Template number

Template code

Name of the template or group of templates

Short name

ENTITY INFORMATION, GROUP STRUCTURE AND DEPENDENCIES

1

Z 01.00

Organisational structure

ORG

INFORMATION ON ON- AND OFF-BALANCE SHEET ITEMS

2

Z 02.00

Liability Structure

LIAB

3

Z 03.00

Own funds requirements

OWN

4

Z 04.00

Intragroup financial interconnections

IFC

5,1

Z 05.01

Major counterparties (Liabilities)

MCP 1

5,2

Z 05.02

Major counterparties (off-balance sheet)

MCP 2

6

Z 06.00

Deposit insurance

DIS

CORE BUSINESS LINES, CRITICAL FUNCTIONS AND RELATED INFORMATION SYSTEMS AND FINANCIAL MARKET INFRASTRUCTURES

Critical functions and core business lines

7,1

Z 07.01

Criticality assessment of economic functions

FUNC 1

7,2

Z 07.02

Mapping of critical functions to legal entities

FUNC 2

7,3

Z 07.03

Mapping of core business lines to legal entities

FUNC 3

7,4

Z 07.04

Mapping of critical functions to core business lines

FUNC 4

8

Z 08.00

Critical services

SERV

FMI services - providers and users

9

Z 09.00

FMI Services - Providers and Users - Mapping to Critical Functions (FMI)

FMI 1

Information systems

10,1

Z 10.01

Critical Information systems (General information)

CIS 1

10,2

Z 10.02

Mapping of information systems

CIS 2

Entity

Direct Parent

Name

Code

LEI code

Entity type

Country

Included in prudential consolidation

Art 7 CRR Waiver

Art 10 CRR waiver

Total assets

Total Risk Exposure Amount

Leverage ratio exposure

Accounting standard

Contribution to total consolidated assets

Contribution to total consolidated risk exposure amount

Contribution to consolidated Leverage Ratio Exposure

Relevant legal entity

Name

Code

LEI code

Share Capital

Voting rights in the entity

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

Counterparty

TOTAL

Households

Non-financial corporations (SMEs)

Non-financial corporations (non-SMEs)

Credit institutions

Other financial corporations

General governments & Central banks

Non identified, listed on a trading venue

Non identified, not listed on a trading venue

of which: intragroup

of which: liabilities governed by the law of a third-country, excluding intragroup

Row

Item

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0100

LIABILITIES EXCLUDED FROM BAIL-IN

0110

Covered deposits

0120

Secured liabilities - collateralised part

0130

Client liabilities, if protected in insolvency

0140

Fiduciary liabilities, if protected in insolvency

0150

Institution liabilities < 7 days

0161

System (operator) and CCP liabilities < 7 days

0170

Employee liabilities

0180

Liabilities critical to operational daily functioning

0190

Tax and social security authorities liabilities, if preferred

0200

DGS liabilities

0210

Liabilities towards other entities of the resolution group

0300

LIABILITIES NOT EXCLUDED FROM BAIL-IN

0310

Deposits, not covered but preferential

0311

of which: residual maturity <= 1 month

0312

of which: residual maturity > 1 month < 1 year

0313

of which: residual maturity >= 1 year and < 2 years

0314

of which: residual maturity >= 2 years

0320

Deposits, not covered and not preferential

0321

of which: residual maturity <= 1 month

0322

of which: residual maturity > 1 month < 1 year

0323

of which: residual maturity >= 1 year and < 2 years

0324

of which: residual maturity >= 2 years

0330

Balance sheet liabilities arising from derivatives

0331

Sum of net liability positions taking into account contractual netting sets, after mark-to-market adjustments, prior to collateral offset

0332

Sum of net liability positions taking into account contractual netting sets, after mark-to-market adjustments, post collateral offset

0333

Sum of net liability positions taking into account contractual netting sets, after mark-to-market adjustments, post collateral offset, incorporating estimated close-out amounts

0334

Sum of net liability positions taking into account prudential netting rules

0340

Uncollateralised secured liabilities

0341

of which: residual maturity <= 1 month

0342

of which: residual maturity > 1 month < 1 year

0343

of which: residual maturity >= 1 year and < 2 years

0344

of which: residual maturity >= 2 years

0350

Structured notes

0351

of which: residual maturity <= 1 month

0352

of which: residual maturity > 1 month < 1 year

0353

of which: residual maturity >= 1 year and < 2 years

0354

of which: residual maturity >= 2 years

0360

Senior unsecured liabilities

0361

of which: residual maturity <= 1 month

0362

of which: residual maturity > 1 month < 1 year

0363

of which: residual maturity >= 1 year and < 2 years

0364

of which: residual maturity >= 2 years

0365

Senior non-preferred liabilities

0366

of which: residual maturity <= 1 month

0367

of which: residual maturity > 1 month < 1 year

0368

of which: residual maturity >= 1 year and < 2 years

0369

of which: residual maturity >= 2 years

0370

Subordinated liabilities (not recognised as own funds)

0371

of which: residual maturity <= 1 month

0372

of which: residual maturity > 1 month < 1 year

0373

of which: residual maturity >= 1 year and < 2 years

0374

of which: residual maturity >= 2 years

0380

Other MREL eligible liabilities

0381

of which: residual maturity >= 1 year and < 2 years

0382

of which: residual maturity >= 2 years

0390

Non-financial liabilities

0400

Residual liabilities

0500

OWN FUNDS

0510

Common Equity Tier 1 Capital

0511

of which: capital instruments/share capital

0512

of which: instruments ranking pari passu with ordinary shares

0520

Additional Tier 1 capital

0521

of which: (part of) subordinated liabilities recognised as own funds

0530

Tier 2 Capital

0531

of which: (part of) subordinated liabilities recognised as own funds

0600

TOTAL LIABILITIES & OWN FUNDS INCLUDING DERIVATIVE LIABILITIES

Amount or Percentage

0010

0100

TOTAL RISK EXPOSURE AMOUNT

0110

Contribution to total consolidated risk exposure amount

0120

Total Exposure Measure

INITIAL CAPITAL AND LEVERAGE RATIO REQUIREMENT

0210

Initial capital

0220

Leverage Ratio Requirement

0300

TOTAL SREP CAPITAL REQUIREMENT (TSCR) RATIO

0310

TSCR: to be made up of CET1 capital

0320

TSCR: to be made up of Tier 1 capital

0400

COMBINED BUFFER REQUIREMENTS

0410

Capital Conservation Buffer

0420

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

0430

Institution-Specific Countercyclical Capital Buffer

0440

Systemic Risk Buffer

0450

Global Systemically Important Institution Buffer

0460

Other Systemically Important Institution Buffer

0500

Overall capital requirement (OCR) ratio

0510

OCR: to be made up of CET1 capital

0520

OCR: to be made up of Tier 1 capital

0600

OCR and Pillar 2 Guidance (P2G)

0610

OCR and P2G: to be made up of CET1 capital

0620

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

Issuer or guaranteed entity

Creditor, holder or guarantee provider

Financial interconnection

Entity name

Code

Entity name

Code

Type

Outstanding amount

of which issued under 3rd ctry law

of which MREL eligible

0010

0020

0030

0040

0050

0060

0070

0080

Counterparty

Type

Outstanding amount

Entity name

Code

Group or individual

Country

Sector

0010

0020

0030

0040

0050

0060

0070

Counterparty

Type

Amount

Entity name

Code

Group or individual

Country

Sector

0010

0020

0030

0040

0050

0060

0070

Legal Entity

DGS Membership

Institutional Protection Scheme

Additional protection under contractual scheme

Entity name

Code

DGS

Amount of covered deposits

0010

0020

0030

0040

0050

0060

Country:

Row

Economic functions

Quantitative Data

Criticality Assessment

ID

Economic function

Description of economic function

Market share

Monetary amount

Numeric indicator

Impact on market

Substitutability

Critical Function

0010

0020

0030

0040

0050

0060

0070

1

Deposits

0010

1,1

Households

0020

1,2

Non-financial corporations - SMEs

0030

1,3

Non-financial corporations - non-SMEs

0040

1,4

General Governments

0050

1,5

Other sectors/counterparties (1)

0060

1,6

Other sectors/counterparties (2)

0070

1,7

Other sectors/counterparties (2)

2

Lending

0080

2,1

Households - lending for house purchase

0090

2,2

Households - other lending

0100

2,3

Non-financial corporations - SMEs

0110

2,4

Non-financial corporations - non-SMEs

0120

2,5

General Governments

0130

2,6

Other sectors/counterparties (1)

0140

2,7

Other sectors/counterparties (2)

0150

2,8

Other sectors/counterparties (3)

3

Payments, Cash, Settlement, Clearing, Custody services

0160

3,1

Payment services to MFIs

0170

3,2

Payment services to non-MFIs

0180

3,3

Cash services

0190

3,4

Securities settlement services

0200

3,5

CCP clearing services

0210

3,6

Custody services

0220

3,7

Other services/activities/functions (1)

0230

3,8

Other services/activities/functions (2)

0240

3,9

Other services/activities/functions (3)

4

Capital Markets

0250

4,1

Derivatives held for trading - OTC

0260

4,2

Derivatives held for trading - non-OTC

0270

4,3

Secondary markets/trading (held-for-trading only)

0280

4,4

Primary Markets/underwriting

0290

4,5

Other services/activities/functions (1)

0300

4,6

Other services/activities/functions (2)

0310

4,7

Other services/activities/functions (3)

5

Wholesale Funding

0320

5,1

Borrowing

0330

5,2

Derivatives (assets)

0340

5,3

Lending

0350

5,4

Derivatives (liabilities)

0360

5,5

Other product types (1)

0370

5,6

Other product types (2)

0380

5.7

Other product types (3)

Critical functions

Legal entity

Monetary importance

Country

ID

Entity name

Code

Monetary amount

0010

0020

0030

0040

0050

Core business line

Legal entity

Core business line

Business Line ID

Description

Entity name

Code

0010

0020

0030

0040

0050

Critical functions

Core business line

Country

Function ID

Core business line

Business Line ID

0010

0020

0030

0040

Identifier

Service type

Service recipient

Service provider

Critical function

Estimated time for substitutability

Estimated time for access to contracts

Governing law

Resolution-proof contract

Entity Name

Code

Entity Name

Code

Part of the group

Country

ID

0005

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

User

Critical function

Provider

Governing law

Entity Name

Code

Country

ID

Financial Market Infrastructure (FMI)

Participation mode

Intermediary

Service Description

System Type

Name

FMI Code

Name

Code

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

Critical information system

Group Entity Responsible for the System

System Identification Code

Name

Type

Description

Entity Name

Code

0010

0020

0030

0040

0050

0060

System Identification Code

Group Entity user of the System

Critical service

Critical function

Entity Name

Code

Identifier

Country

ID

0010

0020

0030

0040

0050

0060

Columns

Instructions

0010-0160

Entity

0010

Name

Name of the entity. Official name as it appears in corporate acts, including the indication of the legal form.

0020

Code

Code of the entity. For institutions, the code shall be the 20-digit, alphanumeric LEI code. For other entities the code shall be the 20-digit, alphanumeric LEI code or, if not available, a code under a uniform codification applicable in the Union or, if not available, a national code.

The code shall be unique and used consistently across the templates. The code shall always have a value.

0030

LEI code

20-digit, alphanumeric LEI code of the entity, where available.

0040

Entity Type

The entity type, by sequential order of priority, shall be one of the following:

a)  ‘Credit institution’

This category shall cover credit institutions as defined in Article 4(1), point (1), of Regulation (EU) No 575/2013, not including the entities referred to in Article 2(5) of Directive 2013/36/EU of the European Parliament and of the Council (1);

b)  ‘Investment firm subject to the initial capital requirement laid down in Article 28(2) of Directive 2013/36/EU’

This category shall cover investment firms as defined in Article 4(1), point (2), of Regulation (EU) No 575/2013 that are subject to the initial capital requirement laid down in Article 28(2) of Directive 2013/36/EU.

c)  ‘Investment firm not subject to the initial capital requirement laid down in Article 28(2) of Directive 2013/36/EU’

d)  ‘Financial institution’

This category shall cover financial institutions as defined in Article 4(1), point (26), of Regulation (EU) No 575/2013, other than those classified as ‘holding company’ as described in point (e).

e)  ‘Holding company’

This category shall cover any of the following:

f)  ‘Insurance undertaking’

This category shall cover insurance undertakings as defined in Article 13 of Directive 2009/138/EC of the European Parliament and of the Council (2).

g)  ‘Other entity type’, where the entity is not captured by any of the above mentioned categories.

0050

Country

The ISO 3166-1-alpha-2 code of the country of incorporation of the entity, which may be a Member State or a third country.

0060

Included in the Prudential Perimeter

Report the following abbreviations:

0070

Article 7 CRR Waiver

Report the following abbreviations:

0080

Article 10 CRR Waiver

Report the following abbreviations:

0090

Total assets

Total assets as defined for FINREP: {F 01.01;380,010}

0100

Total Risk Exposure amount

Total risk exposure amount as defined for COREP (OF): {C 02.00;0010;0010}

This item shall not be reported for entities that are not institutions and entities benefitting from a waiver in accordance with Article 7 or Article 10 of Regulation (EU) No 575/2013.

0110

Leverage ratio exposure

Total leverage ratio exposure as defined for COREP (LR): {C 47.00;0290;0010}

This item shall not be reported for entities that are not institutions and entities benefitting from a waiver in accordance with Article 7 or Article 10 of Regulation (EU) No 575/2013.

0120

Accounting standard

Accounting standards applied by the entity. Report the following abbreviations:

0130

Contribution to total consolidated assets

The amount that the entity contributes to the total consolidated assets of the group the report refers to.

0140

Contribution to total consolidated risk exposure amount

The amount that the entity contributes to the total consolidated risk exposure amount of the group the report refers to.

0150

Contribution to consolidated leverage ratio exposure

The amount that the entity contributes to the total consolidated leverage ratio exposure of the group the report refers to.

0160

Relevant legal entity

Whether the entity constitutes a relevant legal entity pursuant to the definition in Article 2 of this Regulation.

0170-0210

Direct parent

Direct parent of the entity. Only a direct parent that has more than 5 % of voting rights in the entity shall be reported.

If an entity has more than one direct parent, only the direct parent with the highest capital share – or voting share, if relevant – shall be reported.

0170

Name

Name of the direct parent of the entity.

0180

Code

The code of the direct parent. For institutions the code shall be the 20-digit, alphanumeric LEI code. For other entities the code shall be the 20-digit, alphanumeric LEI code or, if not available, a code under a uniform codification applicable in the Union or, if not available, a national code.

The code shall be unique and used consistently across the templates. The code shall always have a value.

0190

LEI code

20-digit, alphanumeric LEI code of the entity, where available.

0200

Share capital

Amount of share capital held by the direct parent in the entity, excluding reserves.

0210

Voting rights in the Entity

Percentage of voting rights held by the direct parent in the entity.

This information is only required if one share is not equal to one vote (hence voting rights are not equal to share capital).

Columns

Instructions

0010

Households

FINREP, Annex V, Part 1, paragraph 42, point (f)

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 and which are principally engaged in the production of non-market goods and services intended for particular groups of households shall be included.

0020

Non-financial corporations (SMEs)

Annex, Title I, Article 2.1, of Commission Recommendation of 6 May 2003 (1); FINREP, Annex V, Part 1, paragraph 5, point (i)

Enterprises which employ fewer than 250 persons and which have an annual turnover not exceeding EUR 50 million, and/or an annual balance sheet total not exceeding EUR 43 million.

0030

Non-financial corporations (non-SMEs)

FINREP, Annex V, Part 1, paragraph 42, point (e)

Corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services under Regulation (EU) 2021/379 of the European Central Bank (2).

Excludes ‘SMEs’ reported in column 0020.

0040

Credit institutions

FINREP, Annex V, Part 1, paragraph 42, point (c)

Credit institutions within the meaning of Article 4(1), point (1), of Regulation (EU) No 575/2013 and multilateral development banks.

0050

Other financial corporations

FINREP, Annex V, Part 1, paragraph 42, point (d)

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.

0060

General governments & Central banks

FINREP, Annex V, Part 1, paragraph 42, points (a) and (b)

Central banks and central governments, state or regional governments, and local governments, including administrative bodies and non-commercial undertakings, but excluding public and private companies that are held by those administrations and carry out 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 the European Union, the International Monetary Fund and the Bank for International Settlements.

0070

Non-identified, listed on a trading venue

Where the identity of the holder of a security is not known due to the instruments being listed on a trading venue, as defined under Directive 2014/65/EU of the European Parliament and of the Council (3), the amounts shall be attributed to this column.

0080

Non-identified, not listed on a trading venue

Where the identity of the holder of a security is not known, without the instruments being listed on a trading venue, the amounts shall be attributed to this column and no further counterparty breakdown is required. Entities shall dedicate their best efforts to identify counterparties and limit the use of this column to a minimum.

0090

Total

0100

Of which: intragroup

Liabilities towards entities included in the consolidated financial statements of the ultimate parent entity (as opposed to the regulatory scope of consolidation).

0110

Of which: liabilities governed by the law of a third country, excluding intragroup

These shall include the gross amounts of liabilities governed by the law of a third-country and/or issued by group entities established in third-countries. Intragroup liabilities shall be excluded.

Where the resolution authority has confirmed that it is satisfied, pursuant to Article 55(1), third subparagraph, of Directive 2014/59/EU of the European Parliament and of the Council (4), that any decision of a resolution authority to write down or convert a liability would be effective under the law of that third country, that liability shall not be reported in this column.

Rows

Instructions

0100

Liabilities excluded from bail-in

Article 44(2) of Directive 2014/59/EU states that resolution authorities shall not exercise the write down or conversion powers in relation to liabilities excluded from bail-in, whether they are governed by the law of a Member State or of a third country.

0110

Covered deposits

The amount of covered deposits as defined in Article 2(1), point (5), of Directive 2014/49/EU of the European Parliament and of the Council (1), with the exclusion of temporary high balances as defined in Article 6(2) of that Directive.

0120

Secured liabilities – collateralised part

Article 44(2), point (b), of Directive 2014/59/EU

Secured liabilities including repurchase agreements (repos), covered bonds and liabilities in the form of financial instruments which form an integral part of the cover pool and which according to national law are secured in a way similar to covered bonds.

Neither the requirement to ensure that all secured assets relating to a covered bond cover pool remain unaffected, segregated and with enough funding, nor the exclusion provided for in Article 44(2), point (b), of Directive 2014/59/EU shall prevent resolution authorities, where appropriate, from exercising those powers in relation to any part of a secured liability or a liability for which collateral has been pledged that exceeds the value of the assets, pledge, lien or collateral against which it is secured. Such an uncovered amount of these secured liabilities shall not be reported in this row, but reported in row 0340, subject to additional breakdown.

Central Bank liabilities which are covered by a collateral pool (for example main refinancing operations, long term refinancing operation, target longer-term refinancing operations, etc.) shall be regarded as secured liabilities.

A specific type of liabilities are collateral positions received and recorded on the balance sheet. Where such collateral positions are legally bound with an asset position, these shall be treated as secured liabilities for the purpose of this report.

0130

Client liabilities, if protected in insolvency

Article 44(2), point (c), of Directive 2014/59/EU

Any liability that arises by virtue of the holding by the institution or entity, referred to in Article 1(1), point (b), (c) or (d), of Directive 2014/59/EU, of client assets or client money including client assets or client money held on behalf of UCITS as defined in Article 1(2) of Directive 2009/65/EC of the European Parliament and of the Council (2), or of AIFs as defined in Article 4(1), point (a), of Directive 2011/61/EU of the European Parliament and of the Council (3), provided that such a client is protected under the applicable insolvency law.

0140

Fiduciary liabilities, if protected in insolvency

Article 44(2), point (d), of Directive 2014/59/EU

Any liability that arises by virtue of a fiduciary relationship between the institution or entity referred to in Article 1(1), point (b), (c) or (d), of Directive 2014/59/EU (as fiduciary) and another person (as beneficiary), provided that such a beneficiary is protected under the applicable insolvency or civil law.

0150

Institution liabilities < 7 days

Article 44(2), point (e), of Directive 2014/59/EU

Liabilities to institutions, excluding entities that are part of the same accounting group, with an original maturity of less than seven days.

0161

System (operator) and CCP liabilities < 7 days

Article 44(2), point (f), of Directive 2014/59/EU

Liabilities with a remaining maturity of less than seven days, owed to systems or operators of systems designated in accordance with Directive 98/26/EC of the European Parliament and of the Council (4), or to their participants and arising from the participation in such a system, or to CCPs authorised in the Union pursuant to Article 14 of Regulation (EU) No 648/2012 of the European Parliament and of the Council (5) and third-country CCPs recognised by ESMA pursuant to Article 25 of that Regulation.

0170

Employee liabilities

Article 44(2), point (g)(i), of Directive 2014/59/EU

Liabilities to an employee, in relation to accrued salary, pension benefits or other fixed remuneration, except for the variable component of remuneration that is not regulated by a collective bargaining agreement. This shall however not apply to the variable component of the remuneration of material risk takers as identified in Article 92(2) of Directive 2013/36/EU.

0180

Liabilities critical to operational daily functioning

Article 44(2), point (g)(ii), of Directive 2014/59/EU

Liabilities to a commercial or trade creditor arising from the provision to the institution or entity referred to in Article 1(1), point (b), (c) or (d), of Directive 2014/59/EU of goods or services that are critical to the daily functioning of its operations, including IT services, utilities and the rental, servicing and upkeep of premises.

0190

Tax and social security authorities liabilities, if preferred

Article 44(2), point (g)(iii), of Directive 2014/59/EU

Liabilities to tax and social security authorities provided that those liabilities are preferred under the applicable law.

0200

DGS liabilities

Article 44(2), point (g)(iv), of Directive 2014/59/EU

Liabilities to deposit guarantee schemes arising from contributions due in accordance with Directive 2014/49/EU.

0210

Liabilities towards other entities of the resolution group

Article 44(2), point (h), of Directive 2014/59/EU

Liabilities to institutions or entities referred to in Article 1(1), point (b), (c) or (d), of Directive 2014/59/EU that are part of the same resolution group without being themselves resolution entities, regardless of their maturities, except where those liabilities rank below ordinary unsecured liabilities under the relevant national law governing normal insolvency proceedings applicable on the date of transposition of Directive 2014/59/EU.

Where the excluded liability is a derivatives liability, the net liability positions taking into account the prudential netting rules laid down in Article 429c of Regulation (EU) No 575/2013 shall be reported.

0300

Liabilities not excluded from bail-in

0310 – 0314

Deposits, not covered but preferential

Article 108 of Directive 2014/59/EU

Deposits as defined in Article 2(1), point (3), of Directive 2014/49/EU that do not qualify for exclusion from bail-in (Article 44(2), point (a), of Directive 2014/59/EU), yet for which a preferential treatment is provided for in accordance with Article 108 of Directive 2014/59/EU.

0320 – 0324

Deposits, not covered and not preferential

Deposits as defined in Article 2(1), point (3), of Directive 2014/49/EU that do not qualify for exclusion from bail-in or preferential treatment under Article 44(2), point (a), or Article 108 of Directive 2014/59/EU.

0330

Balance sheet liabilities arising from derivatives

Accounting value of liabilities arising from derivatives.

0331

Sum of net liability positions taking into account contractual netting sets, after mark-to-market adjustments, prior to collateral offset

By default, the sum of all net market values of derivative liabilities per contractual netting set. Only where the net market value of a netting set is a liability, the netting set shall be reported. Derivatives which are not subject to netting arrangements shall be treated as a single contract, i.e. as if it were a netting set with only one derivative.

0332

Sum of net liability positions taking into account contractual netting sets, after mark-to-market adjustments, post collateral offset

The valuation in row 0331 is subject to an adjustment for collateral posted to secure this exposure, which results in the sum of these net market values after offsetting collateral at its market value.

0333

Sum of net liability positions taking into account contractual netting sets, after mark-to-market adjustments, post collateral offset, incorporating estimated close-out amounts

In accordance with Commission Delegated Regulation 2016/1401 (6), an additional close-out amount covering the amount of losses or costs incurred by derivative counterparties, or gains realised by them, in replacing or obtaining the economic equivalent on material terms of the contracts and the option rights of the parties in respect of the terminated contracts.

The estimations required to determine a close-out amount in accordance with that Delegated Regulation can prove quite difficult on an individual basis. Therefore, proxy values, which may be based on available data, such as the prudential requirements for market risk, can be used instead. If it proves impossible to calculate the close-out amount for the derivative liabilities, the amount reported shall be equal to the amount reported in row 0332.

0334

Sum of net liability positions taking into account prudential netting rules

The net liability positions for derivatives taking into account the prudential netting rules laid down in Article 429c of Regulation (EU) No 575/2013 (related to the calculation of the leverage ratio total exposure measure) shall be reported.

0340 – 0344

Uncollateralised secured liabilities

The amount of secured liabilities or liabilities for which collateral has been pledged that exceeds the value of the assets, pledge, lien or collateral against which it is secured. This shall capture the ‘undercollateralised’ part of any collateralised liability, for example the undercollateralised part of covered bonds or repurchase operations.

0350 – 0354

Structured notes

Structured notes are specified for this purpose as debt obligations that contain an embedded derivative component, with returns linked to an underlying security or index (public or bespoke, such as equities or bonds, fixed income rates or credit, FX, commodities, etc.). Structured notes do not include debt instruments that include call or put options only, i.e. the value of the instrument does not depend on any embedded derivative component.

0360 – 0364

Senior unsecured liabilities

This includes all senior unsecured instruments that are not included in the structured notes category.

0365 – 0369

Senior non-preferred liabilities

Amount of any of the following liabilities:

0370 – 0374

Subordinated liabilities

Liabilities which will only be repaid under national insolvency law after all classes of ordinary creditors and senior non-preferred creditors have been repaid in full. This includes both contractually and statutorily subordinated liabilities. In the case of holding companies, unsubordinated debt securities may also be reported in this category (i.e. structural subordination).

Only subordinated instruments that are not recognized as own funds shall be included in this category.

This row shall also include the part of subordinated liabilities that qualifies in principle as own funds, but is not included in own funds due to phase-out provisions such as Article 64 of Regulation (EU) No 575/2013 (remaining maturity) or Part Ten of Regulation (EU) No 575/2013 (grandfathering impact).

0380 – 0382

Other MREL eligible liabilities

Any instrument that is eligible for the purposes of meeting the requirement set out in Article 45 of Directive 2014/59/EU but is not captured in rows 0320 and 0340 to 0370.

0390

Non-financial liabilities

This row captures non-financial liabilities that do not relate to debt instruments of which the holders can be bailed in due to practical reasons, such as provisions related to litigations to which the entity is subject.

0400

Residual liabilities

Any liability not reported in rows 0100 to 0390.

0500

Own funds

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

Same definition as COREP (OF): {C 01.00;010;010}

0510

Common Equity Tier 1 Capital

Article 50 of Regulation (EU) No 575/2013

Same definition as COREP (OF): {C 01.00;020;010}

0511

Of which: capital instruments/share capital

Legal instruments that constitute (part of) CET1 capital in the form of capital instruments/share capital

0512

Of which: instruments ranking pari passu with ordinary shares

Legal instruments that constitute (part of) CET1 own funds in the form of instruments other than capital instruments/share capital, but ranking pari passu with this category

0520

Additional Tier 1 capital

Article 61 of Regulation (EU) No 575/2013

Same definition as COREP (OF): {C 01.00;530;010}

0521

Of which: (part of) subordinated liabilities recognised as own funds

Legal instruments that constitute (part of) Additional Tier 1.

0530

Tier 2 Capital

Article 71 of Regulation (EU) No 575/2013

Same definition as COREP (OF): {C 01.00;750;010}

0531

Of which: (part of) subordinated liabilities recognised as own funds

This breakdown identifies the legal instruments that constitute (part of) Tier 2 own funds.

0600

Total liabilities and own funds including derivative liabilities

Sum of all the liabilities reported in this template and the amount of regulatory own funds. To this end, all the amounts from the above lines shall be added. With respect to derivatives, the value to be used shall be row 0334 ‘Sum of net liability positions taking into account prudential netting rules’.

Rows

Instructions

0100

Total Risk Exposure Amount

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

See Z 01.00, column 0100

Total risk exposure amount as defined for COREP (OF): {C 02.00;010;010}

0110

Contribution to total consolidated risk exposure amount

See Z 01.00, column 0140

This item shall only be reported for entities that are not subject to capital requirements on an individual basis.

0120

Total exposure measure

Article 429(4) of Regulation (EU) No 575/2013.

0210 – 0250

Initial capital and Leverage Ratio requirements

0210

Initial capital

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

The amount of initial capital required as a precondition for the authorization to commence the activity of an institution.

0220

Leverage Ratio Requirement

Leverage ratio requirement in accordance with Article 92(1), point (d), of Regulation (EU) No 575/2013 as applicable to the entity or group, expressed as a percentage of the total exposure measure. Reporting entities that exclude exposures to the institution’s central bank as referred to in Article 429a(1), point (n), of Regulation (EU) No 575/2013 shall report the adjusted leverage ratio requirement in accordance with Article 429a(7) of that Regulation. If no formal requirement is in place, entities shall leave this cell empty.

0300

Total SREP capital requirement (TSCR) ratio

COREP (OF): {C 03.00;0130;0010}

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

(i)  the total capital ratio (8 %) as specified in Article 92(1), point (c), of Regulation (EU) No 575/2013;

(ii)  the additional own funds requirements (Pillar 2 Requirements – P2R) ratio determined in accordance with Article 104a of Directive 2013/36/EU and the EBA Guidelines on common procedures and methodologies for the supervisory review and evaluation process and supervisory stress testing – consolidated version (EBA/GL/2014/13).

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

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

0310

TSCR: to be made up of CET1 capital

COREP (OF): {C 03.00;0140;0010}

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

(i)  the CET1 capital ratio (4,5 %) as laid down in Article 92(1), point (a), of Regulation (EU) No 575/2013;

(ii)  the part of the P2R ratio, referred to in point (ii) of row 0300, which is required by the competent authority to be held in the form of CET1 capital.

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

0320

(iii)  TSCR: to be made up of Tier 1 capital

COREP (OF): {C 03.00;0150;0010}

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

(i)  the Tier 1 capital ratio (6 %) as laid down in Article 92(1), point (b), of Regulation (EU) No 575/2013;

(ii)  the part of P2R ratio, referred to in point (ii) of row 0300, which is required by the competent authority to be held in the form of Tier 1 capital.

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

0400

Combined Buffer Requirements

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

COREP (OF): {C 04.00;0740;0010}

0410

Capital Conservation Buffer

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

COREP (OF): {C 04.00;750;010}).

In accordance with Article 129(1) of that Directive, 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.

0420

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

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

COREP (OF): {C 04.00;760;010}).

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

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

0430

Institution-Specific Countercyclical Capital Buffer

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

(see COREP (OF): {C 04.00;770;010}).

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

0440

Systemic Risk Buffer

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

(see COREP (OF): {C 04.00;780;010}).

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

0450

Global Systemically Important Institution Buffer

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

COREP (OF): {C 04.00;800;010}

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

0460

Other Systemically Important Institution Buffer

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

COREP (OF): {C 04.00;810;010}

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

0500

Overall capital requirement (OCR) ratio

COREP (OF): {C 03.00;160;010}

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

(i)  the TSCR ratio referred to in row 0300;

(ii)  to the extent it is legally applicable, the combined buffer requirement ratio referred to in Article 128, point (6), of Directive 2013/36/EU.

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

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

0510

OCR: to be made up of CET1 capital

COREP (OF): {C 03.00;170;010}

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

(i)  the TSCR ratio to be made up of CET1 capital referred to in row 0310;

(ii)  to the extent it is legally applicable, the combined buffer requirement ratio referred to in Article 128, point (6), of Directive 2013/36/EU.

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

0520

OCR: to be made up of Tier 1 capital

COREP (OF): {C 03.00;180;010}

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

(i)  the TSCR ratio to be made up of Tier 1 capital referred to in row 0320;

(ii)  to the extent it is legally applicable, the combined buffer requirement ratio referred to in Article 128, point (6), of Directive 2013/36/EU.

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

0600

OCR and Pillar 2 Guidance (P2G)

COREP (OF): {C 03.00;190;010}

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

(i)  the OCR ratio referred to in row 0500;

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

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

0610

OCR: to be made up of CET1 capital

COREP (OF): {C 03.00;200;010}

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

(i)  the OCR ratio to be made up of CET1 capital referred to in row 0510;

(ii)  where applicable, the part of P2G, referred to in point (ii) in row 0600, which is required by the competent authority to be held in the form of CET1 capital. P2G shall be included only if communicated to the institution by the competent authority.

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

0620

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

COREP (OF): {C 03.00;210;010}

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

(i)  the OCR ratio to be made up of Tier 1 capital referred to in row 0520;

(ii)  where applicable, the part of P2G, referred to in point (ii) in row 600, which is required by the competent authority to be held in the form of Tier 1 capital. P2G shall be included only if communicated to the institution by the competent authority.

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

Columns

Instructions

0010-0020

Issuer or guaranteed entity

Legal entity that issues the liabilities or capital instrument, or is the guaranteed entity.

0010

Entity name

Must be different from the entity name listed in column 0030.

0020

Code

The code of the issuer or guarantee recipient. For institutions the code shall be the 20-digit, alphanumeric LEI code. For other entities the code shall be the 20-digit, alphanumeric LEI code or, if not available, a code under a uniform codification applicable in the Union or, if not available, a national code.

The code shall be unique and used consistently across the templates.

The code must be different from the code listed in column 0040.

0030-0040

Creditor, holder or guarantee provider

Legal entity that is the creditor to the liability, holds the capital instrument or provides the guarantee.

0030

Entity name

Must be different from the entity name listed in column 0010.

0040

Code

The code of the creditor, holder or guarantee provider. For institutions the code shall be the 20-digit, alphanumeric LEI code. For other entities the code shall be the 20-digit, alphanumeric LEI code or, if not available, a code under a uniform codification applicable in the Union or, if not available, a national code.

The code shall be unique and used consistently across the templates.

Must be different from the code listed in column 0020.

0050- 0080