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Document 32016R1702
Commission Implementing Regulation (EU) 2016/1702 of 18 August 2016 amending Implementing Regulation (EU) No 680/2014 as regards templates and instructions (Text with EEA relevance)
Commission Implementing Regulation (EU) 2016/1702 of 18 August 2016 amending Implementing Regulation (EU) No 680/2014 as regards templates and instructions (Text with EEA relevance)
Commission Implementing Regulation (EU) 2016/1702 of 18 August 2016 amending Implementing Regulation (EU) No 680/2014 as regards templates and instructions (Text with EEA relevance)
C/2016/5248
OJ L 263, 29.9.2016, p. 1–513
(BG, ES, CS, DA, DE, ET, EL, EN, FR, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)
No longer in force, Date of end of validity: 27/06/2021; Implicitly repealed by 32021R0451
|
29.9.2016 |
EN |
Official Journal of the European Union |
L 263/1 |
COMMISSION IMPLEMENTING REGULATION (EU) 2016/1702
of 18 August 2016
amending Implementing Regulation (EU) No 680/2014 as regards templates and instructions
(Text with EEA relevance)
THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union,
Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (1) and in particular the fourth subparagraph of Article 99(5), the fourth subparagraph of Article 99(6), the third subparagraph of Article 101(4) and the third subparagraph of Article 394(4) thereof,
Whereas:
|
(1) |
Commission Implementing Regulation (EU) No 680/2014 (2) lays down the requirements according to which institutions are required to report information relevant to their compliance with Regulation (EU) No 575/2013. Given that the regulatory framework established by Regulation (EU) No 575/2013 is gradually being supplemented and amended in its non-essential elements by the adoption of regulatory technical standards, Implementing Regulation (EU) No 680/2014 needs to be updated accordingly to reflect those rules. |
|
(2) |
In order to ensure a correct and uniform application of the requirements laid down in Implementing Regulation (EU) No 680/2014, further precision should be provided with regard to the templates and instructions including definitions used for the purposes of institutions’ supervisory reporting. Implementing Regulation (EU) No 680/2014 should also be updated to correct typos, erroneous references and formatting inconsistencies which were discovered in the course of the application of that Regulation. Therefore, for reasons of legal clarity, it is appropriate to replace several templates of Annexes I, III and IV and to amend some of the instructions laid down in Annexes II, V, VII and IX. |
|
(3) |
To provide institutions and competent authorities with adequate time to implement the amendments set out in this Regulation, it should apply from 1 December 2016. |
|
(4) |
This Regulation is based on the draft implementing technical standards submitted by the European Banking Authority (EBA) to the Commission. |
|
(5) |
Given that the necessary amendments to Implementing Regulation (EU) No 680/2014 do not involve significant changes in substantive terms, in accordance with the second subparagraph of Article 15(1) of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (3), the EBA has not conducted any open public consultation, considering that it would be disproportionate in relation to the scope and impact of the draft implementing technical standards concerned. |
|
(6) |
Implementing Regulation (EU) No 680/2014 should therefore be amended accordingly, |
HAS ADOPTED THIS REGULATION:
Article 1
Implementing Regulation (EU) No 680/2014 is amended as follows:
|
(1) |
the index and template numbers 2, 4, 7, 9.1, 9.2, 9.3, 9.4, 18 and 21 of Annex I to Implementing Regulation (EU) No 680/2014 are replaced by the index and templates set out in Annex I to this Regulation; |
|
(2) |
Annex II to Implementing Regulation (EU) No 680/2014 is replaced by the text set out in Annex II to this Regulation; |
|
(3) |
template numbers 1.2, 2, 8, 14, 16, 17, 18, 19, 20, 30, 31, 41, 43 and 45 of Annex III to Implementing Regulation (EU) No 680/2014 are replaced by the templates set out in Annex III to this Regulation; |
|
(4) |
Annex IV to Implementing Regulation (EU) No 680/2014 is replaced by the text set out in Annex IV to this Regulation; |
|
(5) |
Annex V to Implementing Regulation (EU) No 680/2014 is replaced by the text set out in Annex V to this Regulation; |
|
(6) |
Annex VII to Implementing Regulation (EU) No 680/2014 is replaced by the text set out in Annex VI to this Regulation; |
|
(7) |
Annex IX to Implementing Regulation (EU) No 680/2014 is replaced by the text set out in Annex VII to this Regulation. |
Article 2
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
It shall apply from 1 December 2016 with the first reporting reference date being 31 December 2016.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 18 August 2016.
For the Commission
The President
Jean-Claude JUNCKER
(1) OJ L 176, 27.6.2013, p. 1.
(2) Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1).
(3) Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12).
ANNEX I
REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
|
COREP TEMPLATES |
|||
|
Template number |
Template code |
Name of the template /group of templates |
Short name |
|
|
|
CAPITAL ADEQUACY |
CA |
|
1 |
C 01.00 |
OWN FUNDS |
CA1 |
|
2 |
C 02.00 |
OWN FUNDS REQUIREMENTS |
CA2 |
|
3 |
C 03.00 |
CAPITAL RATIOS |
CA3 |
|
4 |
C 04.00 |
MEMORANDUM ITEMS: |
CA4 |
|
|
|
TRANSITIONAL PROVISIONS |
CA5 |
|
5.1 |
C 05.01 |
TRANSITIONAL PROVISIONS |
CA5.1 |
|
5.2 |
C 05.02 |
GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID |
CA5.2 |
|
|
|
GROUP SOLVENCY |
GS |
|
6.1 |
C 06.01 |
GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL |
GS Total |
|
6.2 |
C 06.02 |
GROUP SOLVENCY: INFORMATION ON AFFILIATES |
GS |
|
|
|
CREDIT RISK |
CR |
|
7 |
C 07.00 |
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS |
CR SA |
|
|
|
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS |
CR IRB |
|
8.1 |
C 08.01 |
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS |
CR IRB 1 |
|
8.2 |
C 08.02 |
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools) |
CR IRB 2 |
|
|
|
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: GROSS LOSSES 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 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 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 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 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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 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 21.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
National market:
|
|
POSITIONS |
OWN FUNDS REQUIREMENTS |
TOTAL RISK EXPOSURE AMOUNT |
|||||
|
ALL POSITIONS |
NET POSITIONS |
POSITIONS SUBJECT TO CAPITAL CHARGE |
||||||
|
LONG |
SHORT |
|||||||
|
LONG |
SHORT |
|||||||
|
010 |
020 |
030 |
040 |
050 |
060 |
070 |
||
|
010 |
EQUITIES IN TRADING BOOK |
|
|
|
|
|
|
Cell linked to CA |
|
020 |
General risk |
|
|
|
|
|
|
|
|
021 |
Derivatives |
|
|
|
|
|
|
|
|
022 |
Other assets and liabilities |
|
|
|
|
|
|
|
|
030 |
Exchange traded stock-index futures broadly diversified subject to particular approach |
|
|
|
|
|
|
|
|
040 |
Other equities than exchange traded stock-index futures broadly diversified |
|
|
|
|
|
|
|
|
050 |
Specific risk |
|
|
|
|
|
|
|
|
090 |
Additional requirements for options (non-delta risks) |
|
|
|
|
|
|
|
|
100 |
Simplified method |
|
|
|
|
|
|
|
|
110 |
Delta plus approach - additional requirements for gamma risk |
|
|
|
|
|
|
|
|
120 |
Delta plus approach - additional requirements for vega risk |
|
|
|
|
|
|
|
|
130 |
Scenario matrix approach |
|
|
|
|
|
|
|
ANNEX II
‘ANNEX II
REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
Table of Contents
| PART I: GENERAL INSTRUCTIONS | 44 |
|
1. |
STRUCTURE AND CONVENTIONS | 44 |
|
1.1. |
STRUCTURE | 44 |
|
1.2. |
NUMBERING CONVENTION | 44 |
|
1.3. |
SIGN CONVENTION | 44 |
| PART II: TEMPLATE RELATED INSTRUCTIONS | 44 |
|
1. |
CAPITAL ADEQUACY OVERVIEW (CA) | 44 |
|
1.1. |
GENERAL REMARKS | 44 |
|
1.2. |
C 01.00 — OWN FUNDS (CA1) | 46 |
|
1.2.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 46 |
|
1.3. |
C 02.00 — OWN FUNDS REQUIREMENTS (CA2) | 61 |
|
1.3.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 61 |
|
1.4. |
C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3) | 68 |
|
1.4.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 68 |
|
1.5. |
C 04.00 — MEMORANDUM ITEMS (CA4) | 69 |
|
1.5.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 69 |
|
1.6. |
TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5) | 85 |
|
1.6.1. |
GENERAL REMARKS | 85 |
|
1.6.2. |
C 05.01 — TRANSITIONAL PROVISIONS (CA5.1) | 85 |
|
1.6.2.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 86 |
|
1.6.3. |
C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) | 94 |
|
1.6.3.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 94 |
|
2. |
GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) | 96 |
|
2.1. |
GENERAL REMARKS | 96 |
|
2.2. |
DETAILED GROUP SOLVENCY INFORMATION | 97 |
|
2.3. |
INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY | 97 |
|
2.4. |
C 06.01 — GROUP SOLVENCY: INFORMATION ON AFFILIATES — TOTAL (GS TOTAL) | 98 |
|
2.5. |
C 06.02 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) | 98 |
|
3. |
CREDIT RISK TEMPLATES | 105 |
|
3.1. |
GENERAL REMARKS | 105 |
|
3.1.1. |
REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT | 105 |
|
3.1.2. |
REPORTING OF COUNTERPARTY CREDIT RISK | 106 |
|
3.2. |
C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA) | 106 |
|
3.2.1. |
GENERAL REMARKS | 106 |
|
3.2.2. |
SCOPE OF THE CR SA TEMPLATE | 106 |
|
3.2.3. |
ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES UNDER THE STANDARDISED APPROACH | 107 |
|
3.2.4. |
CLARIFICATIONS ON THE SCOPE OF SOME SPECIFIC EXPOSURE CLASSES REFERRED TO IN ARTICLE 112 OF CRR | 110 |
|
3.2.4.1. |
EXPOSURE CLASS ‘INSTITUTIONS’ | 110 |
|
3.2.4.2. |
EXPOSURE CLASS ‘COVERED BONDS’ | 111 |
|
3.2.4.3. |
EXPOSURE CLASS ‘COLLECTIVE INVESTMENT UNDERTAKINGS’ | 111 |
|
3.2.5. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 111 |
|
3.3. |
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB) | 119 |
|
3.3.1. |
SCOPE OF THE CR IRB TEMPLATE | 119 |
|
3.3.2. |
BREAKDOWN OF THE CR IRB TEMPLATE | 120 |
|
3.3.3. |
C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1) | 121 |
|
3.3.3.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 121 |
|
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) | 129 |
|
3.4. |
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN (CR GB) | 130 |
|
3.4.1. |
C 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1) | 130 |
|
3.4.1.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 130 |
|
3.4.2. |
C 09.02 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2) | 132 |
|
3.4.2.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 132 |
|
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) | 135 |
|
3.4.3.1. |
GENERAL REMARKS | 135 |
|
3.4.3.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 135 |
|
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) | 140 |
|
3.5.1. |
GENERAL REMARKS | 140 |
|
3.5.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS (APPLICABLE TO BOTH CR EQU IRB 1 AND CR EQU IRB 2) | 141 |
|
3.6. |
C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT) | 144 |
|
3.6.1. |
GENERAL REMARKS | 144 |
|
3.6.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 144 |
|
3.7. |
C 12.00 — CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA) | 146 |
|
3.7.1. |
GENERAL REMARKS | 146 |
|
3.7.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 146 |
|
3.8. |
C 13.00 — CREDIT RISK — SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB) | 153 |
|
3.8.1. |
GENERAL REMARKS | 153 |
|
3.8.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 153 |
|
3.9. |
C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) | 161 |
|
3.9.1. |
GENERAL REMARKS | 161 |
|
3.9.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 162 |
|
4. |
OPERATIONAL RISK TEMPLATES | 170 |
|
4.1. |
C 16.00 — OPERATIONAL RISK (OPR) | 170 |
|
4.1.1. |
GENERAL REMARKS | 170 |
|
4.1.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 171 |
|
4.2. |
C 17.00 — OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS) | 173 |
|
4.2.1. |
GENERAL REMARKS | 173 |
|
4.2.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 175 |
|
5. |
MARKET RISK TEMPLATES | 177 |
|
5.1. |
C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) | 177 |
|
5.1.1. |
GENERAL REMARKS | 177 |
|
5.1.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 178 |
|
5.2. |
C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC) … | 179 |
|
5.2.1. |
GENERAL REMARKS | 179 |
|
5.2.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 180 |
|
5.3. |
C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) | 182 |
|
5.3.1. |
GENERAL REMARKS | 182 |
|
5.3.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 183 |
|
5.4. |
C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) | 185 |
|
5.4.1. |
GENERAL REMARKS | 185 |
|
5.4.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 185 |
|
5.5. |
C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) | 187 |
|
5.5.1. |
GENERAL REMARKS | 187 |
|
5.5.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 187 |
|
5.6. |
C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) | 189 |
|
5.6.1. |
GENERAL REMARKS | 189 |
|
5.6.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 189 |
|
5.7. |
C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM) | 190 |
|
5.7.1. |
GENERAL REMARKS | 190 |
|
5.7.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 191 |
|
5.8. |
C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA) | 193 |
|
5.8.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS | 193 |
PART I: GENERAL INSTRUCTIONS
1. STRUCTURE AND CONVENTIONS
1.1. STRUCTURE
|
1. |
Overall, the framework consists of five blocks of templates:
|
|
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:
|
|
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:
|
|
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.
|
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 |
|
||||
|
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 |
|
||||
|
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:
|
||||
|
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:
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:
|
||||||
|
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:
|
||||||
|
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 |
|||||||