 1mth <=3mths Due date later than 1 month and earlier than or equal to 3 months |
070 |
> 3mths <=6mths Due date later than 3 months and earlier than or equal to 6 months |
080 |
> 6mths<=1yr Due date later than 6 months and earlier than or equal to 1 year |
090 |
> 1yr <=2yrs Due date later than 1 year and earlier than or equal to 2 years |
100 |
> 2yrs <=3yrs Due date later than 2 years and earlier than or equal to 3 years |
110 |
> 3yrs <=5yrs Due date later than 3 years and earlier than or equal to 5 years |
120 |
> 5yrs <=10yrs Due date later than 5 years and earlier than or equal to 10 years |
130 |
> 10yrs Due date later than 10 years |
4. PART C: CONTINGENT ENCUMBRANCE
4.1. General remarks
22. This template requires institutions to calculate the level of asset encumbrance 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 these 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 points 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 includes 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 is 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 columns of the AE-SOU template in point 1.5.1. The content of the columns in AE-CONT template does not differ from the AE-SOU template.
4.2.2. Instructions concerning specific columns
Columns |
Legal references and instructions |
010 |
Matching liabilities, contingent liabilities or securities lent Same instructions and data as for column 010 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 these transactions entail asset encumbrance for that institution. As referred for each row in the template, financial liabilities are reported at their carrying amount, contingent liabilities at their nominal and securities lent with non-cash collateral at their fair value. |
020 |
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 of this Annex, these amounts are reported 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 are reported at fair value. |
030 |
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 020. |
040 |
B. 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 020. |
5. PART D: COVERED BONDS
5.1. General remarks
32. The information in this template is reported for all UCITS-compliant covered bonds issued by the reporting institution. UCITS-compliant covered bonds are the bonds referred to in the first subparagraph of Article 52(4) of Directive 2009/65/EC. These are covered bonds issued by the reporting institution if the reporting institution is in relation to the covered bond subject by 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 |
010 |
Cover pool identifier (open) The cover pool identifier consists 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 |
010 |
Nominal amount Nominal amount is 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. |
020 |
Present value (swap)/Market value Present value (swap) is 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 080 and 210 referring to cover pool derivative positions, the amount to be reported is its market value. |
030 |
Asset-specific value The asset-specific value is the economic value of the cover pool assets, as may be described by a fair value according to 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. |
040 |
Carrying amount Carrying amount of a covered bond liability or a cover pool asset is the accounting value at the covered bond issuer. |
5.2.3. Instructions concerning specific columns
Columns |
Legal references and instructions |
010 |
Compliance with Article 129 of CRR? [YES/NO] Institutions shall specify whether the cover pool meets the requirements set out in Article 129 of CRR in order to be eligible for the preferential treatment set out in Article 129(4) and (5) of that Regulation. |
012 |
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 CRR (answer YES in column 011), 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 this 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. |
020-140 |
Covered bond liabilities Covered bond liabilities are 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). |
020 |
Reporting date Amounts of covered bond liabilities, excluding cover pool derivative positions, according to the different future date ranges. |
030 |
+ 6 months The date ‘+ 6 months’ is 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 amortization. In the absence of a fixed payment schedule, for amounts outstanding at future dates the expected maturity is to be used in a consistent manner. |
040-070 |
+ 12 months — + 10 years As for ‘+ 6 months’ (column 030) for the respective point in time from the reporting reference date. |
080 |
Cover pool derivative positions with net negative market value The net negative market value of cover pool derivative positions which from the perspective of the covered bond issuer have a net negative market value. Cover pool derivative positions are 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 is to be reported for the reporting reference date only. |
090-140 |
External credit rating on covered bond Information on external credit ratings on the respective covered bond, as existing on the reporting date, is to be provided. |
090 |
Credit rating agency 1 If a credit rating of at least one credit rating agency exists as of the reporting date, the name of one of these credit rating agencies shall be provided here. 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. |
100 |
Credit rating 1 The credit rating issued by the credit rating agency reported in column 090 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 is to be reported. The credit rating to be reported shall include any modifiers. |
110, 130 |
Credit rating agency 2 and credit rating agency 3 As for credit rating agency 1 (column 090) for further credit rating agencies that have issued credit ratings on the covered bond as of the reporting reference date. |
120, 140 |
Credit rating 2 and credit rating 3 As for credit rating 1 (column 100) for further credit ratings issued by credit rating agencies 2 and 3 on the covered bond existing as of the reporting reference date. |
150-250 |
Cover pool The cover pool 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. |
150 |
Reporting date Amounts of assets in the cover pool, excluding cover pool derivative positions. This amount includes 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. |
160 |
+ 6 months The reporting date ‘+ 6 months’ is the point in time 6 months after the reporting reference date. Amounts shall be provided assuming no change in cover pool compared to the reporting date except for amortization. In the absence of a fixed payment schedule, for amounts outstanding at future dates expected maturity is to be used in a consistent manner. |
170-200 |
+ 12 months — + 10 years As for ‘+ 6 months’ (column 160) for the respective point in time from the reporting reference date. |
210 |
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. Cover pool derivative positions are 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 is to be reported for the reporting date only. |
220-250 |
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). |
220 |
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. |
230-250 |
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. |
230 |
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 090) available to the covered bond issuer, would at a minimum be required to support credit rating 1 (column 100). |
240-250 |
Credit rating agency 2 and credit rating agency 3 The instructions for credit rating agency 1 (column 230) also apply to credit rating agency 2 (column 110) and credit rating agency 3 (column 130). |
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 |
010-020 |
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. |
030-040 |
Exchanged traded derivatives Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, insofar as these derivatives are listed or traded on a recognised or designated investment exchange and they entail asset encumbrance for that institution. |
050-060 |
Over-the counter derivatives Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, insofar as these derivatives are traded over-the-counter and they entail asset encumbrance for that institution. (Same instruction in row 030 of the AE-SOU template) |
070-080 |
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 these transactions entail asset encumbrance for that institution. For tri-party repurchase agreements, the same treatment should be followed as for the repurchase agreements insofar as these transactions entail asset encumbrance for the reporting institution. |
090-100 |
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 these deposits entail asset encumbrance for that institution. |
110-120 |
Covered bonds securities issued See instructions in row 100 of the AE-SOU template. |
130-140 |
Securitisations issued See instructions in row 110 of the AE-SOU template. |
150-160 |
Debt securities issued other than covered bonds and ABSs Carrying amount of the debt securities issued by the reporting institution other than covered bonds and securitisations insofar as these 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, these retained securities should not be included under this item. Additionally, the collateral assigned to them should be classified as non-encumbered for the purpose of this template. |
170-180 |
Other sources of encumbrance See instructions in row 120 of the AE-SOU template. |
190 |
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. |
200 |
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. |
210 |
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. Carrying amount means the amount reported in the asset side of the balance sheet. |
220 |
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. |
230 |
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 |
010 |
Loans on demand See instructions for row 020 of the AE-ASS template. |
020 |
Equity instruments See instructions for row 030 of the AE-ASS template. |
030 |
Total See instructions for row 040 of the AE-ASS template. |
040 |
of which: covered bonds See description instructions for row 050 of the AE-ASS template. |
050 |
of which: issued by other entities of the group Covered bonds as described in the instructions for row 050 of the AE-ASS template that are issued by any entity within the prudential scope of consolidation. |
060 |
of which: securitisations See instructions for row 060 of the AE-ASS template. |
070 |
of which: issued by other entities of the group Securitisations as described in the instructions for row 060 of the AE-ASS template that are issued by any entity within the prudential scope of consolidation. |
080 |
of which: issued by general governments See instructions for row 070 of the AE-ASS template. |
090 |
of which: issued by financial corporations See instructions for row 080 of the AE-ASS template. |
100 |
of which: issued by non-financial corporations See instructions for row 090 of the AE-ASS template. |
110 |
Central banks and general governments Loans and advances other than loans on demand to a central bank or a general government. |
120 |
Financial corporations Loans and advances other than loans on demand to financial corporations. |
130 |
Non-financial corporations Loans and advances other than loans on demand to non-financial corporations. |
140 |
of which: mortgages loans Loans and advances other than loans on demand guaranteed with a mortgage given to non-financial corporations. |
150 |
Households Loans and advances other than loans on demand given to households. |
160 |
of which: mortgage loans Loans and advances other than loans on demand guaranteed with a mortgage given to households. |
170 |
Other assets See instruction for row 120 of the AE-ASS template. |
180 |
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 point 6.2.1 as instructions are similar for both templates.
6.3.2. Instructions concerning specific columns
Columns |
Legal references and instructions |
010 |
Loans on demand See instructions for row 140 of the AE-COL template. |
020 |
Equity instruments See instructions for row 150 of the AE-COL template. |
030 |
Total See instructions for row 160 of the AE-COL template. |
040 |
of which: covered bonds See instructions in row 170 of the AE-COL template. |
050 |
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. |
060 |
of which: securitisations See instructions for row 180 of the AE-COL template. |
070 |
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. |
080 |
of which: issued by general governments See instructions for row 190 of the AE-COL template. |
090 |
of which: issued by financial corporations See instructions for row 200 of the AE-COL template. |
100 |
of which: issued by non-financial corporations See instructions for row 210 of the AE-COL template. |
110 |
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. |
120 |
Financial corporations Collateral received by the reporting institution that are loans and advances other than loans on demand to financial corporations. |
130 |
Non-financial corporations Collateral received by the reporting institution that are loans and advances other than loans on demand to non-financial corporations. |
140 |
of which: mortgages loans Collateral received by the reporting institution that are loans and advances other than loans on demand guaranteed with a mortgage given to non-financial corporations. |
150 |
Households Collateral received by the reporting institution that are loans and advances other than loans on demand given to households. |
160 |
of which: mortgage loans Collateral received by the reporting institution that are loans and advances other than loans on demand guaranteed with a mortgage given to households. |
170 |
Other assets See instructions for row 230 of the AE-COL template. |
180 |
Own debt securities issued other than own covered bonds or ABSs See instructions for row 240 of the AE-COL template. |
190 |
Total See instructions for rows 130 and 140 of the AE-COL template. |
ANNEX XVIII
ADDITIONAL LIQUIDITY MONITORING METRICS UNDER ARTICLE 415(3)(b) OF REGULATION (EU) No 575/2013
ALMM 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
z-axis Total and significant currencies
Concentration of funding by counterparty |
|||||||||
|
Counterparty Name |
LEI Code |
Counterparty Sector |
Residence of Counterparty |
Product Type |
Amount Received |
Weighted average initial maturity |
Weighted average residual maturity |
|
Row |
ID |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
010 |
1. TOP TEN COUNTERPARTIES EACH GREATER THAN 1 % OF TOTAL LIABILITIES |
|
|
|
|
|
|
|
|
020 |
1,01 |
|
|
|
|
|
|
|
|
030 |
1,02 |
|
|
|
|
|
|
|
|
040 |
1,03 |
|
|
|
|
|
|
|
|
050 |
1,04 |
|
|
|
|
|
|
|
|
060 |
1,05 |
|
|
|
|
|
|
|
|
070 |
1,06 |
|
|
|
|
|
|
|
|
080 |
1,07 |
|
|
|
|
|
|
|
|
090 |
1,08 |
|
|
|
|
|
|
|
|
100 |
1,09 |
|
|
|
|
|
|
|
|
110 |
1,10 |
|
|
|
|
|
|
|
|
120 |
2. ALL OTHER LIABILITIES |
|
|
|
|
|
|
|
|
C 68.00 — CONCENTRATION OF FUNDING BY PRODUCT TYPE
z-axis Total and significant currencies
Concentration of funding by product type |
|||||||
Row |
ID |
Product Name |
Total amount received |
Amount covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country |
Amount not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country |
Weighted average initial maturity |
Weighted average residual maturity |
|
|
|
010 |
020 |
030 |
040 |
050 |
PRODUCTS GREATER THAN 1 % OF TOTAL LIABILITIES |
|||||||
010 |
1 |
RETAIL FUNDING |
|
|
|
|
|
020 |
1,1 |
Sight deposits |
|
|
|
|
|
030 |
1,2 |
Fixed term deposits with an initial maturity less than 30 days |
|
|
|
|
|
040 |
1,3 |
Fixed term deposits with an initial maturity greater than 30 days |
|
|
|
|
|
050 |
1.3.1 |
with a penalty for early withdrawal that is materially greater than losing the interest that would be obtained for the remaining maturity |
|
|
|
|
|
060 |
1.3.2 |
without a penalty for early withdrawal that is materially greater than losing the interest that would be obtained for the remaining maturity |
|
|
|
|
|
070 |
1,4 |
Savings accounts |
|
|
|
|
|
080 |
1.4.1 |
with a notice period for withdrawal greater than 30 days |
|
|
|
|
|
090 |
1.4.2 |
without a notice period for withdrawal greater than 30 days |
|
|
|
|
|
100 |
2 |
WHOLESALE FUNDING |
|
|
|
|
|
110 |
2,1 |
Unsecured wholesale funding |
|
|
|
|
|
120 |
2.1.1 |
of which financial customers |
|
|
|
|
|
130 |
2.1.2 |
of which non-financial customers |
|
|
|
|
|
140 |
2.1.3 |
of which from intra-group entities |
|
|
|
|
|
150 |
2,2 |
Secured wholesale funding |
|
|
|
|
|
160 |
2.2.1 |
of which repurchase agreements |
|
|
|
|
|
170 |
2.2.2 |
of which covered bond issuance |
|
|
|
|
|
180 |
2.2.3 |
of which asset backed security issuance |
|
|
|
|
|
190 |
2.2.4 |
of which from intra-group entities |
|
|
|
|
|
C 69.00 — PRICES FOR VARIOUS LENGTHS OF FUNDING
z-axis 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 |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
010 |
1 |
Total Funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
020 |
1,1 |
of which: Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
1,2 |
of which: Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
1,3 |
of which: Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
1,4 |
of which: Senior unsecured securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
060 |
1,5 |
of which: Covered bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
070 |
1,6 |
of which: Asset backed securities including ABCP |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
C 70.00 - ROLL-OVER OF FUNDING
z-axis Total and significant currencies
Roll-over of funding |
|||||||||||||||
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
010 |
1.1 |
1 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
020 |
1.1.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
1.1.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
1.1.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
1.2 |
2 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
060 |
1.2.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
070 |
1.2.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
080 |
1.2.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
010 |
1.1 |
1 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
020 |
1.1.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
1.1.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
1.1.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
1.2 |
2 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
060 |
1.2.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
070 |
1.2.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
080 |
1.2.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
010 |
1.1 |
1 |
Total funding |
|
|
|
|
|
|
|
|
|
020 |
1.1.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
030 |
1.1.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
040 |
1.1.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
050 |
1.2 |
2 |
Total funding |
|
|
|
|
|
|
|
|
|
060 |
1.2.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
070 |
1.2.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
080 |
1.2.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
090 |
1.3 |
3 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
100 |
1.3.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
1.3.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
120 |
1.3.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
130 |
1.4 |
4 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
140 |
1.4.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
150 |
1.4.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
160 |
1.4.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
170 |
1.5 |
5 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
180 |
1.5.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
190 |
1.5.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
200 |
1.5.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
090 |
1.3 |
3 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
100 |
1.3.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
1.3.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
120 |
1.3.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
130 |
1.4 |
4 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
140 |
1.4.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
150 |
1.4.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
160 |
1.4.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
170 |
1.5 |
5 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
180 |
1.5.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
190 |
1.5.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
200 |
1.5.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
090 |
1.3 |
3 |
Total funding |
|
|
|
|
|
|
|
|
|
100 |
1.3.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
110 |
1.3.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
120 |
1.3.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
130 |
1.4 |
4 |
Total funding |
|
|
|
|
|
|
|
|
|
140 |
1.4.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
150 |
1.4.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
160 |
1.4.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
170 |
1.5 |
5 |
Total funding |
|
|
|
|
|
|
|
|
|
180 |
1.5.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
190 |
1.5.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
200 |
1.5.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
210 |
1.6 |
6 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
220 |
1.6.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
230 |
1.6.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
240 |
1.6.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
250 |
1.7 |
7 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
260 |
1.7.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
270 |
1.7.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
280 |
1.7.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
290 |
1.8 |
8 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
300 |
1.8.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
310 |
1.8.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
320 |
1.8.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
210 |
1.6 |
6 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
220 |
1.6.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
230 |
1.6.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
240 |
1.6.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
250 |
1.7 |
7 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
260 |
1.7.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
270 |
1.7.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
280 |
1.7.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
290 |
1.8 |
8 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
300 |
1.8.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
310 |
1.8.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
320 |
1.8.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
210 |
1.6 |
6 |
Total funding |
|
|
|
|
|
|
|
|
|
220 |
1.6.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
230 |
1.6.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
240 |
1.6.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
250 |
1.7 |
7 |
Total funding |
|
|
|
|
|
|
|
|
|
260 |
1.7.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
270 |
1.7.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
280 |
1.7.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
290 |
1.8 |
8 |
Total funding |
|
|
|
|
|
|
|
|
|
300 |
1.8.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
310 |
1.8.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
320 |
1.8.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
330 |
1.9 |
9 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
340 |
1.9.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
350 |
1.9.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
360 |
1.9.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
370 |
1.10 |
10 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
380 |
1.10.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
390 |
1.10.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
400 |
1.10.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
410 |
1.11 |
11 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
420 |
1.11.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
430 |
1.11.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
440 |
1.11.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
330 |
1.9 |
9 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
340 |
1.9.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
350 |
1.9.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
360 |
1.9.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
370 |
1.10 |
10 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
380 |
1.10.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
390 |
1.10.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
400 |
1.10.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
410 |
1.11 |
11 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
420 |
1.11.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
430 |
1.11.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
440 |
1.11.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
330 |
1.9 |
9 |
Total funding |
|
|
|
|
|
|
|
|
|
340 |
1.9.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
350 |
1.9.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
360 |
1.9.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
370 |
1.10 |
10 |
Total funding |
|
|
|
|
|
|
|
|
|
380 |
1.10.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
390 |
1.10.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
400 |
1.10.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
410 |
1.11 |
11 |
Total funding |
|
|
|
|
|
|
|
|
|
420 |
1.11.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
430 |
1.11.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
440 |
1.11.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
450 |
1.12 |
12 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
460 |
1.12.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
470 |
1.12.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
480 |
1.12.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
490 |
1.13 |
13 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
500 |
1.13.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
510 |
1.13.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
520 |
1.13.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
530 |
1.14 |
14 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
540 |
1.14.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
550 |
1.14.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
560 |
1.14.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
450 |
1.12 |
12 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
460 |
1.12.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
470 |
1.12.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
480 |
1.12.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
490 |
1.13 |
13 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
500 |
1.13.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
510 |
1.13.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
520 |
1.13.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
530 |
1.14 |
14 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
540 |
1.14.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
550 |
1.14.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
560 |
1.14.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
450 |
1.12 |
12 |
Total funding |
|
|
|
|
|
|
|
|
|
460 |
1.12.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
470 |
1.12.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
480 |
1.12.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
490 |
1.13 |
13 |
Total funding |
|
|
|
|
|
|
|
|
|
500 |
1.13.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
510 |
1.13.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
520 |
1.13.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
530 |
1.14 |
14 |
Total funding |
|
|
|
|
|
|
|
|
|
540 |
1.14.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
550 |
1.14.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
560 |
1.14.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
570 |
1.15 |
15 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
580 |
1.15.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
590 |
1.15.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
600 |
1.15.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
610 |
1.16 |
16 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
620 |
1.16.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
630 |
1.16.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
640 |
1.16.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
650 |
1.17 |
17 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
660 |
1.17.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
670 |
1.17.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
680 |
1.17.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
570 |
1.15 |
15 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
580 |
1.15.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
590 |
1.15.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
600 |
1.15.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
610 |
1.16 |
16 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
620 |
1.16.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
630 |
1.16.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
640 |
1.16.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
650 |
1.17 |
17 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
660 |
1.17.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
670 |
1.17.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
680 |
1.17.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
570 |
1.15 |
15 |
Total funding |
|
|
|
|
|
|
|
|
|
580 |
1.15.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
590 |
1.15.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
600 |
1.15.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
610 |
1.16 |
16 |
Total funding |
|
|
|
|
|
|
|
|
|
620 |
1.16.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
630 |
1.16.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
640 |
1.16.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
650 |
1.17 |
17 |
Total funding |
|
|
|
|
|
|
|
|
|
660 |
1.17.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
670 |
1.17.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
680 |
1.17.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
690 |
1.18 |
18 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
700 |
1.18.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
710 |
1.18.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
720 |
1.18.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
730 |
1.19 |
19 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
740 |
1.19.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
750 |
1.19.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
760 |
1.19.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
770 |
1.20 |
20 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
780 |
1.20.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
790 |
1.20.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
800 |
1.20.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
690 |
1.18 |
18 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
700 |
1.18.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
710 |
1.18.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
720 |
1.18.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
730 |
1.19 |
19 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
740 |
1.19.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
750 |
1.19.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
760 |
1.19.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
770 |
1.20 |
20 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
780 |
1.20.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
790 |
1.20.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
800 |
1.20.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
690 |
1.18 |
18 |
Total funding |
|
|
|
|
|
|
|
|
|
700 |
1.18.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
710 |
1.18.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
720 |
1.18.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
730 |
1.19 |
19 |
Total funding |
|
|
|
|
|
|
|
|
|
740 |
1.19.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
750 |
1.19.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
760 |
1.19.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
770 |
1.20 |
20 |
Total funding |
|
|
|
|
|
|
|
|
|
780 |
1.20.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
790 |
1.20.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
800 |
1.20.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
810 |
1.21 |
21 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
820 |
1.21.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
830 |
1.21.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
840 |
1.21.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
850 |
1.22 |
22 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
860 |
1.22.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
870 |
1.22.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
880 |
1.22.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
890 |
1.23 |
23 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
900 |
1.23.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
910 |
1.23.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
920 |
1.23.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
810 |
1.21 |
21 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
820 |
1.21.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
830 |
1.21.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
840 |
1.21.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
850 |
1.22 |
22 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
860 |
1.22.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
870 |
1.22.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
880 |
1.22.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
890 |
1.23 |
23 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
900 |
1.23.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
910 |
1.23.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
920 |
1.23.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
810 |
1.21 |
21 |
Total funding |
|
|
|
|
|
|
|
|
|
820 |
1.21.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
830 |
1.21.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
840 |
1.21.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
850 |
1.22 |
22 |
Total funding |
|
|
|
|
|
|
|
|
|
860 |
1.22.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
870 |
1.22.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
880 |
1.22.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
890 |
1.23 |
23 |
Total funding |
|
|
|
|
|
|
|
|
|
900 |
1.23.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
910 |
1.23.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
920 |
1.23.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
930 |
1.24 |
24 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
940 |
1.24.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
950 |
1.24.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
960 |
1.24.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
970 |
1.25 |
25 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
980 |
1.25.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
990 |
1.25.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1000 |
1.25.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1010 |
1.26 |
26 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
1020 |
1.26.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1030 |
1.26.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1040 |
1.26.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
930 |
1.24 |
24 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
940 |
1.24.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
950 |
1.24.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
960 |
1.24.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
970 |
1.25 |
25 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
980 |
1.25.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
990 |
1.25.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1000 |
1.25.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1010 |
1.26 |
26 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
1020 |
1.26.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1030 |
1.26.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1040 |
1.26.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
930 |
1.24 |
24 |
Total funding |
|
|
|
|
|
|
|
|
|
940 |
1.24.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
950 |
1.24.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
960 |
1.24.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
970 |
1.25 |
25 |
Total funding |
|
|
|
|
|
|
|
|
|
980 |
1.25.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
990 |
1.25.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
1000 |
1.25.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
1010 |
1.26 |
26 |
Total funding |
|
|
|
|
|
|
|
|
|
1020 |
1.26.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
1030 |
1.26.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
1040 |
1.26.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
1050 |
1.27 |
27 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
1060 |
1.27.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1070 |
1.27.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1080 |
1.27.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1090 |
1.28 |
28 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
1100 |
1.28.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1110 |
1.28.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1120 |
1.28.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1130 |
1.29 |
29 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
1140 |
1.29.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1150 |
1.29.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1160 |
1.29.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
1050 |
1.27 |
27 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
1060 |
1.27.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1070 |
1.27.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1080 |
1.27.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1090 |
1.28 |
28 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
1100 |
1.28.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1110 |
1.28.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1120 |
1.28.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1130 |
1.29 |
29 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
1140 |
1.29.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1150 |
1.29.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1160 |
1.29.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
1050 |
1.27 |
27 |
Total funding |
|
|
|
|
|
|
|
|
|
1060 |
1.27.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
1070 |
1.27.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
1080 |
1.27.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
1090 |
1.28 |
28 |
Total funding |
|
|
|
|
|
|
|
|
|
1100 |
1.28.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
1110 |
1.28.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
1120 |
1.28.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
1130 |
1.29 |
29 |
Total funding |
|
|
|
|
|
|
|
|
|
1140 |
1.29.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
1150 |
1.29.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
1160 |
1.29.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
1170 |
1.30 |
30 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
1180 |
1.30.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1190 |
1.30.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1200 |
1.30.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1210 |
1.31 |
31 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
1220 |
1.31.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1230 |
1.31.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1240 |
1.31.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
1170 |
1.30 |
30 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
1180 |
1.30.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1190 |
1.30.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1200 |
1.30.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1210 |
1.31 |
31 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
1220 |
1.31.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1230 |
1.31.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
1240 |
1.31.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
1170 |
1.30 |
30 |
Total funding |
|
|
|
|
|
|
|
|
|
1180 |
1.30.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
1190 |
1.30.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
1200 |
1.30.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
1210 |
1.31 |
31 |
Total funding |
|
|
|
|
|
|
|
|
|
1220 |
1.31.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
1230 |
1.31.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
1240 |
1.31.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
ANNEX XIX
INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII
1. Additional Monitoring Tools
1.1. General remarks
1. The summary templates contained in Annex XVIII is designed to monitor an institution's liquidity risk that falls outside of the scope of the reports on Liquidity Coverage and Stable Funding.
1.2. Concentration of funding by counterparty (C 67.00)
1. This template seeks to collect information about the reporting institutions' concentration of funding by counterparty.
2. For the purpose of completing this template:
(a) Institutions shall report the top ten largest counterparties or a group of connected clients according to Article 4(39) of Regulation (EC) No 575/2013 [CRR] from which funding obtained from each counterparty exceeds a threshold of 1 % of total liabilities in the sublines of section 1 of the template. Thus, the counterparty reported in item 1.01 shall be the largest amount of funding received from one counterparty which is above the 1 % threshold as at the reporting date; item 1.02 shall be the second largest above the 1 % threshold; and so on.
(b) Institutions shall report the total of all other remaining liabilities in section 2.
(c) The totals of section 1 and section 2 shall equal an institution's total liabilities as per its balance sheet reported under the financial reporting framework (FINREP).
3. For each counterparty, institutions shall record the following components:
(a) counterparty name;
(b) LEI code;
(c) counterparty sector;
(d) residence of the counterparty;
(e) product type;
(f) amount received;
(g) weighted average initial maturity; and
(h) weighted average residual maturity
These components are explained in more detail in the table below.
4. 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. Separate information shall be reported to the competent authority explaining the breakdown of funding received for the top 5 products by product type.
5. 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 (i.e. is the custodian bank) it should consider that amount for reporting the concentration of counterparties. When there is no information available on the holder of securities the corresponding amount does not have to be reported.
6. Instructions concerning specific columns:
Column |
Legal references and instructions |
010 |
Counterparty Name The name of each counterparty from which funding obtained exceeds 1 % of total liabilities shall be recorded in column 010 in descending order, that is, in order of size of funding obtained. The counterparty name recorded shall be the legal entity title of the company from which the funding is derived including any company type references such as SA (Société anonyme in France), Plc. (public limited company in the UK), or AG (Aktiengesellschaft in Germany). |
020 |
LEI Code The legal entity identifier code of the counterparty. |
030 |
Counterparty Sector One sector shall be allocated to every counterparty on the basis of FINREP economic sector classes: (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. |
040 |
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 last edition of the Eurostat's ‘Balance of Payments Vademecum’). For groups of connected clients, no country shall be reported. |
050 |
Product Type Counterparties reported in column 010 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) REPO (funding obtained from repurchase agreements as defined in Article 4(1) (82) of CRR) CB (funding obtained from covered bond issuance as defined in Article 129(4) or (5) of CRR OR Article 52(4) of Directive 2009/65/EC) ABS (funding obtained from asset backed security issuance including asset backed commercial paper) IGCP (funding obtained from intragroup counterparties) |
060 |
Amount Received The total amount of funding received from counterparties reported in column 010 shall be recorded in column 060. |
070 |
Weighted average initial maturity For the amount of funding received reported in column 060, from the counterparty reported in column 010, a weighted average initial maturity (in days) for that funding shall be recorded in column 070. Weighted average initial maturity is the average initial maturity (in days) of the funding received from that counterparty based on the size of different amounts of funding received to total funding received. For example: 1. EUR 1 billion received from counterparty A with an initial maturity of 180 days. 2. EUR 0,5 billion received from counterparty A with an initial maturity of 360 days. Weighted average initial maturity = (EUR 1 billion/EUR 1,5 billion) * 180 days + (EUR 0,5 billion/EUR 1,5 billion) * 360 days Weighted average initial maturity = 240 days |
080 |
Weighted average residual maturity For the amount of funding received reported in column 060, from the counterparty reported in column 010, a weighted average residual maturity (in days) for that funding shall be recorded in column 080. Weighted average residual maturity is the average maturity (in days) of the funding received from that counterparty left based on the size of different amounts of funding received to total funding received. For example: 1. EUR 1 billion received from counterparty A with 60 days residual maturity left. 2. EUR 0.5 billion received from counterparty A with 180 days residual maturity left. Weighted average residual maturity = (EUR 1 billion/EUR 1,5 billion) * 60 days + (EUR 0,5 billion/EUR 1,5 billion) * 180 days Weighted average residual maturity = 100 days |
1.3. Concentration of funding by product type (C 68.00)
1. This template seeks to collect information about the reporting institutions' concentration of funding by product type, broken down into the following funding types:
1. Retail funding;
(a) Sight deposits;
(b) Fixed term deposits less or equal than 30 days
(c) Fixed term deposits greater than 30 days;
(i) With a penalty for early withdrawal significantly greater than the loss of interest;
(ii) Without a penalty for early withdrawal which is significantly greater than the loss of interest;
(d) Savings accounts;
(i) With a notice period for withdrawal greater than 30 days;
(ii) Without a notice period for withdrawal which is greater than 30 days;
2. Wholesale funding;
(a) Unsecured wholesale funding;
(i) of which financial customers
(ii) of which non-financial customers
(iii) of which from intra-group entities
(b) Secured wholesale funding;
(i) of which repurchase agreements
(ii) of which covered bond issuance
(iii) of which asset backed security issuance
(iv) of which from intra-group entities
2. For the purpose of completing this template institutions shall report the total amount of funding received from each product category, which exceeds a threshold of 1 % of total liabilities.
3. For each product type, institutions shall record the following components:
(a) total amount received;
(b) amount covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country;
(c) amount not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country;
(d) weighted average initial maturity; and
(e) weighted average residual maturity.
These components are explained in more detail in the table below.
4. For the purpose of determining those product types from which funding obtained is greater than 1 % of total liabilities threshold, the currency is irrelevant.
5. Instructions concerning specific columns:
Column |
Legal references and instructions |
010 |
Total amount received Total amount of funding received for each of the product categories listed in the ‘Product name’ column shall be reported in column 010 of the template in one combined reporting currency. |
020 |
Amount covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country Of the total amount of funding received for each of the product categories listed in the ‘Product name’ column reported in column 010, the amount which is covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country. Note: the amounts reported in column 020 and column 030, for each of the product categories listed in the ‘Product name’ column, shall be equal to the total amount received reported in column 010. |
030 |
Amount not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country Of the total amount of funding received for each of the product categories listed in the ‘Product name’ column reported in column 010, the amount which is not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country. Note: the amounts reported in column 020 and column 030, for each of the product categories listed in the ‘Product name’ column, shall be equal to the total amount received reported in column 010. |
040 |
Weighted average initial maturity For the amount of funding received reported in column 010, from the product categories listed in the ‘Product name’ column, a weighted average initial maturity (in days) for that funding shall be recorded in column 040. Weighted average initial maturity is the average initial maturity (in days) of the funding received from each and every counterparty as a result of the issuance of a specified product, to total funding received from the issuance of that product. For example: 1. EUR 1 billion received from counterparty A as a result of issuing product X with an initial maturity of 180 days. 2. EUR 0,5 billion received from counterparty B as a result of issuing product X with an initial maturity of 360 days. Weighted average initial maturity = (EUR 1 billion/EUR 1,5 billion) * 180 days + (EUR 0,5 billion/EUR 1,5 billion) * 360 days Weighted average initial maturity = 240 days |
050 |
Weighted average residual maturity For the amount of funding received reported in column 010, from the product categories listed in the ‘Product name’ column, a weighted average residual maturity (in days) for that funding shall be recorded in column 050. Weighted average residual maturity is the average maturity (in days) left on the funding received from each and every counterparty as a result of the issuance of a specified product, to total funding received from the issuance of that product. For example: 1. EUR 1 billion received from counterparty A as a result of issuing product X with 60 days residual maturity left. 2. EUR 0,5 billion received from counterparty B as a result of issuing product X with 180 days residual maturity left. Weighted average residual maturity = (EUR 1 billion/EUR 1,5 billion) * 60 days + (EUR 0,5 billion/EUR 1,5 billion) * 180 days Weighted average residual maturity = 100 days |
1.4. Prices for Various Lengths of Funding (C 69.00)
1. This template seeks to collect information about the average transaction volume and prices paid by institutions for funding with the following maturities:
(a) Overnight (columns 010 and 020)
(b) 1 week (columns 030 and 040)
(c) 1 month (columns 050 and 060)
(d) 3 months (columns 070 and 080)
(e) 6 months (columns 090 and 100)
(f) 1 year (columns 110 and 120)
(g) 2 years (columns 130 and 140)
(h) 5 years (columns 150 and 160)
(i) 10 years (columns 170 and 180)
2. For the purpose of determining the maturity of 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 070 and 080).
3. The spread reported in the left hand column of each time bucket shall be one of the following:
1. the spread payable by the firm 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;
2. the spread payable by the firm at issuance for liabilities greater than one year, were they to be swapped to the relevant benchmark overnight index for the appropriate currency which is three month EURIBOR for EUR or LIBOR for GBP and USD, no later than close of business on the day of the transaction.
4. Spread shall be reported in basis points (bp) and calculated on a weighted average basis. For example:
1. EUR 1 billion of funding received or offered by counterparty A with a spread 200 bp above the prevailing EURIBOR rate.
2. EUR 0,5 billion of funding received or offered by counterparty B with a spread 150 bp above the prevailing EURIBOR rate.
Weighted average spread = (EUR 1 billion/EUR 1,5 billion) * 200 bp + (EUR 0.5 billion/EUR 1,5 billion) * 150 bp
Weighted average spread = 183 bp
5. For the purposes of calculating the average spread payable, institutions shall calculate the total cost in the currency of issue ignoring any FX swap, but include any premium or discount and fees payable or receivable, taking as basis the term of any theoretical or actual interest rate swap matching the term of the liability. The spread is the liability rate minus the swap rate.
6. The net 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. For example, for the funding in point 4 above, this would be EUR 1 500 000 .
7. Where there is nothing to report, spreads shall be left empty.
8. Instructions concerning specific rows:
Row |
Legal references and instructions |
010 |
1 Total Funding Total volume and weighted average spread of all funding obtained for the following lengths: (a) Overnight (columns 010 and 020) (b) 1 week (columns 030 ad 040) (c) 1 month (columns 050 and 060) (d) 3 months (columns 070 and 080) (e) 6 months (columns 090 and 100) (f) 1 year (columns 110 and 120) (g) 2 years (columns 130 and 140) (h) 5 years (columns 150 and 160) (i) 10 years (columns 170 and 180) |
020 |
1.1 of which: Retail deposits Of the total funding reported in item 1, the total volume and weighted average spread of retail deposits obtained. |
030 |
1.2 of which: Unsecured wholesale deposits Of the total funding in item 1, the total volume and weighted average spread of unsecured wholesale deposits obtained |
040 |
1.3 of which: Secured funding Of the total funding reported in item 1, the total volume and weighted average spread of secured funding obtained. |
050 |
1.4 of which: Senior unsecured securities Of the total funding reported in item 1, the total volume and weighted average spread of senior unsecured securities obtained. |
060 |
1.5 of which: Covered bonds Of the total funding reported in item 1, the total volume and weighted average spread of all covered bond issuance encumbering the institutions own assets. |
070 |
1.6 of which: Asset backed securities including ABCP Of the total funding reported in item 1, the total volume and weighted average spread of asset backed securities issued including asset backed commercial paper. |
1.5. Roll-over of funding (C 70.00)
1. This template seeks to collect information about the volume of funds maturing and new funding obtained i.e. ‘roll-over of funding’ on a daily basis over a monthly time horizon.
2. Institutions shall report the funding they have maturing in the following time buckets:
(a) Overnight (columns 010 to 040)
(b) Between 1 day and 7 days (columns 050 to 080)
(c) Between 7 days and 14 days (columns 090 to 120)
(d) Between 14 days and 1 month (columns 130 to 160)
(e) Between 1 month and 3 months (columns 170 to 200)
(f) Between 3 months and 6 months (columns 210 to 240)
(g) Maturing greater than 6 months (columns 250 to 280)
3. For each time bucket as described in point 2 above, 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 (i.e. new funds + roll over — maturing) shall be reported in the right-hand column.
4. Total net cashflows shall be reported in column 290 and shall equal the sum of all ‘Net’ columns (i.e. 040 + 080 + 120 + 160 + 200 + 240 + 280).
5. The average term of funding (in days) for maturing term funds shall be reported in column 300.
6. The average term of funding (in days) of funds rolled over shall be reported in column 310
7. The average term of funding (in days) for new term funds shall be reported in column 320.
8. The average term of funding (in days) for the total funding profile shall be reported in column 330.
9. Instructions concerning specific rows:
Column |
Legal references and instructions |
010 to 040 |
Overnight The total amount of funding maturing on a daily basis shall be reported in column 010 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall beleft empty. The total amount of funding rolled-over on a daily basis shall be reported in column 020 of line item 1.1-1.31. The total amount of new funding obtained on a daily basis shall be reported in column 030 of line item 1.1-1.31. The net difference between maturing daily funding and new daily funding obtained shall be reported in column 040 of line item 1.1-1.31. |
050 to 080 |
> 1 day ≤ 7 days The total amount of funding maturing between one day and one week shall be reported in column 050 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty. The total amount of funding rolled-over on a daily basis shall be reported in column 060 of line item 1.1-1.31. The total amount of new funding obtained for a duration between one day and one week shall be reported in column 70 of line item 1.1-1.31. The net difference between maturing funding and new funding obtained shall be reported in column 080 of line item 1.1-1.31. |
090 to 120 |
> 7days ≤ 14 days The total amount of funding maturing between one week and two weeks shall be reported in column 090 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty. The total amount of funding rolled-over on a daily basis shall be reported in column 100 of line item 1.1-1.31. The total amount of new funding obtained for a duration between one week and two weeks shall be reported in column 110 of line item 1.1-1.31. The net difference between maturing funding and new funding obtained shall be reported in column 120 of line item 1.1-1.31. |
130 to 160 |
> 14 days ≤ 1 month The total amount of funding maturing between two weeks and one month shall be reported in column 130 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty. The total amount of funding rolled-over on a daily basis shall be reported in column 140 of line item 1.1-1.31. The total amount of new funding obtained for a duration between two weeks and one month shall be reported in column 150 of line item 1.1-1.31. The net difference between maturing funding and new funding obtained shall be reported in column 160 of line item 1.1-1.31. |
170 to 200 |
> 1 Month ≤ 3 Months The total amount of funding maturing between one month and three months shall be reported in column 170 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty. The total amount of funding rolled-over on a daily basis shall be reported in column 180 of line item 1.1-1.31. The total amount of new funding obtained for a duration between one month and three months shall be reported in column 190 of line item 1.1-1.31. The net difference between maturing funding and new funding obtained shall be reported in column 200 of line item 1.1-1.31. |
210 to 240 |
> 3 Months ≤ 6 Months The total amount of funding maturing between three months and six months shall be reported in column 210 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty. The total amount of funding rolled-over on a daily basis shall be reported in column 220 of line item 1.1-1.31. The total amount of new funding obtained for a duration between three months and six months shall be reported in column 230 of line item 1.1-1.31. The net difference between maturing funding and new funding obtained shall be reported in column 240 of line item 1.1-1.31. |
250 to 280 |
> 6 Months The total amount of funding maturing beyond six months shall be reported in column 250 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty. The total amount of funding rolled-over on a daily basis shall be reported in column 260 of line item 1.1-1.31. The total amount of new funding obtained for a duration beyond six months shall be reported in column 270 of line item 1.1-1.31. The net difference between maturing funding and new funding obtained shall be reported in column 280 of line item 1.1-1.31. |
290 |
Total net cash flows The total net cash flows equal to the sum of all ‘Net’ columns (i.e. 040 + 080 + 120 + 160 + 200 + 240 + 280) shall be reported in column 290. |
300 to 330 |
Average Term (days) The weighted average term (in days) of all funds maturing shall be reported in column 300. The weighted average term (in days) of all funds rolled over shall be reported in column 310, the weighted average term (in days) of all new funds shall be reported in column 320 and the weighted average term (in days) for the total funding profile shall be reported in column 330. |
ANNEX XX
ADDITIONAL LIQUIDITY MONITORING METRICS UNDER ARTICLE 415(3)(b) OF REGULATION (EU) No 575/2013
ALMM 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/COUNTERPARTY |
C 71.00 — CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER/COUNTERPARTY
z-axis Total and significant currencies
Concentration of counterbalancing capacity by issuer/counterparty |
||||||||||
|
Issuer/Counterparty Name |
LEI code |
Issuer/Counterparty Sector |
Residence of Issuer/Counterparty |
Product Type |
Currency |
Credit quality step |
MtM value/nominal |
Collateral value CB-eligible |
|
Row |
ID |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
010 |
1. TOP TEN ISSUERS/COUNTERPARTIES |
|
|
|
|
|
|
|
|
|
020 |
1,01 |
|
|
|
|
|
|
|
|
|
030 |
1,02 |
|
|
|
|
|
|
|
|
|
040 |
1,03 |
|
|
|
|
|
|
|
|
|
050 |
1,04 |
|
|
|
|
|
|
|
|
|
060 |
1,05 |
|
|
|
|
|
|
|
|
|
070 |
1,06 |
|
|
|
|
|
|
|
|
|
080 |
1,07 |
|
|
|
|
|
|
|
|
|
090 |
1,08 |
|
|
|
|
|
|
|
|
|
100 |
1,09 |
|
|
|
|
|
|
|
|
|
110 |
1,10 |
|
|
|
|
|
|
|
|
|
120 |
2. ALL OTHER ITEMS USED AS COUNTERBALANCING CAPACITY |
|
|
|
|
|
|
|
|
|
ANNEX XXI
INSTRUCTIONS FOR COMPLETING THE CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATE (C 71.00) OF ANNEX XXII
Concentration of Counterbalancing Capacity by issuer/counterparty (CCC) (C 71.00)
This template seeks 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. Counterbalancing capacity represents the stock of unencumbered assets or other funding sources which are legally and practically available to the institution at the reporting date to cover potential funding gaps. Only outflows and inflows pursuant to contracts existing at the reporting date shall be reported.
Column |
Legal references and instructions |
010 |
Issuer/Counterparty Name The name of the top ten issuers/counterparties of unencumbered assets or undrawn committed liquidity lines granted to the institution shall be recorded in column 010 in a descending fashion. The largest item will be recorded in 1.01, the second in line item 1.02, and so on. The issuer/counterparty name recorded shall be the legal entity title of the company which has issued the assets, or has granted the liquidity lines, including any company type references, e.g. SA (Société anonyme in France), Plc. (public limited company in the UK), or AG (Aktiengesellschaft in Germany) etc. |
020 |
LEI code The legal entity identifier code of the counterparty. |
030 |
Issuer/Counterparty Sector One sector shall be allocated to every counterparty on the basis of FINREP economic sector classes: (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. |
040 |
Residence of Issuer/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 last edition of the Eurostat's ‘Balance of Payments Vademecum’). For groups of connected clients, no country shall be reported. |
050 |
Product Type Issuers/Counterparties recorded in column 010 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 a security issued by an Undertaking for Collective Investments of transferable securities) ABS (Asset Backed Security) CrCl (Credit Claim) Eq (Equity listed on a recognized exchange, not self-issued or issued by a financial institution) Gold LiqL (Undrawn committed liquidity line granted to the institution) OPT (Other product type) |
060 |
Currency Issuers/counterparties recorded in column 010 shall be assigned a currency ISO code in column 060 corresponding to the denomination of the asset received or undrawn committed liquidity lines granted to the institution. The three-letter currency unit code according to ISO 4217 shall be reported. |
070 |
Credit quality step Issuers/counterparties recorded in column 010 shall be assigned the appropriate credit quality step according to REGULATION 575/2013, consistent with the items reported in the maturity ladder. |
080 |
MtM value/nominal The market value or fair value of the assets, or — if applicable — the nominal value of the undrawn liquidity line granted to the institution. |
090 |
Collateral value CB-eligible The collateral value according to the central bank rules for standing facilities for the specific assets if they are used as collateral against credit received from the central bank. For assets denominated in a currency included in the ITS issued under Article 416(5) Regulation (EC) No 575/2013 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank. |
ANNEX XXIV
REPORTING ON LIQUIDITY
LIQUIDITY TEMPLATES |
||
Template number |
Template code |
Name of the template/group of templates |
LIQUIDITY COVERAGE TEMPLATES |
||
PART I — LIQUID ASSETS |
||
72 |
C 72.00 |
LIQUIDITY COVERAGE — LIQUID ASSETS |
PART II — OUTFLOWS |
||
73 |
C 73.00 |
LIQUIDITY COVERAGE — OUTFLOWS |
PART III — INFLOWS |
||
74 |
C 74.00 |
LIQUIDITY COVERAGE — INFLOWS |
PART IV — COLLATERAL SWAPS |
||
75 |
C 75.00 |
LIQUIDITY COVERAGE — COLLATERAL SWAPS |
PART V — CALCULATIONS |
||
76 |
C 76.00 |
LIQUIDITY COVERAGE — CALCULATIONS |
C 72.00 — LIQUIDITY COVERAGE — LIQUID ASSETS
Currency
Row |
ID |
Item |
Amount/Market value |
Standard weight |
Applicable weight |
Value according to Article 9 |
010 |
020 |
030 |
040 |
|||
010 |
1 |
TOTAL UNADJUSTED LIQUID ASSETS |
|
|
|
|
020 |
1.1 |
Total unadjusted level 1 assets |
|
|
|
|
030 |
1.1.1 |
Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds |
|
|
|
|
040 |
1.1.1.1 |
Coins and banknotes |
|
1,00 |
|
|
050 |
1.1.1.2 |
Withdrawable central bank reserves |
|
1,00 |
|
|
060 |
1.1.1.3 |
Central bank assets |
|
1,00 |
|
|
070 |
1.1.1.4 |
Central government assets |
|
1,00 |
|
|
080 |
1.1.1.5 |
Regional government/local authorities assets |
|
1,00 |
|
|
090 |
1.1.1.6 |
Public Sector Entity assets |
|
1,00 |
|
|
100 |
1.1.1.7 |
Recognisable domestic and foreign currency central government and central bank assets |
|
1,00 |
|
|
110 |
1.1.1.8 |
Credit institution (protected by Member State government, promotional lender) assets |
|
1,00 |
|
|
120 |
1.1.1.9 |
Multilateral development bank and international organisations assets |
|
1,00 |
|
|
130 |
1.1.1.10 |
Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank exposure |
|
1,00 |
|
|
140 |
1.1.1.11 |
Qualifying CIU shares/units: underlying is Level 1 assets excluding extremely high quality covered bonds |
|
0,95 |
|
|
150 |
1.1.1.12 |
Alternative Liquidity Approaches: Central bank credit facility |
|
1,00 |
|
|
160 |
1.1.1.13 |
Central institutions: Level 1 assets excl. EHQ CB which are considered liquid assets for the depositing credit institution |
|
|
|
|
170 |
1.1.1.14 |
Alternative Liquidity Approaches: Inclusion of Level 2A assets recognised as Level 1 |
|
0,80 |
|
|
180 |
1.1.2 |
Total unadjusted LEVEL 1 extremely high quality covered bonds |
|
|
|
|
190 |
1.1.2.1 |
Extremely high quality covered bonds |
|
0,93 |
|
|
200 |
1.1.2.2 |
Qualifying CIU shares/units: underlying is extremely high quality covered bonds |
|
0,88 |
|
|
210 |
1.1.2.3 |
Central institutions: Level 1 EHQ covered bonds which are considered liquid assets for the depositing credit institution |
|
|
|
|
220 |
1.2 |
Total unadjusted level 2 assets |
|
|
|
|
230 |
1.2.1 |
Total unadjusted LEVEL 2A assets |
|
|
|
|
240 |
1.2.1.1 |
Regional government/local authorities or Public Sector Entity assets (Member State, RW20 %) |
|
0,85 |
|
|
250 |
1.2.1.2 |
Central bank or central/regional government or local authorities or Public Sector Entity assets (Third Country, RW20 %) |
|
0,85 |
|
|
260 |
1.2.1.3 |
High quality covered bonds (CQS2) |
|
0,85 |
|
|
270 |
1.2.1.4 |
High quality covered bonds (Third Country, CQS1) |
|
0,85 |
|
|
280 |
1.2.1.5 |
Corporate debt securities (CQS1) |
|
0,85 |
|
|
290 |
1.2.1.6 |
Qualifying CIU shares/units: underlying is Level 2A assets |
|
0,80 |
|
|
300 |
1.2.1.7 |
Central institutions: Level 2A assets which are considered liquid assets for the depositing credit institution |
|
|
|
|
310 |
1.2.2 |
Total unadjusted LEVEL 2B assets |
|
|
|
|
320 |
1.2.2.1 |
Asset-backed securities (residential, CQS1) |
|
0,75 |
|
|
330 |
1.2.2.2 |
Asset-backed securities (auto, CQS1) |
|
0,75 |
|
|
340 |
1.2.2.3 |
High quality covered bonds (RW35 %) |
|
0,70 |
|
|
350 |
1.2.2.4 |
Asset-backed securities (commercial or individuals, Member State, CQS1) |
|
0,65 |
|
|
360 |
1.2.2.5 |
Corporate debt securities (CQS2/3) |
|
0,50 |
|
|
370 |
1.2.2.6 |
Corporate debt securities — non-interest bearing assets (held by credit institutions for religious reasons) (CQS1/2/3) |
|
0,50 |
|
|
380 |
1.2.2.7 |
Shares (major stock index) |
|
0,50 |
|
|
390 |
1.2.2.8 |
Non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5) |
|
0,50 |
|
|
400 |
1.2.2.9 |
Restricted-use central bank committed liquidity facilities |
|
1,00 |
|
|
410 |
1.2.2.10 |
Qualifying CIU shares/units: underlying is asset-backed securities (residential or auto, CQS1) |
|
0,70 |
|
|
420 |
1.2.2.11 |
Qualifying CIU shares/units: underlying is High quality covered bonds (RW35 %) |
|
0,65 |
|
|
430 |
1.2.2.12 |
Qualifying CIU shares/units: underlying is asset-backed securities (commercial or individuals, Member State, CQS1) |
|
0,60 |
|
|
440 |
1.2.2.13 |
Qualifying CIU shares/units: underlying is corporate debt securities (CQS2/3), shares (major stock index) or non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5) |
|
0,45 |
|
|
450 |
1.2.2.14 |
Deposits by network member with central institution (no obligated investment) |
|
0,75 |
|
|
460 |
1.2.2.15 |
Liquidity funding available to network member from central institution (non-specified collateralisation) |
|
0,75 |
|
|
470 |
1.2.2.16 |
Central institutions: Level 2B assets which are considered liquid assets for the depositing credit institution |
|
|
|
|
MEMORANDUM ITEMS |
||||||
480 |
2 |
Alternative Liquidity Approaches: Additional Level 1/2A/2B assets included due to currency consistency not applying for ALA reasons |
|
|
|
|
490 |
3 |
Deposits by network member with central institution (obligated investment in Level 1 excl. EHQ CB) |
|
|
|
|
500 |
4 |
Deposits by network member with central institution (obligated investment in Level 1 EHQ CB assets) |
|
|
|
|
510 |
5 |
Deposits by network member with central institution (obligated investment in Level 2A assets) |
|
|
|
|
520 |
6 |
Deposits by network member with central institution (obligated investment in Level 2B assets) |
|
|
|
|
530 |
7 |
Adjustments made to assets due to net liquidity outflows from early close-out of hedges |
|
|
|
|
540 |
8 |
Adjustments made to assets due to net liquidity inflows from early close-out of hedges |
|
|
|
|
550 |
9 |
Member State-sponsored guaranteed bank assets subject to grandfathering |
|
|
|
|
560 |
10 |
Member State-sponsored impaired asset management agencies subject to transitional provision |
|
|
|
|
570 |
11 |
Securitisations backed by residential loans subject to transitional provision |
|
|
|
|
580 |
12 |
Level 1/2A/2B assets excluded due to currency reasons |
|
|
|
|
590 |
13 |
Level 1/2A/2B assets excluded for operational reasons except for currency reasons |
|
|
|
|
600 |
14 |
Level 1 Non-interest bearing assets (held by credit institutions for religious reasons) |
|
|
|
|
610 |
15 |
Level 2A Non-interest bearing assets (held by credit institutions for religious reasons) |
|
|
|
|
C 73.00 — LIQUIDITY COVERAGE — OUTFLOWS
Currency
|
Amount |
Market value of collateral extended |
Value of collateral extended according to Article 9 |
Standard Weight |
Applicable Weight |
Outflow |
||
Row |
ID |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
010 |
1 |
OUTFLOWS |
|
|
|
|
|
|
020 |
1.1 |
Outflows from unsecured transactions/deposits |
|
|
|
|
|
|
030 |
1.1.1 |
Retail deposits |
|
|
|
|
|
|
040 |
1.1.1.1 |
deposits where the payout has been agreed within the following 30 days |
|
|
|
1,00 |
|
|
050 |
1.1.1.2 |
deposits subject to higher outflows |
|
|
|
|
|
|
060 |
1.1.1.2.1 |
category 1 |
|
|
|
0,10-0,15 |
|
|
070 |
1.1.1.2.2 |
category 2 |
|
|
|
0,15-0,20 |
|
|
080 |
1.1.1.3 |
stable deposits |
|
|
|
0,05 |
|
|
090 |
1.1.1.4 |
derogated stable deposits |
|
|
|
0,03 |
|
|
100 |
1.1.1.5 |
deposits in third countries where a higher outflow is applied |
|
|
|
|
|
|
110 |
1.1.1.6 |
other retail deposits |
|
|
|
0,10 |
|
|
120 |
1.1.2 |
Operational deposits |
|
|
|
|
|
|
130 |
1.1.2.1 |
maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship |
|
|
|
|
|
|
140 |
1.1.2.1.1 |
covered by DGS |
|
|
|
0,05 |
|
|
150 |
1.1.2.1.2 |
not covered by DGS |
|
|
|
0,25 |
|
|
160 |
1.1.2.2 |
maintained in the context of IPS or a cooperative network |
|
|
|
|
|
|
170 |
1.1.2.2.1 |
not treated as liquid assets for the depositing institution |
|
|
|
0,25 |
|
|
180 |
1.1.2.2.2 |
treated as liquid assets for the depositing credit institution |
|
|
|
1,00 |
|
|
190 |
1.1.2.3 |
maintained in the context of an established operational relationship (other) with non-financial customers |
|
|
|
0,25 |
|
|
200 |
1.1.2.4 |
maintained to obtain cash clearing and central credit institution services within a network |
|
|
|
0,25 |
|
|
210 |
1.1.3 |
Non-operational deposits |
|
|
|
|
|
|
220 |
1.1.3.1 |
correspondent banking and provisions of prime brokerage deposits |
|
|
|
1,00 |
|
|
230 |
1.1.3.2 |
deposits by-financial customers |
|
|
|
1,00 |
|
|
240 |
1.1.3.3 |
deposits by other customers |
|
|
|
|
|
|
250 |
1.1.3.3.1 |
covered by DGS |
|
|
|
0,20 |
|
|
260 |
1.1.3.3.2 |
not covered by DGS |
|
|
|
0,40 |
|
|
270 |
1.1.4 |
Additional outflows |
|
|
|
|
|
|
280 |
1.1.4.1 |
collateral other than Level 1 assets collateral posted for derivatives |
|
|
|
0,20 |
|
|
290 |
1.1.4.2 |
Level 1 EHQ Covered Bonds assets collateral posted for derivatives |
|
|
|
0,10 |
|
|
300 |
1.1.4.3 |
material outflows due to deterioration of own credit quality |
|
|
|
1,00 |
|
|
310 |
1.1.4.4 |
impact of an adverse market scenario on derivatives, financing transactions and other contracts |
|
|
|
|
|
|
320 |
1.1.4.4.1 |
hlba approach |
|
|
|
1,00 |
|
|
330 |
1.1.4.4.2 |
amao approach |
|
|
|
1,00 |
|
|
340 |
1.1.4.5 |
outflows from derivatives |
|
|
|
1,00 |
|
|
350 |
1.1.4.6 |
short positions |
|
|
|
|
|
|
360 |
1.1.4.6.1 |
covered by collateralized SFT |
|
|
|
0,00 |
|
|
370 |
1.1.4.6.2 |
other |
|
|
|
1,00 |
|
|
380 |
1.1.4.7 |
callable excess collateral |
|
|
|
1,00 |
|
|
390 |
1.1.4.8 |
due collateral |
|
|
|
1,00 |
|
|
400 |
1.1.4.9 |
liquid asset collateral exchangable for non-liquid asset collateral |
|
|
|
1,00 |
|
|
410 |
1.1.4.10 |
loss of funding on structured financing activites |
|
|
|
|
|
|
420 |
1.1.4.10.1 |
structured financing instruments |
|
|
|
1,00 |
|
|
430 |
1.1.4.10.2 |
financing facilites |
|
|
|
1,00 |
|
|
440 |
1.1.4.11 |
assets borrowed on an unsecured basis |
|
|
|
1,00 |
|
|
450 |
1.1.4.12 |
internal netting of client's positions |
|
|
|
0,50 |
|
|
460 |
1.1.5 |
Committed facilities |
|
|
|
|
|
|
470 |
1.1.5.1 |
credit facilities |
|
|
|
|
|
|
480 |
1.1.5.1.1 |
to retail customers |
|
|
|
0,05 |
|
|
490 |
1.1.5.1.2 |
to non-financial customers other than retail customers |
|
|
|
0,10 |
|
|
500 |
1.1.5.1.3 |
to credit institutions |
|
|
|
|
|
|
510 |
1.1.5.1.3.1 |
for funding promotional loans of retail customers |
|
|
|
0,05 |
|
|
520 |
1.1.5.1.3.2 |
for funding promotional loans of non-financial customers |
|
|
|
0,10 |
|
|
530 |
1.1.5.1.3.3 |
other |
|
|
|
0,40 |
|
|
540 |
1.1.5.1.4 |
to regulated financial institutions other than credit institutions |
|
|
|
0,40 |
|
|
550 |
1.1.5.1.5 |
within a group or an IPS if subject to preferential treatment |
|
|
|
|
|
|
560 |
1.1.5.1.6 |
within IPS or cooperative network if treated as liquid asset by the depositing institution |
|
|
|
0,75 |
|
|
570 |
1.1.5.1.7 |
to other financial customers |
|
|
|
1,00 |
|
|
580 |
1.1.5.2 |
liquidity facilities |
|
|
|
|
|
|
590 |
1.1.5.2.1 |
to retail customers |
|
|
|
0,05 |
|
|
600 |
1.1.5.2.2 |
to non-financial customers other than retail customers |
|
|
|
0,30 |
|
|
610 |
1.1.5.2.3 |
to personal investment companies |
|
|
|
0,40 |
|
|
620 |
1.1.5.2.4 |
to SSPEs |
|
|
|
|
|
|
630 |
1.1.5.2.4.1 |
to purchase assets other than securities from non-financial customers |
|
|
|
0,10 |
|
|
640 |
1.1.5.2.4.2 |
other |
|
|
|
1,00 |
|
|
650 |
1.1.5.2.5 |
to credit institutions |
|
|
|
|
|
|
660 |
1.1.5.2.5.1 |
for funding promotional loans of retail customers |
|
|
|
0,05 |
|
|
670 |
1.1.5.2.5.2 |
for funding promotional loans of non-financial customers |
|
|
|
0,30 |
|
|
680 |
1.1.5.2.5.3 |
other |
|
|
|
0,40 |
|
|
690 |
1.1.5.2.6 |
within a group or an IPS if subject to preferential treatment |
|
|
|
|
|
|
700 |
1.1.5.2.7 |
within IPS or cooperative network if treated as liquid asset by the depositing institution |
|
|
|
0,75 |
|
|
710 |
1.1.5.2.8 |
to other financial customers |
|
|
|
1,00 |
|
|
720 |
1.1.6 |
Other products and services |
|
|
|
|
|
|
730 |
1.1.6.1 |
other off-balance sheet and contingent funding obligations |
|
|
|
|
|
|
740 |
1.1.6.2 |
undrawn loans and advances to wholesale counterparties |
|
|
|
|
|
|
750 |
1.1.6.3 |
mortgages that have been agreed but not yet drawn down |
|
|
|
|
|
|
760 |
1.1.6.4 |
credit cards |
|
|
|
|
|
|
770 |
1.1.6.5 |
overdrafts |
|
|
|
|
|
|
780 |
1.1.6.6 |
planned outflows related to renewal or extension of new retail or wholesale loans |
|
|
|
|
|
|
790 |
1.1.6.6.1 |
the excess of funding to non-financial customers |
|
|
|
|
|
|
800 |
1.1.6.6.1.1 |
the excess of funding to retail customers |
|
|
|
|
|
|
810 |
1.1.6.6.1.2 |
the excess of funding to non financial corporates |
|
|
|
|
|
|
820 |
1.1.6.6.1.3 |
the excess of funding to sovereigns, MLDBs and PSEs |
|
|
|
|
|
|
830 |
1.1.6.6.1.4 |
the excess of funding to other legal entities |
|
|
|
|
|
|
840 |
1.1.6.6.2 |
other |
|
|
|
|
|
|
850 |
1.1.6.7 |
planned derivatives payables |
|
|
|
|
|
|
860 |
1.1.6.8 |
trade finance off-balance sheet related products |
|
|
|
|
|
|
870 |
1.1.6.9 |
others |
|
|
|
|
|
|
880 |
1.1.7 |
Other liabilities |
|
|
|
|
|
|
890 |
1.1.7.1 |
liabilities resulting from-operating expenses |
|
|
|
0,00 |
|
|
900 |
1.1.7.2 |
in the form of debt securities if not treated as retail deposits |
|
|
|
1,00 |
|
|
910 |
1.1.7.3 |
others |
|
|
|
1,00 |
|
|
920 |
1.2 |
Outflows from secured lending and capital market-driven transactions |
|
|
|
|
|
|
930 |
1.2.1 |
Counterparty is central bank |
|
|
|
|
|
|
940 |
1.2.1.1 |
level 1 excl. EHQ Covered Bonds collateral |
|
|
|
0,00 |
|
|
950 |
1.2.1.2 |
level 1 EHQ Covered Bonds collateral |
|
|
|
0,00 |
|
|
960 |
1.2.1.3 |
level 2A collateral |
|
|
|
0,00 |
|
|
970 |
1.2.1.4 |
level 2B asset-backed securities (residential or automobile, CQS1) collateral |
|
|
|
0,00 |
|
|
980 |
1.2.1.5 |
level 2B covered bonds |
|
|
|
0,00 |
|
|
990 |
1.2.1.6 |
level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral |
|
|
|
0,00 |
|
|
1000 |
1.2.1.7 |
other Level 2B assets collateral |
|
|
|
0,00 |
|
|
1010 |
1.2.1.8 |
non-liquid assets collateral |
|
|
|
0,00 |
|
|
1020 |
1.2.2 |
Counterparty is non-central bank |
|
|
|
|
|
|
1030 |
1.2.2.1 |
level 1 excl. EHQ Covered Bonds collateral |
|
|
|
0,00 |
|
|
1040 |
1.2.2.2 |
level 1 EHQ Covered Bonds collateral |
|
|
|
0,07 |
|
|
1050 |
1.2.2.3 |
level 2A collateral |
|
|
|
0,15 |
|
|
1060 |
1.2.2.4 |
level 2B asset-backed securities (residential or automobile, CQS1) collateral |
|
|
|
0,25 |
|
|
1070 |
1.2.2.5 |
level 2B covered bonds |
|
|
|
0,30 |
|
|
1080 |
1.2.2.6 |
level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral |
|
|
|
0,35 |
|
|
1090 |
1.2.2.7 |
other Level 2B assets collateral |
|
|
|
0,50 |
|
|
1100 |
1.2.2.8 |
non-liquid assets collateral |
|
|
|
|
|
|
1110 |
1.2.2.8.1 |
counterparty is central govt, PSE<=RW20 %, MDB |
|
|
|
0,25 |
|
|
1120 |
1.2.2.8.2 |
other counterparty |
|
|
|
1,00 |
|
|
1130 |
1.3 |
Total outflows from collateral swaps |
|
|
|
|
|
|
MEMORANDUM ITEMS |
||||||||
1140 |
2 |
Retail bonds with a residual maturity of less than 30 days |
|
|
|
|
|
|
1150 |
3 |
Retail deposits exempted from the calculation of outflows |
|
|
|
|
|
|
1160 |
4 |
Not assessed retail deposits |
|
|
|
|
|
|
1170 |
5 |
Liquidity outflows to be netted by interdependent inflows |
|
|
|
|
|
|
|
6 |
Operational deposits maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship |
|
|
|
|
|
|
1180 |
6.1 |
provided by credit institutions |
|
|
|
|
|
|
1190 |
6.2 |
provided by financial customers other than credit institutions |
|
|
|
|
|
|
1200 |
6.3 |
provided by sovereigns, central banks, MDBs and PSEs |
|
|
|
|
|
|
1210 |
6.4 |
provided by other customers |
|
|
|
|
|
|
|
7 |
Non-operational deposits maintained by financial customers and other customers |
|
|
|
|
|
|
1220 |
7.1 |
provided by credit institutions |
|
|
|
|
|
|
1230 |
7.2 |
provided by financial customers other than credit institutions |
|
|
|
|
|
|
1240 |
7.3 |
provided by sovereigns, central banks, MDBs and PSEs |
|
|
|
|
|
|
1250 |
7.4 |
provided by other customers |
|
|
|
|
|
|
1260 |
8 |
Funding commitments to non-financial customers |
|
|
|
|
|
|
1270 |
9 |
Level 1 excl. EHQ covered bonds collateral posted for derivatives |
|
|
|
|
|
|
1280 |
10 |
SFTS monitoring |
|
|
|
|
|
|
|
11 |
Intra group or IPS outflows |
|
|
|
|
|
|
1290 |
11.1 |
of which: to financial customers |
|
|
|
|
|
|
1300 |
11.2 |
of which: to non-financial customers |
|
|
|
|
|
|
1310 |
11.3 |
of which: secured |
|
|
|
|
|
|
1320 |
11.4 |
of which: credit facilities without preferential treatment |
|
|
|
|
|
|
1330 |
11.5 |
of which: liquidity facilites without preferential treatment |
|
|
|
|
|
|
1340 |
11.6 |
of which: operational deposits |
|
|
|
|
|
|
1350 |
11.7 |
of which: non-operational deposits |
|
|
|
|
|
|
1360 |
11.8 |
of which: liabilities in the form of debt securities if not treated as retail deposits |
|
|
|
|
|
|
1370 |
12 |
FX outflows |
|
|
|
|
|
|
1380 |
13 |
Third countries outflows — transfer restrictions or non-convertible currencies |
|
|
|
|
|
|
1390 |
14 |
Additional balances required to be installed in central bank reserves |
|
|
|
|
|
|
C 74.00 — LIQUIDITY COVERAGE — INFLOWS
Currency
|
Amount |
Market value of collateral received |
|||||
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
|||
Row |
ID |
Item |
010 |
020 |
030 |
040 |
050 |
010 |
1 |
TOTAL INFLOWS |
|
|
|
|
|
020 |
1.1 |
Inflows from unsecured transactions/deposits |
|
|
|
|
|
030 |
1.1.1 |
monies due from non-financial customers (except for central banks) |
|
|
|
|
|
040 |
1.1.1.1 |
monies due from non-financial customers (except for central banks) not corresponding to principal repayment |
|
|
|
|
|
050 |
1.1.1.2 |
other monies due from non-financial customers (except for central banks) |
|
|
|
|
|
060 |
1.1.1.2.1 |
monies due from retail customers |
|
|
|
|
|
070 |
1.1.1.2.2 |
monies due from non-financial corporates |
|
|
|
|
|
080 |
1.1.1.2.3 |
monies due from sovereigns, multilateral development banks and public sector entities |
|
|
|
|
|
090 |
1.1.1.2.4 |
monies due from other legal entities |
|
|
|
|
|
|
|
Standard Weight |
Applicable Weight |
||||
Exempted from the cap on inflows |
|||||||
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
|||||
Row |
ID |
Item |
060 |
070 |
080 |
090 |
100 |
010 |
1 |
TOTAL INFLOWS |
|
|
|
|
|
020 |
1.1 |
Inflows from unsecured transactions/deposits |
|
|
|
|
|
030 |
1.1.1 |
monies due from non-financial customers (except for central banks) |
|
|
|
|
|
040 |
1.1.1.1 |
monies due from non-financial customers (except for central banks) not corresponding to principal repayment |
|
1,00 |
|
|
|
050 |
1.1.1.2 |
other monies due from non-financial customers (except for central banks) |
|
|
|
|
|
060 |
1.1.1.2.1 |
monies due from retail customers |
|
0,50 |
|
|
|
070 |
1.1.1.2.2 |
monies due from non-financial corporates |
|
0,50 |
|
|
|
080 |
1.1.1.2.3 |
monies due from sovereigns, multilateral development banks and public sector entities |
|
0,50 |
|
|
|
090 |
1.1.1.2.4 |
monies due from other legal entities |
|
0,50 |
|
|
|
|
Value of collateral received according to Article 9 |
Inflow |
||||||
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
|||
Row |
ID |
Item |
110 |
120 |
130 |
140 |
150 |
160 |
010 |
1 |
TOTAL INFLOWS |
|
|
|
|
|
|
020 |
1.1 |
Inflows from unsecured transactions/deposits |
|
|
|
|
|
|
030 |
1.1.1 |
monies due from non-financial customers (except for central banks) |
|
|
|
|
|
|
040 |
1.1.1.1 |
monies due from non-financial customers (except for central banks) not corresponding to principal repayment |
|
|
|
|
|
|
050 |
1.1.1.2 |
other monies due from non-financial customers (except for central banks) |
|
|
|
|
|
|
060 |
1.1.1.2.1 |
monies due from retail customers |
|
|
|
|
|
|
070 |
1.1.1.2.2 |
monies due from non-financial corporates |
|
|
|
|
|
|
080 |
1.1.1.2.3 |
monies due from sovereigns, multilateral development banks and public sector entities |
|
|
|
|
|
|
090 |
1.1.1.2.4 |
monies due from other legal entities |
|
|
|
|
|
|
|
Amount |
Market value of collateral received |
|||||
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
|||
Row |
ID |
Item |
010 |
020 |
030 |
040 |
050 |
100 |
1.1.2 |
monies due from central banks and financial customers |
|
|
|
|
|
110 |
1.1.2.1 |
monies due from financial customers being classified as operational deposits |
|
|
|
|
|
120 |
1.1.2.1.1 |
monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate |
|
|
|
|
|
130 |
1.1.2.1.2 |
monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate |
|
|
|
|
|
140 |
1.1.2.2 |
monies due from central banks and financial customers not being classified as operational deposits |
|
|
|
|
|
150 |
1.1.2.2.1 |
monies due from central banks |
|
|
|
|
|
160 |
1.1.2.2.2 |
monies due from financial customers |
|
|
|
|
|
170 |
1.1.3 |
inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61 |
|
|
|
|
|
|
|
Standard Weight |
Applicable Weight |
||||
Exempted from the cap on inflows |
|||||||
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
|||||
Row |
ID |
Item |
060 |
070 |
080 |
090 |
100 |
100 |
1.1.2 |
monies due from central banks and financial customers |
|
|
|
|
|
110 |
1.1.2.1 |
monies due from financial customers being classified as operational deposits |
|
|
|
|
|
120 |
1.1.2.1.1 |
monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate |
|
|
|
|
|
130 |
1.1.2.1.2 |
monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate |
|
0,05 |
|
|
|
140 |
1.1.2.2 |
monies due from central banks and financial customers not being classified as operational deposits |
|
|
|
|
|
150 |
1.1.2.2.1 |
monies due from central banks |
|
1,00 |
|
|
|
160 |
1.1.2.2.2 |
monies due from financial customers |
|
1,00 |
|
|
|
170 |
1.1.3 |
inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61 |
|
1,00 |
|
|
|
|
Value of collateral received according to Article 9 |
Inflow |
||||||
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
|||
Row |
ID |
Item |
110 |
120 |
130 |
140 |
150 |
160 |
100 |
1.1.2 |
monies due from central banks and financial customers |
|
|
|
|
|
|
110 |
1.1.2.1 |
monies due from financial customers being classified as operational deposits |
|
|
|
|
|
|
120 |
1.1.2.1.1 |
monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate |
|
|
|
|
|
|
130 |
1.1.2.1.2 |
monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate |
|
|
|
|
|
|
140 |
1.1.2.2 |
monies due from central banks and financial customers not being classified as operational deposits |
|
|
|
|
|
|
150 |
1.1.2.2.1 |
monies due from central banks |
|
|
|
|
|
|
160 |
1.1.2.2.2 |
monies due from financial customers |
|
|
|
|
|
|
170 |
1.1.3 |
inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61 |
|
|
|
|
|
|
|
Amount |
Market value of collateral received |
|||||
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
|||
Row |
ID |
Item |
010 |
020 |
030 |
040 |
050 |
180 |
1.1.4 |
monies due from trade financing transactions |
|
|
|
|
|
190 |
1.1.5 |
monies due from securities maturing within 30 days |
|
|
|
|
|
200 |
1.1.6 |
assets with an undefined contractual end date |
|
|
|
|
|
210 |
1.1.7 |
monies due from positions in major index equity instruments provided that there is no double counting with liquid assets |
|
|
|
|
|
220 |
1.1.8 |
inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets |
|
|
|
|
|
230 |
1.1.9 |
inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets |
|
|
|
|
|
240 |
1.1.10 |
inflows from derivatives |
|
|
|
|
|
250 |
1.1.11 |
inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate |
|
|
|
|
|
260 |
1.1.12 |
other inflows |
|
|
|
|
|
|
|
Standard Weight |
Applicable Weight |
||||
Exempted from the cap on inflows |
|||||||
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
|||||
Row |
ID |
Item |
060 |
070 |
080 |
090 |
100 |
180 |
1.1.4 |
monies due from trade financing transactions |
|
1,00 |
|
|
|
190 |
1.1.5 |
monies due from securities maturing within 30 days |
|
1,00 |
|
|
|
200 |
1.1.6 |
assets with an undefined contractual end date |
|
0,20 |
|
|
|
210 |
1.1.7 |
monies due from positions in major index equity instruments provided that there is no double counting with liquid assets |
|
1,00 |
|
|
|
220 |
1.1.8 |
inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets |
|
1,00 |
|
|
|
230 |
1.1.9 |
inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets |
|
1,00 |
|
|
|
240 |
1.1.10 |
inflows from derivatives |
|
1,00 |
|
|
|
250 |
1.1.11 |
inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate |
|
|
|
|
|
260 |
1.1.12 |
other inflows |
|
1,00 |
|
|
|
|
Value of collateral received according to Article 9 |
Inflow |
||||||
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
|||
Row |
ID |
Item |
110 |
120 |
130 |
140 |
150 |
160 |
180 |
1.1.4 |
monies due from trade financing transactions |
|
|
|
|
|
|
190 |
1.1.5 |
monies due from securities maturing within 30 days |
|
|
|
|
|
|
200 |
1.1.6 |
assets with an undefined contractual end date |
|
|
|
|
|
|
210 |
1.1.7 |
monies due from positions in major index equity instruments provided that there is no double counting with liquid assets |
|
|
|
|
|
|
220 |
1.1.8 |
inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets |
|
|
|
|
|
|
230 |
1.1.9 |
inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets |
|
|
|
|
|
|
240 |
1.1.10 |
inflows from derivatives |
|
|
|
|
|
|
250 |
1.1.11 |
inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate |
|
|
|
|
|
|
260 |
1.1.12 |
other inflows |
|
|
|
|
|
|
|
Amount |
Market value of collateral received |
|||||
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
|||
Row |
ID |
Item |
010 |
020 |
030 |
040 |
050 |
270 |
1.2 |
Inflows from secured lending and capital market-driven transactions |
|
|
|
|
|
280 |
1.2.1 |
collateral that qualifies as a liquid asset |
|
|
|
|
|
290 |
1.2.1.1 |
Level 1 collateral excluding extremely high quality covered bonds |
|
|
|
|
|
300 |
1.2.1.2 |
Level 1 collateral which is extremely high quality covered bonds |
|
|
|
|
|
310 |
1.2.1.3 |
Level 2A collateral |
|
|
|
|
|
320 |
1.2.1.4 |
Level 2B asset backed securities (residential or auto) collateral |
|
|
|
|
|
330 |
1.2.1.5 |
Level 2B high quality covered bonds collateral |
|
|
|
|
|
340 |
1.2.1.6 |
Level 2B asset backed securities (commercial or individuals) collateral |
|
|
|
|
|
350 |
1.2.1.7 |
Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6 |
|
|
|
|
|
360 |
1.2.2 |
collateral is used to cover a short position |
|
|
|
|
|
370 |
1.2.3 |
collateral that does not qualify as a liquid asset |
|
|
|
|
|
|
|
Standard Weight |
Applicable Weight |
||||
Exempted from the cap on inflows |
|||||||
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
|||||
Row |
ID |
Item |
060 |
070 |
080 |
090 |
100 |
270 |
1.2 |
Inflows from secured lending and capital market-driven transactions |
|
|
|
|
|
280 |
1.2.1 |
collateral that qualifies as a liquid asset |
|
|
|
|
|
290 |
1.2.1.1 |
Level 1 collateral excluding extremely high quality covered bonds |
|
1,00 |
|
|
|
300 |
1.2.1.2 |
Level 1 collateral which is extremely high quality covered bonds |
|
0,93 |
|
|
|
310 |
1.2.1.3 |
Level 2A collateral |
|
0,85 |
|
|
|
320 |
1.2.1.4 |
Level 2B asset backed securities (residential or auto) collateral |
|
0,75 |
|
|
|
330 |
1.2.1.5 |
Level 2B high quality covered bonds collateral |
|
0,70 |
|
|
|
340 |
1.2.1.6 |
Level 2B asset backed securities (commercial or individuals) collateral |
|
0,65 |
|
|
|
350 |
1.2.1.7 |
Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6 |
|
0,50 |
|
|
|
360 |
1.2.2 |
collateral is used to cover a short position |
|
|
|
|
|
370 |
1.2.3 |
collateral that does not qualify as a liquid asset |
|
|
|
|
|
|
Value of collateral received according to Article 9 |
Inflow |
||||||
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
|||
Row |
ID |
Item |
110 |
120 |
130 |
140 |
150 |
160 |
270 |
1.2 |
Inflows from secured lending and capital market-driven transactions |
|
|
|
|
|
|
280 |
1.2.1 |
collateral that qualifies as a liquid asset |
|
|
|
|
|
|
290 |
1.2.1.1 |
Level 1 collateral excluding extremely high quality covered bonds |
|
|
|
|
|
|
300 |
1.2.1.2 |
Level 1 collateral which is extremely high quality covered bonds |
|
|
|
|
|
|
310 |
1.2.1.3 |
Level 2A collateral |
|
|
|
|
|
|
320 |
1.2.1.4 |
Level 2B asset backed securities (residential or auto) collateral |
|
|
|
|
|
|
330 |
1.2.1.5 |
Level 2B high quality covered bonds collateral |
|
|
|
|
|
|
340 |
1.2.1.6 |
Level 2B asset backed securities (commercial or individuals) collateral |
|
|
|
|
|
|
350 |
1.2.1.7 |
Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6 |
|
|
|
|
|
|
360 |
1.2.2 |
collateral is used to cover a short position |
|
|
|
|
|
|
370 |
1.2.3 |
collateral that does not qualify as a liquid asset |
|
|
|
|
|
|
|
Amount |
Market value of collateral received |
|||||
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
|||
Row |
ID |
Item |
010 |
020 |
030 |
040 |
050 |
380 |
1.2.3.1 |
margin loans: collateral is non-liquid |
|
|
|
|
|
390 |
1.2.3.2 |
collateral is non-liquid equity |
|
|
|
|
|
400 |
1.2.3.3 |
all other non-liquid collateral |
|
|
|
|
|
410 |
1.3 |
Total inflows from collateral swaps |
|
|
|
|
|
420 |
1.4 |
(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) |
|
|
|
|
|
430 |
1.5 |
(Excess inflows from a related specialised credit institution) |
|
|
|
|
|
MEMORANDUM ITEMS |
|||||||
440 |
2 |
Interdependent inflows |
|
|
|
|
|
450 |
3 |
FX inflows |
|
|
|
|
|
460 |
4 |
Inflows within a group or an institutional protection scheme |
|
|
|
|
|
470 |
4.1 |
Monies due from non-financial customers (except for central banks) |
|
|
|
|
|
|
|
Standard Weight |
Applicable Weight |
||||
Exempted from the cap on inflows |
|||||||
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
|||||
Row |
ID |
Item |
060 |
070 |
080 |
090 |
100 |
380 |
1.2.3.1 |
margin loans: collateral is non-liquid |
|
0,50 |
|
|
|
390 |
1.2.3.2 |
collateral is non-liquid equity |
|
1,00 |
|
|
|
400 |
1.2.3.3 |
all other non-liquid collateral |
|
1,00 |
|
|
|
410 |
1.3 |
Total inflows from collateral swaps |
|
|
|
|
|
420 |
1.4 |
(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) |
|
|
|
|
|
430 |
1.5 |
(Excess inflows from a related specialised credit institution) |
|
|
|
|
|
MEMORANDUM ITEMS |
|||||||
440 |
2 |
Interdependent inflows |
|
|
|
|
|
450 |
3 |
FX inflows |
|
|
|
|
|
460 |
4 |
Inflows within a group or an institutional protection scheme |
|
|
|
|
|
470 |
4.1 |
Monies due from non-financial customers (except for central banks) |
|
|
|
|
|
|
Value of collateral received according to Article 9 |
Inflow |
||||||
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
|||
Row |
ID |
Item |
110 |
120 |
130 |
140 |
150 |
160 |
380 |
1.2.3.1 |
margin loans: collateral is non-liquid |
|
|
|
|
|
|
390 |
1.2.3.2 |
collateral is non-liquid equity |
|
|
|
|
|
|
400 |
1.2.3.3 |
all other non-liquid collateral |
|
|
|
|
|
|
410 |
1.3 |
Total inflows from collateral swaps |
|
|
|
|
|
|
420 |
1.4 |
(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) |
|
|
|
|
|
|
430 |
1.5 |
(Excess inflows from a related specialised credit institution) |
|
|
|
|
|
|
MEMORANDUM ITEMS |
||||||||
440 |
2 |
Interdependent inflows |
|
|
|
|
|
|
450 |
3 |
FX inflows |
|
|
|
|
|
|
460 |
4 |
Inflows within a group or an institutional protection scheme |
|
|
|
|
|
|
470 |
4.1 |
Monies due from non-financial customers (except for central banks) |
|
|
|
|
|
|
|
Amount |
Market value of collateral received |
|||||
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
|||
Row |
ID |
Item |
010 |
020 |
030 |
040 |
050 |
480 |
4.2 |
Monies due from financial customers |
|
|
|
|
|
490 |
4.3 |
Secured transactions |
|
|
|
|
|
500 |
4.4 |
Monies due from maturing securities within 30 days |
|
|
|
|
|
510 |
4.5 |
Any other inflows within a group or an institutional protection scheme |
|
|
|
|
|
520 |
4.6 |
Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate |
|
|
|
|
|
|
|
Standard Weight |
Applicable Weight |
||||
Exempted from the cap on inflows |
|||||||
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
|||||
Row |
ID |
Item |
060 |
070 |
080 |
090 |
100 |
480 |
4.2 |
Monies due from financial customers |
|
|
|
|
|
490 |
4.3 |
Secured transactions |
|
|
|
|
|
500 |
4.4 |
Monies due from maturing securities within 30 days |
|
|
|
|
|
510 |
4.5 |
Any other inflows within a group or an institutional protection scheme |
|
|
|
|
|
520 |
4.6 |
Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate |
|
|
|
|
|
|
Value of collateral received according to Article 9 |
Inflow |
||||||
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
Subject to the 75 % cap on inflows |
Subject to the 90 % cap on inflows |
Exempted from the cap on inflows |
|||
Row |
ID |
Item |
110 |
120 |
130 |
140 |
150 |
160 |
480 |
4.2 |
Monies due from financial customers |
|
|
|
|
|
|
490 |
4.3 |
Secured transactions |
|
|
|
|
|
|
500 |
4.4 |
Monies due from maturing securities within 30 days |
|
|
|
|
|
|
510 |
4.5 |
Any other inflows within a group or an institutional protection scheme |
|
|
|
|
|
|
520 |
4.6 |
Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate |
|
|
|
|
|
|
C 75.00 — LIQUIDITY COVERAGE — COLLATERAL SWAPS
Currency
|
Market value of collateral lent |
Liquidity value of collateral lent |
Market value of collateral borrowed |
Liquidity value of collateral borrowed |
Outflows |
Inflows subject to the 75 % cap on inflows |
||
Row |
ID |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
010 |
1 |
TOTAL COLLATERAL SWAPS & COLLATERALISED DERIVATIVES |
|
|
|
|
|
|
020 |
1.1 |
Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed: |
|
|
|
|
|
|
030 |
1.1.1 |
Level 1 assets (excl. EHQ covered bonds) |
|
|
|
|
|
|
040 |
1.1.2 |
Level 1: extremely high quality covered bonds |
|
|
|
|
|
|
050 |
1.1.3 |
Level 2A assets |
|
|
|
|
|
|
060 |
1.1.4 |
Level 2B: asset-backed securities (residential or automobile, CQS1) |
|
|
|
|
|
|
070 |
1.1.5 |
Level 2B: high quality covered bonds |
|
|
|
|
|
|
080 |
1.1.6 |
Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) |
|
|
|
|
|
|
090 |
1.1.7 |
Other Level 2B |
|
|
|
|
|
|
100 |
1.1.8 |
Non-liquid assets |
|
|
|
|
|
|
|
Inflows subject to the 90 % cap on inflows |
Inflows exempted from the cap on inflows |
Collateralised derivatives only |
|||||
Market value of collateral lent |
Liquidity value of collateral lent |
Market value of collateral borrowed |
Liquidity value of collateral borrowed |
|||||
Row |
ID |
Item |
070 |
080 |
090 |
100 |
110 |
120 |
010 |
1 |
TOTAL COLLATERAL SWAPS & COLLATERALISED DERIVATIVES |
|
|
|
|
|
|
020 |
1.1 |
Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed: |
|
|
|
|
|
|
030 |
1.1.1 |
Level 1 assets (excl. EHQ covered bonds) |
|
|
|
|
|
|
040 |
1.1.2 |
Level 1: extremely high quality covered bonds |
|
|
|
|
|
|
050 |
1.1.3 |
Level 2A assets |
|
|
|
|
|
|
060 |
1.1.4 |
Level 2B: asset-backed securities (residential or automobile, CQS1) |
|
|
|
|
|
|
070 |
1.1.5 |
Level 2B: high quality covered bonds |
|
|
|
|
|
|
080 |
1.1.6 |
Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) |
|
|
|
|
|
|
090 |
1.1.7 |
Other Level 2B |
|
|
|
|
|
|
100 |
1.1.8 |
Non-liquid assets |
|
|
|
|
|
|
|
Market value of collateral lent |
Liquidity value of collateral lent |
Market value of collateral borrowed |
Liquidity value of collateral borrowed |
Outflows |
Inflows subject to the 75 % cap on inflows |
||
Row |
ID |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
110 |
1.2 |
Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed: |
|
|
|
|
|
|
120 |
1.2.1 |
Level 1 assets (excl. EHQ covered bonds) |
|
|
|
|
|
|
130 |
1.2.2 |
Level 1: extremely high quality covered bonds |
|
|
|
|
|
|
140 |
1.2.3 |
Level 2A assets |
|
|
|
|
|
|
150 |
1.2.4 |
Level 2B: asset-backed securities (residential or automobile, CQS1) |
|
|
|
|
|
|
160 |
1.2.5 |
Level 2B: high quality covered bonds |
|
|
|
|
|
|
170 |
1.2.6 |
Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) |
|
|
|
|
|
|
180 |
1.2.7 |
Other Level 2B |
|
|
|
|
|
|
190 |
1.2.8 |
Non-liquid assets |
|
|
|
|
|
|
200 |
1.3 |
Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed: |
|
|
|
|
|
|
210 |
1.3.1 |
Level 1 assets (excl. EHQ covered bonds) |
|
|
|
|
|
|
220 |
1.3.2 |
Level 1: extremely high quality covered bonds |
|
|
|
|
|
|
|
Inflows subject to the 90 % cap on inflows |
Inflows exempted from the cap on inflows |
Collateralised derivatives only |
|||||
Market value of collateral lent |
Liquidity value of collateral lent |
Market value of collateral borrowed |
Liquidity value of collateral borrowed |
|||||
Row |
ID |
Item |
070 |
080 |
090 |
100 |
110 |
120 |
110 |
1.2 |
Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed: |
|
|
|
|
|
|
120 |
1.2.1 |
Level 1 assets (excl. EHQ covered bonds) |
|
|
|
|
|
|
130 |
1.2.2 |
Level 1: extremely high quality covered bonds |
|
|
|
|
|
|
140 |
1.2.3 |
Level 2A assets |
|
|
|
|
|
|
150 |
1.2.4 |
Level 2B: asset-backed securities (residential or automobile, CQS1) |
|
|
|
|
|
|
160 |
1.2.5 |
Level 2B: high quality covered bonds |
|
|
|
|
|
|
170 |
1.2.6 |
Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) |
|
|
|
|
|
|
180 |
1.2.7 |
Other Level 2B |
|
|
|
|
|
|
190 |
1.2.8 |
Non-liquid assets |
|
|
|
|
|
|
200 |
1.3 |
Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed: |
|
|
|
|
|
|
210 |
1.3.1 |
Level 1 assets (excl. EHQ covered bonds) |
|
|
|
|
|
|
220 |
1.3.2 |
Level 1: extremely high quality covered bonds |
|
|
|
|
|
|
|
Market value of collateral lent |
Liquidity value of collateral lent |
Market value of collateral borrowed |
Liquidity value of collateral borrowed |
Outflows |
Inflows subject to the 75 % cap on inflows |
||
Row |
ID |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
230 |
1.3.3 |
Level 2A assets |
|
|
|
|
|
|
240 |
1.3.4 |
Level 2B: asset-backed securities (residential or automobile, CQS1) |
|
|
|
|
|
|
250 |
1.3.5 |
Level 2B: high quality covered bonds |
|
|
|
|
|
|
260 |
1.3.6 |
Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) |
|
|
|
|
|
|
270 |
1.3.7 |
Other Level 2B |
|
|
|
|
|
|
280 |
1.3.8 |
Non-liquid assets |
|
|
|
|
|
|
290 |
1.4 |
Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed: |
|
|
|
|
|
|
300 |
1.4.1 |
Level 1 assets (excl. EHQ covered bonds) |
|
|
|
|
|
|
310 |
1.4.2 |
Level 1: extremely high quality covered bonds |
|
|
|
|
|
|
320 |
1.4.3 |
Level 2A assets |
|
|
|
|
|
|
330 |
1.4.4 |
Level 2B: asset-backed securities (residential or automobile, CQS1) |
|
|
|
|
|
|
340 |
1.4.5 |
Level 2B: high quality covered bonds |
|
|
|
|
|
|
|
Inflows subject to the 90 % cap on inflows |
Inflows exempted from the cap on inflows |
Collateralised derivatives only |
|||||
Market value of collateral lent |
Liquidity value of collateral lent |
Market value of collateral borrowed |
Liquidity value of collateral borrowed |
|||||
Row |
ID |
Item |
070 |
080 |
090 |
100 |
110 |
120 |
230 |
1.3.3 |
Level 2A assets |
|
|
|
|
|
|
240 |
1.3.4 |
Level 2B: asset-backed securities (residential or automobile, CQS1) |
|
|
|
|
|
|
250 |
1.3.5 |
Level 2B: high quality covered bonds |
|
|
|
|
|
|
260 |
1.3.6 |
Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) |
|
|
|
|
|
|
270 |
1.3.7 |
Other Level 2B |
|
|
|
|
|
|
280 |
1.3.8 |
Non-liquid assets |
|
|
|
|
|
|
290 |
1.4 |
Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed: |
|
|
|
|
|
|
300 |
1.4.1 |
Level 1 assets (excl. EHQ covered bonds) |
|
|
|
|
|
|
310 |
1.4.2 |
Level 1: extremely high quality covered bonds |
|
|
|
|
|
|
320 |
1.4.3 |
Level 2A assets |
|
|
|
|
|
|
330 |
1.4.4 |
Level 2B: asset-backed securities (residential or automobile, CQS1) |
|
|
|
|
|
|
340 |
1.4.5 |
Level 2B: high quality covered bonds |
|
|
|
|
|
|
|
Market value of collateral lent |
Liquidity value of collateral lent |
Market value of collateral borrowed |
Liquidity value of collateral borrowed |
Outflows |
Inflows subject to the 75 % cap on inflows |
||
Row |
ID |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
350 |
1.4.6 |
Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) |
|
|
|
|
|
|
360 |
1.4.7 |
Other Level 2B |
|
|
|
|
|
|
370 |
1.4.8 |
Non-liquid assets |
|
|
|
|
|
|
380 |
1.5 |
Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed: |
|
|
|
|
|
|
390 |
1.5.1 |
Level 1 assets (excl. EHQ covered bonds) |
|
|
|
|
|
|
400 |
1.5.2 |
Level 1: extremely high quality covered bonds |
|
|
|
|
|
|
410 |
1.5.3 |
Level 2A assets |
|
|
|
|
|
|
420 |
1.5.4 |
Level 2B: asset-backed securities (residential or automobile, CQS1) |
|
|
|
|
|
|
430 |
1.5.5 |
Level 2B: high quality covered bonds |
|
|
|
|
|
|
440 |
1.5.6 |
Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) |
|
|
|
|
|
|
450 |
1.5.7 |
Other Level 2B |
|
|
|
|
|
|
460 |
1.5.8 |
Non-liquid assets |
|
|
|
|
|
|
|
Inflows subject to the 90 % cap on inflows |
Inflows exempted from the cap on inflows |
Collateralised derivatives only |
|||||
Market value of collateral lent |
Liquidity value of collateral lent |
Market value of collateral borrowed |
Liquidity value of collateral borrowed |
|||||
Row |
ID |
Item |
070 |
080 |
090 |
100 |
110 |
120 |
350 |
1.4.6 |
Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) |
|
|
|
|
|
|
360 |
1.4.7 |
Other Level 2B |
|
|
|
|
|
|
370 |
1.4.8 |
Non-liquid assets |
|
|
|
|
|
|
380 |
1.5 |
Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed: |
|
|
|
|
|
|
390 |
1.5.1 |
Level 1 assets (excl. EHQ covered bonds) |
|
|
|
|
|
|
400 |
1.5.2 |
Level 1: extremely high quality covered bonds |
|
|
|
|
|
|
410 |
1.5.3 |
Level 2A assets |
|
|
|
|
|
|
420 |
1.5.4 |
Level 2B: asset-backed securities (residential or automobile, CQS1) |
|
|
|
|
|
|
430 |
1.5.5 |
Level 2B: high quality covered bonds |
|
|
|
|
|
|
440 |
1.5.6 |
Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) |
|
|
|
|
|
|
450 |
1.5.7 |
Other Level 2B |
|
|
|
|
|
|
460 |
1.5.8 |
Non-liquid assets |
|
|
|
|
|
|
|
Market value of collateral lent |
Liquidity value of collateral lent |
Market value of collateral borrowed |
Liquidity value of collateral borrowed |
Outflows |
Inflows subject to the 75 % cap on inflows |
||
Row |
ID |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
470 |
1.6 |
Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed: |
|
|
|
|
|
|
480 |
1.6.1 |
Level 1 assets (excl. EHQ covered bonds) |
|
|
|
|
|
|
490 |
1.6.2 |
Level 1: extremely high quality covered bonds |
|
|
|
|
|
|
500 |
1.6.3 |
Level 2A assets |
|
|
|
|
|
|
510 |
1.6.4 |
Level 2B: asset-backed securities (residential or automobile, CQS1) |
|
|
|
|
|
|
520 |
1.6.5 |
Level 2B: high quality covered bonds |
|
|
|
|
|
|
530 |
1.6.6 |
Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) |
|
|
|
|
|
|
540 |
1.6.7 |
Other Level 2B |
|
|
|
|
|
|
550 |
1.6.8 |
Non-liquid assets |
|
|
|
|
|
|
560 |
1.7 |
Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed: |
|
|
|
|
|
|
570 |
1.7.1 |
Level 1 assets (excl. EHQ covered bonds) |
|
|
|
|
|
|
|
Inflows subject to the 90 % cap on inflows |
Inflows exempted from the cap on inflows |
Collateralised derivatives only |
|||||
Market value of collateral lent |
Liquidity value of collateral lent |
Market value of collateral borrowed |
Liquidity value of collateral borrowed |
|||||
Row |
ID |
Item |
070 |
080 |
090 |
100 |
110 |
120 |
470 |
1.6 |
Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed: |
|
|
|
|
|
|
480 |
1.6.1 |
Level 1 assets (excl. EHQ covered bonds) |
|
|
|
|
|
|
490 |
1.6.2 |
Level 1: extremely high quality covered bonds |
|
|
|
|
|
|
500 |
1.6.3 |
Level 2A assets |
|
|
|
|
|
|
510 |
1.6.4 |
Level 2B: asset-backed securities (residential or automobile, CQS1) |
|
|
|
|
|
|
520 |
1.6.5 |
Level 2B: high quality covered bonds |
|
|
|
|
|
|
530 |
1.6.6 |
Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) |
|
|
|
|
|
|
540 |
1.6.7 |
Other Level 2B |
|
|
|
|
|
|
550 |
1.6.8 |
Non-liquid assets |
|
|
|
|
|
|
560 |
1.7 |
Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed: |
|
|
|
|
|
|
570 |
1.7.1 |
Level 1 assets (excl. EHQ covered bonds) |
|
|
|
|
|
|
|
Market value of collateral lent |
Liquidity value of collateral lent |
Market value of collateral borrowed |
Liquidity value of collateral borrowed |
Outflows |
Inflows subject to the 75 % cap on inflows |
||
Row |
ID |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
580 |
1.7.2 |
Level 1: extremely high quality covered bonds |
|
|
|
|
|
|
590 |
1.7.3 |
Level 2A assets |
|
|
|
|
|
|
600 |
1.7.4 |
Level 2B: asset-backed securities (residential or automobile, CQS1) |
|
|
|
|
|
|
610 |
1.7.5 |
Level 2B: high quality covered bonds |
|
|
|
|
|
|
620 |
1.7.6 |
Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) |
|
|
|
|
|
|
630 |
1.7.7 |
Other Level 2B |
|
|
|
|
|
|
640 |
1.7.8 |
Non-liquid assets |
|
|
|
|
|
|
650 |
1.8 |
Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed: |
|
|
|
|
|
|
660 |
1.8.1 |
Level 1 assets (excl. EHQ covered bonds) |
|
|
|
|
|
|
670 |
1.8.2 |
Level 1: extremely high quality covered bonds |
|
|
|
|
|
|
680 |
1.8.3 |
Level 2A assets |
|
|
|
|
|
|
|
Inflows subject to the 90 % cap on inflows |
Inflows exempted from the cap on inflows |
Collateralised derivatives only |
|||||
Market value of collateral lent |
Liquidity value of collateral lent |
Market value of collateral borrowed |
Liquidity value of collateral borrowed |
|||||
Row |
ID |
Item |
070 |
080 |
090 |
100 |
110 |
120 |
580 |
1.7.2 |
Level 1: extremely high quality covered bonds |
|
|
|
|
|
|
590 |
1.7.3 |
Level 2A assets |
|
|
|
|
|
|
600 |
1.7.4 |
Level 2B: asset-backed securities (residential or automobile, CQS1) |
|
|
|
|
|
|
610 |
1.7.5 |
Level 2B: high quality covered bonds |
|
|
|
|
|
|
620 |
1.7.6 |
Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) |
|
|
|
|
|
|
630 |
1.7.7 |
Other Level 2B |
|
|
|
|
|
|
640 |
1.7.8 |
Non-liquid assets |
|
|
|
|
|
|
650 |
1.8 |
Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed: |
|
|
|
|
|
|
660 |
1.8.1 |
Level 1 assets (excl. EHQ covered bonds) |
|
|
|
|
|
|
670 |
1.8.2 |
Level 1: extremely high quality covered bonds |
|
|
|
|
|
|
680 |
1.8.3 |
Level 2A assets |
|
|
|
|
|
|
|
Market value of collateral lent |
Liquidity value of collateral lent |
Market value of collateral borrowed |
Liquidity value of collateral borrowed |
Outflows |
Inflows subject to the 75 % cap on inflows |
||
Row |
ID |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
690 |
1.8.4 |
Level 2B: asset-backed securities (residential or automobile, CQS1) |
|
|
|
|
|
|
700 |
1.8.5 |
Level 2B: high quality covered bonds |
|
|
|
|
|
|
710 |
1.8.6 |
Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) |
|
|
|
|
|
|
720 |
1.8.7 |
Other Level 2B |
|
|
|
|
|
|
730 |
1.8.8 |
Non-liquid assets |
|
|
|
|
|
|
MEMORANDUM ITEMS |
||||||||
740 |
2 |
Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions |
|
|
|
|
|
|
750 |
3 |
Total collateral swaps with intragroup counterparties |
|
|
|
|
|
|
760 |
4 |
Total collateral swaps with central bank counterparties |
|
|
|
|
|
|
|
Inflows subject to the 90 % cap on inflows |
Inflows exempted from the cap on inflows |
Collateralised derivatives only |
|||||
Market value of collateral lent |
Liquidity value of collateral lent |
Market value of collateral borrowed |
Liquidity value of collateral borrowed |
|||||
Row |
ID |
Item |
070 |
080 |
090 |
100 |
110 |
120 |
690 |
1.8.4 |
Level 2B: asset-backed securities (residential or automobile, CQS1) |
|
|
|
|
|
|
700 |
1.8.5 |
Level 2B: high quality covered bonds |
|
|
|
|
|
|
710 |
1.8.6 |
Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) |
|
|
|
|
|
|
720 |
1.8.7 |
Other Level 2B |
|
|
|
|
|
|
730 |
1.8.8 |
Non-liquid assets |
|
|
|
|
|
|
MEMORANDUM ITEMS |
||||||||
740 |
2 |
Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions |
|
|
|
|
|
|
750 |
3 |
Total collateral swaps with intragroup counterparties |
|
|
|
|
|
|
760 |
4 |
Total collateral swaps with central bank counterparties |
|
|
|
|
|
|
C 76.00 — LIQUIDITY COVERAGE — CALCULATIONS
Currency
|
Value/Percentage |
||
Row |
ID |
Item |
010 |
CALCULATIONS |
|||
Numerator, denominator, ratio |
|||
010 |
1 |
Liquidity buffer |
|
020 |
2 |
Net liquidity outflow |
|
030 |
3 |
Liquidity coverage ratio (%) |
|
Numerator calculations |
|||
040 |
4 |
L1 excl. EHQCB liquidity buffer (value according to Article 9): unadjusted |
|
050 |
5 |
L1 excl. EHQCB collateral 30 day outflows |
|
060 |
6 |
L1 excl. EHQCB collateral 30 day inflows |
|
070 |
7 |
Secured cash 30 day ouflows |
|
080 |
8 |
Secured cash 30 day inflows |
|
090 |
9 |
L1 excl. EHQCB ‘adjusted amount before cap application’ |
|
100 |
10 |
L1 EHQCB value according to Article 9: unadjusted |
|
110 |
11 |
L1 EHQCB collateral 30 day outflows |
|
120 |
12 |
L1 EHQCB collateral 30 day inflows |
|
130 |
13 |
L1 EHQCB ‘adjusted amount before cap application’ |
|
140 |
14 |
L1 EHQCB ‘adjusted amount after cap application’ |
|
150 |
15 |
L1 EHQCB ‘excess liquid assets amount’ |
|
160 |
16 |
L2A according to Article 9: unadjusted |
|
170 |
17 |
L2A collateral 30 day outflows |
|
180 |
18 |
L2A collateral 30 day inflows |
|
190 |
19 |
L2A ‘adjusted amount before cap application’ |
|
200 |
20 |
L2A ‘adjusted amount after cap application’ |
|
210 |
21 |
L2A ‘excess liquid assets amount’ |
|
220 |
22 |
L2B according to Article 9: unadjusted |
|
230 |
23 |
L2B collateral 30 day outflows |
|
240 |
24 |
L2B collateral 30 day inflows |
|
250 |
25 |
L2B ‘adjusted amount before cap application’ |
|
260 |
26 |
L2B ‘adjusted amount after cap application’ |
|
270 |
27 |
L2B ‘excess liquid assets amount’ |
|
280 |
28 |
Excess liquid asset amount |
|
290 |
29 |
Liquidity buffer |
|
Denominator calculations |
|||
300 |
30 |
Total Outflows |
|
310 |
31 |
Fully Exempt Inflows |
|
320 |
32 |
Inflows Subject to 90 % Cap |
|
330 |
33 |
Inflows Subject to 75 % Cap |
|
340 |
34 |
Reduction for Fully Exempt Inflows |
|
350 |
35 |
Reduction for Inflows Subject to 90 % Cap |
|
360 |
36 |
Reduction for Inflows Subject to 75 % Cap |
|
370 |
37 |
Net liquidity outflow |
|
Pillar 2 |
|||
380 |
38 |
Pillar 2 requirement as set out in Article 105 CRD |
|
ANNEX XXV
REPORTING ON LIQUIDITY (PART 1: LIQUID ASSETS)
1. Liquid assets
1.1. General remarks
1. This is a summary template which contains information about assets for the purpose of reporting the liquidity coverage requirement as specified in Commission Delegated Regulation (EU) 2015/61. Items which do not need to be completed by credit institutions are coloured grey.
2. Assets reported shall comply with the requirements set out in Title II of the Commission Delegated Regulation (EU) 2015/61.
3. By derogation to paragraph 2, credit institutions shall not apply currency restrictions defined in Article 8(6), 10(1)(d) and 12(1)(c) of the Commission Delegated Regulation (EU) 2015/61 when completing the template on a significant currency basis, as required in Article 415(2) of Regulation (EU) No 575/2013. Credit institutions shall still apply jurisdiction restrictions.
4. Credit institutions shall report the template in the corresponding currencies in accordance with Article 4(5) of Commission Delegated Regulation (EU) 2015/61.
5. When referring to Article 9 of Commission Delegated Regulation (EU) 2015/61, credit institutions shall report, where relevant, the amount/market value of liquid assets taking into account the net liquidity outflows and inflows resulting from an early close-out of hedges defined in Article 8(5) and in accordance with the appropriate haircuts specified in Chapter 2.
6. Commission Delegated Regulation (EU) 2015/61 only refers to rates and haircuts. In these instructions the word ‘weighted’ is used as general term for indicating the amount obtained after the application of the respective haircuts, rates and any other relevant additional instructions (in the case of e.g. secured lending and funding). The word ‘weight’ in the context of these instructions refers to a number between 0 and 1, which multiplied by the amount yields the weighted amount or the value according to Article 9 of Commission Delegated Regulation (EU) 2015/61 respectively.
7. Credit institutions shall not double report items within and across sections 1.1.1., 1.1.2., 1.2.1., and 1.2.2.
8. Some memorandum items are included in the associated template to these instructions. While not strictly necessary for the calculation of the ratio itself, they are required to be completed. These items provide necessary information to allow the competent authority complete an adequate assessment of credit institutions' compliance with the liquidity requirements. In some cases they represent a more granular breakdown of items included in the main sections of the templates while in other cases they reflect additional liquidity resources credit institutions may have access to.
1.2. Specific remarks
1.2.1. Specific requirements regarding CIUs
9. For items 1.1.1.10., 1.1.1.11., 1.2.1.6., 1.1.2.2., 1.2.2.10., 1.2.2.11., 1.2.2.12., 1.2.2.13., credit institutions shall report the appropriate proportion of the market value of the CIUs corresponding to the liquid assets underlying the undertaking, in accordance with the principles defined in Article 15(4) of the Commission Delegated Regulation (EU) 2015/61.
1.2.2. Specific requirements regarding grandfathering and transitional provisions
10. Credit institutions shall report items as referred to in Article 35, Article 36 and Article 37 of the Commission Delegated Regulation (EU) 2015/61 in the appropriate asset rows. A total of all asset amounts reported based on these article shall also be reported in the ‘Memorandum’ section for reference.
1.2.3. Specific requirements for reporting by Central Institutions
11. Central institutions, when reporting liquid assets corresponding to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits (Article 27(3) of the Commission Delegated Regulation (EU) 2015/61).
1.2.4. Specific requirements regarding settlement and forward starting transactions
12. All assets complying with Articles 7, 8 and 9 of the Commission Delegated Regulation (EU) 2015/61 which are in the stock of the credit institution on the reference date shall be reported in the relevant row in Template C72 even if they are sold or used in secured forward transactions. Consistently, no liquid assets shall be reported in the template C72.00 of Annex XXIV from forward starting transactions referring to contractually agreed but not yet settled purchases of liquid assets and forward purchases of liquid assets.
Liquid assets sub template
Instructions concerning specific columns
Column |
Legal references and instructions |
010 |
Amount/Market value Credit institutions shall report in Column 010 the market value, or the amount where applicable, of the liquid assets defined in Title II of Commission Delegated Regulation (EU) 2015/61. The amount/market value reported in Column 010: — shall take into account net outflows and net inflows due to early close-out of hedges defined in Article 8(5) of the same Regulation; — shall not take into account haircuts specified in Title II of the same Regulation; — shall include the proportion of deposits referred to in Article 16(1)(a) of the same Regulation that are holding differing specific assets in the corresponding asset rows; — shall be reduced, where applicable, by the amount of deposits defined in Article 16 placed at the central credit institution as referred to in Article 27(3) of the same Regulation. When referring to Article 8(5) of the Commission Delegated Regulation (EU) 2015/61, credit institutions shall take into account the net cash flow, either outflow or inflow, that would arise if the hedge was to be closed out at the reporting reference date. This does not take into account potential future value changes in the asset. |
020 |
Standard weight Column 020 contains weights reflecting the amount obtained after the application of the respective haircuts specified in Title II of the Commission Delegated Regulation (EU) 2015/61. Weights are intended to reflect the reduction in the value of the liquid assets after applying the appropriate haircuts. |
030 |
Applicable weight Credit institutions shall report in Column 030 the applicable weight applied to liquid assets defined in Title II of the Commission Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,00 for an applicable weight of 100 per cent, or 0,50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. The figure reported in Column 030 shall not exceed the figure in Column 020. |
040 |
Value according to Article 9 Credit institutions shall report in Column 040 the value of the liquid asset in accordance with the definition set out in Article 9 of the Commission Delegated Regulation (EU) 2015/61. This is the amount/market value, taking into account net liquidity outflows and inflows due to early close-out of hedges, multiplied by the applicable weight. |
Instructions concerning specific rows
Row |
Legal references and instructions |
010 |
1. TOTAL UNADJUSTED LIQUID ASSETS Title II of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report the total amount/Market value of their Liquid assets in c010. Credit Institutions shall report the total Value according to Article 9 of their Liquid assets in c040. |
020 |
1.1. Total unadjusted level 1 assets Articles 10, 15, 16 and 19 of Commission Delegated Regulation (EU) 2015/61 Assets reported in this section have been explicitly identified as, or treated as Level 1 assets when specifically set out in the instructions according to the Commission Delegated Regulation (EU) 2015/61. Credit Institutions shall report the total amount/Market value of their Level 1 Liquid assets in c010. Credit Institutions shall report the total Value according to Article 9 of their Level 1 Liquid assets in c040. |
030 |
1.1.1. Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds Articles 10, 15, 16 and 19 of Commission Delegated Regulation (EU) 2015/61 Assets reported in this subsection have been explicitly identified as, or treated as Level 1 assets when specifically set out in the instructions according to the Commission Delegated Regulation (EU) 2015/61. Assets and underlying assets that qualify as extremely high quality covered bonds as defined in Article 10(1)(f) of the same Regulation shall not be reported in this subsection. Credit institutions shall report in Column 010 the sum of total market value amount of Level 1 assets excluding extremely high quality covered bonds, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report in Column 040 the sum of total weighted amount of Level 1 assets excluding extremely high quality covered bonds, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61. |
040 |
1.1.1.1. Coins and banknotes Article 10(1)(a) of Commission Delegated Regulation (EU) 2015/61 Total amount of cash including coins and banknotes/currency. |
050 |
1.1.1.2. Withdrawable central bank reserves Articles 10(1)(b)(iii) of Commission Delegated Regulation (EU) 2015/61 Total amount of reserves, withdrawable at any time during periods of stress, held by the credit institution in the ECB, in a Member State's central bank or in a third country's central bank, provided that exposures to the third country's central bank or its central government are assigned a credit assessment by a nominated ECAI (external credit assessment institution) which is at least credit quality step 1 in accordance with article 114(2) of Regulation (EU) No 575/2013. Eligible withdrawable amount is specified by an agreement between the competent authority and the relevant central bank as defined by article 10(1)(b)(iii) of Commission Delegated Regulation (EU) 2015/61. |
060 |
1.1.1.3. Central bank assets Articles 10(1)(b)(i) and (ii) of Commission Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by the ECB, a Member State's central bank or a third country's central bank, provided that exposures to the third country's central bank or its central government are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with article 114(2) of Regulation (EU) No 575/2013. |
070 |
1.1.1.4. Central government assets Articles 10(1)(c)(i) and (ii) of Commission Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by the central government of a Member State or the central government of a third country provided that it is assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with article 114(2) of Regulation (EU) No 575/2013. Assets issued by credit institutions which benefit from a guarantee from the central government of a Member State in accordance with the grandfathering provision set out in Article 35 of Commission Delegated Regulation (EU) 2015/61 are reported here. Assets issued by a Member State-sponsored impaired assets management agencies as referred to in Article 36 of Commission Delegated Regulation (EU) 2015/61 are reported here. |
080 |
1.1.1.5. Regional government/local authorities assets Articles 10(1)(c)(iii) and (iv) of Commission Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by regional governments or local authorities in a Member State, provided that they are treated as exposures to the central government of the Member State in accordance with Article 115(2) of Regulation (EU) No 575/2013. Assets representing claims on or guaranteed by regional governments or local authorities in a third country, being assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with article 114(2) of Regulation (EU) No 575/2013, and provided they are treated as exposures to the central government of the third country in accordance with Article 115(4) of Regulation (EU) No 575/2013. Assets issued by credit institutions which benefit from a guarantee from a regional government or a local authority in a Member State in accordance with the grandfathering provision set out in Article 35 of Commission Delegated Regulation (EU) 2015/61 are reported here. |
090 |
1.1.1.6. Public Sector Entity assets Article 10(1)(c)(v) of Commission Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by public sector entities in a Member State or a third country, provided that they are treated as exposures to the central government, regional governments or local authorities of this Member State or third Country, in accordance with paragraphs 4 and 5 of Article 116 of Regulation (EU) No 575/2013. Any central government of a third country mentioned above shall be assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013. Any regional government or local authority of a third country mentioned above shall be treated as exposures to the central government of the third country in accordance with Article 115(4) of Regulation (EU) No 575/2013. |
100 |
1.1.1.7. Recognisable domestic and foreign currency central government and central bank assets Article 10(1)(d) of Commission Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by the central government or the central bank of a third country which is not assigned a credit quality step 1 credit assessment by a nominated ECAI, provided that the credit institution recognises the assets as Level 1 to cover stressed net liquidity outflows incurred in the same currency in which the asset is denominated. Assets representing claims on or guaranteed by the central government or the central bank of a third country which is not assigned a credit quality step 1 credit assessment by a nominated ECAI and these assets are not denominated in the domestic currency of that third country, provided that the credit institution recognises the assets as Level 1 up to the amount of its stressed net liquidity outflows in that foreign currency corresponding to its operations in the jurisdiction where the liquidity risk is being taken. |
110 |
1.1.1.8. Credit institution (protected by Member State government, promotional lender) assets Articles 10(1)(e)(i) and (ii) of Commission Delegated Regulation (EU) 2015/61 Assets issued by credit institutions incorporated or established by the central government, regional government or local authority of a Member State that is under the legal obligation to protect the economic basis of the credit institution and maintain its financial viability. Assets issued by promotional lender as defined in Article 10(1)(e)(ii) of Commission Delegated Regulation (EU) 2015/61. Any regional government or local authority mentioned above shall be treated as exposures to the central government of the Member State in accordance with Article 115(2) or Regulation (EU) No 575/2013. |
120 |
1.1.1.9. Multilateral development bank and international organisations assets Article 10(1)(g) of Commission Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by the multilateral development banks and the international organisations referred to in Articles 117(2) and 118 of Regulation (EU) No 575/2013. |
130 |
1.1.1.10. Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank exposure Article 15(2)(a) of Commission Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to coins, banknotes and exposures to the ECB, a Member State's or a third country's central bank, provided that exposures to the third country's central bank or its central government are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013. |
140 |
1.1.1.11. Qualifying CIU shares/units: underlying is Level 1 assets excluding extremely high quality covered bonds Article 15(2)(b) of Commission Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to assets that do qualify as Level 1 assets, except coins, banknotes, exposures to the ECB and a Member State's or a third country's central bank, and extremely high quality covered bonds as specified in Article 10(1)(f) of Commission Delegated Regulation (EU) 2015/61. |
150 |
1.1.1.12. Alternative Liquidity Approaches: Central bank credit facility Article 19(1)(b) of Commission Delegated Regulation (EU) 2015/61 Undrawn amount of credit facilities from the ECB, the central bank of a Member State or third country provided that the facility complies with the requirements defined in Article 19(1)(b)(i) to (iii) of the Commission Delegated Regulation (EU) 2015/61. |
160 |
1.1.1.13. Central credit institutions: Level 1 assets excluding extremely high quality covered bonds which are considered liquid assets for the depositing credit institution Article 27(3) of Commission Delegated Regulation (EU) 2015/61 In accordance with Article 27(3) of Commission Delegated Regulation (EU) 2015/61, it is necessary to identify liquid assets which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. These liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level. Central institutions, when these reporting these assets, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits. These assets shall be reported in the applicable section of template C 72.00 of Annex XXIV and the relevant figure shall be noted here. Assets referred to in this row are level 1 assets excluding extremely high quality covered bonds. |
170 |
1.1.1.14. Alternative Liquidity Approaches: Level 2A assets recognised as Level 1 Article 19(1)(c) of Commission Delegated Regulation (EU) 2015/61 Where there is a deficit of level 1 assets, credit institutions shall report the amount of Level 2A assets they are recognising as Level 1 and not reporting as Level 2A in accordance with Article 19(1)(c) of the Commission Delegated Regulation (EU) 2015/61. These assets shall not be reported in the Level 2A assets section. |
180 |
1.1.2. Total unadjusted Level 1 extremely high quality covered bonds Articles 10, 15 and 16 of Commission Delegated Regulation (EU) 2015/61 Assets reported in this subsection have been explicitly identified as or treated as Level 1 assets when specifically set out in the instructions according to the Commission Delegated Regulation (EU) 2015/61 and are, or whose underlying assets do qualify as, extremely high quality covered bonds defined in Article 10(1)(f) of the same Regulation. Credit institutions shall report in Column 010 the sum of total market value amount of Level 1 extremely high quality covered bonds, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report in Column 040 the sum of total weighted amount of Level 1 extremely high quality covered bonds, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61. |
190 |
1.1.2.1. Extremely high quality covered bonds Article 10(1)(f) of Commission Delegated Regulation (EU) 2015/61 Assets representing exposures in the form of extremely high quality covered bonds which comply with Article 10(1)(f) of Commission Delegated Regulation (EU) 2015/61. |
200 |
1.1.2.2. Qualifying CIU shares/units: underlying is extremely high quality covered bonds Article 15(2)(c) of Commission Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to assets that do qualify as extremely high quality covered bonds as specified in Article 10(1)(f) of Commission Delegated Regulation (EU) 2015/61. |
210 |
1.1.2.3. Central credit institutions: Level 1 extremely high quality covered bonds which are considered liquid assets for the depositing credit institution Article 27(3) of Commission Delegated Regulation (EU) 2015/61 In accordance with Article 27(3) of Commission Delegated Regulation (EU) 2015/61, it is necessary to identify liquid assets which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. These liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level. Central institutions, when these reporting these assets, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits. These assets shall be reported in the applicable section of template C 72.00 of Annex XXIV and the relevant figure shall be noted here. Assets referred to in this row are level 1 extremely high quality covered bonds. |
220 |
1.2. Total unadjusted level 2 assets Articles 11, 12, 13, 14, 15, 16 and 19 of Commission Delegated Regulation (EU) 2015/61 Assets reported in this section have been explicitly identified as, or treated similarly to, either Level 2A or Level 2B assets according to the Commission Delegated Regulation (EU) 2015/61. Credit Institutions shall report the total amount/Market value of their Level 2 Liquid assets in c010. Credit Institutions shall report the total Value according to Article 9 of their Level 2 Liquid assets in c040. |
230 |
1.2.1. Total unadjusted LEVEL 2A assets Articles 11, 15 and 19 of Commission Delegated Regulation (EU) 2015/61 Assets reported in this sub-section have been explicitly identified as, or treated as Level 2A assets, according to the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report in Column 040 the sum of total market value amount of Level 2A assets, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report in Column 040 the sum of total weighted amount of Level 2A assets, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61. |
240 |
1.2.1.1. Regional government/local authorities or Public Sector Entities assets (Member State, RW20 %) Article 11(1)(a) of Commission Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by regional governments, local authorities or public sector entities in a Member State where exposures are assigned a risk weight of 20 %. |
250 |
1.2.1.2. Central bank or central/regional government or local authorities or Public Sector Entities assets (Third Country, RW20 %) Article 11(1)(b) of Commission Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by the central government or the central bank of a third country or by a regional government, local authority or public sector entity in a third country, provided they are assigned a 20 % risk weight. |
260 |
1.2.1.3. High quality covered bonds (CQS2) Article 11(1)(c) of Commission Delegated Regulation (EU) 2015/61 Assets representing exposures in the form of high quality covered bonds which comply with Article 11(1)(c) of Commission Delegated Regulation (EU) 2015/61 provided that they are assigned a credit assessment by a nominated ECAI which is at least credit quality step 2 in accordance with Article 129(4) of Regulation (EU) No 575/2013. |
270 |
1.2.1.4. High quality covered bonds (Third Country, CQS1) Article 11(1)(d) of Commission Delegated Regulation (EU) 2015/61 Assets representing exposures in the form of covered bonds issued by credit institutions in third countries which comply with Article 11(1)(d) of Commission Delegated Regulation (EU) 2015/61 provided that they are assigned a credit assessment by a nominated ECAI which is credit quality step 1 in accordance with Article 129(4) of Regulation (EU) No 575/2013. |
280 |
1.2.1.5. Corporate debt securities (CQS1) Article 11(1)(e) of Commission Delegated Regulation (EU) 2015/61 Corporate debt securities which comply with Article 11(1)(e) of Commission Delegated Regulation (EU) 2015/61. |
290 |
1.2.1.6. Qualifying CIU shares/units: underlying is Level 2A assets Article 15(2)(d) of Commission Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2A assets as specified in Article 11 of Commission Delegated Regulation (EU) 2015/61. |
300 |
1.2.1.7. Central credit institutions: Level 2A assets which are considered liquid assets for the depositing credit institution Article 27(3) of Commission Delegated Regulation (EU) 2015/61 In accordance with Article 27(3) of Commission Delegated Regulation (EU) 2015/61, it is necessary to identify liquid assets which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. These liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level. Central institutions, when these reporting these assets, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits. These assets shall be reported in the applicable section of template C 72.00 of Annex XXIV and the relevant figure shall be noted here. Assets referred to in this row are level 2A assets. |
310 |
1.2.2. Total unadjusted LEVEL 2B assets Articles 12, 13, 14, 15, 16 and 19 of Commission Delegated Regulation (EU) 2015/61 Assets reported in this subsection have been explicitly identified as Level 2B assets according to the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report in Column 040 the sum of total market value amount of Level 2B assets, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report in Column 040 the sum of total weighted amount of Level 2B assets, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61. |
320 |
1.2.2.1. Asset-backed securities (residential, CQS1) Articles 12(1)(a) and 13(2)(g)(i) and (ii) of Commission Delegated Regulation (EU) 2015/61 Exposures in the form of asset-backed securities which comply with the requirements laid out in Article 13 of Commission Delegated Regulation (EU) 2015/61 provided that they are backed by residential loans secured by first ranking mortgage or fully guaranteed residential loans in accordance with Articles 13(2)(g)(i) and (ii) of the same Regulation. Assets which are subject to the transitional provision specified in Article 37 of Commission Delegated Regulation (EU) 2015/61 are reported here. |
330 |
1.2.2.2. Asset-backed securities (auto, CQS1) Articles 12(1)(a) and 13(2)(g)(iv) of Commission Delegated Regulation (EU) 2015/61 Exposures in the form of asset-backed securities which comply with the requirements laid out in Article 13 of Commission Delegated Regulation (EU) 2015/61 provided that they are backed by auto loans and leases in accordance with Article 13(2)(g)(iv) of the same Regulation. |
340 |
1.2.2.3. High quality covered bonds (RW35 %) Article 12(1)(e) of Commission Delegated Regulation (EU) 2015/61 Assets representing exposures in the form of covered bonds issued by credit institutions which comply with Article 12(1)(e) of Commission Delegated Regulation (EU) 2015/61 provided that the pool of underlying assets consist exclusively of exposures which qualify for a 35 % or lower risk weight under Article 125 of Regulation (EU) No 575/2013. |
350 |
1.2.2.4. Asset-backed securities (commercial or individuals, Member State, CQS1) Articles 12(1)(a) and 13(2)(g)(iii) and (v) of Commission Delegated Regulation (EU) 2015/61 Exposures in the form of asset-backed securities which comply with the requirements laid out in Article 13 of Commission Delegated Regulation (EU) 2015/61 provided that they are backed by assets defined in Article 13(2)(g)(iii) and (v) of the same Regulation. Note that for the purpose of Article 13(2)(g)(iii), at least 80 % of the borrowers in the pool shall be SMEs at the time of issuance of the securitisation. |
360 |
1.2.2.5. Corporate debt securities (CQS2/3) Article 12(1)(b) of Commission Delegated Regulation (EU) 2015/61 Corporate debt securities which comply with Article 12(1)(b) of Commission Delegated Regulation (EU) 2015/61 |
370 |
1.2.2.6. Corporate debt securities — non-interest bearing assets (held by credit institutions for religious reasons) (CQS1/2/3) Article 12(3) of Commission Delegated Regulation (EU) 2015/61 For credit institutions which in accordance with their statutes of incorporation are unable for reasons of religious observance to hold interest bearing assets, the competent authority may allow to derogate from points (ii) and (iii) of paragraph 1(b) of Article 12, provided there is evidence of insufficient availability of non-interest bearing assets meeting these requirements and the non-interest bearing assets in question are adequately liquid in private markets. The above mentioned credit institutions shall report corporate debt securities containing non-interest bearing assets, as mentioned above, as long as they meet requirements of point (i) of paragraph 1(b) of Article 12 and have received proper derogation from their competent authority. |
380 |
1.2.2.7. Shares (major stock index) Article 12(1)(c) of Commission Delegated Regulation (EU) 2015/61 Shares, which comply with Article 12(1)(c) of Commission Delegated Regulation (EU) 2015/61 and are denominated in the currency of the credit institution's home Member State. Credit institutions shall also report shares complying with Article 12(1)(c) and denominated in a different currency, provided that they are counted as level 2B assets only up to the amount to cover the liquidity outflows in that currency or in the jurisdiction where the liquidity risk is taken. |
390 |
1.2.2.8. Non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5) Article 12(1)(f) of Commission Delegated Regulation (EU) 2015/61 For credit institutions which in accordance with their statutes of incorporation are unable for reasons of religious observance from holding interest bearing assets, non-interest bearing assets constituting a claim on or guaranteed by central banks or by the central government or the central bank of a third country or by a regional government, local authority or public sector entity in a third country, provided that those assets have a credit assessment by a nominated ECAI of at least credit quality step 5 in accordance with Article 114 of Regulation (EU) No 575/2013, or the equivalent credit-quality step in the event of a short-term credit assessment. |
400 |
1.2.2.9. Restricted-use central bank committed liquidity facilities Articles 12(1)(d) and 14 of Commission Delegated Regulation (EU) 2015/61 Undrawn amount of restricted-use committed liquidity facilities provided by central banks which comply with Article 14 of Commission Delegated Regulation (EU) 2015/61. |
410 |
1.2.2.10. Qualifying CIU shares/units: underlying is asset-backed securities (residential or auto, CQS1) Article 15(2)(e) of Commission Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B assets as specified in points (i), (ii) and (iv) of Article 13(2)(g) of Commission Delegated Regulation (EC) No 2015/61. |
420 |
1.2.2.11. Qualifying CIU shares/units: underlying is High quality covered bonds (RW35 %) Article 15(2)(f) of Commission Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B assets as specified in Article 12(1)(e) of Commission Delegated Regulation (EU) 2015/61. |
430 |
1.2.2.12. Qualifying CIU shares/units: underlying is asset-backed securities (commercial or individuals, Member State, CQS1) Article 15(2)(g) of Commission Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B assets as specified in points (iii) and (v) of Article 13(2)(g) of Commission Delegated Regulation (EU) 2015/61. Note that for the purpose of Article 13(2)(g)(iii), at least 80 % of the borrowers in the pool shall be SMEs at the time of issuance of the securitisation. |
440 |
1.2.2.13. Qualifying CIU shares/units: underlying is corporate debt securities (CQS2/3), shares (major stock index) or non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5) Article 15(2)(h) of Commission Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to corporate debt securities that comply with Article 12(1)(b) of Commission Delegated Regulation (EU) 2015/61, shares that comply with Article 12(1)(c) of the same Regulation or non-interest bearing assets that comply with Article 12(1)(f) of the same Regulation. |
450 |
1.2.2.14. Deposits by network member with central institution (no obligated investment) Article 16(1)(b) of Commission Delegated Regulation (EU) 2015/61 Minimum deposit that the credit institution maintains with the central credit institution, provided that it is part of an institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013, a network eligible for the waiver provided in Article 10 of the same Regulation or a cooperative network in a Member State governed by law or contract. Credit institutions shall ensure that the central institution is under no legal or contractual obligation to hold or invest the deposits in liquid assets of specified level or category. |
460 |
1.2.2.15. Liquidity funding available to network member from central institution (non-specified collateralisation) Article 16(2) of Commission Delegated Regulation (EU) 2015/61 Undrawn amount of limited liquidity funding that complies with Article 16(2) of Commission Delegated Regulation (EU) 2015/61. |
470 |
1.2.2.16. Central credit institutions: Level 2B assets which are considered liquid assets for the depositing credit institution Article 27(3) of Commission Delegated Regulation (EU) 2015/61 In accordance with Article 27(3) of Commission Delegated Regulation (EU) 2015/61, it is necessary to identify liquid assets which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. These liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level. Central institutions, when these reporting these assets, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits. These assets shall be reported in the applicable section of template C 72.00 of Annex XXIV and the relevant figure shall be noted here. Assets referred to in this row are level 2B assets. |
MEMORANDUM ITEMS |
|
480 |
2. Alternative Liquidity Approaches: Additional Level 1/2A/2B assets included due to currency consistency not applying for ALA reasons Article 19(1)(a) of Commission Delegated Regulation (EU) 2015/61 Where there are insufficient liquid assets in a given currency for credit institutions to meet the LCR the credit institution may cover the deficit of liquid assets in a currency by disregarding the operational requirements on currency consistency set out in Article 8(6) of Commission Delegated Regulation (EU) 2015/61. The extra assets shall be reported as normal in their applicable section of template C 72.00 of Annex XXIV and the total amount of assets included due to this Alternative liquidity approach due to not applying currency consistency shall be noted here. |
490 |
3. Deposits by network member with central institution (obligated investment in Level 1 excluding extremely high quality covered bonds assets) Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report total amount of level 1 assets excluding extremely high quality covered bonds reported in above sections as per the requirements in Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61. |
500 |
4. Deposits by network member with central institution (obligated investment in Level 1 extremely high quality covered bonds assets) Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report total amount of level 1 extremely high quality covered bonds assets reported in above sections as per the requirements in Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61. |
510 |
5. Deposits by network member with central institution (obligated investment in Level 2A assets) Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report total amount of level 2A assets reported in above sections as per the requirements in Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61. |
520 |
6. Deposits by network member with central institution (obligated investment in Level 2B assets) Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report total amount of level 2B assets reported in above sections as per the requirements in Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61. |
530 |
7. Adjustments made to assets due to net liquidity outflows from early close-out of hedges Article 8(5)(b) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the total amount of adjustments they have made to their liquid assets reported in the sections for Level 1/2A/2B regarding the net cash outflows due to early close-out of hedges in accordance with Article 8(5)(b) of the Commission Delegated Regulation (EU) 2015/61. |
540 |
8. Adjustments made to assets due to net liquidity inflows from early close-out of hedges Article 8(5)(b) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the total amount of adjustments they have made to their liquid assets reported in the sections for Level 1/2A/2B regarding the net cash inflows due to early close-out of hedges in accordance with Article 8(5)(b) of the Commission Delegated Regulation (EU) 2015/61. |
550 |
9. Member State-sponsored guaranteed bank assets subject to grandfathering Article 35 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report total amount of assets issued by credit institutions which benefit from a guarantee from the central government of a Member State in accordance with Article 35 of Commission Delegated Regulation (EU) 2015/61 reported in above sections. |
560 |
10. Member State-sponsored impaired asset management agencies subject to transitional provision Article 36 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report total amount of assets referred to in Article 36 of Commission Delegated Regulation (EU) 2015/61 reported in above sections. |
570 |
11. Securitisations backed by residential loans subject to transitional provision Article 37 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report total amount of assets referred to in Article 37 of Commission Delegated Regulation (EU) 2015/61 reported in above sections. |
580 |
12. Level 1/2A/2B assets excluded due to currency reasons Articles 8(6), 10(1)(d) and 12(1)(c) of Commission Delegated Regulation (EU) 2015/61 Institution shall report the portion of assets complying with Article 8(6), 10(1)(d) and Article 12(1)(c) that is not recognisable by institution under the provisions set out in those Articles. |
590 |
13. Level 1/2A/2B assets excluded for operational reasons except for currency reasons Article 8 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report assets complying with Article 7 of the Commission Delegated Regulation (EU) 2015/61 but that do not meet the requirements specified in Article 8 of the same regulation, provided that they have not been reported in row 580 for currency reasons. |
600 |
14. Level 1 Non-interest bearing assets (held by credit institutions for religious reasons) Credit institutions shall report the total amount of Level 1 non-interest bearing assets (held by credit institutions for religious reasons). |
610 |
15. Level 2A Non-interest bearing assets (held by credit institutions for religious reasons) Credit institutions shall report the total amount of Level 2A non-interest bearing assets (held by credit institutions for religious reasons). |
REPORTING ON LIQUIDITY (PART 2 OUTFLOWS)
1. Outflows
1.1. General remarks
1. This is a summary template which contains information about liquidity outflows measured over the next 30 days, for the purpose of reporting the liquidity coverage requirement as specified in Commission Delegated Regulation (EU) 2015/61. Items which do not need to be completed by credit institutions are coloured grey.
2. Credit institutions shall report the template in the corresponding currencies in accordance with Article 4(5) of Commission Delegated Regulation (EU) 2015/61.
3. Some memorandum items are included in the associated template to these instructions. While not strictly necessary for the calculation of the ratio itself, they are required to be completed. These items provide necessary information to allow the competent authorities complete an adequate assessment of credit institutions' compliance with the liquidity requirements. In some cases they represent a more granular breakdown of the items included in the main sections of the templates while in other cases they reflect additional liquidity resources credit institutions may have access to.
4. In accordance with Article 22(1) of Commission Delegated Regulation (EU) 2015/61, liquidity outflows shall:
i. include those categories referred to in Article 22(2) of Commission Delegated Regulation (EU) 2015/61
ii. be calculated by multiplying the outstanding balances of various categories of liabilities and off-balance sheet commitments by the rates at which they are expected to run off or be drawn down as indicated in Commission Delegated Regulation (EU) 2015/61.
5. Commission Delegated Regulation (EU) 2015/61 only refers to rates and haircuts, and the word ‘weight’ just refers to these. In these instructions the word ‘weighted’ is used as general term for indicating the amount obtained after the application of the respective haircuts, rates and any other relevant additional instructions (in the case of e.g. secured lending and funding).
6. Outflows within a group or an institutional protection scheme (except for outflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a preferential outflow rate and outflows from operational deposits maintained in the context of an institutional Protection Scheme or a cooperative network) shall be reported in the relevant categories. These outflows shall also be separately reported as memorandum items.
7. The liquidity outflows shall be reported only once in the template unless additional outflows according to article 30 of the Commission Delegated Regulation (EU) 2015/61 are applicable or where the item is also a memorandum item. The reporting of the memorandum items does not affect the calculations of liquidity outflows.
8. When reporting in a significant currency, the following shall always apply:
— only items and flows denominated in that currency shall be reported;
— in case of currency mismatch between legs of a transaction, only the leg in that currency shall be reported;
— where the Commission Delegated Regulation (EU) 2015/61 allows netting it may only be applied to flows in that currency;
— where a flow has multicurrency optionality, the credit institution 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.
9. The standard weights in column 040 of template C 73.00 of Annex XXIV are those specified in the Commission Delegated Regulation (EU) 2015/61 by default and are provided here for information.
10. The template contains information about collateralised liquidity flows, referred to as ‘secured lending and capital-market driven transactions’ in Commission Delegated Regulation (EU) 2015/61, and for the purpose of calculating LCR as defined in that regulation.
11. A separate template is provided for collateral swaps, C 75.00 of Annex XXIV. Collateral swaps, which are collateral-versus-collateral transactions shall not be reported on the outflow template C 73.00 of Annex XXIV, which only covers cash- versus-collateral transactions.
1.2. Specific remarks regarding settlement and forward starting transactions
12. Credit institutions shall report outflows stemming from forward starting repos, reverse repos and collateral swaps that start within the 30 day horizon and mature beyond the 30 day horizon where the initial leg produces an outflow. In the case of a reverse repo, the amount to be lent to the counterparty shall be considered as an outflow and reported in item 1.1.7.3. net of the market value of the asset to be received as collateral and after the application of the related LCR haircut if the asset qualifies as liquid asset. If the amount to be lent is lower than of the market value of the asset (after LCR haircut) to be received as collateral, the difference shall be reported as an inflow. If the collateral to be received does not qualify as liquid asset, the outflow shall be reported in full. In the case of repo, where the market value of the asset to be lent as collateral after the application of the related LCR haircut (if the asset qualifies as liquid asset) is larger than the cash amount to be received, the difference is to be reported as an outflow in the above mentioned row. For collateral swaps, where the net effect of the initial swap of liquid assets (taking into account LCR haircuts) gives rise to an outflow this outflow shall be reported in the above mentioned row.
Forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR's 30 day horizon do not have any impact on a bank's LCR and can be ignored
13. Decision tree for sections 1 of C 73.00 of Annex XXIV, the decision tree is without prejudice to the memorandum items reporting. The decision tree is part of the instructions to specify prioritization assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient, credit institutions shall always comply with the rest of the instructions. For the sake of simplicity the decision tree ignores totals and subtotals; this however does not mean that they shall not be reported as well. DA refers to Commission Delegated Regulation (EU) 2015/61.
# |
Item |
Decision |
Reporting |
1 |
Forward starting transaction |
Yes |
# 2 |
No |
# 4 |
||
2 |
Forward transaction entered into subsequent to the reporting date; |
Yes |
Do not report |
No |
# 3 |
||
3 |
Forward transaction that start prior to and mature after the 30-day horizon. |
Yes |
Do not report |
No |
ID 1.1.7.3. |
||
4 |
An item requiring additional outflows in accordance with Article 30 of DA? |
Yes |
# 5 and subsequently # 48 |
No |
# 5 |
||
5 |
Retail deposit in accordance with Article 3(8) of DA. |
Yes |
# 6 |
No |
# 12 |
||
6 |
Canceled deposit with a residual maturity of less than 30 calendar days and where pay-out has been agreed to another credit institution? |
Yes |
ID 1.1.1.1. |
No |
# 7 |
||
7 |
Deposit in accordance with Article 25(4) of DA? |
Yes |
Do not report |
No |
# 8 |
||
8 |
Deposit in accordance with Article 25(5) of DA? |
Yes |
ID 1.1.1.5. |
No |
# 9 |
||
9 |
Deposit in accordance with Article 25(2) of DA? |
Yes |
Allocate into one relevant item of ID 1.1.1.2. |
No |
# 10 |
||
10 |
Deposit in accordance with Article 24(4) of DA? |
Yes |
ID 1.1.1.4. |
No |
# 11 |
||
11 |
Deposit in accordance with Article 24(1) of DA? |
Yes |
ID 1.1.1.3. |
No |
ID 1.1.1.6. |
||
12 |
Liability that become due, can be called for pay- out by the issuer or by the provider of the funding or entail an expectation by the provider of the funding that the credit institution would repay the liability during the next 30 calendar days? |
Yes |
# 13 |
No |
# 29 |
||
13 |
Liability resulting from the institution's own operating expenses? |
Yes |
ID 1.1.7.1. |
No |
# 14 |
||
14 |
Liability in form of bond sold exclusively in the retail market and held in a retail account in accordance with Article 28(6) of DA? |
Yes |
Follow path for retail deposits (ie. answer yes for # 5 and treat accordingly) |
No |
# 15 |
||
15 |
Liability in form of debt security? |
Yes |
ID 1.1.7.2. |
No |
# 16 |
||
16 |
Deposit received as collateral? |
Yes |
Allocate across relevant items of ID 1.1.4. |
No |
# 17 |
||
17 |
Deposit arising out of a corresponding banking or from the prime brokerage? |
Yes |
ID1.1.3.1. |
No |
# 18 |
||
18 |
Operational deposit in accordance with Article 27 of DA? |
Yes |
# 19 |
No |
# 24 |
||
19 |
Maintained in the context of IPS or a cooperative network? |
Yes |
# 20 |
No |
# 22 |
||
20 |
Treated as liquid assets for the depositing credit institution? |
Yes |
ID 1.1.2.2.2. |
No |
# 21 |
||
21 |
Maintained to obtain cash clearing and central credit institution services within a network? |
Yes |
ID 1.1.2.4. |
No |
ID 1.1.2.2.1. |
||
22 |
Maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship? |
Yes |
Allocate into one relevant item of ID 1.1.2.1. |
No |
# 23 |
||
23 |
Maintained in the context of an established operational relationship (other) with non-financial customers? |
Yes |
ID 1.1.2.3. |
No |
# 24 |
||
24 |
Other deposit? |
Yes |
# 25 |
No |
# 26 |
||
25 |
Deposits by financial customers? |
Yes |
ID 1.1.3.2. |
No |
Allocate into one relevant item of ID 1.1.3.3. |
||
26 |
Liability from secured lending and capital market driven transaction with the exception of derivatives and collateral swaps? |
Yes |
Allocate into one relevant item of ID 1.2. |
No |
# 27 |
||
27 |
Liability from collateral swaps? |
Yes |
Allocate into one relevant item of C75.00 and ID 1.3. where applicable. |
No |
# 28 |
||
28 |
Liability resulting in an outflow from derivatives in accordance with Article 30(4) of DA? |
Yes |
ID 1.1.4.5. |
No |
ID1.1.7.3. |
||
29 |
Undrawn amount that can be drawn from committed credit and liquidity facility in accordance with Article 31 of DA? |
Yes |
# 30 |
No |
# 38 |
||
30 |
Committed credit facility? |
Yes |
# 31 |
No |
# 33 |
||
31 |
Within IPS or cooperative network treated as liquid asset by the depositing institution? |
Yes |
ID 1.1.5.1.6. |
No |
# 32 |
||
32 |
Within a group or an IPS subject to preferential treatment? |
Yes |
ID 1.1.5.1.5. |
No |
Allocate into one relevant remaining item of ID 1.1.5.1. |
||
33 |
Committed liquidity facility? |
Yes |
# 34 |
n/a |
n/a |
||
34 |
Within IPS or cooperative network treated as liquid asset by the depositing institution? |
Yes |
ID 1.1.5.2.7. |
No |
# 35 |
||
35 |
Within a group or an IPS subject to preferential treatment? |
Yes |
ID 1.1.5.2.6. |
No |
# 36 |
||
36 |
To SSPEs? |
Yes |
Allocate into one relevant item of ID 1.1.5.2.4. |
No |
# 37 |
||
37 |
To personal investment companies? |
Yes |
ID 1.1.5.2.3. |
No |
Allocate into one relevant remaining item of ID 1.1.5.2. |
||
38 |
Other product or service in accordance with Article 23 of DA? |
Yes |
# 39 |
No |
Do not report |
||
39 |
Trade finance off balance sheet related product? |
Yes |
ID1.1.6.8. |
No |
# 40 |
||
40 |
Contractual commitments to extend funding to non-financial customers in excess of monies due from those customers? |
Yes |
One of the following IDs: 1.1.6.6.1.1. to 1.1.6.6.1.4. |
No |
# 41 |
||
41 |
Undrawn loans and advances to wholesale counterparties? |
Yes |
ID 1.1.6.2. |
No |
# 42 |
||
42 |
Mortgages that have been agreed but not yet drawn down |
Yes |
ID 1.1.6.3. |
No |
# 43 |
||
43 |
Is it other planned outflow related to renewal or extension of new loans? |
Yes |
ID 1.1.6.6.2. |
No |
# 44 |
||
44 |
Credit cards? |
Yes |
ID 1.1.6.4. |
No |
# 45 |
||
45 |
Overdraft? |
Yes |
ID 1.1.6.5. |
No |
# 46 |
||
46 |
Planned derivatives payable? |
Yes |
ID1.1.6.7. |
No |
# 47 |
||
47 |
Other off balance sheet and contingent funding obligation? |
Yes |
ID1.1.6.1. |
No |
ID 1.1.6.9. |
||
48 |
Debt security already reported in item 1.1.7.2 of C 73.00? |
Yes |
Do not report |
No |
# 49 |
||
49 |
Liquidity requirement for derivatives in accordance with article 30.4 of DA already considered in question # 28? |
Yes |
Do not report |
No |
Allocate across relevant items of ID 1.1.4. |
1.3. Instructions concerning specific columns
Column |
Legal references and instructions |
010 |
Amount 1.1. Unsecured transactions/deposits specific instructions: Credit institutions shall report here the outstanding balance of various categories of liabilities and off-balance sheet commitments as specified in Articles 22 to 31 of Commission Delegated Regulation (EU) 2015/61. Subject to prior approval of the competent authority within each category of outflows, the amount of each item reported in Column 010 of template C 73.00 of Annex XXIV shall be netted by subtracting the relevant amount of interdependent inflow in accordance with Article 26. 1.2. Secured lending and capital market-driven transactions specific instructions: Credit institutions shall report here the outstanding balance of the liabilities in accordance with Article 22(2) of Commission Delegated Regulation (EU) 2015/61, which represent the cash leg of the secured transaction. |
020 |
Market value of collateral extended Secured lending and capital market-driven transactions specific instructions: Credit institutions shall report here the market value of extended collateral which is calculated as the current market value gross of haircut and net of flows resulting from unwinding associated hedges (in accordance with Article 8(5) of Commission Delegated Regulation (EU) 2015/61 and subject to the following conditions: — These extended collateral to be reported only refer to Level 1, 2A and 2B assets that would qualify upon maturity as liquid assets in accordance with Title II. Where collateral is Level 1, 2A or 2B but would not qualify as liquid asset in accordance with Title II of Commission Delegated Regulation (EU) 2015/61 it shall be reported as non-liquid. Similarly, where a credit institution may only recognize part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognizable part shall be reported within the Levels 1, 2A and 2B rows (in accordance with Article 12(1)(c)(i) to (iii) and Article 10(1)(d) of Commission Delegated Regulation (EU) 2015/61. Where the particular asset is used as collateral but in an amount which is surplus to the portion which can be recognized within liquid assets, the surplus amount shall be reported in the non-liquid section; — Level 2A assets shall be reported in the corresponding L2A asset row, even if the Alternative Liquidity Approach is being followed (i.e. do not move L2A to L1 in the secured transaction reporting). |
030 |
Value of collateral extended according to Article 9 Secured lending and capital market-driven transactions specific instructions: Credit institutions shall report here the value of extended collateral in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61. This is calculated by multiplying Column 020 of template C 73.00 of Annex XXIV by the applicable weight/haircut from template C 72.00 of Annex XXIV corresponding to asset type. Column 030 of template C 73.00 of Annex XXIV is used in the calculation of the adjusted amount of liquid assets in template C 76.00 of Annex XXIV. |
040 |
Standard Weight Articles 24 – 31 of Commission Delegated Regulation (EU) 2015/61 The standard weights in Column 040 are those specified in the Commission Delegated Regulation (EU) 2015/61 by default and are provided for information only. |
050 |
Applicable Weight Both unsecured and secured: Credit institutions shall report here applicable weights. These weights are those specified in Articles 22 to 31 of Commission Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,00 for an applicable weight of 100 per cent, or 0,50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. |
060 |
Outflow Both unsecured and secured: Credit institutions shall report here the outflows. This is calculated by multiplying Column 010 C 73.00 of Annex XXIV by Column 050 C 73.00 of Annex XXIV. |
1.4. Instructions concerning specific rows
Row |
Legal references and instructions |
010 |
1. OUTFLOWS Chapter 2 of Title III of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on outflows in accordance with Chapter 2 of Title III of Commission Delegated Regulation (EU) 2015/61. |
020 |
1.1. Outflows from unsecured transactions/deposits Articles 20 to 31 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on outflows in accordance with Articles 21 to 31 with the exception of outflows in accordance with Article 28(3) an (4) of Commission Delegated Regulation (EU) 2015/61. |
030 |
1.1.1. Retail deposits Articles 24 and 25 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on retail deposits as defined in Article 3(8) of Commission Delegated Regulation (EU) 2015/61. In accordance with Article 28(6) of Commission Delegated Regulation (EU) 2015/61 credit institutions shall also report within the appropriate retail deposit category the amount of the notes, bonds and other securities issued which are sold exclusively in the retail market and held in a retail account. Credit institutions will consider for this category of liability the applicable outflow rates provided for by the Commission Delegated Regulation (EU) 2015/61 for the different categories of retail deposits. Accordingly, credit institutions shall report as applicable weigh the average of the relevant applicable weights for all these deposits. |
040 |
1.1.1.1. deposits where the pay-out has been agreed within the following 30 days Article 25(4) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here deposits with a residual maturity of less than 30 days where pay-out has been agreed. |
050 |
1.1.1.2. deposits subject to higher outflows Articles 25(2) and (3) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here the full balance of the deposits subject to higher outflow rates in accordance with paragraph 2 and 3 of Article 25 of Commission Delegated Regulation (EU) 2015/61. Those retail deposits where the assessment under paragraph 2 of Article 25 for their categorization has not been carried out or is not completed shall also be reported here. |
060 |
1.1.1.2.1. Category 1 Article 25(3) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the whole outstanding balance of every retail deposit which fulfills the criteria in subparagraph (a) or two of the criteria in subparagraphs (b) to (e) of paragraph 2 of Article 25 of Commission Delegated Regulation (EU) 2015/61 unless these deposits have been taken in third countries where a higher outflow is applied in accordance with Article 25(5) in which case they shall be reported within this latter category. Credit institutions shall report as applicable weight the average of the rates, either those standard rates envisaged by default in subparagraph (a) of paragraph 3 of Article 25 of Commission Delegated Regulation (EU) 2015/61 or higher ones if applied by a competent authority, which have been effectively applied on the full amount of every deposit referred to in the previous paragraph and weighted by the cited corresponding amounts. |
070 |
1.1.1.2.2. Category 2 Article 25(3) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the whole outstanding balance of every retail deposit which fulfills the criteria in subparagraph (a) of paragraph 2 of Article 25 of the Commission Delegated Regulation (EU) 2015/61 and at least another criterion referred to in that paragraph 2 or three or more criteria of the cited paragraph unless these deposits have been taken in third countries where a higher outflow is applied in accordance with Article 25(5) in which case they shall be reported within this latter category. Those retail deposits where the assessment under paragraph 2 of Article 25 for their categorization has not been carried out or is not completed shall also be reported here. Credit institutions shall report as applicable weight the average of the rates, either those standard rates envisaged by default in subparagraph (b) of paragraph 3 of Article 25 of the Commission Delegated Regulation (EU) 2015/61 or higher ones if applied by a competent authority, which have been effectively applied on the full amount of every deposit referred in the previous paragraphs and weighted by the cited corresponding amounts. |
080 |
1.1.1.3. stable deposits Article 24 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the part of the amounts of retail deposits covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country and either is part of an established relationship making withdrawal highly unlikely or is held in a transactional account in accordance with Article 24 (2) and (3) of the Commission Delegated Regulation (EU) 2015/61 respectively and where: — These deposits do not fulfil the criteria for a higher outflow rate in accordance with Article 25 paragraphs 2, 3, or 5 of the Commission Delegated Regulation (EU) 2015/61 in which case they shall be reported as deposits subject to higher outflows; or — These deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) in which case they shall be reported within this category; — The derogation specified in paragraph 4 of Article 24 is not applicable. |
090 |
1.1.1.4. Derogated stable deposits Articles 24(4) and (6) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the part of the amounts of retail deposits which is covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU up to a maximum level of EUR 100 000 and either is part of an established relationship making withdrawal highly unlikely or is held in a transactional account in accordance with Article 24(2) and (3) of the Commission Delegated Regulation (EU) 2015/61 respectively and where: These deposits do not fulfil the criteria for a higher outflow rate in accordance with Article 25 paragraphs 2, 3, or 5 of the Commission Delegated Regulation (EU) 2015/61 in which case they shall be reported as deposits subject to higher outflows; or — These deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) in which case they shall be reported within this category; — The derogation envisaged in paragraph 4 of Article 24 is applicable. |
100 |
1.1.1.5. deposits in third countries where a higher outflow is applied Article 25(5) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of retail deposits taken in third countries where a higher outflow is applied in accordance with the national law which sets out liquidity requirements in that third country. |
110 |
1.1.1.6. other retail deposits Article 25(1) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of other retail deposits than those captured in the previous items. |
120 |
1.1.2. Operational deposits Articles 27 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on operational deposits in accordance with article 27 of the Commission Delegated Regulation (EU) 2015/61, with the exception of deposits arising out of a correspondent banking relationship or from the provision of prime brokerage services which are considered as non- operational deposits in accordance with Article 27(5) of the Commission Delegated Regulation (EU) 2015/61. |
130 |
1.1.2.1. maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship Article 27(1)(a), Article 27(2) and Article 27(4) of the Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on deposits maintained by the depositor in order to obtain clearing, custody, cash management or other comparable services in the context of an established relationship (in accordance with Article 27(1)(a) of the Commission Delegated Regulation (EU) 2015/61) which is critically important to the depositor (in accordance with Article 27(4) of the Commission Delegated Regulation (EU) 2015/61); funds in excess of those required for the provision of operational services are treated as non-operational deposits (in accordance with Article 27(4) of the Commission Delegated Regulation (EU) 2015/61). Only deposits which have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely (in accordance with Article 27(4)) shall be reported. Credit institutions shall report separately, in accordance with Article 27(2) of the Commission Delegated Regulation (EU) 2015/61, the amount of these deposits covered and not covered by a Deposit Guarantee Scheme or third country equivalent deposit guarantee scheme, as specified in the following items of the instructions. |
140 |
1.1.2.1.1. covered by DGS (Deposit Guarantee Scheme) Article 27(1)(a), Article 27(2) and Article 27(4) of the Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the portion of the outstanding balance of operational deposits maintained in the context of an established operational relationship that fulfills the criteria set out in Article 27(1)(a) and 27 (4) of the Commission Delegated Regulation (EU) 2015/61 and which is covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC, or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country. |
150 |
1.1.2.1.2. not covered by DGS Article 27(1)(a), Article 27(2) and Article 27(4) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the portion of the outstanding balance of operational deposits in the context of an established operational relationship that fulfills the criteria set out in Article 27(1)(a) and 27 (4) of the Commission Delegated Regulation (EU) 2015/61 and which is not covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC, or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country. |
160 |
1.1.2.2. maintained in the context of IPS (Institutional Protection Scheme) or a cooperative network Article 27(1)(b) and Article 27(3) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on deposits maintained in the context of a common task sharing within an institutional protection scheme meeting the requirements of Article 113(7) of Regulation (EU) No 575/2013 or within a group of cooperative credit institutions permanently affiliated to a central body meeting the requirements of Article 113(6) of the same Regulation, or as a legal or contractually established minimum deposit by another credit institution that is a Member of the same institutional protection scheme or cooperative network, as set out in Article 27(1)(b) of the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report these deposits into different rows depending on whether they are treated as liquid assets by the depositing credit institution or not, in accordance with Article 27(3) of the Commission Delegated Regulation (EU) 2015/61. |
170 |
1.1.2.2.1. not treated as liquid assets for the depositing institution Article 27(1)(b) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of deposits maintained in the context of a cooperative network or an institutional protection scheme in accordance with the criteria set out in Article 27(1)(b) of the Commission Delegated Regulation (EU) 2015/61, provided those deposits are not recognized as liquid assets for the depositing credit institution. |
180 |
1.1.2.2.2. treated as liquid assets for the depositing credit institution Article 27(1)(b) and Article 27(3) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report deposits from credit institutions placed at the central credit institution that are considered as liquid assets for the depositing credit institution in accordance with Article 16 of the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report the amount of these deposits up to the amount of the correspondent liquid assets after haircut, as set out in Article 27(3) of the Commission Delegated Regulation (EU) 2015/61. |
190 |
1.1.2.3. maintained in the context of an established operational relationship (other) with non-financial customers Article 27(1)(c), Article 27(4) and Article 27(6) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of deposits maintained by a non-financial customer in the context of an established operational relationship other than that mentioned in Article 27(1)(a) of the Commission Delegated Regulation (EU) 2015/61, and subject to the requirements set out in Article 27(6). Only those deposits which have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely (in accordance with Article 27(4) of the Commission Delegated Regulation (EU) 2015/61) shall be reported. |
200 |
1.1.2.4. maintained to obtain cash clearing and central credit institution services within a network Article 27(1)(d) and Article 27(4) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of deposits maintained by the depositor to obtain cash clearing and central institution services and where the credit institution belongs to one of a network or schemes referred to in Article 16 of the Commission Delegated Regulation (EU) 2015/61, as set out in Article 27(1)(d) of the Commission Delegated Regulation (EU) 2015/61. These cash clearing and central credit institution services only covers such services to the extent that they are rendered in the context of an established relationship which is critically important to the depositor (in accordance with Article 27(4) of the Commission Delegated Regulation (EU) 2015/61); funds in excess of those required for the provision of operational services are treated as non-operational deposits (in accordance with Article 27(4) of the Commission Delegated Regulation (EU) 2015/61). Only those deposits which have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely (in accordance with Article 27(4) of the Commission Delegated Regulation (EU) 2015/61) shall be reported. |
210 |
1.1.3. Non-operational deposits Art 27 (5), Article 28(1) and Article 31(9) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on unsecured deposits referred to in Article 28(1) of the Commission Delegated Regulation (EU) 2015/61 and those arising out of a correspondent banking or from the provision of prime brokerage services in accordance with Article 27(5) of the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report separately, with the exception of the liabilities arising out of correspondent banking relationship or from the provision of prime brokerage services in accordance with Article 27(5) of the Commission Delegated Regulation (EU) 2015/61, the amount of these non-operational deposits covered and not covered by a Deposit Guarantee Scheme or third country equivalent deposit guarantee scheme, as specified in the following items of the instructions. |
220 |
1.1.3.1. correspondent banking and provisions of prime brokerage deposits Article 27(5) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of deposits arising out of correspondent banking relationship or from the provision of prime brokerage as referred to in Article 27(5) of the Commission Delegated Regulation (EU) 2015/61. |
230 |
1.1.3.2. deposits by financial customers Article 31(10) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of deposits maintained by financial customers to the extent they are not considered as operational deposits in accordance with Article 27 of the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall include here also funds in excess of those required for the provision of the operational services in accordance with Article 27(4) of the Commission Delegated Regulation (EU) 2015/61. |
240 |
1.1.3.3. deposits by other customers Article 28(1) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on deposits maintained by other customers (other than financial customers and customers considered for the retail deposits) in accordance with Article 28(1) of the Commission Delegated Regulation (EU) 2015/61, to the extent they are not considered as operational deposits in accordance with Article 27. This section shall also include: — funds in excess of those required for the provision of the operational services in accordance with Article 27(4) of the Commission delegated Regulation (EU) 2015/61 provided that they are not from financial customers; and — the excess part of the deposits in accordance with Article 27(6) of the Commission Delegated Regulation (EU) 2015/61. These deposits shall be reported in two different rows depending on the amount of the deposit covered or not covered (by a Deposit Guarantee Scheme or third country equivalent Deposit Guarantee Scheme). |
250 |
1.1.3.3.1. covered by DGS Article 28(1) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of these deposits maintained by other customers and covered by a Deposit Scheme Guarantee in accordance with Directive 94/19/EC or Directive 2014/48/EC or an equivalent Deposit Guarantee Scheme in a third country as referred to in Article 28(1). |
260 |
1.1.3.3.2. not covered by DGS Article 28(1) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of these deposits maintained by other customers and not covered by a Deposit Scheme Guarantee in accordance with Directive 94/19/EC or Directive 2014/48/EC or an equivalent Deposit Guarantee Scheme in a third country as referred to in Article 28(1). |
270 |
1.1.4. Additional outflows Article 30 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on additional outflows as defined in Article 30 of the Commission Delegated Regulation (EU) 2015/61. In accordance with Article 30(7) of the Commission Delegated Regulation (EU) 2015/61 deposits received as collateral shall not be considered as liabilities for the purposes of Article 27 or 29 of the Commission Delegated Regulation (EU) 2015/61 but shall be subject to the provisions of paragraphs 1 to 6 of article 30 of the Commission Delegated Regulation (EU) 2015/61 where applicable. |
280 |
1.1.4.1. collateral other than Level 1 assets posted for derivatives Article 30(1) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the market value of collateral other than Level 1 collateral which is posted for contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives. |
290 |
1.1.4.2. level 1 EHQ Covered Bonds assets collateral posted for derivatives Article 30(1) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the market value of level 1 EHQ Covered Bonds collateral which is posted for contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives. |
300 |
1.1.4.3. material outflows due to deterioration of own credit quality Article 30(2) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report total amount of additional outflows they have calculated and notified to the competent authorities in accordance with Article 30(2) of the Commission Delegated Regulation (EU) 2015/61. If an amount subject to outflow due to deterioration of own credit quality has been reported elsewhere in a row with less than 100 % weight, then an amount shall also be reported in Row 300 such that the sum of the outflows is 100 % outflow in total for the transaction. |
310 |
1.1.4.4. impact of an adverse market scenario on derivatives, financing transactions and other contracts Article 30(3) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of outflows calculated in accordance with the delegated act to be adopted by the Commission pursuant to Article 423(3) of Regulation (EU) No 575/2013. |
320 |
1.1.4.4.1. HLBA (Historical Look-back Approach)approach Article 30(3) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount resulting from application of the Historical Look-back Approach in accordance with the delegated act to be adopted by the Commission pursuant to Article 423(3) of Regulation (EU) No 575/2013. |
330 |
1.1.4.4.2. AMAO (Advanced Method for Additional Outflows) approach Article 30(3) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here the excess amount over the amount in item 1.1.4.4.1. resulting from the application of the Advanced Method for Additional Outflows in accordance with the delegated act to be adopted by the Commission pursuant to Article 423(3) of Regulation (EU) No 575/2013. Only credit institutions that have been permitted by the relevant competent authorities to use the internal-model method (IMM) set out in Section 6 of Chapter 6 of Regulation (EU) No 575/2013 shall report this item. |
340 |
1.1.4.5. outflows from derivatives Article 30(4) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of outflows expected over 30 calendar days from contracts listed in Annex II of Regulation (EU) No 575/2013 calculated in accordance with Article 21 of Commission Delegated Regulation (EU) 2015/61. For significant currency reporting only, credit institutions shall report outflows which occur only in the respective significant currency. Netting by counterparty may only be applied to flows in that currency, for instance Counterparty A: EUR+10 and Counterparty A: EUR-20 shall be reported as EUR10 outflow. No netting shall be made across counterparties, for instance Counterparty A: EUR- 10, Counterparty B: EUR+40 shall be reported as EUR10 outflow on C73.00 (and EUR40 inflow on C74.00). |
350 |
1.1.4.6. short positions Article 30(5) and Article 30(11) of Commission Delegated Regulation (EU) 2015/61 The credit institution shall add an additional outflow corresponding to 100 % of the market value of securities or other assets sold short and to be delivered within 30 calendar day period to reflect the requirement that the credit institution needs to collateralise assets borrowed to settle any short sales. No outflow shall be assumed either if the credit institution owns the securities to be delivered, since they have been fully paid for, or has borrowed them at terms requiring their return only after the 30 calendar day period, and the securities do not form part of the institution's liquid assets. If the short position is being covered by an existing collateralised securities financing transaction, the credit institution shall assume the short position will be maintained throughout the 30 calendar day period and receive a 0 % outflow. |
360 |
1.1.4.6.1. covered by collateralized SFT (securities financing transactions) Article 30(5) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the market value of securities or other assets sold short that are covered by collateralized securities financing transactions and to be delivered within 30 calendar days unless the credit institution owns the securities to be delivered or has borrowed them at terms requiring their return only after the 30 calendar da period and the securities do not form part of the institutions liquid assets. If the short position is being covered by a collateralized securities financing transaction, the credit institution shall assume the short position will be maintained throughout the 30 calendar days period and receive a 0 % outflow. |
370 |
1.1.4.6.2. other Article 30(5) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the market value of securities or other assets sold short other than those covered by collateralized securities financing transactions and to be delivered within 30 calendar days unless the credit institution owns the securities to be delivered or has borrowed them at terms requiring their return only after the 30 calendar day period and the securities do not form part of the institutions liquid assets. |
380 |
1.1.4.7. callable excess collateral Article 30(6)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the market value of excess collateral that the institution holds and that can be contractually called at any times by the counterparty. |
390 |
1.1.4.8. due collateral Article 30(6)(b) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the market value of collateral that is due to be posted to counterparty within the 30 calendar day period. |
400 |
1.1.4.9. liquid asset collateral exchangeable for non liquid assets Article 30(6)(c) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the market value of collateral that qualifies as liquid assets for the purpose of Title II that can be substituted for assets corresponding to assets that would not qualify as liquid assets for the purpose of Title II without the consent of the institution. |
410 |
1.1.4.10. loss of funding on structured financing activities Article 30(8) to 30(10) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall assume 100 % outflow for loss of funding on asset backed securities, covered bonds and other structured financing instruments maturing within the 30 calendar day period issued by the credit institution or by sponsored conduits or SPVs. Credit institutions that are providers of liquidity facilities associated with financing programs reported here do not need to double count the maturing financing instrument and the liquidity facility for consolidated programs. |
420 |
1.1.4.10.1. structured financing instruments Article 30(8) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the current outstanding amount of own liabilities or liabilities of sponsored conduits or SPVs from asset backed securities, covered bonds and other structured financing instruments maturing within the 30 calendar day period. |
430 |
1.1.4.10.2. financing facilities Article 30(9) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maturing amount of liabilities from asset- backed commercial papers, conduits, securities investment vehicles and other such financing facilities, in so far they do not enter into the scope of definition of the instruments defined in item 1.1.4.10.1., or the amount of assets that could potentially be returned or the liquidity required in the scope of those instruments. All funding on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities maturing or returnable within 30 days. Credit institutions having structured financing facilities that include the issuance of short-term debt instruments, such as asset backed commercial paper, shall report the potential liquidity outflows from these structures. These include, but are not limited to, (i) the inability to refinance maturing debt, and (ii) the existence of derivatives or derivative-like components contractually written into the documentation associated with the structure that would allow the ‘return’ of assets in a financing arrangement, or that require the original asset transferor to provide liquidity, effectively ending the financing arrangement (‘liquidity puts’) within the 30-day period. Where the structured financing activities are conducted through a special purpose entity (such as a special purpose vehicle, conduit or SIV), the credit institution shall, in determining the HQLA requirements, look through to the maturity of the debt instruments issued by the entity and any embedded options in financing arrangements that may potentially trigger the ‘return’ of assets or the need for liquidity, irrespective of whether or not the SPV is consolidated. |
440 |
1.1.4.11. assets borrowed on an unsecured basis Article 30(11) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here assets borrowed on an unsecured basis and maturing within the 30 days. These assets shall be assumed to run off in full, leading to a 100 % outflow. This treatment aims to reflect the fact that securities lent against a fee are likely to be recalled under stressed conditions or that security lenders will seek full collateralization. Credit institutions shall report the market value of assets borrowed on an unsecured basis and maturing within the 30 days period where the credit institution does not own the securities and they do not form part of institutions liquidity buffer. |
450 |
1.1.4.12. internal netting of client's positions Article 30(12) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here the market value of client's assets where in relation to prime brokerage services the credit institution has financed the assets of one client by internally netting them against the short sales of another client. |
460 |
1.1.5. Committed facilities Article 31 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on outflows as defined in Article 31 of the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall also report here on committed facilities in accordance with Article 29 of the Commission Delegated Regulation (EU) 2015/61. Maximum amount that could be drawn shall be assessed in accordance with Article 31(2) of Commission Delegated Regulation (EU) 2015/61. |
470 |
1.1.5.1. credit facilities Credit institutions shall report here on committed credit facilities as defined in Article 31(1) of Commission Delegated Regulation (EU) 2015/61. |
480 |
1.1.5.1.1. to retail customers Article 31(3) of Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities to retail customers as defined in Article 3(8) of Commission Delegated Regulation (EU) 2015/61. |
490 |
1.1.5.1.2. to non-financial customers other than retail customers Article 31(4) of Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities to customers that are neither financial customers in accordance with Article 3(9) of Commission Delegated Regulation (EU) 2015/61 nor retail customers in accordance with Article 3(8) of Commission Delegated Regulation (EU) 2015/61 and which have not been provided for the purpose of replacing funding of the client in situations where the client is unable to obtain funding requirements in the financial markets. |
500 |
1.1.5.1.3. to credit institutions Credit institutions shall report here on committed credit facilities provided to credit institutions. |
510 |
1.1.5.1.3.1. for funding promotional loans of retail customers Article 31(9) of Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers in accordance with article 3(8) of Commission Delegated Regulation (EU) 2015/61. Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item. |
520 |
1.1.5.1.3.2. for funding promotional loans of non-financial customers Article 31(9) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers who are neither financial customers in accordance with article 3(9) of Commission Delegated Regulation (EU) 2015/61 nor retail customers in accordance with article 3(8) of Commission Delegated Regulation (EU) 2015/61. Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item. |
530 |
1.1.5.1.3.3. other Article 31(8)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to credit institutions other than those reported above. |
540 |
1.1.5.1.4. to regulated financial institutions other than credit institutions Article 31(8)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to regulated financial institutions other than credit institutions. |
550 |
1.1.5.1.5. within a group or an IPS if subject to preferential treatment Article 29 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities for which they have received permission to apply a lower outflow rate in accordance with Article 29 of Commission Delegated Regulation (EU) 2015/61. |
560 |
1.1.5.1.6. within an IPS or cooperative network if treated as liquid asset by the depositing institution Article 31(7) of Commission Delegated Regulation (EU) 2015/61 Central institutions of a scheme or network referred to in Article 16 shall report the maximum amount that could be drawn from undrawn committed credit facilities to member credit institution where such member credit institution treat the facility as a liquid asset in accordance with Article 16(2). |
570 |
1.1.5.1.7. to other financial customers Article 31(8)(c) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities other than those reported above to other financial customers. |
580 |
1.1.5.2. liquidity facilities Article 31(1) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on committed liquidity facilities as defined in Article 31(1) of Commission Delegated Regulation (EU) 2015/61. |
590 |
1.1.5.2.1. to retail customers Article 31(3) of Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities to retail customers as defined in Article 3(8) of Commission Delegated Regulation (EU) 2015/61. |
600 |
1.1.5.2.2. to non-financial customers other than retail customers Article 31(5) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities to customers that are neither financial customers in accordance with article 3(9) of Commission Delegated Regulation (EU) 2015/61 nor retail customers in accordance with article 3(8) of Commission Delegated Regulation (EU) 2015/61. |
610 |
1.1.5.2.3. to personal investment companies Article 31(5) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amounts that could be drawn from undrawn committed liquidity facilities provided to private investment companies. |
620 |
1.1.5.2.4. to SSPEs (securitization special purpose vehicle) Credit institutions shall report here on committed liquidity facilities provided to SSPEs. |
630 |
1.1.5.2.4.1. to purchase assets other than securities from non-financial customers Article 31(6) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount of undrawn committed liquidity facilities provided to an SSPE for the purpose of enabling such SSPE to purchase assets, other than securities from clients that are not financial customers, to the extent that it exceeds the amount of assets currently purchased from clients and where the maximum amount that can be drawn is contractually limited to the amount of assets currently purchased. |
640 |
1.1.5.2.4.2. other Article 31(8)(b) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities provided to SSPEs for other than above mentioned reasons. This includes arrangements under which the institution is required to buy or swap assets from an SSPE. |
650 |
1.1.5.2.5. to credit institutions Credit institutions shall report here on committed liquidity facilities provided to credit institutions. |
660 |
1.1.5.2.5.1. for funding promotional loans of retail customers Article 31(9) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers in accordance with article 3(8) of Commission Delegated Regulation (EU) 2015/61. Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item. |
670 |
1.1.5.2.5.2. for funding promotional loans of non-financial customers Article 31(9) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers who are neither financial customers in accordance with article 3(9) of Commission Delegated Regulation (EU) 2015/61 nor retail customers in accordance with article 3(8) of Commission Delegated Regulation (EU) 2015/61. Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item. |
680 |
1.1.5.2.5.3. other Article 31(8)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn of undrawn committed liquidity facilities provided to credit institutions not mentioned above. |
690 |
1.1.5.2.6. within a group or an IPS if subject to preferential treatment Article 29 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities for which they have received permission to apply a lower outflow rate in accordance with article 29 of Commission Delegated Regulation (EU) 2015/61. |
700 |
1.1.5.2.7. within an IPS or cooperative network if treated as liquid asset by the depositing institution Article 31(7) of Commission Delegated Regulation (EU) 2015/61 Central institutions of a scheme or network referred to in Article 16 shall report the maximum amount that could be drawn from undrawn committed liquidity facilities to member credit institution where such member credit institution treat the facility as a liquid asset in accordance with Article 16(2). |
710 |
1.1.5.2.8. to other financial customers Article 31(8)(c) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities other than those reported above to other financial customers. |
720 |
1.1.6. Other products and services Article 23(2) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on those products or services referred to in Article 23(1) of the Commission Delegated Regulation (EU) 2015/61. The amount to be reported shall be the maximum amount that could be drawn from those products or services referred to in Article 23(1) of the Commission Delegated Regulation (EU) 2015/61. The applicable weight to be reported shall be the weight as determined by the competent authorities in accordance with the procedure set out in Article 23(2) of Commission Delegated Regulation (EU) 2015/61. |
730 |
1.1.6.1. Other off-balance sheet and contingent funding obligations Article 23(2) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of guarantees and other off-balance sheet and contingent funding obligations referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. |
740 |
1.1.6.2. undrawn loans and advances to wholesale counterparties Article 23(2) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of undrawn loans and advances to wholesale counterparties referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. |
750 |
1.1.6.3. mortgages that have been agreed but not yet drawn down Article 23(2) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of mortgages that have been agreed but not yet drawn down referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. |
760 |
1.1.6.4. credit cards Article 23(2) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of credit cards referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. |
770 |
1.1.6.5. overdrafts Article 23(2) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of overdrafts referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. |
780 |
1.1.6.6. planned outflows related to renewal or extension of new retail or wholesale loans Article 23(2) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of planned outflows related to renewal or extension of new retail or wholesale loans referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. |
790 |
1.1.6.6.1. Excess of funding to non-financial customers Credit institutions shall report here the difference between the contractual commitments to extend funding to non-financial customers and the monies due from such customers referred to by Article 32(3)(a) when the former exceeds the latter. |
800 |
1.1.6.6.1.1. excess of funding to retail customers Credit institutions shall report here the difference between the contractual commitments to extend funding to retail customers and the monies due from such customers referred to by Article 32(3)(a) when the former exceeds the latter. |
810 |
1.1.6.6.1.2. excess of funding to non-financial corporates Credit institutions shall report here the difference between the contractual commitments to extend funding to non-financial corporates customers and the monies due from such customers referred to by Article 32(3)(a) when the former exceeds the latter. |
820 |
1.1.6.6.1.3. excess of funding to sovereigns, MLDBs (multilateral development banks) and PSEs (public sector entities) Credit institutions shall report here the difference between the contractual commitments to extend funding to sovereigns, multilateral development banks and public sector entities and the monies due from such customers referred to by Article 32(3)(a) when the former exceeds the latter. |
830 |
1.1.6.6.1.4. excess of funding to other legal entities Credit institutions shall report here the difference between the contractual commitments to extend funding to other legal entities and the monies due from such customers referred to by Article 32(3)(a) when the former exceeds the latter. |
840 |
1.1.6.6.2. other Credit institutions shall report the amount of planned outflows related to renewal or extension of new retail or wholesale loans referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61 not captured above. |
850 |
1.1.6.7. planned derivatives payables Article 23 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of planned derivatives payables referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. |
860 |
1.1.6.8. trade finance off-balance sheet related products Credit institutions shall report the amount of the products or services related to trade finance referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. |
870 |
1.1.6.9. others Article 23(2) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of other products or services than those cited above referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. |
880 |
1.1.7. Other liabilities Article 28(2), Article 28(6) and Article 31(10) of the Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report outflows from other liabilities as provided in Article 28(2), Article 28(6) and Article 31(10) of the Commission Delegated Regulation (EU) 2015/61. This item shall also include, where necessary, additional balances required to be kept in central bank reserves where agreed between the relevant competent authority and the ECB or the central bank according to Article 10(1)(b) (iii) of Commission Delegated Regulation (EU) 2015/61. |
890 |
1.1.7.1. liabilities resulting from operating expenses Article 28(2) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of liabilities resulting from the credit institution's own operating expenses as referred to in Article 28(2) of the Commission Delegated Regulation (EU) 2015/61. |
900 |
1.1.7.2. in the form of debt securities if not treated as retail deposits Article 28(6) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of notes, bonds and other debt securities, issued by the credit institution other than that reported as retail deposits as referred to in Article 28(6) of the Commission Delegated Regulation (EU) 2015/61. This amount includes also coupons that come due in the next 30 calendar days referred to all these securities. |
910 |
1.1.7.3. Others Article 31(10) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of any liabilities that come due in the next 30 calendar days other than those referred to in Article 23 to 31 of Commission Delegated Regulation (EU) 2015/61. |
920 |
1.2. Outflows from secured lending and capital market-driven transactions Article 28(3) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013. Collateral swap (which cover collateral-versus- collateral transactions) shall be reported in template C 75.00 of Annex XXIV. |
930 |
1.2.1. Counterparty is central bank Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank. |
940 |
1.2.1.1. level 1 excl. EHQ Covered Bonds collateral Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 1 collateral excluding extremely high quality covered bonds. |
950 |
1.2.1.2. level 1 EHQ Covered Bonds collateral Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 1 collateral which is extremely high quality covered bonds. |
960 |
1.2.1.3. level 2A collateral Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2A collateral, all types. |
970 |
1.2.1.4. level 2B asset-backed securities (residential or automobile, CQS1) collateral Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B asset backed securities which are residential or automobile backed and of credit quality step 1 and which comply with the conditions laid down in Article 13(2)(g) points (i),(ii) or (iv). |
980 |
1.2.1.5. level 2B covered bonds Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B high quality covered bonds which comply with the conditions laid down in Article 12(1)(e). |
990 |
1.2.1.6. level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B asset backed securities which are commercial or individuals of a Member State and of credit quality step 1 and which comply with the conditions laid down in Article 13(2)(g) points (iii) or (v). |
1000 |
1.2.1.7. other Level 2B assets collateral Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B collateral not captured above. |
1010 |
1.2.1.8. non-liquid assets collateral Article 28(3)(g) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Non liquid assets collateral. |
1020 |
1.2.2. Counterparty is non-central bank Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank. |
1030 |
1.2.2.1. level 1 excl. EHQ Covered Bonds collateral Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 1 collateral excluding extremely high quality covered bonds. |
1040 |
1.2.2.2. level 1 EHQ Covered Bonds collateral Article 28(3)(b) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 1 collateral which is extremely high quality covered bonds. |
1050 |
1.2.2.3. level 2A collateral Article 28(3)(c) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2A collateral. |
1060 |
1.2.2.4. level 2B asset-backed securities (residential or automobile, CQS1) collateral Article 28(3)(d)(i) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B asset backed securities which are residential or automobile backed and of credit quality step 1 and which comply with the conditions laid down in Article 13(2)(g) points (i), (ii) or (iv). |
1070 |
1.2.2.5. level 2B covered bonds Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B high quality covered bonds which comply with the conditions laid down in Article 12(1)(e). |
1080 |
1.2.2.6. level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral Article 28(3)(e) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B asset backed securities which are commercial or individuals of a Member State and of credit quality step 1 and which comply with the conditions laid down in Article 13(2)(g) points (iii) or (v). |
1090 |
1.2.2.7. other Level 2B assets collateral Article 28(3)(f) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B collateral not captured above. |
1100 |
1.2.2.8. non-liquid assets collateral Article 28(3)(g) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is non liquid assets collateral. |
1110 |
1.2.2.8.1. counterparty is central govt, PSE<=RW20 %, MDB Article 28(3)(d) (ii) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the collateral is non-liquid asset and the counterparty is central government, public sector entity with risk weighting equal to or less than 20 %, or multilateral development bank. |
1120 |
1.2.2.8.2. other counterparty Article 28(3)(g) (ii) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank, central government, public sector entity with risk weighting less than 20 %, or multilateral development bank and the collateral extended is non liquid asset. |
1130 |
1.3. Total outflows from collateral swaps The sum of outflows from C75.00 of Annex XXIV Column 050 shall be reported in Column 060. |
MEMORANDUM ITEMS |
|
1140 |
2. Retail bonds with a residual maturity of less than 30 days Article 28(6) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here the amount of the notes, bonds and other securities issued which are sold exclusively in the retail market and held in a retail account. These retail bonds needs to have been reported also within the corresponding category of retail deposits as indicated in the description of retail deposits (instruction of rows 030-110). |
1150 |
3. Retail deposits exempted from the calculation of outflows Article 25(4) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here those categories of deposits exempted from the calculation of outflows if the conditions of Article 25(4)(a) or (b) have been met (i.e. when the depositor is not allowed for withdrawal within 30 calendar days or for early withdrawals within 30 calendar days subject to specific penalty). |
1160 |
4. Not assessed retail deposits Article 25(3) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here those retail deposits where the assessment envisaged in paragraph 2 of Article 25 of Commission Delegated Regulation (EU) 2015/61 has not been carried out or is not completed. These deposits need to have been also reported within the category 2 of deposits subject to higher outflow rates as indicated in the instructions of row 070. |
1170 |
5. Liquidity outflows to be netted by interdependent inflows Credit institutions shall report the outstanding balance of all liabilities and off- balance sheet commitments, whose liquidity outflows have been netted by the interdependent inflows in accordance with Article 26 of Commission Delegated Regulation (EU) 2015/61. |
|
6. Operational deposits maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship Credit institutions shall report here on operational deposits referred to in item 1.1.2.1. broken down by the following counterparties: — Credit institutions; — financial customers other than credit institutions; — sovereigns, central banks, multilateral development banks and public sector entities; — other customers. |
1180 |
6.1. provided by credit institutions Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by credit institutions. |
1190 |
6.2. provided by financial customers other than credit institutions Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by financial customers other than credit institutions. |
1200 |
6.3. provided by sovereigns, central banks, MDBs and PSEs Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by sovereigns, central banks, multilateral development banks and public sector entities. |
1210 |
6.4. provided by other customers Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by other customers (other than those mentioned above and customers considered for the retail deposits). |
|
7. Non-operational deposits maintained by financial customers and other customers Credit institutions shall report here non-operational deposits referred to in items 1.1.3.2. and 1.1.3.3., broken down by the following counterparties: — Credit institutions; — financial customers other than credit institutions; — sovereigns, central banks, multilateral development banks and public sector entities; — other customers. |
1220 |
7.1. provided by credit institutions Credit institutions shall report the amount of the outstanding balance of non- operational deposits referred to in item 1.1.3.2. provided by credit institutions. |
1230 |
7.2. provided by financial customers other than credit institutions Credit institutions shall report the amount of the outstanding balance of non- operational deposits referred to in item 1.1.3.2. provided by financial customers other than credit institutions. |
1240 |
7.3. provided by sovereigns, central banks, MDBs and PSEs Credit institutions shall report the amount of the outstanding balance of non- operational deposits referred to in item 1.1.3.3. provided by sovereigns, central banks, Multilateral Development Banks and Public Sector Entities. |
1250 |
7.4. provided by other customers Credit institutions shall report the amount of the outstanding balance of non- operational deposits referred to in item 1.1.3.3. provided by other customers (other than those above mentioned and customers considered for the retail deposits). |
1260 |
8. Funding commitments to non-financial customers Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the outstanding amount of the contractual commitments to non-financial customers to extend funding within 30 days. For the purpose of this item contractual commitments shall only comprise those that are not recognized as liquidity outflows. |
1270 |
9. Level 1 excl. EHQ covered bonds collateral posted for derivatives Credit institutions shall report the market value of non EHQ covered bonds Level 1 collateral which is posted for contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives. |
1280 |
10. SFTS monitoring Credit institutions shall report, in accordance with the delegated act to be adopted by the Commission pursuant to Article 423(3) of Regulation (EU) No 575/2013, the total amount of collateral posted for the Securities Financing Transactions (‘SFTs’) where a change in the relevant exchange rate could trigger outflows of collateral from the institution due to one leg of the SFT being denominated differently from the other. |
|
11. Intra group or IPS outflows Credit institutions shall report here all transactions reported in item 1 where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013. |
1290 |
11.1. of which: to financial customer Credit institutions shall report total amount reported in item 1.1. to financial customers within the scope of item 11. |
1300 |
11.2. of which: to non-financial customers Credit institutions shall report total amount reported in item 1.1. to non-financial customers within the scope of item 11. |
1310 |
11.3. of which: secured Credit institutions shall report total amount of secured transactions reported in item 1.2. within the scope of item 11. |
1320 |
11.4. of which: credit facilities without preferential treatment Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities reported in item 1.1.5.1. to entities within the scope of item 11 for which they have not received permission to apply a lower outflow rate in accordance with article 29 of Commission Delegated Regulation (EU) 2015/61. |
1330 |
11.5. of which: liquidity facilities without preferential treatment Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities reported in item 1.1.5.2. to entities within the scope of item 11 for which they have not received permission to apply a lower outflow rate in accordance with article 29 of Commission Delegated Regulation (EU) 2015/61. |
1340 |
11.6. of which: operational deposits Credit institutions shall report the amount of deposits referred to in item 1.1.2. to entities within the scope of item 11. |
1350 |
11.7. of which: non-operational deposits Credit institutions shall report the amount of the outstanding balance of the deposits referred to in item 1.1.3. from entities within the scope of item 11. |
1360 |
11.8. of which: liabilities in the form of debt securities if not treated as retail deposits Credit institutions shall report the amount of the outstanding balance of debt securities reported in item 1.1.7.2. which are held by entities within the scope of item 11. |
1370 |
12. FX outflows This item shall only be reported in case of reporting in currencies subject to separate reporting. For significant currency reporting only, credit institutions shall report the portion of outflows from derivatives (reported in item 1.1.4.5.) which relate to FX principal flows in the respective significant currency from cross-currency swaps, FX spot and forward transactions maturing within the 30 day period. Netting by counterparty may only be applied to flows in that currency, for instance Counterparty A: EUR+10 and Counterparty A: EUR-20 shall be reported as EUR10 outflow. No netting shall be made across counterparties, for instance Counterparty A: EUR-10, Counterparty B: EUR+40 shall be reported as EUR10 outflow on C73.00 (and EUR40 inflow on C74.00). |
1380 |
13. Third countries outflows — transfer restrictions or non- convertible currencies Credit institutions shall report here liquidity outflows from third countries where there are transfer restrictions or which are denominated in non-convertible currencies. |
1390 |
14. Additional balances required to be installed in central bank reserves Credit institutions shall report, where necessary, the amount of additional balances required to be kept in central bank reserves where agreed between the relevant competent authority and the ECB or the central bank according to Article 10(1)(b) (iii) of Commission Delegated Regulation (EU) 2015/61. |
REPORTING ON LIQUIDITY (PART 3: INFLOWS)
2. Inflows
2.1. General remarks
1. This is a summary template which contains information about liquidity inflows measured over the next 30 days, for the purpose of reporting the liquidity coverage requirement as specified in Commission Delegated Regulation (EU) 2015/61. Items which do not need to be completed by credit institutions are coloured in grey.
2. Credit institutions shall submit the template in the currencies specified in Article 4(5) of Commission Delegated Regulation (EU) 2015/61.
3. In accordance with Article 32 of Commission Delegated Regulation (EU) 2015/61, liquidity inflows shall:
i. comprise only contractual inflows from exposures that are not past due and for which the credit institution has no reason to expect non-performance within the 30-day time horizon.
ii. be calculated by multiplying the outstanding balances of various categories of contractual receivables by the rates specified in Commission Delegated Regulation (EU) 2015/61.
4. Inflows within a group or an institutional protection scheme (except for inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a preferential inflow rate) shall be assigned to the relevant categories. Unweighted amounts shall additionally be reported as memorandum items under section 4 of the template (lines 460-480).
5. In accordance with Article 32(6) of Delegated Regulation (EU) 2015/61, credit institutions shall not report inflows from any of the liquid assets reported in accordance with Title II of that Regulation other than payments due on the assets that are not reflected in the market value of the asset.
6. Inflows which are to be received in third countries where there are transfer restrictions or which are denominated in non-convertible currencies shall be reported in the relevant rows of sections 1.1., 1.2. or 1.3. The inflows shall be reported in full, regardless of the amount of outflows in the third country or currency.
7. Monies due from securities issued by the credit institution itself or by a related entity shall be taken into account on a net basis with an inflow rate applied on the basis of the inflow rate applicable to the underlying asset pursuant to Article 32(3)(h) of Commission Delegated Regulation (EU) 2015/61.
8. In accordance with Article 32(7) of Commission Delegated Regulation (EU) 2015/61, credit institutions shall not report inflows from any new obligations entered into.
9. In the case of a significant currency identified in accordance with Article 4(5) of Commission Delegated Regulation (EU) 2015/61, the reported balances shall comprise only those which are denominated in the significant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the significant currency template. For instance, in case of FX derivatives, credit institutions may only net inflows and outflows in accordance with Article 21 of Commission Delegated Regulation (EU) 2015/61 where they are denominated in the same currency.
10. The Column structure of this template is built to accommodate the different caps on inflows applicable pursuant to Article 33 of Commission Delegated Regulation (EU) 2015/61. In this regard, the template is based on three sets of Columns, one set for each cap treatment (75 % cap, 90 % cap, and exempted from the cap). Credit institutions reporting on a consolidated basis may use more than one such set of Columns if different entities under the same consolidation qualify for different cap treatments.
11. In accordance with Article 2(3)(c) of Commission Delegated Regulation (EU) 2015/61 regarding consolidation, liquidity inflows in a subsidiary undertaking in a third country which are subject under the national law of that third country to lower rates than those specified in Title III of the regulation shall be subject to consolidation in accordance with the lower rates specified in the national law of the third country.
12. Commission Delegated Regulation (EU) 2015/61 only refers to rates and haircuts, and the word ‘weight’ in the template just refers to these in the appropriate context. The word ‘weighted’ in this Annex shall be understood as a general term for indicating the amount calculated after the application of the respective haircuts, rates and any other relevant additional instructions (e.g. in the case of secured lending and funding).
13. Some ‘memorandum items’ are included in the associated templates to these instructions. While not strictly necessary for the calculation of the ratio itself, they are required to be completed. These items provide necessary information to allow the competent authority to complete an adequate assessment of credit institutions' compliance with the liquidity requirements. In some cases they represent a more granular breakdown of items included in the main sections of the templates while in other cases they reflect additional liquidity resources credit institutions may have access to.
2.2. Specific remarks regarding secured lending and capital market-driven transactions
1. The template categories collateralizsed flows by the quality of the underlying asset or HQLA eligibility. A separate template is provided for collateral swaps — C 75.00 of ANNEX XXIV. Collateral swaps, which are collateral-versus-collateral transactions shall not be reported on the inflow template (C 74.00 of ANNEX XXIV) which only covers cash-versus-collateral transactions.
2. In the case of a significant currency return, the reported balances shall comprise only those which are denominated in the significant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the significant currency template. Hence a reverse repo transaction can result in a negative inflow. Reverse repo transactions reported in the same item shall be summed (positives and negatives). If the total is positive then this shall be reported on the inflow template. If the total is negative then this shall be reported on the outflow template. This approach shall be followed vice-versa for repos.
3. Credit institutions shall only report the Level 1, Level 2A and Level 2B assets that qualify as liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61. Where collateral is Level 1, Level 2A or Level 2B but does not qualify as a liquid asset in accordance with Title II of Commission Delegated Regulation (EU) 2015/61 it shall be reported as non-liquid. Similarly, where a credit institution may only recognise part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognisable part shall be reported within the rows related to Level 1, Level 2A and Level 2B assets (refer to Article 12(1)(c)(i)-(iii)) and Article 10(1)(d) of Commission Delegated Regulation (EU) 2015/61). Where the particular asset is used as collateral but for an amount which is surplus to the portion which can be recognised as liquid assets, the surplus amount shall be reported in the non-liquid section. Level 2A assets shall be reported in the corresponding Level 2A asset row, even if the Alternative Liquidity Approach under Article 19 of Commission Delegated Regulation (EU) 2015/61 is being followed.
2.3. Specific remarks regarding settlement and forward starting transactions
Credit institutions shall report inflows stemming from forward starting repos that start within the 30 day horizon and mature beyond the 30 day horizon. The inflow to be received shall be reported in {C 74.00; r260} (‘other inflows’), net of the market value of the asset to be delivered to the counterparty after the application of the related LCR haircut. If the asset is not a ‘liquid asset’, the inflow to be received shall be reported in full. The asset to be pledged as collateral shall be reported in C 72.00 if the institution holds the asset in its book at the reference date and it fulfills the related conditions.
Credit institutions shall report inflows stemming from forward starting repos, reverse repos and collateral swaps that start within the 30 day horizon and mature beyond the 30 day horizon where the initial leg produces an inflow. In the case of a repo, the inflow to be received shall be reported in {C 74.00; r260} (‘other inflows’), net of the market value of the asset to be delivered to the counterparty after the application of the related LCR haircut. If the amount to be received is lower than the market value of the asset (after LCR haircut) to be lent as collateral, the difference shall be reported as an outflow in C.73.00. If the asset is not a ‘liquid asset’, the inflow to be received shall be reported in full. The asset to be pledged as collateral shall be reported in C 72.00 where the institution holds the asset in its book at the reference date and it fulfills the related conditions. In the case of a reverse repo, where the market value of the asset to be received as collateral after the application of the related LCR haircut (if the asset qualifies as liquid asset) is larger than the cash amount to be lent, the difference is to be reported as an inflow in {C 74.00; r260} (‘other inflows’). For collateral swaps, where the net effect of the initial swap of assets (taking into account LCR haircuts) gives rise to an inflow this inflow shall be reported {C 74.00; r260} (‘other inflows’).
Forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR's 30 day horizon do not have any impact on a bank's LCR and can be ignored.
2.4. Decision tree on LCR inflows in accordance with Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61
1. The decision tree is without prejudice to the reporting of the memorandum items. The decision tree is part of the instructions to specify prioritisation assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient — credit institutions shall comply with the rest of the instructions at all times.
2. For the sake of simplicity, the decision tree ignores totals and subtotals; this however does not necessarily imply that they shall not also be reported.
2.4.1. Decision tree on rows in template C 74.00 of ANNEX XXIV
# |
Item |
Decision |
Reporting |
||
1 |
Inflow meeting the operational criteria as specified in Article 32, such as: — Exposure is not past due (Article 32(1)) — Credit institution has no reason to expect non-performance within 30 calendar days (Article 32(1)) — Credit institutions shall not take into account inflows from any new obligation entered into (Article 32(7)) — No inflows shall be reported in case inflows are already netted against outflows (Article 26) — Credit institutions shall not take into account any inflows from any of the liquid assets referred to in Title II other than payments due on the assets that are not reflected in the market value of the asset (Article 32(6)) |
No |
No Reporting |
||
Yes |
# 2 |
||||
2 |
Forward starting transaction |
Yes |
# 3 |
||
No |
# 5 |
||||
3 |
Forward transaction entered into subsequent to the reporting date; |
Yes |
No Reporting |
||
No |
# 4 |
||||
4 |
Forward transaction that start prior to and mature after the 30-day horizon |
Yes |
No Reporting |
||
No |
Row 260, ID 1.1.12. |
||||
5 |
Inflows within a group or an institutional protection scheme |
Yes |
# 6 |
||
No |
# 7 |
||||
6 |
Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a higher inflow rate (Article 34) |
Yes |
Row 250, ID 1.1.11. |
||
No |
# 7 |
||||
7 |
Inflows from secured lending and capital markets-driven transactions with the exception of derivatives (Article 32(3)(b)-(c);(e)-(f)) |
Yes |
# 23 |
||
No |
# 8 |
||||
8 |
Monies due from securities maturing within 30 days (Article 32(2)(a)(i)) |
Yes |
Row 190, ID 1.1.5. |
||
No |
# 9 |
||||
9 |
Inflows from trade financing transactions (Article 32(2)(a)(ii)) |
Yes |
Row 180, ID 1.1.4. |
||
No |
# 10 |
||||
10 |
Assets with an undefined contractual end date (Article 32(3)(i)) |
Yes |
# 11 |
||
No |
# 12 |
||||
11 |
Interest and minimum payments from assets with an undefined contractual end date that are contractually due and that are subject to an actual cash inflow within the next 30 days |
Yes |
# 12 |
||
No |
Row 200, ID 1.1.6. |
||||
12 |
Monies due from positions in major index equity instruments provided that there is no double counting with liquid assets (Article 32(2)(b)) |
Yes |
Row 210, ID 1.1.7. |
||
No |
# 13 |
||||
13 |
Inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets (Article 32(3)(g)) |
Yes |
Row 220, ID 1.1.8. |
||
No |
# 14 |
||||
14 |
Inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets (Article 32(4)) |
Yes |
Row 230, ID 1.1.9. |
||
No |
# 15 |
||||
15 |
Derivatives cash inflows net by counterparty and collateral (Article 32(5)) |
Yes |
Row 240, ID 1.1.10. |
||
No |
# 16 |
||||
16 |
Inflows related to outflows in accordance with promotional loan commitments referred to in Article 31(9) (Article 32(3)(a)) |
Yes |
Row 170, ID 1.1.3. |
||
No |
# 17 |
||||
17 |
Monies due from central banks and financial customers (Article 32(2)(a)) |
Yes |
# 21 |
||
No |
# 18 |
||||
18 |
Monies due from non-financial customers (except for central banks) not corresponding to principal repayment (Article 32(2)) |
Yes |
Row 040, ID 1.1.1.1. |
||
No |
# 19 |
||||
19 |
Other monies due from non-financial customers (except for central banks) (Article 32(3)(a)) |
Yes |
# 20 |
||
No |
Row 260, ID 1.1.12. |
||||
20 |
Other monies due from non-financial customers (except for central banks) (Article 32(3)(a)) |
# 20.1 |
Retail customers |
Yes |
Row 060, ID 1.1.1.2.1. |
No |
# 20.2 |
||||
# 20.2 |
Non-financial corporates |
Yes |
Row 070, ID 1.1.1.2.2. |
||
No |
# 20.3 |
||||
# 20.3 |
Sovereigns, MDBs and PSEs |
Yes |
Row 080, ID 1.1.1.2.3. |
||
No |
Row 090, ID 1.1.1.2.4. |
||||
21 |
Inflows from financial customers being classified as operational deposits (Article 32(3)(d)) |
Yes |
# 22 |
||
No |
# 23 |
||||
22 |
Credit institution is able to establish a corresponding symmetrical inflow rate (Article 32(3)(d)) |
Yes |
Row 120, ID 1.1.2.1.1. |
||
No |
Row 130, ID 1.1.2.1.2. |
||||
23 |
Monies due from central banks (Article 32(2)(a)) |
Yes |
Row 150, ID 1.1.2.2.1. |
||
No |
Row 160, ID 1.1.2.2.2. |
||||
24 |
Collateral Swap Transaction (Article 32(3)(e)) |
Yes |
Row 410, ID 1.3 (1) |
||
No |
# 25 |
||||
25 |
Collateral qualifies as a liquid asset (Article 32(3)(b)) |
Yes |
# 26 |
||
No |
# 27 |
||||
26 |
Secured funding transaction secured by (Article 32(3)(b)) |
# 26.1 |
Collateral is used to cover short positions |
Yes |
Row 360, ID 1.2.2. |
No |
# 26.2 |
||||
# 26.2 |
Level 1 collateral excluding extremely high quality covered bonds |
Yes |
Row 290, ID 1.2.1.1. |
||
No |
# 26.3 |
||||
# 26.3 |
Level 1 collateral which is extremely high quality covered bonds |
Yes |
Row 300, ID 1.2.1.2. |
||
No |
# 26.4 |
||||
# 26.4 |
Level 2A collateral |
Yes |
Row 310, ID 1.2.1.3. |
||
No |
# 26.5 |
||||
# 26.5 |
Level 2B asset backed securities (residential or auto) collateral |
Yes |
Row 320, ID 1.2.1.4. |
||
No |
# 26.6 |
||||
# 26.6 |
Level 2B high quality covered bonds collateral |
Yes |
Row 330, ID 1.2.1.5. |
||
No |
# 26.7 |
||||
# 26.7 |
Level 2B asset backed securities (commercial or individuals) collateral |
Yes |
Row 340, ID 1.2.1.6. |
||
No |
Row 350, ID 1.2.1.7. |
||||
27 |
Collateral that does not qualify as a liquid asset (Article 32(3)(b)) |
# 27.1 |
margin loans: collateral is non-liquid |
Yes |
Row 380, ID 1.2.3.1. |
No |
# 27.2 |
||||
# 27.2 |
collateral is non-liquid equity |
Yes |
Row 390, ID 1.2.3.2. |
||
No |
Row 400, ID 1.2.3.3. |
||||
(1) Collateral swap transactions additionally need to be reported in template C 75.00 of ANNEX XXIV. |
2.4.2. Decision tree on columns in template C 74.00 of ANNEX XXIV
# |
Item |
Decision |
Reporting |
||
1 |
Inflow to be reported in rows 010-430 of template C 74.00 of ANNEX XXIV in accordance with Article 32, Article 33 and Article 34 and in accordance with the classification as specified in section 1 ('Decision tree on rows in template C 74.00') |
No |
No Reporting |
||
Yes |
# 2 |
||||
2 |
Inflows from secured lending and capital markets-driven transactions with the exception of derivatives (Article 32(3)(b)-(c);(e)-(f)) |
Yes |
# 11 |
||
No |
# 3 |
||||
3 |
Partial exemption from the cap on inflows (Article 33(2)-(5)) |
Yes |
# 4 |
||
No |
# 6 |
||||
4 |
Partial exemption from the cap on inflows (Article 33(2)-(5)) |
# 4.1 |
Part of inflows exempted from the cap on inflows |
— |
# 5 |
# 4.2 |
Part of inflows not exempted from the cap on inflows |
— |
# 7 |
||
5 |
Part of the inflows exempted from the 75 % cap on inflows subject to 90 % cap on inflows (Article 33(4) and Article 33(5)) |
Yes |
# 9 |
||
No |
# 10 |
||||
6 |
Inflow subject to the 75 % cap on inflows (Article 33(1)) |
Yes |
# 7 |
||
No |
# 8 |
||||
7 |
Inflow subject to the 75 % cap on inflows (Article 33(1)) |
# 7.1 |
Monies due/maximum amount that can be drawn |
— |
Column 010 |
# 7.2 |
Applicable Weight |
— |
Column 080 |
||
# 7.3 |
Inflow |
— |
Column 140 |
||
8 |
Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5)) |
Yes |
# 9 |
||
No |
# 10 |
||||
9 |
Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5)) |
# 9.1 |
Monies due/maximum amount that can be drawn |
— |
Column 020 |
# 9.2 |
Applicable Weight |
— |
Column 090 |
||
# 9.3 |
Inflow |
— |
Column 150 |
||
10 |
Inflows that are fully exempted from the cap on inflows (Article 33(2)-(3)) |
# 10.1 |
Monies due/maximum amount that can be drawn |
— |
Column 030 |
# 10.2 |
Applicable Weight |
— |
Column 100 |
||
# 10.3 |
Inflow |
— |
Column 160 |
||
11 |
Secured funding transaction where the collateral qualify as a liquid asset |
Yes |
# 12 |
||
No |
# 3 |
||||
12 |
Partial exemption from the cap on inflows (Article 33(2)-(5)) |
Yes |
# 13 |
||
No |
# 15 |
||||
13 |
Partial exemption from the cap on inflows (Article 33(2)-(5)) |
# 13.1 |
Part of inflows exempted from the cap on inflows |
— |
# 14 |
# 13.2 |
Part of inflows not exempted from the cap on inflows |
— |
# 16 |
||
14 |
Part of the inflows exempted from the 75 % cap on inflows subject to 90 % cap on inflows (Article 33(4) and Article 33(5)) |
Yes |
# 18 |
||
No |
# 19 |
||||
15 |
Inflow subject to the 75 % cap on inflows (Article 33(1)) |
Yes |
# 16 |
||
No |
# 17 |
||||
16 |
Inflow subject to the 75 % cap on inflows (Article 33(1)) |
# 16.1 |
Monies due |
— |
Column 010 |
# 16.2 |
Market value of collateral received |
— |
Column 040 |
||
# 16.3 |
Applicable Weight |
— |
Column 080 |
||
# 16.4 |
Value of collateral received according to Article 9 |
— |
Column 110 |
||
# 16.5 |
Inflow |
— |
Column 140 |
||
17 |
Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5)) |
Yes |
# 18 |
||
No |
# 19 |
||||
18 |
Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5)) |
# 18.1 |
Monies due |
— |
Column 020 |
# 18.2 |
Market value of collateral received |
— |
Column 050 |
||
# 18.3 |
Applicable Weight |
— |
Column 090 |
||
# 18.4 |
Value of collateral received according to Article 9 |
— |
Column 120 |
||
# 18.5 |
Inflow |
— |
Column 150 |
||
19 |
Inflows that are fully exempted from the cap on inflows (Article 33(2)-(3)) |
# 19.1 |
Monies due |
— |
Column 030 |
# 19.2 |
Market value of collateral received |
— |
Column 060 |
||
# 19.3 |
Applicable Weight |
— |
Column 100 |
||
# 19.4 |
Value of collateral received according to Article 9 |
— |
Column 130 |
||
# 19.5 |
Inflow |
— |
Column 160 |
2.5. Inflows sub template
2.5.1. Instructions concerning specific columns
Column |
Legal references and instructions |
010 |
Amount — Subject to the 75 % cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {040},{060}-{090},{120}-{130},{150}-{260},{290}-{360},{380}-{400},{440}-{450} and {470}-{520}, credit institutions shall report in Column 010 the total amount of assets/monies due/maximum amounts that can be drawn that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61 and following the relevant instructions included here. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010. |
020 |
Amount — Subject to the 90 % cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {040},{060}-{090},{120}-{130},{150}-{260},{290}-{360},{380}-{400},{440}-{450} and {470}-{520}, credit institutions shall report in Column 020 the total amount of assets/monies due/maximum amounts that can be drawn that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 and following the relevant instructions included here. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010. |
030 |
Amount — Exempted from the cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {040},{060}-{090},{120}-{130},{150}-{260},{290}-{360},{380}-{400},{440}-{450} and {470}-{520}, credit institutions shall report in Column 030 the total amount of assets/monies due/maximum amounts that can be drawn that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 and following the relevant instructions included here. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010. |
040 |
Market value of collateral received — Subject to the 75 % cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {290}-{350} and for row {490}, credit institutions shall report in Column 040 the market value of collateral received in secured lending and capital market-driven transactions that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040. |
050 |
Market value of collateral received — Subject to the 90 % cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {290}-{350} and for row {490}, credit institutions shall report in Column 050 the market value of collateral received in secured lending and capital market-driven transactions that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040. |
060 |
Market value of collateral received — Exempted from the cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {290}-{350} and for row {490}, credit institutions shall report in Column 060 the market value of collateral received in secured lending and capital market-driven transactions that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040. |
070 |
Standard Weight Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 The standard weights in Column 070 are those specified in the Commission Delegated Regulation (EU) 2015/61 by default and are provided for information only. |
080 |
Applicable Weight- Subject to the 75 % cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 The Applicable Weight are those specified in Articles 32 to 34 of Commission Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. For rows {040},{060}-{090},{120}-{130},{150}-{260},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 080 the average weight applied to assets/monies due/maximum amounts that can be drawn that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61. For rows {060}-{090} and {170} the applicable weight in Column 080 shall be reported as the ratio of Column 140 to Column 010. For rows {290}-{350}, {380}–{400} and {490} credit institutions shall report in Column 080 the average weight applied to the market value of the collateral received in secured lending and capital market-driven transactions where the secured lending transaction is subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61. |
090 |
Applicable Weight- Subject to the 90 % cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 The Applicable Weight are those specified in Articles 32 to 34 of Commission Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. For rows {040},{060}-{090},{120}-{130},{150}-{260},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 090 the average weight applied to assets/monies due/maximum amounts that can be drawn that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. For rows {060}-{090} and {170} the applicable weight in Column 090 shall be reported as the ratio of Column 150 to Column 020. For rows {290}-{350}, {380}–{400} and {490} credit institutions shall report in Column 090 the average weight applied to the market value of the collateral received in secured lending and capital market-driven transactions where the secured lending transaction is subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. |
100 |
Applicable Weight — Exempted from the cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 The Applicable Weight are those specified in Articles 32 to 34 of Commission Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. For rows {040},{060}-{090},{120}-{130},{150}-{260},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 100 the average weight applied to assets/monies due/maximum amounts that can be drawn that are exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. For rows {060} — {090} and {170} the applicable weight in Column 100 shall be reported as the ratio of Column 160 to Column 030. For rows {290}-{350}, {380}–{400} and {490} credit institutions shall report in Column 100 the average weight applied to the market value of the collateral received in secured lending and capital market-driven transactions where the secured lending transaction is exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. |
110 |
Value of collateral received according to Article 9 — Subject to the 75 % cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {290}-{350} and for row {490}, credit institutions shall report in Column 110 the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110. |
120 |
Value of collateral received according to Article 9 — Subject to the 90 % cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {290}-{350} and for row {490}, credit institutions shall report in Column 120 the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110. |
130 |
Value of collateral received according to Article 9 — Exempted from the cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {290}-{350} and for row {490}, credit institutions shall report in Column 130 the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110. |
140 |
Inflow — Subject to the 75 % cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {040},{120}-{130},{150}-{160},{180}-{260},{380}-{400},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 010 with the relevant weight from Column 080. For rows {060}-{090}, the following procedure shall be followed: — If there are no contractual commitments or the contractual commitments to this customer type are less than 50 % of monies due reported in Column 010 monies due shall be reduced by 50 % and the result shall be reported in Column 140. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV. — If contractual commitments to the customer are greater than or equal to 50 % but not greater than 100 % of monies due reported in Column 010, monies due shall be reduced by the contractual commitments to the relevant type of customers and the result shall be reported in Column 140. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV. — If contractual commitments to the customer are greater than 100 % of monies due reported in Column 010, ‘0’ shall be reported in Column 140 and the difference between the contractual commitments and monies due in Column 010 shall be reported as ‘contingent funding obligations’ in sections 1.1.6.6.1.1., 1.1.6.6.1.2., 1.1.6.6.1.3. or 1.1.6.6.1.4. in template C 73.00 of ANNEX XXIV. — Credit institutions shall ensure that there is no double-counting of such items with template C 73.00 of ANNEX XXIV. For row {170}, credit institutions shall report in Column 140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity. For rows {290}-{350} and for row {490}, credit institutions shall report in Column 140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61 which shall be calculated by subtracting Column 110 from Column 010. If the result is positive, it shall be reported in Column 140; if the result is negative, ‘0’ shall be reported. |
150 |
Inflow — Subject to the 90 % cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {040},{120}-{130},{150}-{160},{180}-{260},{380}-{400},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 150 total inflows that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 020 with the relevant weight from Column 090. For rows {060}-{090}, the following procedure shall be followed: — If there are no contractual commitments or the contractual commitments to this customer type are less than 50 % of monies due reported in Column 020 monies due shall be reduced by 50 % and the result shall be reported in Column 150. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV. — If contractual commitments to the customer are greater than or equal to 50 % but not greater than 100 % of monies due reported in Column 020, monies due shall be reduced by the contractual commitments to the relevant type of customers and the result shall be reported in Column 150. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV. — If contractual commitments to the customer are greater than 100 % of monies due reported in Column 020, ‘0’ shall be reported in Column 150 and the difference between the contractual commitments and monies due in Column 020 shall be reported as ‘contingent funding obligations’ in sections 1.1.6.6.1.1., 1.1.6.6.1.2., 1.1.6.6.1.3. or 1.1.6.6.1.4. in template C 73.00 of ANNEX XXIV. — Credit institutions shall ensure that there is no double-counting of such items with template C 73.00 of ANNEX XXIV. For row {170}, credit institutions shall report in Column 150 total inflows that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity. For rows {290}-{350} and for row {490}, credit institutions shall report in Column 150 total inflows that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 which shall be calculated by subtracting Column 120 from Column 020. If the result is positive, it shall be reported in Column 150; if the result is negative, ‘0’ shall be reported. |
160 |
Inflow — Exempted from the cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {040},{120}-{130},{150}-{160},{180}-{260},{380}-{400},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 160 total inflows that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 030 with the relevant weight from Column 100. For rows {060}-{090}, the following procedure shall be followed: — If there are no contractual commitments or the contractual commitments to this customer type are less than 50 % of monies due reported in Column 030 monies due shall be reduced by 50 % and the result shall be reported in Column 160. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV. — If contractual commitments to the customer are greater than or equal to 50 % but not greater than 100 % of monies due reported in Column 030, monies due shall be reduced by the contractual commitments to the relevant type of customers and the result shall be reported in Column 160. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV. — If contractual commitments to the customer are greater than 100 % of monies due reported in Column 030, ‘0’ shall be reported in Column 160 and the difference between the contractual commitments and monies due in Column 030 shall be reported as ‘contingent funding obligations’ in sections 1.1.6.6.1.1., 1.1.6.6.1.2., 1.1.6.6.1.3. or 1.1.6.6.1.4. in template C 73.00 of ANNEX XXIV. — Credit institutions shall ensure that there is no double-counting of such items with template C 73.00 of ANNEX XXIV. For row {170}, credit institutions shall report in Column 160 total inflows that fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity. For rows {290}-{350} and for row {490}, credit institutions shall report in Column 160 total inflows that fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 which shall be calculated by subtracting Column 130 from Column 030. If the result is positive, it shall be reported in Column 160; if the result is negative, ‘0’ shall be reported. |
2.5.2. Instructions concerning specific rows
Row |
Legal references and instructions |
010 |
1. TOTAL INFLOWS Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 010 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of assets/monies due/maximum amount that can be drawn as the sum of assets/monies due/maximum amount than can be drawn from unsecured transactions/deposits and secured lending and capital market-driven transactions; — for Column 140 total inflows as the sum of inflows from unsecured transactions/deposits, secured lending and capital market-driven transactions and collateral swap transactions less the difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies; and — for Column 150 and 160 total inflows as the sum of inflows from unsecured transactions/deposits, secured lending and capital market-driven transactions and collateral swap transactions less the difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies and less the excess of inflows from a related specialised credit institution referred to in Article 2(3)(e) and Article 33(6) of Commission Delegated Regulation (EU) 2015/61. |
020 |
1.1. Inflows from unsecured transactions/deposits Articles 32, 33 and 34 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 020 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of assets/monies due/maximum amount that can be drawn from unsecured transactions/deposits; and — for each Column 140, 150 and 160 total inflows from unsecured transactions/deposits. |
030 |
1.1.1. monies due from non-financial customers (except for central banks) Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 030 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of monies due from non-financial customers (except for central banks) (monies due from non-financial customers not corresponding to principal repayments as well as any other monies due from non-financial customers) and — for each Column 140, 150 and 160 total inflows from non-financial customers (except for central banks) (inflows from non-financial customers not corresponding to principal repayments as well as any other inflows from non-financial customers). Monies due from secured lending and capital market driven transactions with a non-financial customer that are collateralised by liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61, where these transactions are specified in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013, shall be reported in section 1.2., and shall not be reported in section 1.1.1. Monies due from such transactions that are collateralised by transferable securities that do not qualify as liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61 shall be reported in section 1.2., and shall not be reported in section 1.1.1. Monies due from such transactions with non-financial customers that are collateralised by non-transferable assets that do not qualify as liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61 shall be reported in the relevant row of section 1.1.1. Monies due from central banks shall be reported in section 1.1.2. and shall not be reported here. |
040 |
1.1.1.1. monies due from non-financial customers (except for central banks) not corresponding to principal repayment Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61 Monies to be received from non-financial customers (except for central banks) not corresponding to principal repayment. These inflows include interest and fees due from non-financial customers (except for central banks). Monies due from central banks not corresponding to principal repayment shall be reported in section 1.1.2. and shall not be reported here. |
050 |
1.1.1.2. other monies due from non-financial customers (except for central banks) Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 050 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of other monies due from non-financial customers (except for central banks) as the sum of monies due from non-financial customers by counterparty and — for each Column 140, 150 and 160 total other inflows from non-financial customers (except for central banks) as the sum of other inflows from non-financial customers by counterparty. Monies due from non-financial customers (except for central banks) not corresponding to principal repayment shall be reported in section 1.1.1.1. and shall not be reported here. Other monies due from central banks shall be reported in section 1.1.2. and shall not be reported here. Inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission Delegated Regulation (EU) 2015/61 shall be reported in section 1.1.3. and shall not be reported here. |
060 |
1.1.1.2.1. monies due from retail customers Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61 Monies due from retail customers. |
070 |
1.1.1.2.2. monies due from non-financial corporates Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61 Monies due from non-financial corporates. |
080 |
1.1.1.2.3. monies due from sovereigns, multilateral development banks and public sector entities Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61 Monies due from sovereigns, multilateral development banks and public sector entities. |
090 |
1.1.1.2.4. monies due from other legal entities Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61 Monies due from other legal entities not included anywhere above. |
100 |
1.1.2. monies due from central banks and financial customers Article 32(2)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 100 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of monies due from central banks and financial customers (operational as well as non-operational deposits); and — for each Column 140, 150 and 160 total inflows from central banks and financial customers (operational as well as non-operational deposits). Credit institutions shall report here monies due over the next 30 days from central banks and financial customers, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon. Monies due from central banks and financial customers not corresponding to principal repayment shall be reported in the relevant section. Deposits at the central institution referred to in Article 27(3) of Commission Delegated Regulation (EU) 2015/61 shall not be reported as an inflow. |
110 |
1.1.2.1. monies due from financial customers being classified as operational deposits Article 32(2)(a) in conjunction with Article 27 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 110 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of monies due from financial customers being classified as operational deposits (disregarding whether the credit institution is able to establish a corresponding symmetrical inflow rate or not); and — for each Column 140, 150 and 160 total inflows from financial customers being classified as operational deposits (disregarding whether the credit institution is able to establish a corresponding symmetrical inflow rate or not). Credit institutions shall report here monies due from financial customers in order, for the credit institution, to obtain clearing, custody or cash management services in accordance with Article 27 of Commission Delegated Regulation (EU) 2015/61. |
120 |
1.1.2.1.1. monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate Article 32(3)(d) in conjunction with Article 27 of Commission Delegated Regulation (EU) 2015/61 Monies due from financial customers in order, for the credit institution, to obtain clearing, custody or cash management services in accordance with Article 27 of Commission Delegated Regulation (EU) 2015/61 where the credit institution is able to establish a corresponding symmetrical inflow rate. |
130 |
1.1.2.1.2. monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate Article 32(3)(d) in conjunction with Article 27 of Commission Delegated Regulation (EU) 2015/61 Monies due from financial customers in order, for the credit institution, to obtain clearing, custody or cash management services in accordance with Article 27 of Commission Delegated Regulation (EU) 2015/61 where the credit institution is not able to establish a corresponding symmetrical inflow rate. For these items, a 5 % inflow rate shall be applied. |
140 |
1.1.2.2. monies due from central banks and financial customers not being classified as operational deposits Article 32(2)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 140 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of monies due from central banks and financial customers not being classified as operational deposits and — for each Column 140, 150 and 160 total inflows from central banks and financial customers not being classified as operational deposits. Credit institutions shall report here monies due from central banks and financial customers which do not qualify for the treatment as operational deposits as specified in Article 32(3)(d) in conjunction with Article 27 of Commission Delegated Regulation (EU) 2015/61. |
150 |
1.1.2.2.1. monies due from central banks Article 32(2)(a) of Commission Delegated Regulation (EU) 2015/61 Monies due from central banks. |
160 |
1.1.2.2.2. monies due from financial customers Article 32(2)(a) of Commission Delegated Regulation (EU) 2015/61 Monies due from financial customers which do not qualify for the treatment as operational deposits as specified in Article 32(3)(d) in conjunction with Article 27 of Commission Delegated Regulation (EU) 2015/61. Inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission Delegated Regulation (EU) 2015/61 shall be reported in section 1.1.3. and shall not be reported here. |
170 |
1.1.3. inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission Delegated Regulation (EU) 2015/61 Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61 Inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission Delegated Regulation (EU) 2015/61. |
180 |
1.1.4. monies due from trade financing transactions Article 32(2)(a)(ii) of Commission Delegated Regulation (EU) 2015/61 Monies due over the next 30 days from trade financing transactions in accordance with Article 32(2)(a)(ii) of Commission Delegated Regulation (EU) 2015/61. |
190 |
1.1.5. monies due from securities maturing within 30 days Article 32(2)(a)(i) of Commission Delegated Regulation (EU) 2015/61 Monies due from securities maturing within 30 days in accordance with Article 32(2)(a)(i) of Commission Delegated Regulation (EU) 2015/61. |
200 |
1.1.6. assets with an undefined contractual end date Article 32(3)(i) of Commission Delegated Regulation (EU) 2015/61 Assets with an undefined contractual end date in accordance with Article 32(3)(i) of Commission Delegated Regulation (EU) 2015/61. Inflows shall only be considered if the contract allows the credit institution to withdraw and request payment within 30 days. Interest and minimum payments to be debited against the client account within the 30 days shall be included in the amount reported. Interest and minimum payments from assets with an undefined contractual end date that are contractually due and give rise to an actual cash inflow within the next 30 days shall be considered monies due and shall be reported in the relevant row, following the treatment prescribed by Article 32 for monies due. Credit institutions shall not report other interest that accrues, but that is neither debited against the client account nor giving rise to an actual cash inflow over the 30 days. |
210 |
1.1.7. monies due from positions in major index equity instruments provided that there is no double counting with liquid assets Article 32(2)(b) of Commission Delegated Regulation (EU) 2015/61 Monies due from positions in major index equity instruments provided that there is no double counting with liquid assets in accordance with Article 32(2)(b) of Commission Delegated Regulation (EU) 2015/61. Position shall include monies contractually due within the next 30 days, such as cash dividends on major index equity instruments and cash due from such instruments sold but not yet settled, if they are not recognized as liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61. |
220 |
1.1.8. inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets Article 32(3)(g) of Commission Delegated Regulation (EU) 2015/61 Inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks in accordance with Article 32(3)(g) of Commission Delegated Regulation (EU) 2015/61 provided that there is no double counting with liquid assets. Notwithstanding Article 34 of Commission Delegated Regulation (EU) 2015/61, undrawn credit or liquidity facilities and any other commitments received from entities other than central banks shall not be taken into account. Undrawn committed liquidity facilities and any other commitments from the central bank, which are recognised as liquid assets in accordance with Article 14 of Commission Delegated Regulation (EU) 2015/61 shall not be taken into account. |
230 |
1.1.9. inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets Article 32(4) of Commission Delegated Regulation (EU) 2015/61 Inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets in accordance with Article 32(4) of Commission Delegated Regulation (EU) 2015/61. Inflows shall only be considered if these balances are maintained in liquid assets as specified in Title II of Commission Delegated Regulation (EU) 2015/61. |
240 |
1.1.10. inflows from derivatives Article 32(5) of Commission Delegated Regulation (EU) 2015/61 The net amount of receivables expected over the 30 calendar day period from the contracts listed in Annex II of Regulation (EU) No 575/2013. Credit institutions shall calculate inflows expected over a 30 calendar day period on a net basis by counterparty subject to the existence of bilateral netting agreements in accordance with Article 295 of Regulation (EU) No 575/2013. Net basis shall mean also net of collateral to be received provided that it qualifies as a liquid asset under Title II of Commission Delegated Regulation (EU) 2015/61. Cash outflows and inflows arising from foreign currency derivative transactions that involve a full exchange of principal amounts on a simultaneous basis (or within the same day) shall be calculated on a net basis, even where those transactions are not covered by a bilateral netting agreement. For significant currency reporting, foreign currency transaction flows shall be separated into each respective currency. Netting by counterparty may only be applied to flows in that currency. |
250 |
1.1.11. inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate Article 34 of Commission Delegated Regulation (EU) 2015/61 Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a higher inflow rate in accordance with Article 34 of Commission Delegated Regulation (EU) 2015/61. |
260 |
1.1.12. other inflows Article 32(2) of Commission Delegated Regulation (EU) 2015/61 All other inflows in accordance with Article 32(2) of Commission Delegated Regulation (EU) 2015/61 not reported anywhere else in the template. |
270 |
1.2. Inflows from secured lending and capital market-driven transactions Article 32(3)(b), Article 32(3)(c) and Article 32(3)(f) of Commission Delegated Regulation (EU) 2015/61 refer to inflows resulting from secured lending and capital market-driven transactions. Credit institutions shall report in row 270 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions (disregarding whether the collateral qualifies as a liquid asset or not); and — for each Column 140, 150 and 160 total inflows from secured lending and capital market driven transactions (disregarding whether the collateral qualifies as a liquid asset or not). |
280 |
1.2.1. collateral that qualifies as a liquid asset Credit institutions shall report in row 280 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions where the collateral qualifies as a liquid asset as the sum of monies due from secured lending and capital market-driven transactions by type of collateral; — for each Column 040, 050 and 060 the total market value of collateral received in secured lending and capital market-driven transactions where the collateral qualifies as a liquid asset as the sum of the market values of collateral received in secured lending and capital market-driven transactions by type of collateral; — for each Column 110, 120 and 130 the total value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions where the collateral qualifies as a liquid asset as the sum of values of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions by type of collateral; and — for each Column 140, 150 and 160 total inflows from secured lending and capital market-driven transactions where the collateral qualifies as a liquid asset as the sum of inflows from secured lending and capital market-driven transactions by type of collateral. |
290 |
1.2.1.1. Level 1 collateral excluding extremely high quality covered bonds Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61 Level 1 collateral excluding extremely high quality covered bonds. |
300 |
1.2.1.2. Level 1 collateral which is extremely high quality covered bonds Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61 Level 1 collateral which is extremely high quality covered bonds. |
310 |
1.2.1.3. Level 2A collateral Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61 Level 2A collateral, all types. |
320 |
1.2.1.4. Level 2B asset backed securities (residential or auto) collateral Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61 Level 2B assets backed securities where the underlying assets are loans as specified in Article 13(2)(g)(i)-(iii), meeting all the relevant requirements of Article 13 of Commission Delegated Regulation (EU) 2015/61. |
330 |
1.2.1.5. Level 2B high quality covered bonds collateral Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61 Level 2B collateral which is high quality bonds. |
340 |
1.2.1.6. Level 2B asset backed securities (commercial or individuals) collateral Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61 Level 2B asset backed securities where the underlying assets are loans as specified in Article 13(2)(g)(iv-v), meeting all the relevant requirements of Article 13 of Commission Delegated Regulation (EU) 2015/61. |
350 |
1.2.1.7. Level 2B collateral not already captured in section 1.2.1.4., 1.2.1.5. or 1.2.1.6. Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61 Level 2B collateral not captured above. |
360 |
1.2.2. collateral is used to cover a short position Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61 All collateral which is used to cover a short position. Where collateral of any type is used to cover a short, this shall be reported here and not in any of the lines above. There shall be no double-counting. |
370 |
1.2.3. collateral that does not qualify as a liquid asset Credit institutions shall report in row 370 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions where the collateral does not qualify as a liquid asset as the sum of monies due from margin loans where the collateral is non-liquid, secured lending and capital market-driven transactions where the collateral is non-liquid equity and secured lending and capital market-driven transactions backed by any other non-liquid collateral; and — for each Column 140, 150 and 160 total inflows from secured lending and capital market-driven transactions where the collateral does not qualify as a liquid asset as the sum of inflows from margin loans where the collateral is non-liquid, secured lending and capital market-driven transactions where the collateral is non-liquid equity and secured lending and capital market-driven transactions backed by any other non-liquid collateral. |
380 |
1.2.3.1. margin loans: collateral is non-liquid Article 32(3)(c) of Commission Delegated Regulation (EU) 2015/61 Margin loans made against non-liquid assets where the assets received are not used to cover short positions as outlined in Article 32(3)(c) of Commission Delegated Regulation (EU) 2015/61. |
390 |
1.2.3.2. collateral is non-liquid equity Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61 Collateral is non-liquid equity. |
400 |
1.2.3.3. all other non-liquid collateral Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61 Collateral is non-liquid collateral not captured above. |
410 |
1.3. Total inflows from collateral swaps Credit institutions shall report here the sum of total inflows from collateral swaps as calculated in template C 75.00 of ANNEX XXIV. |
420 |
1.4. (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) Article 32(8) of Commission Delegated Regulation (EU) 2015/61 Institutions shall report in the relevant Column 140, 150 and 160 the sum of total weighted inflows from third countries where there are transfer restrictions or which are denominated in non-convertible currencies less the sum of total weighted outflows as reported in {C 73.00; r1380, c060} from third countries where there are transfer restrictions or which are denominated in non-convertible currencies. In case this amount is negative, institutions shall report ‘0’. |
430 |
1.5. (Excess inflows from a related specialised credit institution) Article 2(3)(e) and Article 33(6) of Commission Delegated Regulation (EU) 2015/61 Credit institutions reporting on a consolidated basis shall report in the relevant column 140, 150 or 160, the amount of the inflows arising from a related specialised credit institution referred to in Article 33 paragraph (3) and (4) of Commission Delegated Regulation (EU) 2015/61 that are in excess of the amount of outflows arising from the same undertaking. |
MEMORANDUM ITEMS |
|
440 |
2. Interdependent inflows Credit institutions shall report here as a memorandum item the interdependent inflows which have not been included in the calculation of inflows as they have been netted against the outflows. All interdependent inflows that have not been netted against outflows (excess) shall be included in the relevant row of section 1. Credit institutions shall ensure that there is no double-counting of such items with the outflows template. |
450 |
3. FX inflows This memorandum item shall only be reported in case of reporting in currencies subject to separate reporting. For significant currency reporting only, credit institutions shall report the portion of inflows from derivatives (reported in section 1.1.10.) which relate to FX principal flows in the respective significant currency from cross-currency swaps, FX spot and forward transactions maturing within the 30 day period. Netting by counterparty may only be applied to flows in that currency. |
460 |
4. Inflows within a group or an institutional protection scheme Credit institutions shall report here as memorandum items all transactions reported in section 1 (excluding section 1.1.11.) where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013. Credit institutions shall report in row 460 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of monies due/maximum amount that can be drawn within a group or an institutional protection scheme as the sum of monies due/maximum amount that can be drawn within a group or an institutional protection scheme by type of transaction and counterparty; and — for each Column 140, 150 and 160 total inflows within group or an institutional protection scheme as the sum of inflows within a group or an institutional protection scheme by type of transaction and counterparty. |
470 |
4.1. Monies due from non-financial customers (except for central banks) Credit institutions shall report here all monies due from non-financial customers reported in section 1.1.1. where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central credit institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013. |
480 |
4.2. Monies due from financial customers Credit institutions shall report here all monies due from financial customers reported in section 1.1.2. where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013. |
490 |
4.3. Secured transactions Credit institutions shall report here all monies due from secured lending and capital market driven transaction as well as the total market value of received collateral reported in section 1.2. and the value of the collateral in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 (Columns 110-130), where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013. |
500 |
4.4. Monies due from maturing securities within 30 days Credit institutions shall report here all monies due from maturing securities within 30 days reported in section 1.1.5. where the issuer is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013. |
510 |
4.5. Any other inflows within a group or an institutional protection scheme Credit institutions shall report here any other inflows within a group or an institutional protection scheme reported in section 1.1.3. to 1.1.12. (excluding section 1.1.5. and 1.1.11.) where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013. |
520 |
4.6. Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate in accordance with Article 34 of Commission Delegated Regulation (EU) 2015/61. |
REPORTING ON LIQUIDITY (PART 4: COLLATERAL SWAPS)
3. Collateral swaps
3.1. General remarks
1. Any transaction maturing within 30 days in which non-cash assets are swapped for other non-cash assets, shall be reported in this Template. Items which do not need to be completed by institutions are colored grey.
2. Collateral swaps that mature within 30 days shall lead to an outflow for the excess liquidity value of the assets borrowed compared to the liquidity value of the assets lent unless the counterparty is a central bank in which case a 0 % outflow shall apply.
3. Collateral swaps that mature within 30 days shall lead to an inflow for the excess liquidity value of the assets lent compared to the liquidity value of the assets borrowed unless the collateral obtained is re-hypothecated to cover short positions that can be extended beyond 30 days in which case a 0 % inflow shall apply.
4. For liquid assets the liquidity value is according to Article 9, for non-liquid assets the liquidity value is zero.
5. Each collateral swap transaction shall be assessed individually and the flow reported as either an outflow or an inflow (per transaction) in the corresponding row. If one trade contains multiple categories of collateral type (e.g. a basket of collateral) then for reporting it shall be split into parts corresponding with the template rows and assessed in parts.
6. In the case of a significant currency return, the reported balances shall comprise only those which are denominated in the significant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the significant currency template, with corresponding impact on the excess liquidity value.
7. Credit institutions shall report the template in the corresponding currencies in accordance with Article 4(5) of Commission Delegated Regulation (EU) 2015/61.
8. Collateralized derivatives flows within 30 days shall be reported on this Template in Columns 090-120, not in Columns 010-080.
1.2. Specific remarks
9. Institutions shall only report the Level 1, 2A and 2B assets that qualify as liquid assets in accordance with Title II. For collateral lent, this refers to assets that would qualify upon maturity as liquid assets in accordance with Title II, including general and operational requirements as defined in Articles 7 and 8 of the Commission Delegated Regulation (EU) 2015/61.
10. Where collateral meets the criteria for Level 1, 2A or 2B in Articles 10-19 of the Commission Delegated Regulation (EU) 2015/61 but does not qualify as liquid asset in accordance with Title II, including general and operational requirements as defined in Articles 7 and 8 of the Commission Delegated Regulation (EU) 2015/61, it shall be reported as non-liquid. Similarly, where an institution may only recognize part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognizable part shall be reported within the Levels 1, 2A and 2B rows (refer to Article 12(1)(c)(i) to (iii) and Article 10(1)(d)). Where the particular asset is used as collateral but in an amount which is surplus to the portion which can be recognised within liquid assets, the surplus amount shall be reported in the non-liquid section.
11. Collateral Swaps involving Level 2A assets shall be reported in the corresponding L2A asset row, even if the Alternative Liquidity Approach is being followed (i.e. do not move L2A to L1 in the collateral swaps reporting).
Collateral swaps sub template
Instructions concerning specific columns
Column |
Legal references and instructions |
010 |
Market value of collateral lent The market value of the collateral lent shall be reported in Column 010. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges [Article 8(5)]. |
020 |
Liquidity value of collateral lent The liquidity value of the collateral lent shall be reported in Column 020. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut. The weight used shall have a relationship with the weight/haircut applied to the corresponding asset type in Template C 72.00 of Annex XXIV. The weight used is to be determined by the institution but institutions shall be guided by the minimum standard weights in Title II for the respective asset. |
030 |
Market value of collateral borrowed The market value of the collateral borrowed shall be reported in Column 030. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges [Article 8(5)]. |
040 |
Liquidity value of collateral borrowed The liquidity value of the collateral borrowed shall be reported in Column 040. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut. The weight used shall have a relationship with the weight/haircut applied to the corresponding asset type in Template C 72.00 of Annex XXIV. The weight used is to be determined by the institution but institutions shall be guided by the minimum standard weights in Title II for the respective asset. |
050 |
Outflows Where column 040 is greater than column 020 (per transaction), the difference shall be reported in column 050 (outflows), unless the counterparty is a central bank in which case zero outflow shall be reported. |
060 |
Inflows subject to the 75 % cap on inflows Where column 020 is greater than column 040 (per transaction), the difference shall be reported in column 060/070/080 (inflows) unless the collateral obtained is re-hypothecated to cover short positions that can be extended beyond 30 days in which case zero inflow shall be reported. Column 060 shall be used where the transaction is subject to the 75 % cap on inflows. |
070 |
Inflows subject to the 90 % cap on inflows Where column 020 is greater than column 040 (per transaction), the difference shall be reported in column 060/070/080 (inflows) unless the collateral obtained is re-hypothecated to cover short positions that can be extended beyond 30 days in which case zero inflow shall be reported. Column 070 shall be used where the transaction is subject to the 90 % cap on inflows. |
080 |
Inflows exempted from the cap on inflows Where column 020 is greater than column 040 (per transaction), the difference shall be reported in column 060/070/080 (inflows) unless the collateral obtained is re-hypothecated to cover short positions that can be extended beyond 30 days in which case zero inflow shall be reported. Column 080 shall be used where the transaction is exempt from the cap on inflows. |
090 |
Collateralised derivatives only: Market value of collateral lent The market value of the collateral lent shall be reported in Column 090. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges [Article 8(5)]. |
100 |
Collateralised derivatives only: Liquidity value of collateral lent The liquidity value of the collateral lent shall be reported in Column 100. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut. The weight used shall have a relationship with the weight/haircut applied to the corresponding asset type in Template C 72.00 of Annex XXIV. The weight used is to be determined by the institution but institutions shall be guided by the minimum standard weights in Title II for the respective asset. |
110 |
Collateralised derivatives only: Market value of collateral borrowed The market value of the collateral borrowed shall be reported in Column 110. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges [Article 8(5)]. |
120 |
Collateralised derivatives only: Liquidity value of collateral borrowed The liquidity value of the collateral borrowed shall be reported in Column 120. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut. The weight used shall have a relationship with the weight/haircut applied to the corresponding asset type in Template C 72.00 of Annex XXIV. The weight used is to be determined by the institution but institutions shall be guided by the minimum standard weights in Title II for the respective asset. |
Instructions concerning specific rows
Row |
Legal references and instructions |
010 |
1. TOTAL COLLATERAL SWAPS & COLLATERALISED DERIVATIVES Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives. |
020 |
1.1. Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent. |
030 |
1.1.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
040 |
1.1.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed). |
050 |
1.1.3. Level 2A assets Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2A assets (borrowed). |
060 |
1.1.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
070 |
1.1.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B high quality covered bonds (borrowed). |
080 |
1.1.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
090 |
1.1.7. Other Level 2B Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Other Level 2B (borrowed). |
100 |
1.1.8. Non-liquid assets Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Non-liquid assets (borrowed). |
110 |
1.2. Totals for transactions in which Level 1 extremely high quality covered bonds are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 1 extremely high quality covered bonds are lent. |
120 |
1.2.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
130 |
1.2.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed). |
140 |
1.2.3. Level 2A assets Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2A assets (borrowed). |
150 |
1.2.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
160 |
1.2.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B high quality covered bonds (borrowed). |
170 |
1.2.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
180 |
1.2.7. Other Level 2B Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Other Level 2B (borrowed). |
190 |
1.2.8. Non-liquid assets Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Non-liquid assets (borrowed). |
200 |
1.3. Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 2A assets are lent. |
210 |
1.3.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
220 |
1.3.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 extremely high quality covered bonds (borrowed). |
230 |
1.3.3. Level 2A assets Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2A assets (borrowed). |
240 |
1.3.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
250 |
1.3.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B high quality covered bonds (borrowed). |
260 |
1.3.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
270 |
1.3.7. Other Level 2B Such transactions in which the institution has swapped Level 2A assets (lent) for Other Level 2B (borrowed). |
280 |
1.3.8. Non-liquid assets Such transactions in which the institution has swapped Level 2A assets (lent) for Non-liquid assets (borrowed). |
290 |
1.4. Totals for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are lent. |
300 |
1.4.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
310 |
1.4.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed). |
320 |
1.4.3. Level 2A assets Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2A assets (borrowed). |
330 |
1.4.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
340 |
1.4.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B high quality covered bonds (borrowed). |
350 |
1.4.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
360 |
1.4.7. Other Level 2B Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Other Level 2B (borrowed). |
370 |
1.4.8. Non-liquid assets Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Non-liquid assets (borrowed). |
380 |
1.5. Totals for transactions in which Level 2B high quality covered bonds are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 2B high quality covered bonds are lent. |
390 |
1.5.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
400 |
1.5.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed). |
410 |
1.5.3. Level 2A assets Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2A assets (borrowed). |
420 |
1.5.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
430 |
1.5.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B high quality covered bonds (borrowed). |
440 |
1.5.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
450 |
1.5.7. Other Level 2B Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Other Level 2B (borrowed). |
460 |
1.5.8. Non-liquid assets Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Non-liquid assets (borrowed). |
470 |
1.6. Totals for transactions in which Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) are lent. |
480 |
1.6.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
490 |
1.6.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed). |
500 |
1.6.3. Level 2A assets Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2A assets (borrowed). |
510 |
1.6.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
520 |
1.6.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B high quality covered bonds (borrowed). |
530 |
1.6.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
540 |
1.6.7. Other Level 2B Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Other Level 2B (borrowed). |
550 |
1.6.8. Non-liquid assets Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Non-liquid assets (borrowed). |
560 |
1.7. Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Other Level 2B assets are lent. |
570 |
1.7.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
580 |
1.7.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 extremely high quality covered bonds (borrowed). |
590 |
1.7.3. Level 2A assets Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2A assets (borrowed). |
600 |
1.7.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
610 |
1.7.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B high quality covered bonds (borrowed). |
620 |
1.7.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
630 |
1.7.7. Other Level 2B Such transactions in which the institution has swapped Other Level 2B (lent) for Other Level 2B (borrowed). |
640 |
1.7.8. Non-liquid assets Such transactions in which the institution has swapped Other Level 2B (lent) for Non-liquid assets (borrowed). |
650 |
1.8. Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Non-liquid assets are lent. |
660 |
1.8.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
670 |
1.8.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 extremely high quality covered bonds (borrowed). |
680 |
1.8.3. Level 2A assets Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2A assets (borrowed). |
690 |
1.8.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
700 |
1.8.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B high quality covered bonds (borrowed). |
710 |
1.8.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
720 |
1.8.7. Other Level 2B Such transactions in which the institution has swapped Non-liquid assets (lent) for Other Level 2B (borrowed). |
730 |
1.8.8. Non-liquid assets Such transactions in which the institution has swapped Non-liquid assets (lent) for Non-liquid assets (borrowed). |
MEMORANDUM ITEMS |
|
740 |
2. Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions Institutions shall report here the total collateral swaps (all counterparties) reported in the above lines where borrowed collateral has been used to cover short positions where a 0 % outflow rate has been applied. |
750 |
3. Total collateral swaps with intragroup counterparties Institutions shall report here the total collateral swaps reported in the above lines that are with intragroup counterparties. |
760 |
4. Total collateral swaps with central bank counterparties Institutions shall report here the total collateral swaps with central bank counterparties reported in the above lines a 0 % outflow rate has been applied. |
REPORTING ON LIQUIDITY (PART 5: CALCULATIONS)
4. Calculations
4.1. General remarks
This is a summary template which contains information about calculations for the purpose of reporting the liquidity coverage requirement as specified in Commission Delegated Regulation (EU) 2015/61. Items which do not need to be completed by institutions are coloured grey.
4.2. Specific remarks
Cell references are given in the format: template; row; column. For example, {C 72.00; r130; c040} refers to Liquid Assets template; row 130; column 040.
Calculations sub template
Instructions concerning specific rows
Row |
Legal references and instructions |
CALCULATIONS |
|
Numerator, Denominator, Ratio Article 4 of Commission Delegated Regulation (EU) 2015/61 The Liquidity Coverage Ratio numerator, denominator and ratio. Enter all below data into column 010 of given row. |
|
010 |
1. Liquidity Buffer Report figure from {C 76.00; r290; c010}. |
020 |
2. Net Liquidity Outflow Report figure from {C 76.00; r370; c010}. |
030 |
3. Liquidity Coverage Ratio (%) Report the liquidity coverage ratio calculated as specified in Article 4(1) of Commission Delegated Regulation (EU) 2015/61. The liquidity coverage ratio shall be equal to the ratio of a credit institution's liquidity buffer to its net liquidity outflows over a 30 calendar day stress period and shall be expressed as a percentage. If {C 76.00; r020; c010} is zero (causing a ratio of infinity) then report the value 999999. |
Numerator calculations Article 17 and ANNEX I of Commission Delegated Regulation (EU) 2015/61 Formula for the calculation of the Liquidity Buffer. Enter all below data into column 010 of given row. |
|
040 |
4. L1 excl. EHQCB liquidity buffer (value according to Article 9): unadjusted Report figure from {C 72.00; r030; c040}. |
050 |
5. L1 excl. EHQCB collateral 30 day outflows Report outflows of Level 1 (excluding extremely high quality covered bonds) liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date. |
060 |
6. L1 excl. EHQCB collateral 30 day inflows Report inflows of Level 1 (excluding extremely high quality covered bonds) liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date. |
070 |
7. Secured cash outflows Report outflows of cash (a Level 1 asset) upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date. |
080 |
8. Secured cash inflows Report inflows of cash (a Level 1 asset) upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date. |
090 |
9. L1 excl. EHQCB ‘adjusted amount before cap application’ This is referred to as (a) in Annex I (5) Report the adjusted non-covered bond level 1 asset amount before cap application. The adjusted amount takes into account the unwind of secured funding transactions, secured lending transactions, asset exchanges or collateralised derivatives transactions that mature within 30 calendar days from the reference date. |
100 |
10. L1 EHQCB value according to Article 9: unadjusted Report figure from {C 72.00; r180; c040}. |
110 |
11. L1 EHQCB collateral 30 day outflows Report outflows of Level 1 extremely high quality covered bonds upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date. |
120 |
12. L1 EHQCB collateral 30 day inflows Report inflows of Level 1 extremely high quality covered bonds upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date. |
130 |
13. L1 EHQCB ‘adjusted amount before cap application’ This is referred to as (b) in Annex I (5) Report the adjusted covered bond level 1 asset amount before cap application. The adjusted amount takes into account the unwind of secured funding transactions, secured lending transactions, asset exchanges or collateralised derivatives transactions that mature within 30 calendar days from the reference date. |
140 |
14. L1 EHQCB ‘adjusted amount after cap application’ This is referred to as (b′) in Annex I (5) Report b′ (the adjusted covered bond level 1asset amount after cap application) = MIN(b, a70/30) where b = the adjusted covered bond level 1 asset amount before cap application. |
150 |
15. L1 EHQCB ‘excess liquid assets amount’ Report the difference between b and b′. b and b′ as referred to in Annex I (5) |
160 |
16. L2A value according to Article 9: unadjusted Report figure from {C 72.00; r230; c040}. |
170 |
17. L2A collateral 30 day outflows Report outflows of Level 2A liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date. |
180 |
18. L2A collateral 30 day inflows Report inflows of Level 2A liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date. |
190 |
19. L2A ‘adjusted amount before cap application’ This is referred to as (c) in Annex I (5) Report the adjusted level 2A asset amount before cap application. The adjusted amount takes into account the unwind of secured funding transactions, secured lending transactions, asset exchanges or collateralised derivatives transactions that mature within 30 calendar days from the calculation date. |
200 |
20. L2A ‘adjusted amount after cap application’ This is referred to as (c′) in Annex I (5) Report c′ (the adjusted level 2A asset amount after cap application) = MIN(c, (a+b′)40/60, MAX(a70/30-b′, 0)) where c = the adjusted level 2A asset amount before cap application. |
210 |
21. L2A ‘excess liquid assets amount’ Report the difference between c and c′. c and c′ as referred to in Annex I (5). |
220 |
22. L2B value according to Article 9: unadjusted Report figure from {C 72.00; r310; c040}. |
230 |
23. L2B collateral 30 day outflows Report outflows of Level 2B liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date. |
240 |
24. L2B collateral 30 day inflows Report inflows of Level 2B liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date. |
250 |
25. L2B ‘adjusted amount before cap application’ This is referred to as (d) in Annex I (5) Report the adjusted level 2B asset amount before cap application. The adjusted amount takes into account the unwind of secured funding transactions, secured lending transactions, asset exchanges or collateralised derivatives transactions that mature within 30 calendar days from the calculation date. |
260 |
26. L2B ‘adjusted amount after cap application’ This is referred to as (d′) in Annex I (5) Report d′ (the adjusted level 2B asset amount after cap application) = MIN (d, (a+b′+c′)15/85, MAX((a+b′)40/60-c′,0), MAX(70/30a-b′-c′,0)) Where d = the adjusted level 2B asset amount before cap application). |
270 |
27. L2B ‘excess liquid assets amount’ Report the difference between d and d′. d and d′ as referred to in Annex I (5). |
280 |
28. Excess liquid asset amount Annex I(4) Report the ‘excess liquid assets amount’: this amount shall be equal to: (a) the adjusted non-covered bond level 1 asset amount; plus (b) the adjusted level 1 covered bond amount; plus (c) the adjusted level 2A asset amount; plus (d) the adjusted level 2B asset amount; minus the lesser of: (e) the sum of (a),(b),(c) and (d); (f) 100/30 times (a); (g) 100/60 times the sum of (a) and (b); (h) 100/85 times the sum of (a), (b) and (c). |
290 |
29. Liquidity buffer Annex I (2) Report the liquidity buffer which shall be equal to: (a) the level 1 asset amount; plus (b) the level 2A asset amount; plus (c) the level 2B asset amount; minus the lesser of: (d) the sum of (a), (b), and (c); or (e) the ‘excess liquid assets amount’. |
Denominator calculations ANNEX II of Commission Delegated Regulation (EU) 2015/61 Formula for the calculation of the net liquidity outflow Where, NLO = Net liquidity outflow TO = Total outflows TI = Total inflows FEI = Fully exempted inflows IHC = Inflows subject to higher cap of 90 % outflows IC = Inflows subject to cap of 75 % of outflows Enter all below data in to column 010 of given row |
|
300 |
30. Total Outflows TO = from Outflow sheet Report figure from {C 73.00; r010; c060}. |
310 |
31. Fully Exempt Inflows FEI = from Inflows sheet Report figure from {C 74.00; r010; c160}. |
320 |
32. Inflows Subject to 90 % Cap IHC = from Inflows sheet Report figure from {C 74.00; r010; c150}. |
330 |
33. Inflows Subject to 75 % Cap IC = from Inflows & Collateral swaps sheets Report figure from {C 74.00; r010; c140}. |
340 |
34. Reduction for Fully Exempt Inflows Report the following part of the NLO calculation: = MIN (FEI, TO). |
350 |
35. Reduction for Inflows Subject to 90 % Cap Report the following part of the NLO calculation: = MIN (IHC, 0.9*MAX(TO-FEI, 0)). |
360 |
36. Reduction for Inflows Subject to 75 % Cap Report the following part of the NLO calculation: = MIN (IC, 0.75*MAX(TO-FEI-IHC/0.9, 0)). |
370 |
37. Net liquidity outflow Report the net liquidity outflow which equals total outflows less the reduction for fully exempt inflows less the reduction for inflows subject to the 90 % cap less the reduction for inflows subject to the 75 % cap. NLO = TO – MIN(FEI, TO) – MIN(IHC, 0.9*MAX(TO-FEI, 0)) – MIN(IC, 0.75*MAX(T0-FEI-IHC/0.9,0)) |
Pillar 2 |
|
380 |
38. Pillar 2 requirement as set out in Article 105 CRD Report the Pillar 2 requirement. |
( 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).
( 2 ) Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (OJ L 372, 31.12.1986, p. 1).
( 3 ) The data requested to the institutions in this template shall be reported on an accumulated basis for the natural year or report (i.e. since 1st of January of the current year).
( 4 ) ‘Stand alone institutions’ are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements.
( 5 ) 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)
( 6 ) Regulation (EC) No 1071/2013 of the European Central Bank of 24 September 2013 concerning the balance sheet of monetary financial institutions sector (recast) (ECB/2013/33) (OJ L 297, 7.11.2013, p. 1).
( 7 ) Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains (OJ L 393, 30.12.2006, p. 1).
( 8 ) Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (OJ L 372, 31.12.1986, p. 1).
( 9 ) Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 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)
( 10 ) Commission Recommendation of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises (C(2003)1422) (OJ L 124, 20.5.2003, p. 36).
( 11 ) This includes securitisations and equity exposures subject to credit risk