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Document 32018R1627

Commission Implementing Regulation (EU) 2018/1627 of 9 October 2018 amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting (Text with EEA relevance)

C/2018/6492

OJ L 281, 9.11.2018, p. 1–525 (BG, ES, CS, DA, DE, ET, EL, EN, FR, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)

Legal status of the document No longer in force, Date of end of validity: 27/06/2021; Implicitly repealed by 32021R0451

ELI: http://data.europa.eu/eli/reg_impl/2018/1627/oj

9.11.2018   

EN

Official Journal of the European Union

L 281/1

COMMISSION IMPLEMENTING REGULATION (EU) 2018/1627

of 9 October 2018

amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting

(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 394(4) the fourth subparagraph of Article 415(3) and the third subparagraph of Article 430(2) thereof,

Whereas:

(1)

Commission Implementing Regulation (EU) No 680/2014 (2) specifies the modalities according to which institutions are required to report information relevant to their compliance with Regulation (EU) No 575/2013. 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 further regulatory technical standards. Implementing Regulation (EU) No 680/2014 needs to be updated to reflect those changes.

(2)

Regulation (EU) No 575/2013 is supplemented by the adoption of Commission Delegated Regulation (EU) 2016/101 (3), with regard to prudent valuation and by Regulation (EU) 2017/2401 of the European Parliament and of the Council (4), with regard to securitisation. Implementing Regulation (EU) No 680/2014 should be updated to reflect those changes and to provide further precision in the instructions and definitions used for the purposes of the institutions’ supervisory reporting. Certain references and formatting inconsistencies which were discovered as misleading in the course of the application of Implementing Regulation (EU) No 680/2014 should also be clarified.

(3)

Delegated Regulation (EU) 2016/101 sets out requirements relating to prudent valuation adjustments of fair-valued positions. It provides two approaches for the implementation of the prudent valuation requirements: a core approach and a simplified approach. To monitor compliance of institutions with those requirements and to assess the impact of that Regulation on valuation adjustments, additional reporting, relating to the prudent valuation requirements, is necessary.

(4)

Regulation (EU) 2017/2401 amends Regulation (EU) No 575/2013 to make the capital treatment of securitisations more risk-sensitive and able to reflect properly the specific features of simple, transparent and standardised securitisations. Implementing Regulation (EU) No 680/2014 needs to be amended to accommodate the reporting on securitisation positions subject to this revised securitisation framework.

(5)

Amendments to Implementing Regulation (EU) No 680/2014 are also necessary to improve competent authorities’ ability to effectively monitor and assess the institutions’ risk profile and to obtain a view on the risks posed to the financial sector, which requires minor changes to the reporting requirements on the geographical distribution of exposures.

(6)

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

(7)

EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based that relate to prudent valuation and the total geographical breakdown, analysed the potential related costs and benefits and requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (5) in relation to those. In accordance with the second subparagraph of Article 15(1) of that Regulation, EBA has not conducted any open public consultation with regard to those parts of the draft implementing technical standards on which this Regulation is based that are either of editorial nature or introduce only a limited number of items in the supervisory reporting framework, as such consultation would be disproportionate in relation to the scope and impact of the draft implementing technical standards concerned.

(8)

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)

Article 5 is amended as follows:

(a)

point (a) is amended as follows:

(i)

point (4) is replaced by the following:

‘(4)

the information on the geographical distribution of exposures by country, as well as aggregated at a total level, as specified in template 9 of Annex I, according to the instructions in Part II point 3.4 of Annex II. With regard to the information specified in templates 9.1 and 9.2 in particular, information on the geographical distribution of exposures by country shall be reported where non-domestic original exposures in all “non-domestic” countries in all exposures classes, as reported in row 850 of template 4 of Annex I, are equal or higher than 10 % of total domestic and non-domestic original exposures as reported in row 860 of template 4 of Annex I. For this purpose exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. The entry and exit criteria of Article 4 shall apply;’;

(ii)

the following point (12) is added:

‘(12)

the information on prudent valuation specified in template 32 of Annex I in accordance with the instructions in Part II, point 6 of Annex II as follows:

(i)

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

(ii)

in addition to the reporting referred to in point (i), institutions that apply the core approach pursuant to Regulation (EU) 2016/101 shall also report the information specified in template 32.2 of Annex I in accordance with the instructions in Part II, point 6 of Annex II;

(iii)

in addition to the requirements referred to in points (i) and (ii), institutions that apply the core approach pursuant to Regulation (EU) 2016/101 and which exceed the threshold referred to in Article 4(1) of that Regulation at their respective reporting level, shall also report the information specified in templates 32.3 and 32.4 of Annex I in accordance with the instructions in Part II, point 6 of Annex II.

For the purposes of point (a)(12), the entry and exit criteria of Article 4 shall not apply.’;

(b)

point (b) is amended as follows:

In point (3) points (a), (b) and (c), the words ‘point 6 of Part II of Annex II’ are replaced by the words ‘point 7 of Part II of Annex II’;

(2)

in Article 9(2), point (d) is replaced by the following:

‘(d)

the information specified in template 20 in Part 2 of Annex III with a quarterly frequency where the institution exceeds the threshold defined in the second sentence of point (4) of Article 5(a). The entry and exit criteria referred to in Article 4 shall apply;’;

(3)

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

(4)

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

(5)

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

(6)

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

(7)

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

(8)

Annex XVI is replaced by Annex VI to this Regulation;

(9)

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

(10)

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

(11)

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

(12)

Annex XXIII is replaced by the text set out in Annex X 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 2018.

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

Done at Brussels, 9 October 2018.

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 (OJ L 191, 28.6.2014, p. 1).

(3)  Commission Delegated Regulation (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14) (OJ L 21, 28.1.2016, p. 54).

(4)  Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms (OJ L 347, 28.12.2017, p. 1).

(5)  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

‘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

 

 

OPERATIONAL RISK: LOSSES AND RECOVERIES

 

17,1

C 17.01

OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR

OPR DETAILS 1

17,2

C 17.02

OPERATIONAL RISK: LARGE LOSS EVENTS

OPR DETAILS 2

 

 

MARKET RISK

MKR

18

C 18.00

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

MKR SA TDI

19

C 19.00

MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS

MKR SA SEC

20

C 20.00

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

MKR SA CTP

21

C 21.00

MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES

MKR SA EQU

22

C 22.00

MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK

MKR SA FX

23

C 23.00

MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES

MKR SA COM

24

C 24.00

MARKET RISK INTERNAL MODELS

MKR IM

25

C 25.00

CREDIT VALUE ADJUSTMENT RISK

CVA

 

 

PRUDENT VALUATION

MKR

32,1

C 32.01

PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES

PRUVAL 1

32,2

C 32.02

PRUDENT VALUATION: CORE APPROACH

PRUVAL 2

32,3

C 32.03

PRUDENT VALUATION: MODEL RISK AVA

PRUVAL 3

32,4

C 32.04

PRUDENT VALUATION: CONCENTRATED POSITIONS AVA

PRUVAL 4

 

 

GENERAL GOVERNMENTS EXPOSURES

MKR

33

C 33.00

GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY

GOV


C 01.00 - OWN FUNDS (CA1)

Rows

ID

Item

Amount

010

1

OWN FUNDS

 

015

1.1

TIER 1 CAPITAL

 

020

1.1.1

COMMON EQUITY TIER 1 CAPITAL

 

030

1.1.1.1

Capital instruments eligible as CET1 Capital

 

040

1.1.1.1.1

Paid up capital instruments

 

045

1.1.1.1.1*

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

 

050

1.1.1.1.2*

Memorandum item: Capital instruments not eligible

 

060

1.1.1.1.3

Share premium

 

070

1.1.1.1.4

(-) Own CET1 instruments

 

080

1.1.1.1.4.1

(-) Direct holdings of CET1 instruments

 

090

1.1.1.1.4.2

(-) Indirect holdings of CET1 instruments

 

091

1.1.1.1.4.3

(-) Synthetic holdings of CET1 instruments

 

092

1.1.1.1.5

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

 

130

1.1.1.2

Retained earnings

 

140

1.1.1.2.1

Previous years retained earnings

 

150

1.1.1.2.2

Profit or loss eligible

 

160

1.1.1.2.2.1

Profit or loss attributable to owners of the parent

 

170

1.1.1.2.2.2

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

 

180

1.1.1.3

Accumulated other comprehensive income

 

200

1.1.1.4

Other reserves

 

210

1.1.1.5

Funds for general banking risk

 

220

1.1.1.6

Transitional adjustments due to grandfathered CET1 Capital instruments

 

230

1.1.1.7

Minority interest given recognition in CET1 capital

 

240

1.1.1.8

Transitional adjustments due to additional minority interests

 

250

1.1.1.9

Adjustments to CET1 due to prudential filters

 

260

1.1.1.9.1

(-) Increases in equity resulting from securitised assets

 

270

1.1.1.9.2

Cash flow hedge reserve

 

280

1.1.1.9.3

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

 

285

1.1.1.9.4

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

 

290

1.1.1.9.5

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

 

300

1.1.1.10

(-) Goodwill

 

310

1.1.1.10.1

(-) Goodwill accounted for as intangible asset

 

320

1.1.1.10.2

(-) Goodwill included in the valuation of significant investments

 

330

1.1.1.10.3

Deferred tax liabilities associated to goodwill

 

340

1.1.1.11

(-) Other intangible assets

 

350

1.1.1.11.1

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

 

360

1.1.1.11.2

Deferred tax liabilities associated to other intangible assets

 

370

1.1.1.12

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

 

380

1.1.1.13

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

 

390

1.1.1.14

(-) Defined benefit pension fund assets

 

400

1.1.1.14.1

(-) Defined benefit pension fund assets

 

410

1.1.1.14.2

Deferred tax liabilities associated to defined benefit pension fund assets

 

420

1.1.1.14.3

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

 

430

1.1.1.15

(-) Reciprocal cross holdings in CET1 Capital

 

440

1.1.1.16

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

 

450

1.1.1.17

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

 

460

1.1.1.18

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

 

470

1.1.1.19

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

 

471

1.1.1.20

(-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250  % risk weight

 

472

1.1.1.21

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

 

480

1.1.1.22

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

 

490

1.1.1.23

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

 

500

1.1.1.24

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

 

510

1.1.1.25

(-) Amount exceeding the 17.65 % threshold

 

520

1.1.1.26

Other transitional adjustments to CET1 Capital

 

524

1.1.1.27

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

 

529

1.1.1.28

CET1 capital elements or deductions - other

 

530

1.1.2

ADDITIONAL TIER 1 CAPITAL

 

540

1.1.2.1

Capital instruments eligible as AT1 Capital

 

550

1.1.2.1.1

Paid up capital instruments

 

560

1.1.2.1.2*

Memorandum item: Capital instruments not eligible

 

570

1.1.2.1.3

Share premium

 

580

1.1.2.1.4

(-) Own AT1 instruments

 

590

1.1.2.1.4.1

(-) Direct holdings of AT1 instruments

 

620

1.1.2.1.4.2

(-) Indirect holdings of AT1 instruments

 

621

1.1.2.1.4.3

(-) Synthetic holdings of AT1 instruments

 

622

1.1.2.1.5

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

 

660

1.1.2.2

Transitional adjustments due to grandfathered AT1 Capital instruments

 

670

1.1.2.3

Instruments issued by subsidiaries that are given recognition in AT1 Capital

 

680

1.1.2.4

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

 

690

1.1.2.5

(-) Reciprocal cross holdings in AT1 Capital

 

700

1.1.2.6

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

 

710

1.1.2.7

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

 

720

1.1.2.8

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

 

730

1.1.2.9

Other transitional adjustments to AT1 Capital

 

740

1.1.2.10

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

 

744

1.1.2.11

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

 

748

1.1.2.12

AT1 capital elements or deductions - other

 

750

1.2

TIER 2 CAPITAL

 

760

1.2.1

Capital instruments and subordinated loans eligible as T2 Capital

 

770

1.2.1.1

Paid up capital instrumentsand subordinated loans

 

780

1.2.1.2*

Memorandum item: Capital instruments and subordinated loans not eligible

 

790

1.2.1.3

Share premium

 

800

1.2.1.4

(-) Own T2 instruments

 

810

1.2.1.4.1

(-) Direct holdings of T2 instruments

 

840

1.2.1.4.2

(-) Indirect holdings of T2 instruments

 

841

1.2.1.4.3

(-) Synthetic holdings of T2 instruments

 

842

1.2.1.5

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

 

880

1.2.2

Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans

 

890

1.2.3

Instruments issued by subsidiaries that are given recognition in T2 Capital

 

900

1.2.4

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

 

910

1.2.5

IRB Excess of provisions over expected losses eligible

 

920

1.2.6

SA General credit risk adjustments

 

930

1.2.7

(-) Reciprocal cross holdings in T2 Capital

 

940

1.2.8

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

 

950

1.2.9

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

 

960

1.2.10

Other transitional adjustments to T2 Capital

 

970

1.2.11

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

 

974

1.2.12

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

 

978

1.2.13

T2 capital elements or deductions - other

 


C 02.00 - OWN FUNDS REQUIREMENTS (CA2)

Rows

Item

Label

Amount

010

1

TOTAL RISK EXPOSURE AMOUNT

 

020

1*

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

 

030

1**

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

 

040

1.1

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

 

050

1.1.1

Standardised approach (SA)

 

060

1.1.1.1

SA exposure classes excluding securitisation positions

 

070

1.1.1.1.01

Central governments or central banks

 

080

1.1.1.1.02

Regional governments or local authorities

 

090

1.1.1.1.03

Public sector entities

 

100

1.1.1.1.04

Multilateral Development Banks

 

110

1.1.1.1.05

International Organisations

 

120

1.1.1.1.06

Institutions

 

130

1.1.1.1.07

Corporates

 

140

1.1.1.1.08

Retail

 

150

1.1.1.1.09

Secured by mortgages on immovableproperty

 

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

 

770

1.8.5

Of which: Risk weighted exposure amounts for credit risk: securitisation positions (revised securitisation framework)

 

780

1.8.5.1

Internal ratings-based approach (SEC-IRBA)

 

790

1.8.5.1.1

Securitisations not qualifying for differentiated capital treatment

 

800

1.8.5.1.2

STS securitisations qualifying for differentiated capital treatment

 

810

1.8.5.2

Standardised approach (SEC-SA)

 

820

1.8.5.2.1

Securitisations not qualifying for differentiated capital treatment

 

830

1.8.5.2.2

STS securitisations qualifying for differentiated capital treatment

 

840

1.8.5.3

External ratings-based approach (SEC-ERBA)

 

850

1.8.5.3.1

Securitisations not qualifying for differentiated capital treatment

 

860

1.8.5.3.2

STS securitisations qualifying for differentiated capital treatment

 

870

1.8.5.4

Internal assessment approach (IAA)

 

880

1.8.5.4.1

Securitisations not qualifying for differentiated capital treatment

 

890

1.8.5.4.2

STS securitisations qualifying for differentiated capital treatment

 

900

1.8.5.5

Other (RW = 1 250  %)

 

910

1.8.6

Of which: Total risk exposure amount for position risk: Traded debt instruments – specific risk of securitisation instruments (revised securitisation framework)

 

920

1.8.6.1

Internal ratings-based approach (SEC-IRBA)

 

930

1.8.6.1.1

Securitisations not qualifying for differentiated capital treatment

 

940

1.8.6.1.2

STS securitisations qualifying for differentiated capital treatment

 

950

1.8.6.2

Standardised approach (SEC-SA)

 

960

1.8.6.2.1

Securitisations not qualifying for differentiated capital treatment

 

970

1.8.6.2.2

STS securitisations qualifying for differentiated capital treatment

 

980

1.8.6.3

External ratings-based approach (SEC-ERBA)

 

990

1.8.6.3.1

Securitisations not qualifying for differentiated capital treatment

 

1000

1.8.6.3.2

STS securitisations qualifying for differentiated capital treatment

 

1010

1.8.6.4

Internal assessment approach (IAA)

 

1020

1.8.6.4.1

Securitisations not qualifying for differentiated capital treatment

 

1030

1.8.6.4.2

STS securitisations qualifying for differentiated capital treatment

 

1040

1.8.6.5

Other (RW = 1 250  %)

 


C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

Rows

ID

Item

Amount

010

1

CET1 Capital ratio

 

020

2

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

 

030

3

T1 Capital ratio

 

040

4

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

 

050

5

Total capital ratio

 

060

6

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

 

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

130

13

Total SREP capital requirement (TSCR) ratio

 

140

13*

TSCR: to be made up of CET1 capital

 

150

13**

TSCR: to be made up of Tier 1 capital

 

160

14

Overall capital requirement (OCR) ratio

 

170

14*

OCR: to be made up of CET1 capital

 

180

14**

OCR: to be made up of Tier 1 capital

 

190

15

OCR and Pillar 2 Guidance (P2G)

 

200

15*

OCR and P2G: to be made up of CET1 capital

 

210

15**

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

 


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

 

093

2A

Tax overpayments and tax loss carry backs

 

096

2B

Deferred Tax Assets subject to a risk weight of 250 %

 

097

2C

Deferred Tax Assets subject to a risk weight of 0 %

 

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 investmenttemporary 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 investmenttemporary waived

 

720

25

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

 

800

 

Global Systemically Important Institution buffer

 

810

 

Other Systemically Important Institution buffer

 

Pillar II requirements

820

28

Own funds requirements related to Pillar II adjustments

 

Additional information for investment firms

830

29

Initial capital

 

840

30

Own funds based on Fixed Overheads

 

Additional information for calculation of reporting thresholds

850

31

Non-domestic original exposures

 

860

32

Total original exposures

 

Basel I floor

870

 

Adjustments to total own funds

 

880

 

Own funds fully adjusted for Basel I floor

 

890

 

Own funds requirements for Basel I floor

 

900

 

Own funds requirements for Basel I floor - SA alternative

 

910

 

Deficit of total capital as regards the minimum own funds requirements of the Basel I floor

 


C 05.01 - TRANSITIONAL PROVISIONS (CA5.1)

 

Adjustments to CET1

Adjustments to AT1

Adjustments to T2

Adjustments included in RWAs

Memorandum items

Applicable percentage

Eligible amount without transitional provisions

Code

ID

Item

010

020

030

040

050

060

010

1

TOTAL ADJUSTMENTS

 

 

 

 

 

 

020

1.1

GRANDFATHERED INSTRUMENTS

link to {CA1;r220}

link to {CA1;r660}

link to {CA1;r880}

 

 

 

030

1.1.1

Grandfathered instruments: Instruments constituting state aid

 

 

 

 

 

 

040

1.1.1.1

Instruments that qualified as own funds according to 2006/48/EC

 

 

 

 

 

 

050

1.1.1.2

Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme

 

 

 

 

 

 

060

1.1.2

Instruments not constituting state aid

link to {CA5.2;r010;c060}

link to {CA5.2;r020;c060}

link to {CA5.2;r090;c060}

 

 

 

070

1.2

MINORITY INTERESTS AND EQUIVALENTS

link to {CA1;r240}

link to {CA1;r680}

link to {CA1;r900}

 

 

 

080

1.2.1

Capital instruments and items that do not qualify as minority interests

 

 

 

 

 

 

090

1.2.2

Transitional recognition in consolidated own funds of minority interests

 

 

 

 

 

 

091

1.2.3

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

 

 

 

 

 

 

092

1.2.4

Transitional recognition in consolidated own funds of qualifying Tier 2 capital

 

 

 

 

 

 

100

1.3

OTHER TRANSITIONAL ADJUSTMENTS

link to {CA1;r520}

link to {CA1;r730}

link to {CA1;r960}

 

 

 

110

1.3.1

Unrealised gains and losses

 

 

 

 

 

 

120

1.3.1.1

Unrealised gains

 

 

 

 

 

 

130

1.3.1.2

Unrealised losses

 

 

 

 

 

 

133

1.3.1.3.

Unrealised gains on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39

 

 

 

 

 

 

136

1.3.1.4.

Unrealised loss on exposures to central governments classified in the "Available for sale" category of EU-endorsed IAS39

 

 

 

 

 

 

138

1.3.1.5.

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

 

 

 

 

 

 

140

1.3.2

Deductions

 

 

 

 

 

 

150

1.3.2.1

Losses for the current financial year

 

 

 

 

 

 

160

1.3.2.2

Intangible assets

 

 

 

 

 

 

170

1.3.2.3

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

 

 

 

 

 

 

180

1.3.2.4

IRB shortfall of provisions to expected losses

 

 

 

 

 

 

190

1.3.2.5

Defined benefit pension fund assets

 

 

 

 

 

 

194

1.3.2.5*

of which: Introduction of amendments to IAS 19 - positive item

 

 

 

 

 

 

198

1.3.2.5**

of which: Introduction of amendments to IAS 19 - negative item

 

 

 

 

 

 

200

1.3.2.6

Own instruments

 

 

 

 

 

 

210

1.3.2.6.1

Own CET1 instruments

 

 

 

 

 

 

211

1.3.2.6.1**

of which: Direct holdings

 

 

 

 

 

 

212

1.3.2.6.1*

of which: Indirect holdings

 

 

 

 

 

 

220

1.3.2.6.2

Own AT1 instruments

 

 

 

 

 

 

221

1.3.2.6.2**

of which: Direct holdings

 

 

 

 

 

 

222

1.3.2.6.2*

of which: Indirect holdings

 

 

 

 

 

 

230

1.3.2.6.3

Own T2 instruments

 

 

 

 

 

 

231

1.3.2.6.3*

of which: Direct holdings

 

 

 

 

 

 

232

1.3.2.6.3**

of which: Indirect holdings

 

 

 

 

 

 

240

1.3.2.7

Reciprocal cross holdings

 

 

 

 

 

 

250

1.3.2.7.1

Reciprocal cross holdings in CET1 Capital

 

 

 

 

 

 

260

1.3.2.7.1.1

Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment

 

 

 

 

 

 

270

1.3.2.7.1.2

Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment

 

 

 

 

 

 

280

1.3.2.7.2

Reciprocal cross holdings in AT1 Capital

 

 

 

 

 

 

290

1.3.2.7.2.1

Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment

 

 

 

 

 

 

300

1.3.2.7.2.2

Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment

 

 

 

 

 

 

310

1.3.2.7.3

Reciprocal cross holdings in T2 Capital

 

 

 

 

 

 

320

1.3.2.7.3.1

Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment

 

 

 

 

 

 

330

1.3.2.7.3.2

Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment

 

 

 

 

 

 

340

1.3.2.8

Own funds instruments of financial sector entities where the institution does not have a significant investment

 

 

 

 

 

 

350

1.3.2.8.1

CET1 instruments of financial sector entities where the institution does not have a significant investment

 

 

 

 

 

 

360

1.3.2.8.2

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

 

 

 

 

 

 

370

1.3.2.8.3

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

 

 

 

 

 

 

380

1.3.2.9

Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment

 

 

 

 

 

 

385

1.3.2.9a

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

 

 

 

 

 

 

390

1.3.2.10

Own funds instruments of financial sector entities where the institution has a significant investment

 

 

 

 

 

 

400

1.3.2.10.1

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

 

 

 

 

 

 

410

1.3.2.10.2

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

 

 

 

 

 

 

420

1.3.2.10.3

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

 

 

 

 

 

 

425

1.3.2.11

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

 

 

 

 

 

 

430

1.3.3

Additional filters and deductions

 

 

 

 

 

 

440

1.3.4

Adjustments due to IFRS 9 transitional arrangements

 

 

 

 

 

 


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

CA 5.2 Grandfathered instruments: Instruments not constituting State aid

Amount of instruments plus related share premium

Base for calculating the limit

Applicable percentage

Limit

(-) Amount that exceeds the limits for grandfathering

Total grandfathered amount

Code

ID

Item

010

020

030

040

050

060

010

1.

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

 

 

 

 

 

link to {CA5.1;r060;c010)

020

2.

Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489

 

 

 

 

 

link to {CA5.1;r060;c020)

030

2.1

Total instruments without a call or an incentive to redeem

 

 

 

 

 

 

040

2.2.

Grandfathered instruments with a call and incentive to redeem

 

 

 

 

 

 

050

2.2.1

Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of CRR after the date of effective maturity

 

 

 

 

 

 

060

2.2.2

Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity

 

 

 

 

 

 

070

2.2.3

Instruments with a call exercisable prior toor on 20 July 2011, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity

 

 

 

 

 

 

080

2.3

Excess on the limit of CET1 grandfathered instruments

 

 

 

 

 

 

090

3

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

 

 

 

 

 

link to {CA5.1;r060;c030)

100

3.1

Total itemswithout an incentive to redeem

 

 

 

 

 

 

110

3.2

Grandfathered items with an incentive to redeem

 

 

 

 

 

 

120

3.2.1

Itemswith a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity

 

 

 

 

 

 

130

3.2.2

Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity

 

 

 

 

 

 

140

3.2.3

Items with a call exercisable prior toor on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity

 

 

 

 

 

 

150

3.3

Excess on the limit of AT1 grandfathered instruments

 

 

 

 

 

 


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

 

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

CAPITAL BUFFERS

TOTAL RISK EXPOSURE AMOUNT

 

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

 

CONSOLIDATED OWN FUNDS

 

COMBINED BUFFER REQUIREMENTS

 

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

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

 

QUALIFYINGOWN FUNDS INSTRUMENTSINCLUDED IN CONSOLIDATED TIER 2 CAPITAL

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

OF WHICH: COMMON EQUITY TIER 1

OF WHICH: ADDITIONAL TIER 1

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

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

CAPITAL CONSERVATION BUFFER

INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER

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

SYSTEMIC RISK BUFFER

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

QUALIFYINGTIER 1 INSTRUMENTSINCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

250

260

270

280

290

300

310

320

330

340

350

360

370

380

390

400

410

420

430

440

450

470

480

010

TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


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

ENTITIES WITHIN SCOPE OF CONSOLIDATION

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

CAPITAL BUFFERS

NAME

CODE

LEI code

INSTITUTION OR EQUIVALENT(YES / NO)

TYPE OF ENTITY

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

COUNTRY CODE

SHARE OF HOLDING (%)

TOTAL RISK EXPOSURE AMOUNT

 

OWN FUNDS

 

 

TOTAL RISK EXPOSURE AMOUNT

 

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

 

CONSOLIDATED OWN FUNDS

 

COMBINED BUFFER REQUIREMENT

 

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

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

 

TOTAL TIER 1 CAPITAL

 

 

TIER 2 CAPITAL

 

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

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

 

QUALIFYINGOWN FUNDS INSTRUMENTSINCLUDED IN CONSOLIDATED TIER 2 CAPITAL

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

OF WHICH: COMMON EQUITY TIER 1

OF WHICH: ADDITIONAL TIER 1

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

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

CAPITAL CONSERVATION BUFFER

INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER

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

SYSTEMIC RISK BUFFER

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

 

COMMON EQUITY TIER 1 CAPITAL

 

ADDITIONAL TIER 1 CAPITAL

 

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

QUALIFYINGTIER 1 INSTRUMENTSINCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

OF WHICH: QUALIFYING OWN FUNDS

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

OF WHICH: QUALIFYING TIER 1 CAPITAL

RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

OF WHICH: MINORITY INTERESTS

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

OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

OF WHICH: QUALIFYING TIER 2 CAPITAL

010

020

025

030

035

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

260

270

280

290

300

310

320

330

340

350

360

370

380

390

400

410

420

430

440

450

470

480

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


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

SA Exposure class

 

 

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

(-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE

EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

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

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD

FULLY ADJUSTED EXPOSURE VALUE (E*)

BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS

EXPOSURE VALUE

 

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

 

UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)

FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

VOLATILITY ADJUSTMENT TO THE EXPOSURE

(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)

0 %

20 %

50 %

100 %

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

OF WHICH:WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI

OF WHICH:WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) FINANCIAL COLLATERAL: SIMPLE METHOD

(-) OTHER FUNDED CREDIT PROTECTION

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

 

(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS

010

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

215

220

230

240

010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

 

015

of which: Defaulted exposures

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

020

of which: SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

030

of which: Exposures subject to SME-supporting factor

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

050

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

060

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

070

On balance sheet exposures subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

080

Off balance sheet exposures subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exposures / Transactions subject to counterparty credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

090

Securities Financing Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100

of which: centrally cleared through a QCCP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

110

Derivatives & Long Settlement Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

120

of which: centrally cleared through a QCCP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

130

From Contractual Cross Product Netting

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:

140

0 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

150

2 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

160

4 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

170

10 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

180

20 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

190

35 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

200

50 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

210

70 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

220

75 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

230

100 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

240

150 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

250

250 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

260

370 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

270

1250 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

280

Other risk weights

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MEMORANDUM ITEMS

290

Exposures secured by mortgages on commercial immovable property

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

300

Exposures in default subject to a risk weight of 100 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

310

Exposures secured by mortgages on residential property

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

320

Exposures in default subject to a risk weight of 150 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


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

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

 

INTERNAL RATING SYSTEM

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

 

EXPOSURE VALUE

 

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

SUBJECT TO DOUBLE DEFAULT TREATMENT

EXPOSURE WEIGHTED AVERAGE LGD (%)

EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGEFINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

MEMORANDUM ITEMS:

UNFUNDED CREDIT PROTECTION

(-) OTHER FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION

FUNDED CREDIT PROTECTION

UNFUNDED CREDIT PROTECTION

EXPECTED LOSS AMOUNT

(-) VALUE ADJUSTMENTS AND PROVISIONS

NUMBER OF OBLIGORS

PD ASSIGNED TO THE OBLIGOR GRADE OR POOL(%)

 

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

GUARANTEES

CREDIT DERIVATIVES

OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION

ELIGIBLE FINANCIAL COLLATERAL

OTHER ELIGIBLE COLLATERAL

 

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

REAL ESTATE

OTHER PHYSICAL COLLATERAL

RECEIVABLES

010

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

255

260

270

280

290

300

010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

 

 

 

015

of which: Exposures subject to SME-supporting factor

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

020

On balance sheet items subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

030

Off balance sheet items subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exposures / Transactions subject to counterparty credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040

Securities Financing Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

050

Derivatives & Long Settlement Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

060

From Contractual Cross Product Netting

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

070

EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

080

SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:

090

RISK WEIGHT: 0%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100

50%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

110

70%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

120

Of which: in category 1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

130

90%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

140

115%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

150

250%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

160

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

170

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

180

DILUTION RISK: TOTAL PURCHASED RECEIVABLES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


C 08.02 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

OBLIGOR GRADE (ROW IDENTIFIER)

INTERNAL RATING SYSTEM

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

 

EXPOSURE VALUE

 

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

SUBJECT TO DOUBLE DEFAULT TREATMENT

EXPOSURE WEIGHTED AVERAGE LGD (%)

EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGEFINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR

MEMORANDUM ITEMS:

UNFUNDED CREDIT PROTECTION

(-) OTHER FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

OWN ESTIMATES OF LGD'S ARE USED:UNFUNDED CREDIT PROTECTION

FUNDED CREDIT PROTECTION

UNFUNDED CREDIT PROTECTION

EXPECTED LOSS AMOUNT

(-) VALUE ADJUSTMENTS AND PROVISIONS

NUMBER OF OBLIGORS

PD ASSIGNED TO THE OBLIGOR GRADE OR POOL(%)

 

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

GUARANTEES

CREDIT DERIVATIVES

OWN ESTIMATES OF LGD'S ARE USED:OTHER FUNDED CREDIT PROTECTION

ELIGIBLE FINANCIAL COLLATERAL

OTHER ELIGIBLE COLLATERAL

 

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

REAL ESTATE

OTHER PHYSICAL COLLATERAL

RECEIVABLES

005

010

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

255

260

270

280

290

300

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


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

Country:

 

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Observed new defaults for the period

General credit risk adjustments

Specific credit risk adjustments

Write offs

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

 

Defaulted exposures

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

Observed new defaults for the period

General credit risk adjustments

Specific credit risk adjustments

Write off

Credit risk adjustments/write-offs for observed new defaults

PD ASSIGNED TO THE OBLIGOR GRADE OR POOL(%)

EXPOSURE WEIGHTED AVERAGE LGD (%)

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

EXPECTED LOSS AMOUNT

 

Of which: defaulted

 

Of which: defaulted

 

Of which: defaulted

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

042

Of Which: Specialised Lending(excl. SL subject to slotting criteria)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

045

Of Which: Specialised Lendingsubject to slotting criteria

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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 10.01 - CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)

 

INTERNAL RATING SYSTEM

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

EXPOSURE VALUE

EXPOSURE WEIGHTED AVERAGE LGD(%)

RISK WEIGHTED EXPOSURE AMOUNT

MEMORANDUM ITEM:

UNFUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

EXPECTED LOSS AMOUNT

PD ASSIGNED TO THE OBLIGOR GRADE(%)

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

010

020

030

040

050

060

070

080

090

010

TOTAL IRB EQUITY EXPOSURES

 

 

 

 

 

 

 

Cell linked to CA

 

020

PD/LGD APRROACH: TOTAL

 

 

 

 

 

 

 

 

 

050

SIMPLE RISK WEIGHT APPROACH: TOTAL

 

 

 

 

 

 

 

 

 

060

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

070

RISK WEIGHT: 190%

 

 

 

 

 

 

 

 

 

080

290 %

 

 

 

 

 

 

 

 

 

090

370 %

 

 

 

 

 

 

 

 

 

100

INTERNAL MODELS APPROACH

 

 

 

 

 

 

 

 

 

110

EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS

 

 

 

 

 

 

 

 

 


C 10.02 - CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES (CR EQU IRB 2)

OBLIGOR GRADE(ROW IDENTIFIER)

INTERNAL RATING SYSTEM

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

EXPOSURE VALUE

EXPOSURE WEIGHTED AVERAGE LGD(%)

RISK WEIGHTED EXPOSURE AMOUNT

MEMORANDUM ITEM:

UNFUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

EXPECTED LOSS AMOUNT

PD ASSIGNED TO THE OBLIGOR GRADE(%)

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

005

010

020

030

040

050

060

070

080

090

 

 

 

 

 

 

 

 

 

 


C 11.00 - SETTLEMENT/DELIVERY RISK (CR SETT)

 

UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE

PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS

OWN FUNDS REQUIREMENTS

TOTAL SETTLEMENT RISK EXPOSURE AMOUNT

010

020

030

040

010

Total unsettled transactions in the Non-trading Book

 

 

 

Cell linked to CA

020

Transactions unsettled up to 4 days (Factor 0%)

 

 

 

 

030

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

 

 

 

 

040

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

 

 

 

 

050

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

 

 

 

 

060

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

 

 

 

 

070

Total unsettled transactions in the Trading Book

 

 

 

Cell linked to CA

080

Transactions unsettled up to 4 days (Factor 0%)

 

 

 

 

090

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

 

 

 

 

100

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

 

 

 

 

110

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

 

 

 

 

120

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

 

 

 

 


C 12.00 - CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)

 

TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED

SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

SECURITISATION POSITIONS

(-) VALUE ADJUSTMENTS AND PROVISIONS

EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

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

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)

FULLY ADJUSTED EXPOSURE VALUE (E*)

BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS

EXPOSURE VALUE

 

BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

RISK-WEIGHTED EXPOSURE AMOUNT

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

MEMORANDUM ITEM:

RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES

(-) FUNDED CREDIT PROTECTION (Cva)

(-) TOTAL OUTFLOWS

NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)

(-) FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

0%

>0% and <=20%

>20% and <=50%

>50% and <=100%

(-) DEDUCTED FROM OWN FUNDS

SUBJECT TO RISK WEIGHTS

RATED

(CREDIT QUALITY STEPS)

1 250 %

LOOK-THROUGH

INTERNAL ASSESMENT APPROACH

(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

(-) TOTAL OUTFLOWS

TOTAL INFLOWS

CQS 1

CQS 2

CQS 3

CQS 4

ALL OTHER CQS

UNRATED

 

OF WHICH: SECOND LOSS IN ABCP

OF WHICH: AVERAGE RISK WEIGHT (%)

 

AVERAGE RISK WEIGHT (%)

 

OF WHICH: SYNTHETIC SECURITISATIONS

BEFORE CAP

AFTER CAP

010

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

260

270

280

290

300

310

320

330

340

350

360

370

380

390

010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

020

OF WHICH: RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

030

ORIGINATOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040

ON-BALANCE SHEET ITEMS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

050

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

060

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

070

OFF-BALANCESHEET ITEMS AND DERIVATIVES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

080

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

090

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100

EARLY AMORTISATION

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

110

INVESTOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

120

ON-BALANCE SHEET ITEMS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

130

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

140

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

150

OFF-BALANCESHEET ITEMS AND DERIVATIVES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

160

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

170

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

180

SPONSOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

190

ON-BALANCE SHEET ITEMS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

200

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

210

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

220

OFF-BALANCESHEET ITEMS AND DERIVATIVES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

230

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

240

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:

250

CQS 1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

260

CQS 2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

270

CQS 3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

280

CQS 4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

290

ALL OTHER CQS AND UNRATED

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


C 13.00 - CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)

 

TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED

SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

SECURITISATION POSITIONS

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

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)

FULLY ADJUSTED EXPOSURE VALUE (E*)

BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CREDIT CONVERSION FACTORS

EXPOSURE VALUE

 

BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS

RISK-WEIGHTED EXPOSURE AMOUNT

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES

(-) FUNDED CREDIT PROTECTION (Cva)

(-) TOTAL OUTFLOWS

NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)

(-) FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

0%

>0% and <=20%

>20% and <=50%

>50% and <=100%

(-) DEDUCTED FROM OWN FUNDS

SUBJECT TO RISK WEIGHTS

RATINGS BASED METHOD(CREDIT QUALITY STEPS)

1 250 %

SUPERVISORY FORMULA METHOD

LOOK-THROUGH

INTERNAL ASSESSMENT APPROACH

(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

(-) TOTAL OUTFLOWS

TOTAL INFLOWS

CQS 1 & S/T CQS 1

CQS 2

CQS 3

CQS 4 & S/T CQS 2

CQS 5

CQS 6

CQS 7 & S/T CQS 3

CQS 8

CQS 9

CQS 10

CQS 11

ALL OTHER CQS

UNRATED

 

AVERAGE RISK WEIGHT (%)

 

AVERAGE RISK WEIGHT (%)

 

AVERAGE RISK WEIGHT (%)

 

OF WHICH: SYNTHETIC SECURITISATIONS

BEFORE CAP

AFTER CAP

010

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

260

270

280

290

300

310

320

330

340

350

360

370

380

390

400

410

420

430

440

450

460

010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

020

OF WHICH: RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

030

ORIGINATOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040

ON-BALANCE SHEET ITEMS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

050

SECURITISATIONS

A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

060

B

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

070

C

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

080

RE-SECURITISATIONS

D

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

090

E

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

110

SECURITISATIONS

A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

120

B

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

130

C

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

140

RE-SECURITISATIONS

D

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

150

E

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

160

EARLY AMORTISATION

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

170

INVESTOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

180

ON-BALANCE SHEET ITEMS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

190

SECURITISATIONS

A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

200

B

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

210

C

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

220

RE-SECURITISATIONS

D

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

230

E

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

240

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

250

SECURITISATIONS

A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

260

B

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

270

C

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

280

RE-SECURITISATIONS

D

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

290

E

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

300

SPONSOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

310

ON-BALANCE SHEET ITEMS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

320

SECURITISATIONS

A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

330

B

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

340

C

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

350

RE-SECURITISATIONS

D

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

360

E

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

370

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

380

SECURITISATIONS

A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

390

B

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

400

C

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

410

RE-SECURITISATIONS

D

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

420

E

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:

430

CQS 1 & S/T CQS 1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

440

CQS 2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

450

CQS 3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

460

CQS 4 & S/T CQS 2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

470

CQS 5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

480

CQS 6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

490

CQS 7 & S/T CQS 3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

500

CQS 8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

510

CQS 9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

520

CQS 10

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

530

CQS 11

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

540

ALL OTHER CQS AND UNRATED

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details)

ROW NUMBER

INTERNAL CODE

IDENTIFIER OF THE SECURITISATION

IDENTIFIER OF THE ORIGINATOR

SECURITISATION TYPE: (TRADITIONAL / SYNTHETIC)

ACCOUNTING TREATMENT: Securitised exposures are kept or removed from the balance sheet?

SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements ?

SECURITISATION OR RE-SECURITISATION?

STS SECURITISATION

RETENTION

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

NON ABCP PROGRAMMES

 

SECURITISED EXPOSURES

SECURITISATION STRUCTURE

SECURITISATION POSITIONS

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

APPROACH

STS SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

SECURITISATION POSITIONS - TRADING BOOK

TYPE OF RETENTION APPLIED

% OF RETENTION AT REPORTING DATE

COMPLIANCE WITH THE RETENTION REQUIREMENT?

ORIGINATION DATE

TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE

TOTAL AMOUNT

INSTITUTION'S SHARE (%)

TYPE

APPROACH APPLIED (SA/IRB/MIX)

NUMBER OF EXPOSURES

COUNTRY

ELGD (%)

(-) VALUE ADJUSTMENTS AND PROVISIONS

OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)

ON-BALANCE SHEET ITEMS

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

MATURITY

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

EARLY AMORTISATION

CTP OR NON-CTP?

NET POSITIONS

TOTAL OWN FUNDS REQUIREMENTS (SA)

SENIOR

MEZZANINE

FIRST LOSS

SENIOR

MEZZANINE

FIRST LOSS

FIRST FORESEEABLE TERMINATION DATE

LEGAL FINAL MATURITY DATE

ON-BALANCE SHEET ITEMS

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

DIRECT CREDIT SUBSTITUTES

IRS / CRS

ELIGIBLE LIQUIDITY FACILITIES

OTHER (including non-eligible LF)

CONVERSION FACTOR APPLIED

SENIOR

MEZZANINE

FIRST LOSS

SENIOR

MEZZANINE

FIRST LOSS

BEFORE CAP

AFTER CAP

LONG

SHORT

SPECIFIC RISK

005

010

020

030

040

050

060

070

075

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

260

270

280

290

300

310

320

330

340

350

360

370

380

390

400

410

420

430

440

445

446

450

460

470

480

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


C 16.00 - OPERATIONAL RISK (OPR)

BANKING ACTIVITIES

RELEVANT INDICATOR

LOANS AND ADVANCES (IN CASE OF ASA APPLICATION)

OWN FUNDSREQUIREMENT

Total operational risk exposure amount

AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE

YEAR-3

YEAR-2

LAST YEAR

YEAR-3

YEAR-2

LAST YEAR

OF WHICH: DUE TO AN ALLOCATION MECHANISM

OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)

010

020

030

040

050

060

070

071

080

090

100

110

120

010

1.

BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)

 

 

 

 

 

 

 

Cell linked to CA2

 

 

 

 

 

020

2.

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

 

 

 

 

 

 

 

Cell linked to CA2

 

 

 

 

 

 

SUBJECT TO TSA:

 

 

 

 

 

 

 

 

 

 

 

 

 

030

CORPORATE FINANCE (CF)

 

 

 

 

 

 

 

 

 

 

 

 

 

040

TRADING AND SALES (TS)

 

 

 

 

 

 

 

 

 

 

 

 

 

050

RETAIL BROKERAGE (RBr)

 

 

 

 

 

 

 

 

 

 

 

 

 

060

COMMERCIAL BANKING (CB)

 

 

 

 

 

 

 

 

 

 

 

 

 

070

RETAIL BANKING (RB)

 

 

 

 

 

 

 

 

 

 

 

 

 

080

PAYMENT AND SETTLEMENT (PS)

 

 

 

 

 

 

 

 

 

 

 

 

 

090

AGENCY SERVICES (AS)

 

 

 

 

 

 

 

 

 

 

 

 

 

100

ASSET MANAGEMENT (AM)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

SUBJECT TO ASA:

 

 

 

 

 

 

 

 

 

 

 

 

 

110

COMMERCIAL BANKING (CB)

 

 

 

 

 

 

 

 

 

 

 

 

 

120

RETAIL BANKING (RB)

 

 

 

 

 

 

 

 

 

 

 

 

 

130

3.

 BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA

 

 

 

 

 

 

 

Cell linked to CA2

 

 

 

 

 


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

MAPPING OF LOSSES TO BUSINESS LINES

EVENT TYPES

TOTAL EVENT TYPES

MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION

INTERNAL FRAUD

EXTERNAL FRAUD

EMPLOYMENT PRACTICES AND WORKPLACE SAFETY

CLIENTS, PRODUCTS & BUSINESS PRACTICES

DAMAGE TO PHYSICAL ASSETS

BUSINESS DISRUPTION AND SYSTEM FAILURES

EXECUTION, DELIVERY & PROCESS MANAGEMENT

LOWEST

HIGHEST

Rows

 

010

020

030

040

050

060

070

080

090

100

0010

CORPORATE FINANCE[CF]

Number of events (new events)

 

 

 

 

 

 

 

 

 

 

0020

Gross loss amount (new events)

 

 

 

 

 

 

 

 

 

 

0030

Number of events subject to loss adjustments

 

 

 

 

 

 

 

 

 

 

0040

Loss adjustments relating to previous reporting periods

 

 

 

 

 

 

 

 

 

 

0050

Maximum single loss

 

 

 

 

 

 

 

 

 

 

0060

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

0070

Total direct loss recovery

 

 

 

 

 

 

 

 

 

 

0080

Total recovery from insurance and other risk transfer mechanisms

 

 

 

 

 

 

 

 

 

 

0110

TRADINGAND SALES[TS]

Number of events (new events)

 

 

 

 

 

 

 

 

 

 

0120

Gross loss amount (new events)

 

 

 

 

 

 

 

 

 

 

0130

Number of events subject to loss adjustments

 

 

 

 

 

 

 

 

 

 

0140

Loss adjustments relating to previous reporting periods

 

 

 

 

 

 

 

 

 

 

0150

Maximum single loss

 

 

 

 

 

 

 

 

 

 

0160

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

0170

Total direct loss recovery

 

 

 

 

 

 

 

 

 

 

0180

Total recovery from insurance and other risk transfer mechanisms

 

 

 

 

 

 

 

 

 

 

0210

RETAIL BROKERAGE [RBr]

Number of events (new events)

 

 

 

 

 

 

 

 

 

 

0220

Gross loss amount (new events)

 

 

 

 

 

 

 

 

 

 

0230

Number of events subject to loss adjustments

 

 

 

 

 

 

 

 

 

 

0240

Loss adjustments relating to previous reporting periods

 

 

 

 

 

 

 

 

 

 

0250

Maximum single loss

 

 

 

 

 

 

 

 

 

 

0260

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

0270

Total direct loss recovery

 

 

 

 

 

 

 

 

 

 

0280

Total recovery from insurance and other risk transfer mechanisms

 

 

 

 

 

 

 

 

 

 

0310

COMMERCIAL BANKING[CB]

Number of events (new events)

 

 

 

 

 

 

 

 

 

 

0320

Gross loss amount (new events)

 

 

 

 

 

 

 

 

 

 

0330

Number of events subject to loss adjustments

 

 

 

 

 

 

 

 

 

 

0340

Loss adjustments relating to previous reporting periods

 

 

 

 

 

 

 

 

 

 

0350

Maximum single loss

 

 

 

 

 

 

 

 

 

 

0360

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

0370

Total direct loss recovery

 

 

 

 

 

 

 

 

 

 

0380

Total recovery from insurance and other risk transfer mechanisms

 

 

 

 

 

 

 

 

 

 

0410

RETAILBANKING[RB]

Number of events (new events)

 

 

 

 

 

 

 

 

 

 

0420

Gross loss amount (new events)

 

 

 

 

 

 

 

 

 

 

0430

Number of events subject to loss adjustments

 

 

 

 

 

 

 

 

 

 

0440

Loss adjustments relating to previous reporting periods

 

 

 

 

 

 

 

 

 

 

0450

Maximum single loss

 

 

 

 

 

 

 

 

 

 

0460

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

0470

Total direct loss recovery

 

 

 

 

 

 

 

 

 

 

0480

Total recovery from insurance and other risk transfer mechanisms

 

 

 

 

 

 

 

 

 

 

0510

PAYMENT AND SETTLEMENT [PS]

Number of events (new events)

 

 

 

 

 

 

 

 

 

 

0520

Gross loss amount (new events)

 

 

 

 

 

 

 

 

 

 

0530

Number of events subject to loss adjustments

 

 

 

 

 

 

 

 

 

 

0540

Loss adjustments relating to previous reporting periods

 

 

 

 

 

 

 

 

 

 

0550

Maximum single loss

 

 

 

 

 

 

 

 

 

 

0560

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

0570

Total direct loss recovery

 

 

 

 

 

 

 

 

 

 

0580

Total recovery from insurance and other risk transfer mechanisms

 

 

 

 

 

 

 

 

 

 

0610

AGENCYSERVICES[AS]

Number of events (new events)

 

 

 

 

 

 

 

 

 

 

0620

Gross loss amount (new events)

 

 

 

 

 

 

 

 

 

 

0630

Number of events subject to loss adjustments

 

 

 

 

 

 

 

 

 

 

0640

Loss adjustments relating to previous reporting periods

 

 

 

 

 

 

 

 

 

 

0650

Maximum single loss

 

 

 

 

 

 

 

 

 

 

0660

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

0670

Total direct loss recovery

 

 

 

 

 

 

 

 

 

 

0680

Total recovery from insurance and other risk transfer mechanisms

 

 

 

 

 

 

 

 

 

 

0710

ASSET MANAGEMENT [AM]

Number of events (new events)

 

 

 

 

 

 

 

 

 

 

0720

Gross loss amount (new events)

 

 

 

 

 

 

 

 

 

 

0730

Number of events subject to loss adjustments

 

 

 

 

 

 

 

 

 

 

0740

Loss adjustments relating to previous reporting periods

 

 

 

 

 

 

 

 

 

 

0750

Maximum single loss

 

 

 

 

 

 

 

 

 

 

0760

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

0770

Total direct loss recovery

 

 

 

 

 

 

 

 

 

 

0780

Total recovery from insurance and other risk transfer mechanisms

 

 

 

 

 

 

 

 

 

 

0810

CORPORATE ITEMS[CI]

Number of events (new events)

 

 

 

 

 

 

 

 

 

 

0820

Gross loss amount (new events)

 

 

 

 

 

 

 

 

 

 

0830

Number of events subject to loss adjustments

 

 

 

 

 

 

 

 

 

 

0840

Loss adjustments relating to previous reporting periods

 

 

 

 

 

 

 

 

 

 

0850

Maximum single loss

 

 

 

 

 

 

 

 

 

 

0860

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

0870

Total direct loss recovery

 

 

 

 

 

 

 

 

 

 

0880

Total recovery from insurance and other risk transfer mechanisms

 

 

 

 

 

 

 

 

 

 

0910

TOTALBUSINESSLINES

Number of events (new events). Of which:

 

 

 

 

 

 

 

 

 

 

0911

related to losses ≥ 10,000 and < 20.000

 

 

 

 

 

 

 

 

 

 

0912

related to losses ≥ 20,000 and < 100.000

 

 

 

 

 

 

 

 

 

 

0913

related to losses ≥ 100,000 and < 1 000 000

 

 

 

 

 

 

 

 

 

 

0914

related to losses ≥ 1 000 000

 

 

 

 

 

 

 

 

 

 

0920

Gross loss amount (new events). Of which:

 

 

 

 

 

 

 

 

 

 

0921

related to losses ≥ 10,000 and < 20.000

 

 

 

 

 

 

 

 

 

 

0922

related to losses ≥ 20,000 and < 100.000

 

 

 

 

 

 

 

 

 

 

0923

related to losses ≥ 100,000 and < 1 000 000

 

 

 

 

 

 

 

 

 

 

0924

related to losses ≥ 1 000 000

 

 

 

 

 

 

 

 

 

 

0930

Number of events subject to loss adjustments. Of which:

 

 

 

 

 

 

 

 

 

 

0935

of which: number of events with a positive loss adjustment

 

 

 

 

 

 

 

 

 

 

0936

of which: number of events with a negative loss adjustment

 

 

 

 

 

 

 

 

 

 

0940

Loss adjustments relating to previous reporting periods

 

 

 

 

 

 

 

 

 

 

0945

of which: positive loss adjustment amounts (+)

 

 

 

 

 

 

 

 

 

 

0946

of which: negative loss adjustment amounts (-)

 

 

 

 

 

 

 

 

 

 

0950

Maximum single loss

 

 

 

 

 

 

 

 

 

 

0960

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

0970

Total direct loss recovery

 

 

 

 

 

 

 

 

 

 

0980

Total recovery from insurance and other risk transfer mechanisms

 

 

 

 

 

 

 

 

 

 


C 17.02 - OPERATIONAL RISK: LARGE LOSS EVENTS (OPR DETAILS 2)

 

Event ID

Date of accounting

Date of occurrence

Date of discovery

Event Type

Gross loss

Gross loss net of direct recoveries

GROSS LOSS BY BUSINESS LINE

Legal Entity name

Legal Entity ID

Business Unit

Description

Corporate Finance[CF]

Trading and Sales[TS]

Retail Brokerage [RBr]

Commercial Banking[CB]

Retail Banking[RB]

Payment and Settlement [PS]

Agency Services[AS]

Asset Management [AM]

Corporate Items[CI]

Rows

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

…

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


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

Currency:

 

POSITIONS

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

ALL POSITIONS

NET POSITIONS

POSITIONS SUBJECT TO CAPITAL CHARGE

LONG

SHORT

LONG

SHORT

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

 

 

 

 

 

 

 

385

Delta plus approach - non-continuous options and warrants

 

 

 

 

 

 

 

390

Scenario matrix approach

 

 

 

 

 

 

 


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

 

ALL POSITIONS

(-) POSITIONS DEDUCTED FROM OWN FUNDS

NET POSITIONS

BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS

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

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

BEFORE CAP

AFTER CAP

TOTAL OWN FUNDS REQUIREMENTS

RISK WEIGHTS < 1 250 %

1 250 %

SUPERVISORY FORMULA METHOD

LOOK-THROUGH

INTERNAL ASSESMENT APPROACH

RISK WEIGHTS < 1 250 %

1 250 %

SUPERVISORY FORMULA METHOD

LOOK-THROUGH

INTERNAL ASSESMENT APPROACH

LONG

SHORT

(-) LONG

(-) SHORT

LONG

SHORT

7 - 10 %

12 - 18 %

20 - 35 %

40 - 75 %

100 %

150 %

200 %

225 %

250 %

300 %

350 %

425 %

500 %

650 %

750 %

850 %

RATED

UNRATED

 

AVERAGE RISK WEIGHT (%)

 

AVERAGE RISK WEIGHT (%)

7 - 10 %

12 - 18 %

20 - 35 %

40 - 75 %

100 %

150 %

200 %

225 %

250 %

300 %

350 %

425 %

500 %

650 %

750 %

850 %

RATED

UNRATED

 

AVERAGE RISK WEIGHT (%)

 

AVERAGE RISK WEIGHT (%)

WEIGHTED NET LONG POSITIONS

WEIGHTED NET SHORT POSITIONS

WEIGHTED NET LONG POSITIONS

WEIGHTED NET SHORT POSITIONS

SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

WEIGHTED NET LONG POSITIONS

WEIGHTED NET SHORT POSITIONS

SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

010

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

260

270

280

290

300

310

320

330

340

350

360

370

380

390

400

410

420

430

440

450

460

470

480

490

500

510

520

530

540

550

560

570

580

590

600

610

010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to MKR SA TDI {325:060}

020

Of which: RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

030

ORIGINATOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

050

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

060

INVESTOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

070

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

080

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

090

SPONSOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

110

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES:

120

1.

Residential mortgages

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

130

2.

Commercial mortgages

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

140

3.

Credit card receivables

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

150

4.

Leasing

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

160

5.

Loans to corporates or SMEs

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

170

6.

Consumer loans

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

180

7.

Trade receivables

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

190

8.

Other assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

200

9.

Covered Bondes

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

210

10.

Other liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


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

 

ALL POSITIONS

(-) POSITIONS DEDUCTED FROM OWN FUNDS

NET POSITIONS

BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS

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

BEFORE CAP

AFTER CAP

TOTAL OWN FUNDS REQUIREMENTS

RISK WEIGHTS < 1 250 %

1 250 %

SUPERVISORY FORMULA METHOD

LOOK-THROUGH

INTERNAL ASSESMENT APPROACH

RISK WEIGHTS < 1 250 %

1 250 %

SUPERVISORY FORMULA METHOD

LOOK-THROUGH

INTERNAL ASSESMENT APPROACH

LONG

SHORT

(-) LONG

(-) SHORT

LONG

SHORT

7 - 10 %

12 - 18 %

20 - 35 %

40- 75 %

100 %

250 %

350 %

425 %

650 %

Other

RATED

UNRATED

 

AVERAGE RISK WEIGHT (%)

 

AVERAGE RISK WEIGHT (%)

7 - 10 %

12 - 18 %

20 - 35 %

40 - 75 %

100 %

250 %

350 %

425 %

650 %

Other

RATED

UNRATED

 

AVERAGE RISK WEIGHT (%)

 

AVERAGE RISK WEIGHT (%)

WEIGHTED NET LONG POSITIONS

WEIGHTED NET SHORT POSITIONS

WEIGHTED NET LONG POSITIONS

WEIGHTED NET SHORT POSITIONS

010

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

260

270

280

290

300

310

320

330

340

350

360

370

380

390

400

410

420

430

440

450

010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to MKR SA TDI {330:060}

 

SECURITISATION POSITIONS:

020

ORIGINATOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

030

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040

OTHER CTP POSITIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

050

INVESTOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

060

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

070

OTHER CTP POSITIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

080

SPONSOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

090

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100

OTHER CTP POSITIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

N-TH-TO-DEFAULT CREDIT DERIVATIVES:

110

N-TH-TO-DEFAULT CREDIT DERIVATIVES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

120

OTHER CTP POSITIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


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

National market:

 

POSITIONS

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

ALL POSITIONS

NET POSITIONS

POSITIONS SUBJECT TO CAPITAL CHARGE

LONG

SHORT

LONG

SHORT

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

 

 

 

 

 

 

 

125

Delta plus approach - non-continuous options and warrants

 

 

 

 

 

 

 

130

Scenario matrix approach

 

 

 

 

 

 

 


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

 

ALL POSITIONS

NET POSITIONS

POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions)

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

LONG

SHORT

LONG

SHORT

LONG

SHORT

MATCHED

020

030

040

050

060

070

080

090

100

010

TOTAL POSITIONS

 

 

 

 

 

 

 

 

Cell linked to CA

020

Currencies closely correlated

 

 

 

 

 

 

 

 

 

025

of which: reporting currency

 

 

 

 

 

 

 

 

 

030

All other currencies (including CIUs treated as different currencies)

 

 

 

 

 

 

 

 

 

040

Gold

 

 

 

 

 

 

 

 

 

050

Additional requirements for options (non-delta risks)

 

 

 

 

 

 

 

 

 

060

Simplified method

 

 

 

 

 

 

 

 

 

070

Delta plus approach - additional requirements for gamma risk

 

 

 

 

 

 

 

 

 

080

Delta plus approach - additional requirements for vega risk

 

 

 

 

 

 

 

 

 

085

Delta plus approach - non-continuous options and warrants

 

 

 

 

 

 

 

 

 

090

Scenario matrix approach

 

 

 

 

 

 

 

 

 

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

100

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

 

 

 

 

 

 

 

 

 

110

Off-balance sheet items

 

 

 

 

 

 

 

 

 

120

Derivatives

 

 

 

 

 

 

 

 

 

Memorandum items: CURRENCY POSITIONS

130

Euro

 

 

 

 

 

 

 

 

 

140

Lek

 

 

 

 

 

 

 

 

 

150

Argentine Peso

 

 

 

 

 

 

 

 

 

160

Australian Dollar

 

 

 

 

 

 

 

 

 

170

Brazilian Real

 

 

 

 

 

 

 

 

 

180

Bulgarian Lev

 

 

 

 

 

 

 

 

 

190

Canadian Dollar

 

 

 

 

 

 

 

 

 

200

Czech Koruna

 

 

 

 

 

 

 

 

 

210

Danish Krone

 

 

 

 

 

 

 

 

 

220

Egyptian Pound

 

 

 

 

 

 

 

 

 

230

Pound Sterling

 

 

 

 

 

 

 

 

 

240

Forint

 

 

 

 

 

 

 

 

 

250

Yen

 

 

 

 

 

 

 

 

 

270

Lithuanian Litas

 

 

 

 

 

 

 

 

 

280

Denar

 

 

 

 

 

 

 

 

 

290

Mexican Peso

 

 

 

 

 

 

 

 

 

300

Zloty

 

 

 

 

 

 

 

 

 

310

Rumanian Leu

 

 

 

 

 

 

 

 

 

320

Russian Ruble

 

 

 

 

 

 

 

 

 

330

Serbian Dinar

 

 

 

 

 

 

 

 

 

340

Swedish Krona

 

 

 

 

 

 

 

 

 

350

Swiss Franc

 

 

 

 

 

 

 

 

 

360

Turkish Lira

 

 

 

 

 

 

 

 

 

370

Hryvnia

 

 

 

 

 

 

 

 

 

380

US Dollar

 

 

 

 

 

 

 

 

 

390

Iceland Krona

 

 

 

 

 

 

 

 

 

400

Norwegian Krone

 

 

 

 

 

 

 

 

 

410

Hong Kong Dollar

 

 

 

 

 

 

 

 

 

420

New Taiwan Dollar

 

 

 

 

 

 

 

 

 

430

New Zealand Dollar

 

 

 

 

 

 

 

 

 

440

Singapore Dollar

 

 

 

 

 

 

 

 

 

450

Won

 

 

 

 

 

 

 

 

 

460

Yuan Renminbi

 

 

 

 

 

 

 

 

 

470

Other

 

 

 

 

 

 

 

 

 

480

Croatian Kuna

 

 

 

 

 

 

 

 

 


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

 

ALL POSITIONS

NET POSITIONS

POSITIONS SUBJECT TO CAPITAL CHARGE

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

LONG

SHORT

LONG

SHORT

010

020

030

040

050

060

070

010

TOTAL POSITIONS IN COMMODITIES

 

 

 

 

 

 

Cell linked to CA

020

Precious metals (except gold)

 

 

 

 

 

 

 

030

Base metals

 

 

 

 

 

 

 

040

Agricultural products (softs)

 

 

 

 

 

 

 

050

Others

 

 

 

 

 

 

 

060

Of which energy products (oil, gas)

 

 

 

 

 

 

 

070

Maturity ladder approach

 

 

 

 

 

 

 

080

Extended maturity ladder approach

 

 

 

 

 

 

 

090

Simplified approach: All positions

 

 

 

 

 

 

 

100

Additional requirements for options (non-delta risks)

 

 

 

 

 

 

 

110

Simplified method

 

 

 

 

 

 

 

120

Delta plus approach - additional requirements for gamma risk

 

 

 

 

 

 

 

130

Delta plus approach - additional requirements for vega risk

 

 

 

 

 

 

 

135

Delta plus approach - non-continuous options and warrants

 

 

 

 

 

 

 

140

Scenario matrix approach

 

 

 

 

 

 

 


C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM)

 

VaR

STRESSED VaR

INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

ALL PRICE RISKS CAPITAL CHARGE FOR CTP

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

Number of overshootingsduring previous 250 working days

VaR Multiplication Factor (mc)

SVaR Multiplication Factor (ms)

ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP

ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP

MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)

PREVIOUS DAY (VaRt-1)

MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)

LATEST AVAILABLE (SVaRt-1)

12 WEEKS AVERAGE MEASURE

LAST MEASURE

FLOOR

12 WEEKS AVERAGE MEASURE

LAST MEASURE

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

010

TOTAL POSITIONS

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

 

 

 

 

 

Memorandum items: BREAKDOWN OF MARKET RISK

020

Traded debt instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

030

TDI - General risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040

TDI - Specific Risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

050

Equities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

060

Equities - General risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

070

Equities - Specific Risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

080

Foreign Exchange risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

090

Commodities risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100

Total amount for general risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

110

Total amount for specific risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


C 25.00 - CREDIT VALUE ADJUSTMENT RISK (CVA)

 

EXPOSURE VALUE

VaR

STRESSED VaR

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

MEMORANDUM ITEMS

CVA RISK HEDGE NOTIONALS

 

of which: OTC Derivatives

of which:SFT

MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)

PREVIOUS DAY(VaRt-1)

MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)

LATEST AVAILABLE (SVaRt-1)

Number of counterparties

of which: proxy was used to determine credit spread

INCURRED CVA

SINGLE NAME CDS

INDEX CDS

010

020

030

040

050

060

070

080

090

100

110

120

130

140

010

CVA risk total

 

 

 

 

 

 

 

 

Link to {CA2;r640;c010}

 

 

 

 

 

020

According to Advanced method

 

 

 

 

 

 

 

 

Link to {CA2;r650;c010}

 

 

 

 

 

030

According to Standardised method

 

 

 

 

 

 

 

 

Link to {CA2;r660;c010}

 

 

 

 

 

040

Based on OEM

 

 

 

 

 

 

 

 

Link to {CA2;r670;c010}

 

 

 

 

 


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

 

FAIR-VALUED ASSETS AND LIABILITIES

 

FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1

FAIR-VALUED ASSETS AND LIABILITIES INCLUDED IN ART. 4(1) THRESHOLD

 

OF WHICH: TRADING BOOK

EXACTLY MATCHING

HEDGE ACCOUNTING

PRUDENTIAL FILTERS

OTHER

COMMENTS FOR OTHER

OF WHICH:TRADING BOOK

0010

0020

0030

0040

0050

0060

0070

0080

0090

0010

1

TOTAL FAIR-VALUED ASSETS AND LIABILITIES

 

 

 

 

 

 

 

 

 

0020

1.1

TOTAL FAIR-VALUED ASSETS

 

 

 

 

 

 

 

 

 

0030

1.1.1

FINANCIAL ASSETS HELD FOR TRADING

 

 

 

 

 

 

 

 

 

0040

1.1.2

TRADING FINANCIAL ASSETS

 

 

 

 

 

 

 

 

 

0050

1.1.3

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

 

 

 

 

 

 

 

 

 

0060

1.1.4

FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

 

 

 

 

 

 

 

 

 

0070

1.1.5

FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME

 

 

 

 

 

 

 

 

 

0080

1.1.6

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

 

 

 

 

 

 

 

 

 

0090

1.1.7

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

 

 

 

 

 

 

 

 

 

0100

1.1.8

OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS

 

 

 

 

 

 

 

 

 

0110

1.1.9

DERIVATIVES - HEDGE ACCOUNTING

 

 

 

 

 

 

 

 

 

0120

1.1.10

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

 

 

 

 

 

 

 

 

 

0130

1.1.11

INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES

 

 

 

 

 

 

 

 

 

0140

1.1.12

(-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE

 

 

 

 

 

 

 

 

 

0150

1.2

TOTAL FAIR-VALUED LIABILITIES

 

 

 

 

 

 

 

 

 

0160

1.2.1

FINANCIAL LIABILITIES HELD FOR TRADING

 

 

 

 

 

 

 

 

 

0170

1.2.2

TRADING FINANCIAL LIABILITIES

 

 

 

 

 

 

 

 

 

0180

1.2.3

FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

 

 

 

 

 

 

 

 

 

0190

1.2.4

DERIVATIVES - HEDGE ACCOUNTING

 

 

 

 

 

 

 

 

 

0200

1.2.5

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

 

 

 

 

 

 

 

 

 

0210

1.2.6

HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE

 

 

 

 

 

 

 

 

 


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

 

CATEGORY LEVEL AVA

TOTAL AVA

UPSIDE UNCERTAINTY

FAIR-VALUED ASSETS AND LIABILITIES

QTD REVENUE

IPV DIFFERENCE

FAIR VALUE ADJUSTMENTS

DAY 1 P&L

EXPLANATION DESCRIPTION

MARKET PRICE UNCERTAINTY

 

CLOSE-OUT COSTS

 

MODEL RISK

 

CONCENTRATED POSITIONS

FUTURE ADMINISTRATIVE COSTS

EARLY TERMINATION

OPERATIONAL RISK

FAIR-VALUED ASSETS

FAIR-VALUED LIABILITIES

MARKETPRICEUNCER-TAINTY

CLOSE-OUT COSTS

MODELRISK

CONCEN-TRATEDPOSITIONS

UNEARNED CREDIT SPREADS

INVESTING ANDFUNDING COSTS

FUTURE ADMINIS-TRATIVE COSTS

EARLY TERMI-NATION

OPERA- TIONALRISK

OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH

OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH

OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0220

0230

0240

0250

0260

0270

0010

1

TOTAL CORE APPROACH

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

 

OF WHICH: TRADING BOOK

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

1.1

PORTFOLIOS UNDER ARTICLES 9 TO 17 - TOTAL CATEGORY LEVEL POST-DIVERSIFICATION

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

1.1.1

TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

1.1.1*

OF WHICH: UNEARNED CREDIT SPREADS AVA

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

1.1.1**

OF WHICH: INVESTMENT AND FUNDING COSTS AVA

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

1.1.1***

OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

1.1.1****

OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 10(2)&10(3)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

1.1.1.1

INTEREST RATES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

1.1.1.2

FOREIGN EXCHANGE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

1.1.1.3

CREDIT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

1.1.1.4

EQUITIES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

1.1.1.5

COMMODITIES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

1.1.2

(-) DIVERSIFICATION BENEFITS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

1.1.2.1

(-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

1.1.2.2

(-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

1.1.2.2*

MEMORANDUM ITEM: PRE-DIVERSIFICATION AVAS REDUCED BY MORE THAN 90% BY DIVERSIFICATION UNDER METHOD 2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

1.2

PORTFOLIOS UNDER THE FALL-BACK APPROACH

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

1.2.1

100% OF NET UNREALISED PROFIT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

1.2.2

10% OF NOTIONAL VALUE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0210

1.2.3

25% OF INCEPTION VALUE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


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

RANK

MODEL

RISK CATEGORY

PRODUCT

OBSER-VABILITY

MODEL RISK AVA

 

AGGREGATED AVA CALCULATED UNDER METHOD 2

FAIR-VALUED ASSETS AND LIABILITIES

IPV DIFFERENCE (OUTPUT TESTING)

IPV COVERAGE (OUTPUT TESTING)

FAIR VALUE ADJUSTMENTS

DAY1 P&L

OF WHICH: USING EXPERT APPROACH

OF WHICH: AGGRE-GATED USING METHOD 2

FV ASSETS

FV LIABILITIES

MODEL RISK

EARLY TERMINATION

0005

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


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

RANK

RISK CATEGORY

PRODUCT

UNDERLYING

CONCEN-TRATED POSITIONSIZE

SIZE MEASURE

MARKET VALUE

PRUDENT EXIT PERIOD

CONCEN-TRATED POSITIONS AVA

CONCEN-TRATED POSITIONFAIR VALUE ADJUSTMENT

IPV DIFFERENCE

0005

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

 

 

 

 

 

 

 

 

 

 

 


C 33.00 - GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV)

Country:

 

Direct exposures

Memorandum item: credit derivatives sold on general government exposures

Exposure value

Risk weighted exposure amount

On-balance sheet exposures

Accumulated impairment

 

Accumulated negative changes in fair value due to credit risk

 

Derivatives

Off-balance sheet exposures

Total gross carrying amount of non-derivative financial assets

Total carrying amount of non-derivative financial assets (net of short positions)

Non-derivative financial assets by accounting portfolios

Short positions

 

Derivatives with positive fair value

Derivatives with negative fair value

Nominal amount

Provisions

Accumulated negative changes in fair value due to credit risk

Derivatives with positive fair value - Carrying amount

Derivatives with negative fair value - Carrying amount

Financial assets held for trading

Trading financial assets

Non-trading financial assets mandatorily at fair value through profit or loss

Financial assets designated at fair value through profit or loss

Non-trading non-derivative financial assets measured at fair value through profit or loss

Financial assets at fair value through other comprehensive income

Non-trading non-derivative financial assets measured at fair value to equity

Financial assets at amortised cost

Non-trading non-derivative financial assets measured at a cost-based method

Other non-trading non-derivative financial assets

Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets

of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity

of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss

of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity

Carrying amount

Notional amount

Carrying amount

Notional amount

 

010

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

260

270

280

290

300

010

Total exposures

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

020

Exposures under the credit risk framework

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

030

Standardised Approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040

Central governments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

050

Regional governments or local authorities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

060

Public sector entities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

070

International Organisations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

075

Other general government exposures subject to Standardised Approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

080

IRB Approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

090

Central governments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100

Regional governments or local authorities [Central governments]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

110

Regional governments or local authorities [Institutions]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

120

Public sector entities [Central governments]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

130

Public sector entities [Institutions]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

140

International Organisations [Central governments]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

155

Other general government exposures subject to IRB approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

160

Exposures under the market risk framework

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:

170

[ 0 - 3M [

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

180

[ 3M - 1Y [

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

190

[ 1Y - 2Y [

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

200

[ 2Y - 3Y [

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

210

[3Y - 5Y [

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

220

[5Y - 10Y [

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

230

[10Y - more’

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ANNEX II

‘ANNEX II

REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

Table of Contents

PART I: GENERAL INSTRUCTIONS 162

1.

 STRUCTURE AND CONVENTIONS 162

1.1.

 STRUCTURE 162

1.2.

 NUMBERING CONVENTION 162

1.3.

 SIGN CONVENTION 162

1.4.

 ABBREVIATIONS 162
PART II: TEMPLATE RELATED INSTRUCTIONS 162

1.

 CAPITAL ADEQUACY OVERVIEW (CA) 162

1.1.

 GENERAL REMARKS 162

1.2.

 C 01.00 — OWN FUNDS (CA1) 163

1.2.1.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 163

1.3.

 C 02.00 — OWN FUNDS REQUIREMENTS (CA2) 177

1.3.1.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 177

1.4.

 C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3) 186

1.4.1.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 186

1.5.

 C 04.00 — MEMORANDUM ITEMS (CA4) 188

1.5.1.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 188

1.6.

 TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5) 203

1.6.1.

 GENERAL REMARKS 203

1.6.2.

 C 05.01 — TRANSITIONAL PROVISIONS (CA5.1) 203

1.6.2.1.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 204

1.6.3.

 C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) 211

1.6.3.1.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 211

2.

 GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) 213

2.1.

 GENERAL REMARKS 213

2.2.

 DETAILED GROUP SOLVENCY INFORMATION 213

2.3.

 INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY 214

2.4.

 C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL) 214

2.5.

 C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) 214

3.

 CREDIT RISK TEMPLATES 222

3.1.

 GENERAL REMARKS 222

3.1.1.

 REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT 222

3.1.2.

 REPORTING OF COUNTERPARTY CREDIT RISK 222

3.2.

 C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA) 222

3.2.1.

 GENERAL REMARKS 222

3.2.2.

 SCOPE OF THE CR SA TEMPLATE 222

3.2.3.

 ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES UNDER THE STANDARDISED APPROACH 224

3.2.4.

 CLARIFICATIONS ON THE SCOPE OF SOME SPECIFIC EXPOSURE CLASSES REFERRED TO IN ARTICLE 112 OF CRR 227

3.2.4.1.

 EXPOSURE CLASS “INSTITUTIONS” 227

3.2.4.2.

 EXPOSURE CLASS “COVERED BONDS” 227

3.2.4.3.

 EXPOSURE CLASS “COLLECTIVE INVESTMENT UNDERTAKINGS” 227

3.2.5.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 227

3.3.

 CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB) 234

3.3.1.

 SCOPE OF THE CR IRB TEMPLATE 234

3.3.2.

 BREAKDOWN OF THE CR IRB TEMPLATE 235

3.3.3.

 C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1) 236

3.3.3.1.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 236

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) 243

3.4.

 CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN 244

3.4.1.

 C 09.01 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1) 244

3.4.1.1.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 244

3.4.2.

 C 09.02 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2) 246

3.4.2.1.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 246

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) 249

3.4.3.1.

 GENERAL REMARKS 249

3.4.3.2.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 249

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) 253

3.5.1.

 GENERAL REMARKS 253

3.5.2.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS (APPLICABLE TO BOTH CR EQU IRB 1 AND CR EQU IRB 2) 254

3.6.

 C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT) 256

3.6.1.

 GENERAL REMARKS 256

3.6.2.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 257

3.7.

 C 12.00 – CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA) 259

3.7.1.

 GENERAL REMARKS 259

3.7.2.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 259

3.8.

 C 13.00 — CREDIT RISK – SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB) 265

3.8.1.

 GENERAL REMARKS 265

3.8.2.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 266

3.9.

 C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) 272

3.9.1.

 GENERAL REMARKS 272

3.9.2.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 273

4.

 OPERATIONAL RISK TEMPLATES 283

4.1.

 C 16.00 – OPERATIONAL RISK (OPR) 283

4.1.1.

 GENERAL REMARKS 283

4.1.2.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 283

4.2.

 OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS) 285

4.2.1.

 GENERAL REMARKS 285

4.2.2.

 C 17.01: OPERATIONAL RISK LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1) 286

4.2.2.1.

 GENERAL REMARKS 286

4.2.2.2.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 287

4.2.3.

 C 17.02: OPERATIONAL RISK: DETAILED INFORMATION ON THE LARGEST LOSS EVENTS IN THE LAST YEAR (OPR DETAILS 2) 292

4.2.3.1.

 GENERAL REMARKS 292

4.2.3.2.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 292

5.

 MARKET RISK TEMPLATES 293

5.1.

 C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) 293

5.1.1.

 GENERAL REMARKS 293

5.1.2.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 294

5.2.

 C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC) 296

5.2.1.

 GENERAL REMARKS 296

5.2.2.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 296

5.3.

 C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) 298

5.3.1.

 GENERAL REMARKS 298

5.3.2.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 299

5.4.

 C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) 300

5.4.1.

 GENERAL REMARKS 300

5.4.2.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 301

5.5.

 C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) 302

5.5.1.

 GENERAL REMARKS 302

5.5.2.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 302

5.6.

 C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) 304

5.6.1.

 GENERAL REMARKS 304

5.6.2.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 304

5.7.

 C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM) 305

5.7.1.

 GENERAL REMARKS 305

5.7.2.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 306

5.8.

 C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA) 308

5.8.1.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 308

6.

 PRUDENT VALUATION (PRUVAL) 310

6.1.

 C 32.01 — PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1) 310

6.1.1.

 GENERAL REMARKS 310

6.1.2.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 310

6.2.

 C 32.02 — PRUDENT VALUATION: CORE APPROACH (PRUVAL 2) 314

6.2.1.

 GENERAL REMARKS 314

6.2.2.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 314

6.3.

 C 32.03 — PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3) 322

6.3.1.

 GENERAL REMARKS 322

6.3.2.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 322

6.4

 C 32.04 — PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4) 324

6.4.1.

 GENERAL REMARKS 324

6.4.2.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 325

7.

 C 33.00 — EXPOSURES TO GENERAL GOVERNMENTS (GOV) 326

7.1.

 GENERAL REMARKS 326

7.2.

 SCOPE OF THE TEMPLATE ON EXPOSURES TO “GENERAL GOVERNMENTS” 326

7.3.

 INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 327

PART I: GENERAL INSTRUCTIONS

1.   STRUCTURE AND CONVENTIONS

1.1.   STRUCTURE

1.

 Overall, the framework consists of five blocks of templates:

(a)

capital adequacy, an overview of regulatory capital; total risk exposure amount;

(b)

group solvency, an overview of the fulfilment of the solvency requirements by all individual entities included in the scope of consolidation of the reporting entity

(c)

credit risk (including counterparty, dilution and settlement risks);

(d)

market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk);

(e)

operational risk.

2.

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

3.

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

1.2.   NUMBERING CONVENTION

4.

 The document follows the labelling convention set in the following table, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules.

5.

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

6.

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

7.

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

8.

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

1.3.   SIGN CONVENTION

9.

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

1.4.   ABBREVIATIONS

9a.

 For the purposes of this Annex, Regulation (EU) No 575/2013 is referred to as “CRR”, and Directive 2013/36/EU of the European Parliament and of the Council is referred to as “CRD”.

PART II: TEMPLATE RELATED INSTRUCTIONS

1.   CAPITAL ADEQUACY OVERVIEW (CA)

1.1.   GENERAL REMARKS

10.

 CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and transitional provisions and is structures in five templates:

(a)

CA1 template contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount. The amount of own funds obtained includes the aggregate effect of transitional provisions per type of capital

(b)

CA2 template summarizes the total risk exposures amounts as defined in Article 92(3) of CRR

(c)

CA3 template contains the ratios for which CRR state a minimum level, and some other related data

(d)

CA4 template contains memorandums items needed for calculating items in CA1 as well as information with regard to the CRD capital buffers.

(e)

CA5 template contains the data needed for calculating the effect of transitional provisions in own funds. CA5 will cease to exist once the transitional provisions will expire.

11.

 The templates shall apply to all reporting entities, irrespective of the accounting standards followed, although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount.

12.

 The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common Equity Tier 1 capital (CET1), Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).

13.

 Transitional provisions are treated as follows in CA templates:

(a)

The items in CA1 are generally gross of transitional adjustments. This means that figures in CA1 items are calculated according to the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of the transitional provisions. For each type of capital (i.e. CET1; AT1 and T2) there are three different items in which all the adjustments due to transitional provisions are included.

(b)

Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in Articles 36(1) point (j) and 56 point (e) of CRR respectively), and thus the items containing these shortfalls may indirectly reflect the effect of transitional provisions.

(c)

Template CA5 is exclusively used for reporting the transitional provisions.

14.

 The treatment of Pillar II requirements can be different within the Union (Article 104(2) CRD has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting of CRR. A detailed reporting of Pillar II requirements is not within the mandate of Article 99 CRR.

a)

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

b)

The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. One block focuses on the impact of amounts on the ratios, whereas the other block focuses on the ratio itself. Both blocks of ratios do not have any further link to the templates CA1, CA2 or CA5.

c)

The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. This cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104(2) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.

1.2.   C 01.00 — OWN FUNDS (CA1)

1.2.1.   Instructions concerning specific positions

Row

Legal references and instructions

010

1.   Own funds

Articles 4(1)(118) and 72 of CRR

The own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital.

015

1.1.   Tier 1 capital

Article 25 of CRR

The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital

020

1.1.1.   Common Equity Tier 1 capital

Article 50 of CRR

030

1.1.1.1.   Capital instruments eligible as CET1 capital

Articles 26(1) points (a) and (b), 27 to 30, 36(1) point (f) and 42 of CRR

040

1.1.1.1.1.   Paid up capital instruments

Articles 26(1) point (a) and 27 to 31 of CRR

Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of CRR) shall be included.

The share premium related to the instruments shall not be included.

Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 CRR are fulfilled.

045

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

Article 31 of CRR

Capital instruments subscribed by public authorities in emergency situations shall be included in CET1 capital if all conditions of Article 31 CRR are fulfilled.

050

1.1.1.1.2*   Memorandum item: Capital instruments not eligible

Article 28(1) points (b), (l) and (m) of CRR

Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.

The amount to be reported shall not include the share premium related to the instruments

060

1.1.1.1.3.   Share premium

Articles 4(1)(124), 26(1) point (b) of CRR

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the “Paid up capital instruments”.

070

1.1.1.1.4.   (-) Own CET1 instruments

Articles 36(1) point (f) and 42 of CRR

Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of CRR.

Holdings on shares included as “Capital instruments not eligible” shall not be reported in this row.

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

Items 1.1.1.1.4 to 1.1.1.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own CET1 instruments are reported separately in item 1.1.1.1.5.

080

1.1.1.1.4.1.   (-) Direct holdings of CET1 instruments

Articles 36(1) point (f) and 42 of CRR

Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group.

The amount to be reported shall include holdings in the trading book calculated on the basis of the net long position, as stated in Article 42 point (a) of CRR.

090

1.1.1.1.4.2.   (-) Indirect holdings of CET1 instruments

Articles 4(1)(114), 36(1) point (f) and 42 of CRR

091

1.1.1.1.4.3.   (-) Synthetic holdings of CET1 instruments

Articles 4(1)(126), 36(1) point (f) and 42 of CRR

092

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

Articles 36(1) point (f) and 42 of CRR

According to Article 36(1) point (f) of CRR, “own Common Equity Tier 1 instruments that an institution is under an actual or contingent obligation to purchase by virtue of an existing contractual obligation” shall be deducted.

130

1.1.1.2.   Retained earnings

Articles 26(1) point (c) and 26(2) of CRR

Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits

140

1.1.1.2.1.   Previous years retained earnings

Articles 4(1)(123) and 26(1) c) of CRR

Article 4(1)(123) of CRR defines retained earnings as “Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting framework”.

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 framework that are required to be disclosed under that applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings”.

The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.

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 in the version applicable on 31 December 2018 or Articles 244(1) point (b), 245(1) point (b), 253 (1) and 268(4) of CRR, as applicable.

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, 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 CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of 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 CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of 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 CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of CRR).

1.3.   C 02.00 — OWN FUNDS REQUIREMENTS (CA2)

1.3.1.   Instructions concerning specific positions

Row

Legal references and instructions

010

1.   TOTAL RISK EXPOSURE AMOUNT

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

020

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

For investment firms under Article 95(2) and Article 98 of CRR

030

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

For investment firms under Article 96(2) and Article 97 of CRR

040

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

Article 92(3) points (a) and (f) of CRR

050

1.1.1.   Standardised approach (SA)

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

060

1.1.1.1.   SA exposure classes excluding securitisations positions

CR SA template at the level of total exposures. The SA exposure classes are those mentioned in Article 112 of CRR excluding securitisation positions.

070

1.1.1.1.01.   Central governments or central banks

See CR SA template

080

1.1.1.1.02.   Regional governments or local authorities

See CR SA template

090

1.1.1.1.03.   Public sector entities

See CR SA template

100

1.1.1.1.04.   Multilateral Development Banks

See CR SA template

110

1.1.1.1.05.   International Organisations

See CR SA template

120

1.1.1.1.06.   Institutions

See CR SA template

130

1.1.1.1.07.   Corporates

See CR SA template

140

1.1.1.1.08.   Retail

See CR SA template

150

1.1.1.1.09.   Secured by mortgages on immovable property

See CR SA template

160

1.1.1.1.10.   Exposures in default

See CR SA template

170

1.1.1.1.11.   Items associated with particular high risk

See CR SA template

180

1.1.1.1.12.   Covered bonds

See CR SA template

190

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

See CR SA template

200

1.1.1.1.14.   Collective investments undertakings (CIU)

See CR SA template

210

1.1.1.1.15.   Equity

See CR SA template

211

1.1.1.1.16.   Other items

See CR SA template

220

1.1.1.2.   Securitisations positions SA

CR SEC SA template at the level of total securitisation types

230

1.1.1.2.*   Of which: resecuritisation

CR SEC SA template at the level of total securitisation types

240

1.1.2.   Internal ratings based Approach (IRB)

250

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

CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are not used)

260

1.1.2.1.01.   Central governments and central banks

See CR IRB template

270

1.1.2.1.02.   Institutions

See CR IRB template

280

1.1.2.1.03.   Corporates — SME

See CR IRB template

290

1.1.2.1.04.   Corporates – Specialised Lending

See CR IRB template

300

1.1.2.1.05.   Corporates – Other

See CR IRB template

310

1.1.2.2.   IRB approaches when own estimates of LGD and/or Conversion Factor are used

CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are used)

320

1.1.2.2.01.   Central governments and central banks

See CR IRB template

330

1.1.2.2.02.   Institutions

See CR IRB template

340

1.1.2.2.03.   Corporates — SME

See CR IRB template

350

1.1.2.2.04.   Corporates – Specialised Lending

See CR IRB template

360

1.1.2.2.05.   Corporates – Other

See CR IRB template

370

1.1.2.2.06.   Retail – secure by real estate SME

See CR IRB template

380

1.1.2.2.07.   Retail – secure by real estate non-SME

See CR IRB template

390

1.1.2.2.08.   Retail – Qualifying revolving

See CR IRB template

400

1.1.2.2.09.   Retail – Other SME

See CR IRB template

410

1.1.2.2.10.   Retail – Other non-SME

See CR IRB template

420

1.1.2.3.   Equity IRB

See CR EQU IRB template

430

1.1.2.4.   Securitisations positions IRB

CR SEC IRB template at the level of total securitisation types

440

1.1.2.4*   Of which: resecuritisation

CR SEC IRB template at the level of total securitisation types

450

1.1.2.5.   Other non credit-obligation assets

The amount to be reported is the risk weighted exposure amount as calculated according to Article 156 of CRR.

460

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

Articles 307 to 309 of CRR

490

1.2.   TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

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

500

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

See CR SETT template

510

1.2.2.   Settlement/delivery risk in the Trading book

See CR SETT template

520

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

Articles 92(3) points (b) (i) and (c) (i) and (iii), and 92(4) point (b) of CRR

530

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

540

1.3.1.1.   Traded debt instruments

MKR SA TDI template at the level of total currencies.

550

1.3.1.2.   Equity

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

555

1.3.1.3.   Particular approach for position risk in CIUs

Articles 348(1), 350 (3) c) and 364 (2) a) CRR

Total risk exposure amount for positions in CIUs if capital requirements are calculated according to Article 348(1) CRR either immediately or as a consequence of the cap defined in Article 350(3)(c) CRR. CRR does not explicitly assign those positions to either the interest rate risk or the equity risk.

If the particular approach according to the first sentence of Article 348(1) of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question, multiplied by 12,5.

If the particular approach according to Article 348(1) sentence 2 of CRR is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure, multiplied by 12,5 respectively.

556

1.3.1.3.*   Memo item: CIUs exclusively invested in traded debt instruments

Total risk exposure amount for positions in CIUs if the CIU is invested exclusively in instruments subject to interest rate risk.

557

1.3.1.3.**   CIUs invested exclusively in equity instruments or in mixed instruments

Total risk exposure amount for positions in CIUs if the CIU is invested either exclusively in instruments subject to equity risk or in mixed instruments or if the constituents of the CIU are unknown.

560

1.3.1.4.   Foreign Exchange

See MKR SA FX template

570

1.3.1.5.   Commodities

See MKR SA COM template

580

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

See MKR IM template

590

1.4.   TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR)

Article 92(3) point (e) and 92(4) point (b) of CRR

For investment firms under Article 95(2), Article 96(2) and Article 98 of CRR this element shall be zero.

600

1.4.1.   OpR Basic Indicator approach (BIA)

See OPR template

610

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

See OPR template

620

1.4.3.   OpR Advanced measurement approaches (AMA)

See OPR template

630

1.5.   ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

Articles 95(2), 96(2), 97 and 98(1) point (a) of CRR

Only for investment firms under Article 95(2), Article 96(2) and Article 98 of CRR. See also Article 97 of CRR

Investment firms under Article 96 of CRR shall report the amount referred to in Article 97 multiplied by 12.5.

Investment firms under Article 95 of CRR shall report:

—

If the amount referred to in article 95(2) point (a) of CRR is greater than the amount referred to in article 95(2) point (b) of CRR, the amount to be reported is zero.

—

If the amount referred to in article 95(2) point (b) of CRR is greater than the amount referred to in article 95(2) point (a) of CRR, the amount to be reported is the result of subtracting the latter amount from the former.

640

1.6.   TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

Article 92(3) point (d) of CRR See CVA template.

650

1.6.1.   Advanced method

Own funds requirements for credit valuation adjustment risk according to Article 383 of CRR. See CVA template.

660

1.6.2.   Standardised method

Own funds requirements for credit valuation adjustment risk according to Article 384 of CRR. See CVA template.

670

1.6.3.   Based on OEM

Own funds requirements for credit valuation adjustment risk according to Article 385 of CRR. See CVA template.

680

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

Articles 92(3) point (b) (ii) and 395 to 401 of CRR

690

1.8.   OTHER RISK EXPOSURE AMOUNTS

Articles 3, 458 and 459 of CRR and risk exposure amounts which cannot be assigned to one of the items from 1.1 to 1.7.

Institutions shall report the amounts needed to comply with the following:

Stricter prudential requirements imposed by the Commission, in accordance with Article 458 and 459 of CRR

Additional risk exposure amounts due to Article 3 CRR

This item does not have a link to a details template.

710

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

Article 458 of CRR

720

1.8.2*   Of which: requirements for large exposures

Article 458 of CRR

730

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

Article 458 of CRR

740

1.8.2***   Of which: 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. It shall only include the additional amounts (e.g. if an exposure of 100 has a risk-weight of 20 % and the institutions applies a risk weight of 50 % based on article 3 CRR, the amount to be reported is 30).

770 – 900

1.8.5   Of which: Risk weighted exposure amounts for credit risk: securitisation positions (revised securitisation framework

Institutions shall fill in information in rows 770 – 900 on reporting reference dates that are after 1 January 2019.

Rows 770 – 900 present the risk weighted exposure amounts for credit risk for those securitisation positions, the risk weighted exposure amount of which shall be calculated according to the provisions of CRR.

The amounts reported shall correspond to the total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5 of CRR, taking into account the total risk weight imposed in accordance with Article 247(6) CRR and the caps referred to in Part Three, Title II, Chapter 5, section 3, subsection 4 of CRR.

770

1.8.5.   Of which: Risk weighted exposure amounts for credit risk: securitisation positions (revised securitisation framework)

Articles 92(3)(a) and Part Three, Title II, Chapter 5 of CRR.

780

1.8.5.1.   Internal ratings-based approach (SEC-IRBA)

Articles 254(1)(a), 259, 260 of CRR.

790

1.8.5.1.1.   Securitisations not qualifying for differentiated capital treatment

Articles 254(1)(a), 259 of CRR.

800

1.8.5.1.2.   STS securitisations qualifying for differentiated capital treatment

Articles 254(1)(a), 259, 260 of CRR.

Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row.

810

1.8.5.2   Standardised approach (SEC-SA)

Articles 254(1)(b), (6), 261, 262, 269 of CRR.

820

1.8.5.2.1.   Securitisations not qualifying for differentiated capital treatment

Articles 254(1)(b), (6), 261, 269 of CRR.

830

1.8.5.2.2.   STS securitisations qualifying for differentiated capital treatment

Articles 254(1)(b), 261, 262 of CRR.

Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row.

840

1.8.5.3.   External ratings-based approach (SEC-ERBA)

Articles 254(1)(c), (2), (3), (4), 263, 264 of CRR

850

1.8.5.3.1.   Securitisations not qualifying for differentiated capital treatment

Articles 254(1)(c), (2), (3), (4), 263 of CRR

860

1.8.5.3.2.   STS securitisations qualifying for differentiated capital treatment

Articles 254(1)(c), (2), (3), (4), 263, 264 of CRR

Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row.

870

1.8.5.4.   Internal assessment approach (IAA)

Articles 254(5), 265, 266 of CRR

880

1.8.5.4.1.   Securitisations not qualifying for differentiated capital treatment

Articles 254(5), 265, 266 of CRR

890

1.8.5.4.2.   STS securitisations qualifying for differentiated capital treatment

Articles 254(5), 265, 266 of CRR

Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row.

900

1.8.5.5.   Other (RW = 1 250  %)

Article 254(7) of CRR

910 – 1040

1.8.6   Of which: Total risk exposure amount for position risk: Traded debt instruments – specific risk of securitisation instruments (revised securitisation framework)

Institutions shall fill in information in rows 910 – 1040 on reporting reference dates that are after 1 January 2019.

Rows 910 – 1040 shall include the risk weighted exposure amounts for those securitisation positions in the trading book, the total risk exposure amounts of which shall be calculated in accordance with the provisions of CRR. However, securitisation positions subject to own funds requirements for the correlation trading portfolio in accordance with Article 338 of the amended CRR shall not be reported in these rows, but in template MKR SA CTP.

The amounts reported shall correspond to the total risk exposure amount, being the result of the multiplication of the own funds requirements calculated in accordance with Article 337 of CRR by 12.5. The amount reported shall take into account the applicable total risk weight according to Article 337(3) of CRR as well as the cap of the own funds requirement for a net position in accordance with Article 335 of CRR.

In line with the determination of risk weights according to Article 337 of CRR, the approach applied for the calculation of the own funds requirements for instruments in the trading book that are securitisation positions shall be determined as the approach the institution would apply to the position in its non-trading book.

910

1.8.6.   Of which: Total risk exposure amount for position risk: Traded debt instruments – specific risk of securitisation instruments (revised securitisation framework)

Articles 92(3)(b)(i), (4), 335, 337 of CRR

920

1.8.6.1.   Internal ratings-based approach (SEC-IRBA)

Articles 254(1)(a), 259, 260, 337 of CRR

930

1.8.6.1.1.   Securitisations not qualifying for differentiated capital treatment

Articles 254(1)(a), 259, 337 of CRR

940

1.8.6.1.2.   STS securitisations qualifying for differentiated capital treatment

Articles 254(1)(a), 259, 260, 337 of CRR

Both STS securitisations qualifying for differentiated capital treatment according to Article 243 CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 CRR shall be reported in this row.

950

1.8.6.2.   Standardised approach (SEC-SA)

Articles 254(1)(b), (6), 261, 262, 269, 337 of CRR

960

1.8.6.2.1.   Securitisations not qualifying for differentiated capital treatment

Articles 254(1)(b), (6), 261, 269, 337 of CRR

970

1.8.6.2.2.   STS securitisations qualifying for differentiated capital treatment

Articles 254(1)(b), 261, 262, 337 of CRR

Both STS securitisations qualifying for differentiated capital treatment according to Article 243 CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 CRR shall be reported in this row.

980

1.8.6.3.   External ratings-based approach (SEC-ERBA)

Articles 254(1)(c), (2), (3), (4), 263, 264, 337 of CRR

990

1.8.6.3.1.   Securitisations not qualifying for differentiated capital treatment

Articles 254(1)(c), (2), (3), (4), 263, 337 of CRR

1000

1.8.6.3.2.   STS securitisations qualifying for differentiated capital treatment

Articles 254(1)(c), (2), (3), (4), 263, 264, 337 of CRR

Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row.

1010

1.8.6.4.   Internal assessment approach (IAA)

Articles 254(5), 265, 266, 337 of CRR

1020

1.8.6.4.1.   Securitisations not qualifying for differentiated capital treatment

Articles 254(5), 265, 266, 337 of CRR

1030

1.8.6.4.2.   STS securitisations qualifying for differentiated capital treatment

Articles 254(5), 265, 266, 337 of CRR

Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row.

1040

1.8.6.5.   Other (RW = 1 250  %)

Articles 254(7), 337 of CRR

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.

130

13   Total SREP capital requirement (TSCR) ratio

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

(i)

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

(ii)

the additional own funds requirements (Pillar 2 Requirements – P2R) ratio determined in accordance with the criteria specified in the EBA Guidelines on common procedures and methodologies for the supervisory review and evaluation process and supervisory stress testing (EBA SREP GL).

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

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

140

13*   TSCR: to be made up of CET1 capital

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

(i)

the CET1 capital ratio (4,5 %) as per Article 92(1)(a) of CRR;

(ii)

the part of the P2R ratio, referred to in point (ii) of row 130, which is required by the competent authority to be held in the form of CET1 capital.

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

150

13**   TSCR: to be made up of Tier 1 capital

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

(i)

the Tier 1 capital ratio (6 %) as per Article 92(1)(b) of CRR;

(ii)

the part of P2R ratio, referred to in point (ii) of row 130, which is required by the competent authority to be held in the form of Tier 1 capital.

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

160

14   Overall capital requirement (OCR) ratio

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

(i)

the TSCR ratio referred to in row 130;

(ii)

to the extent it is legally applicable, the combined buffer requirement ratio referred to in Article 128 point (6) of CRD.

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

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

170

14*   OCR: to be made up of CET1 capital

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

(i)

the TSCR ratio to be made up of CET1 capital referred to in row 140;

(ii)

to the extent it is legally applicable, the combined buffer requirement ratio referred to in Article 128 point (6) of CRD.

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

180

14**   OCR: to be made up of Tier 1 capital

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

(i)

the TSCR ratio to be made up of Tier 1 capital referred to in row 150;

(ii)

to the extent it is legally applicable, the combined buffer requirement ratio referred to in Article 128 point (6) of CRD.

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

190

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

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

(i)

the OCR ratio referred to in row 160;

(ii)

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

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

200

15*   OCR and P2G: to be made up of CET1 capital

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

(i)

the OCR ratio to be made up of CET1 capital referred to in row 170;

(ii)

where applicable, the part of P2G, referred to in point (ii) in row 190, which is required by the competent authority to be held in the form of CET1 capital. P2G shall be included only if communicated to the institution by the competent authority.

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

210

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

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

(i)

the OCR ratio to be made up of Tier 1 capital referred to in row 180;

(ii)

where applicable, the part of P2G, referred to in point (ii) in row 190, which is required by the competent authority to be held in the form of Tier 1 capital. P2G shall be included only if communicated to the institution by the competent authority.

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

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(2) 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

093

2A   Tax overpayments and tax loss carry backs

Article 39(1) CRR

The amount of tax overpayments and tax loss carry backs which is not deducted from own funds in accordance with Article 39(1) CRR; the amount reported shall be the amount before the application of risk weights.

096

2B   Deferred Tax Assets subject to a risk weight of 250 %

Article 48(4) CRR

The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to Article 48(1) CRR, but subject to a risk weight of 250 % in accordance with Article 48(4) CRR, taking into account the effect of Article 470 CRR. The amount reported shall be the amount of DTAs before the application of the risk weight.

097

2C   Deferred Tax Assets subject to a risk weight of 0 %

Article 469(1) lit. d, 470, 472 (5) and 478 CRR

The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to Articles 469(1) lit. d and 470 CRR, but subject to a risk weight of 0 % in accordance with Article 472(5) CRR. The amount reported shall be the amount of DTAs before the application of the risk weight.

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 final Common Equity Tier 1 capital, i.e. the CET1 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 of financial sector entities where the institution does not have a significant investment

Articles 44, 45, 46 and 49 of CRR

250

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

Articles 44, 46 and 49 of CRR

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

a)

Underwriting positions held for 5 working days or fewer;

b)

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

c)

Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR

260

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

Article 45 of CRR

Article 45 of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

270

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

Articles 4(1)(114), 44 and 45 of CRR

280

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

Articles 4(1)(114), 44 and 45 of CRR

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

Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included

290

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

Articles 4(1)(114) and 45 of CRR

Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

291

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

Articles 4(1)(126), 44 and 45 of CRR

292

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

Articles 4(1)(126), 44 and 45 of CRR

293

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

Articles 4(1)(126) and 45 of CRR

300

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

Articles 58 to 60 of CRR

310

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

Articles 58, 59 and 60(2) of CRR

320

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

Articles 58 and 60(2) of CRR

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

a)

Underwriting positions held for 5 working days or fewer; and

b)

Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR

330

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

Article 59 of CRR

Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

340

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

Articles 4(1)(114), 58 and 59 of CRR

350

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

Articles 4(1)(114), 58 and 59 of CRR

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

Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included

360

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

Articles 4(1)(114) and 59 of CRR

Article 59 (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

361

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

Articles 4(1)(126), 58 and 59 of CRR

362

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

Articles 4(1)(126), 58 and 59 of CRR

363

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

Articles 4(1)(126) and 59 of CRR

370

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

Articles 68 to 70 of CRR

380

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

Articles 68, 69 and 70(2) of CRR

390

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

Articles 68 and 70(2) of CRR

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

a)

Underwriting positions held for 5 working days or fewer; and

b)

Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR

400

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

Article 69 of CRR

Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

410

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

Article 4(1)(114), 68 and 69 of CRR

420

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

Articles 4(1)(114), 68 and 69 of CRR

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

Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included

430

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

Articles 4(1)(114) and 69 of CRR

Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

431

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

Articles 4(1)(126), 68 and 69 of CRR

432

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

Articles 4(1)(126), 68 and 69 of CRR

433

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

Articles 4(1)(126) and 69 of CRR

440

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

Articles 44, 45, 47 and 49 of CRR

450

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

Articles 44, 45, 47 and 49 of CRR

460

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

Articles 44, 45, 47 and 49 of CRR

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

a)

Underwriting positions held for 5 working days or fewer;

b)

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

c)

Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR

470

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

Article 45 of CRR

Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

480

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

Articles 4(1)(114), 44 and 45 of CRR

490

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

Articles 4(1)(114), 44 and 45 of CRR

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

Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included.

500

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

Articles 4(1)(114) and 45 of CRR

Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

501

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

Articles 4(1)(126), 44 and 45 of CRR

502

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

Articles 4(1)(126), 44 and 45 of CRR

503

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

Articles 4(1)(126) and 45 of CRR

510

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

Articles 58 and 59 of CRR

520

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

Articles 58 and 59 of CRR

530

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

Article 58 of CRR

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

a)

Underwriting positions held for 5 working days or fewer (Article 56 point (d); and

b)

Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR

540

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

Article 59 of CRR

Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

550

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

Articles 4(1)(114), 58 and 59 of CRR

560

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

Articles 4(1)(114), 58 and 59 of CRR

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

Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included.

570

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

Article 4(1)(114) and 59 of CRR

Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

571

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

Articles 4(1)(126), 58 and 59 of CRR

572

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

Articles 4(1)(126), 58 and 59 of CRR

573

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

Articles 4(1)(126) and 59 of CRR

580

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

Articles 68 and 69 of CRR

590

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

Articles 68 and 69 of CRR

600

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

Article 68 of CRR

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

a)

Underwriting positions held for 5 working days or fewer (Article 66 point (d); and

b)

Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR

610

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

Article 69 of CRR

Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

620

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

Articles 4(1)(114), 68 and 69 of CRR

630

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

Articles 4(1)(114), 68 and 69 of CRR

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

Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included

640

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

Articles 4(1)(114), 69 of CRR

Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

641

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

Articles 4(1)(126), 68 and 69 of CRR

642

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

Articles 4(1)(126), 68 and 69 of CRR

643

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

Articles 4(1)(126) and 69 of CRR

650

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

Article 46(4), 48(4) and 49(4) of CRR

660

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

Article 60(4) of CRR

670

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

Article 70(4) of CRR

680

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

Article 79 of CRR

A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that these instruments shall also be reported on item 12.1.

690

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

Article 79 of CRR

A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that these instruments shall also be reported on item 15.1.

700

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

Article 79 of CRR

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

Note that these instruments shall also be reported on item 13.1.

710

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

Article 79 of CRR

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

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

720

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

Article 79 of CRR

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

Note that these instruments shall also be reported on item 14.1.

730

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

Article 79 of CRR

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

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

740

27   Combined buffer requirement

Article 128 point (6) of CRD

750

Capital conservation buffer

Articles 128 point (1) and 129 of CRD

According to Article 129(1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this cell.

760

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

Article 458(2) point d (iv) of CRR

In this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 CRR in addition to the capital conservation buffer shall be reported.

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

770

Institution specific countercyclical capital buffer

Articles 128 point (2), 130, 135-140 of CRD

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

780

Systemic risk buffer

Articles 128 point (5), 133 and 134 of CRD

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

800

Global Systemically Important Institution buffer

Articles 128 point (3) and 131 of CRD

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

810

Other Systemically Important Institution buffer

Articles 128 point (4) and 131 of CRD

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

820

28   Own funds requirements related to Pillar II adjustments

Article 104(2) of CRD.

If a competent authority decides that an institution has to calculate additional own funds requirements for Pillar II reasons, those additional own funds requirements shall be reported in this cell.

830

29   Initial capital

Articles 12, 28 to 31of CRD and Article 93 of CRR

840

30   Own funds based on Fixed Overheads

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

850

31   Non-domestic original exposures

Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of this Regulation. The calculation of the threshold shall be done at the basis of the original exposure pre conversion factor.

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

860

32   Total original exposures

Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of this Regulation. The calculation of the threshold shall be done at the basis of the original exposure pre conversion factor

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

870

Adjustments to total own funds

Article 500(4) of CRR

The difference between the amount reported in position 880 and the total own funds pursuant to CRR has to be reported in this position.

If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty.

880

Own funds fully adjusted for Basel I floor

Article 500(4) of CRR

Total own funds pursuant to CRR adjusted as required by Article 500(4) of CRR (i.e. fully adjusted to reflect differences in the calculation of own funds under Directive 93/6/EEC and Directive 2000/12/EC as those Directives stood prior to 1 January 2007 and the calculation of own funds under CRR deriving from the separate treatments of expected loss and unexpected loss under Part Three, Title II, Chapter 3, of CRR) have to be reported in this position.

If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty.

890

Own funds requirements for Basel I floor

Article 500(1) point (b) of CRR

The amount of own funds required by Article 500(1)(b) of CRR to be hold (i.e. 80 % of the total minimum amount of own funds that the institution would be required to hold under Article 4 of Directive 93/6/EEC as that Directive and Directive 2000/12/EC of the European Parliament and of the Council of 20 March 2000 relating to the taking up and pursuit of the business of credit institutions as those Directives stood prior to January 2007) has to be reported in this position.

900

Own funds requirements for Basel I floor — SA alternative

Article 500(2) and (3) of CRR

The amount of own funds required by Article 500(2) of CRR to be hold (i.e. 80 % of the own funds that the institution would be required to hold under Article 92 calculating risk-weighted exposure amounts in accordance with Part Three, Title II, Chapter 2, and Part Three, Title III, Chapter 2 or 3 of CRR, as applicable, instead of in accordance with Part Three, Title II, Chapter 3, or Part Three, Title III, Chapter 4 of CRR, as applicable) has to be reported in this position.

910

Deficit of total own funds as regards the own funds requirements of the Basel I floor or SA alternative

Articles 500(1) point (b) and 500 (2) CRR

This row has to be filled with:

—

if Article 500(1)(b) CRR is applied and row 880 < row 890: the difference between row 890 and row 880

—

or if Article 500(2) CRR is applied and row 010 of C 01.00 < row 900 of C 04.00: the difference between row 900 of C 04.00 and row 010 of C 01.00

1.6.   TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5)

1.6.1.   General remarks

15.

 CA5 summarizes the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491 of CRR.

16.

 CA5 is structured as follows:

(a)

Template 5.1 summarizes the total adjustments which need to be made to the different components of own funds (reported in CA1 according to the final provisions) as a consequence of the application of the transitional provisions. The elements of this table are presented as “adjustments” to the different capital components in CA1, in order to reflect in own funds components the effects of the transitional provisions.

(b)

Template 5.2 provides further details on the calculation of those grandfathered instruments which do not constitute state aid.

17.

 Institutions shall report in the first four columns the adjustments to Common Equity Tier 1 capital, Additional Tier 1 capital and Tier 2 capital as well as the amount to be treated as risk weighted assets. Institutions are also required to report the applicable percentage in column 050 and the eligible amount without the recognition of transitional provisions in column 060.

18.

 Institutions shall only report elements in CA5 during the period where transitional provisions in accordance with Part Ten of CRR apply.

19.

 Some of the transitional provisions require a deduction from Tier 1. If this is the case the residual amount of a deduction or deductions is applied to Tier 1 and there is insufficient AT1 to absorb this amount then the excess shall be deducted from CET1.

1.6.2.   C 05.01 — Transitional Provisions (Ca5.1)

20.

 Institutions shall report in Table 5.1 the transitional provisions to own funds components as laid down in Articles 465 to 491 of CRR, compared to applying the final provisions laid down in Title II of Part Two of CRR.

21.

 Institutions shall report in rows 020 to 060 information in relation with the transitional provisions of grandfathered instruments. The figures to be reported in columns 010 to 030 of row 060 of CA 5.1 can be derived from the respective sections of CA 5.2.

22.

 Institutions shall report in rows 070 to 092 information in relation with the transitional provisions of minority interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 of CRR).

23.

 In rows 100 onwards institutions shall report information in relation with the transitional provisions of unrealized gains and losses, deductions as well as additional filters and deductions.

24.

 There might be cases where the transitional deductions of CET1, AT1 or T2 capital exceed the CET1, AT1 or T2 capital of an institution. This effect – if it results from transitional provisions – shall be shown in the CA1 template using the respective cells. As a consequence, the adjustments in the columns of the CA5 template do not include any spill-over effects in the case of insufficient capital available.

1.6.2.1.   Instructions concerning specific positions

Columns

010

Adjustments to CET1

020

Adjustments to AT1

030

Adjustments to T2

040

Adjustments included in RWAs

Column 040 includes the relevant amounts adjusting the total risk exposure amount of Article 92(3) of CRR due to transitional provisions. The amounts reported shall consider the application of provisions of Chapter 2 or 3 of Title II of Part Three or of Title IV of Part Three in accordance with Art. 92 (4) of CRR. This means that transitional amounts subject to provisions of Chapter 2 or 3 of Title II of Part Three shall be reported as risk weighted exposure amounts, whereas transitional amounts subject to Title IV of Part Three shall represent the own funds requirements multiplied by 12.5.

Whereas columns 010 to 030 have a direct link to the CA1 template, the adjustments to the total risk exposure amount do not have a direct link to the relevant templates for credit risk. If there are adjustments stemming from the transitional provisions to the total risk exposure amount, those adjustments shall be included directly in the CR SA, CR IRB, CR EQU IRB, MKR SA TDI, MKR SA EQU or MKR IM. Additionally, those effects shall be reported in column 040 of CA5.1. As a consequence, those amounts are only memorandum items.

050

Applicable percentage

060

Eligible amount without transitional provisions

Column 060 includes the amount of each instrument prior the application of transitional provisions. I.e. the basis amount relevant to calculate the adjustments.


Rows

010

1.   Total adjustments

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

020

1.1.   Grandfathered instruments

Articles 483 to 491 of CRR

This row reflects the overall effect of instruments transitionally grandfathered in the different types of capital.

030

1.1.1.   Grandfathered instruments: Instruments constituting state aid

Article 483 CRR

040

1.1.1.1.   Instruments that qualified as own funds according to 2006/48/EC

Article 483(1) (2), (4) and (6) of CRR

050

1.1.1.2.   Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme

Article 483(1), (3), (5), (7) and (8) of CRR

060

1.1.2.   Instruments not constituting state aid

The amounts to be reported shall be obtained from column 060 of table CA 5.2.

070

1.2.   Minority interests and equivalents

Articles 479 and 480 of CRR

This row reflects the effects of transitional provisions in the minority interests eligible as CET1; the qualifying T1 instruments eligible as consolidated AT1; and the qualifying own funds eligible as consolidated T2.

080

1.2.1.   Capital instruments and items that do not qualify as minority interests

Articles 479 of CRR

The amount to be reported in column 060 of this row shall be the amount qualifying as consolidated reserves in accordance with prior regulation.

090

1.2.2.   Transitional recognition in consolidated own funds of minority interests

Articles 84 and 480 of CRR

The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.

091

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

Article 85 and 480 of CRR

The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.

092

1.2.4.   Transitional recognition in consolidated own funds of qualifying Tier 2 capital

Article 87 and 480 of CRR

The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.

100

1.3.   Other transitional adjustments

Articles 467 to 478 and 481 of CRR

This row reflects the overall effect of transitional adjustments in the deduction to different types of capital, unrealised gains and losses, additional filters and deductions plus the risk weighted amounts arising from these adjustments.

110

1.3.1.   Unrealised gains and losses

Articles 467 and 468 of CRR

This row reflects the overall effect of transitional provisions on unrealized gains and losses measured at fair value.

120

1.3.1.1.   Unrealised gains

Article 468(1) of CRR

130

1.3.1.2.   Unrealised losses

Article 467(1) of CRR

133

1.3.1.3.   Unrealised gains on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39

Article 468 of CRR

136

1.3.1.4.   Unrealised loss on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39

Article 467 of CRR

138

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

Article 468 of CRR

140

1.3.2.   Deductions

Articles 36(1), 469 to 478 of CRR

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

150

1.3.2.1.   Losses for the current financial year

Articles 36(1) point (a), 469 (1), 472 (3) and 478 of CRR

The amount to be reported in column 060 of this row shall be the original deduction according to Article 36(1)(a) of CRR.

Where firms have only been required to deduct material losses:

—

where the total interim net loss was “material”, the full residual amount would be deducted from Tier 1, or

—

where the whole total interim net loss was not “material”, no deduction of residual amount would be made.

160

1.3.2.2.   Intangible assets

Articles 36(1) point (b), 469 (1), 472 (4) and 478 of CRR

When determining the amount of intangible assets to be deducted, institutions shall take into account the provisions of Article 37 of CRR.

The amount to be reported in column 060 of this row shall be the original deduction according to Article 36(1)(b) of CRR.

170

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

Articles 36(1) point (c), 469 (1), 472 (5) and 478 of CRR

When determining the amount of the above-mentioned deferred tax assets (DTA) to be deducted, institutions shall take into account the provisions of Article 38 of CRR relating to the reduction of DTA by deferred tax liabilities.

The amount to be reported in column 060 of this row: Total amount according to Article 469(1) of CRR.

180

1.3.2.4.   IRB shortfall of provisions to expected losses

Articles 36(1) point (d), 469 (1), 472 (6) and 478 of CRR

When determining the amount of the above-mentioned IRB shortfall of provisions to expected losses to be deducted, institutions shall take into account the provisions of Article 40 of CRR.

The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(d) of CRR

190

1.3.2.5.   Defined benefit pension fund assets

Articles 33(1) point (e), 469 (1), 472 (7), 473 and 478 of CRR

When determining the amount of the above-mentioned defined benefit pension fund assets to be deducted, institutions shall take into account the provisions of Article 41 of CRR.

The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(e) of CRR

194

1.3.2.5.*   of which: Introduction of amendments to IAS 19 – positive item

Article 473 of CRR

198

1.3.2.5.**   of which: Introduction of amendments to IAS 19 – negative item

Article 473 of CRR

200

1.3.2.6.   Own instruments

Articles 36(1) point (f), 469 (1), 472 (8) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(f) of CRR

210

1.3.2.6.1.   Own CET1 instruments

Articles 36(1) point (f), 469 (1), 472 (8) and 478 of CRR

When determining the amount of the above-mentioned Own Common Equity Tier 1 instruments to be deducted, institutions shall take into account the provisions of Article 42 of CRR.

Given that the treatment of the “residual amount” differs depending upon the nature of the instrument, institutions shall break down holdings in own Common Equity instruments according to “direct” and “indirect” holdings.

The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(f) of CRR.

211

1.3.2.6.1**   of which: Direct holdings

Article 469(1)(b), 472 (8) (a) of CRR

The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation.

212

1.3.2.6.1*   of which: Indirect holdings

Article 469(1)(b), 472 (8) (b) of CRR

The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation.

220

1.3.2.6.2.   Own AT1 instruments

Articles 56 point (a), 474, 475(2) and 478 of CRR

When determining the amount of the above-mentioned holdings to be deducted, institutions shall take into account the provisions of Article 57 of CRR.

Given that the treatment of the “residual amount” differs depending upon the nature of the instrument (Article 475(2) of CRR), institutions shall break down the above-mentioned holdings according to “direct” and “indirect” own Additional Tier 1 holdings.

The amount to be reported in column 060 of this row: Original deduction according to Article 56 (a) of CRR.

221

1.3.2.6.2**   of which: Direct holdings

The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 474 (b) and 475 (2) (a) of CRR.

222

1.3.2.6.2*   of which: Indirect holdings

The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Article 474 (b), 475 (2) (b) of CRR.

230

1.3.2.6.3.   Own T2 instruments

Articles 66 point (a), 476, 477(2) and 478 of CRR

When determining the amount of the holdings to be deducted, institutions shall take into account the provisions of Article 67 of CRR.

Given that the treatment of the “residual amount” differs depending upon the nature of the instrument (Article 477(2) of CRR), institutions shall break down the above-mentioned holdings according to “direct” and “indirect” own Tier 2 holdings.

The amount to be reported in column 060 of this row: Original deduction0 according to Article 66 (a) of CRR.

231

of which: Direct holdings

The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 476 (b) and 477 (2) (a) of CRR

232

of which: Indirect holdings

The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 476 (b) and 477 (2) (b) of CRR

240

1.3.2.7.   Reciprocal cross holdings

Given that the treatment of the “residual amount” differs depending whether the holding of Common Equity Tier 1, Additional Tier 1 or Tier 2 in the financial sector entity is to be considered being significant or not (Articles 472(9), 475 (3) and 477 (3) of CRR), institutions shall break down reciprocal cross holdings according to significant investments and non-significant investments.

250

1.3.2.7.1.   Reciprocal cross holdings in CET1 Capital

Articles 36(1) point (g), 469 (1), 472(9) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(g) of CRR

260

1.3.2.7.1.1.   Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment

Articles 36(1) point (g), 469 (1), 472(9) point (a) and 478 of CRR

The amount to be reported in column 060 of this row: Residual amount according to Article 469(1)(b) of CRR

270

1.3.2.7.1.2.   Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment

Articles 36(1) point (g), 469 (1), 472(9) point (b) and 478 of CRR

The amount to be reported in column 060 of this row: Residual amount according to Article 469(1)(b) of CRR

280

1.3.2.7.2.   Reciprocal cross holdings in AT1 Capital

Articles 56 point (b), 474, 475(3) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction according to Article 56 (b) of CRR

290

1.3.2.7.2.1.   Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment

Articles 56 point (b), 474, 475(3) point (a) and 478 of CRR

The amount to be reported in column 060 of this row: Residual amount according to Article 475(3) of CRR

300

1.3.2.7.2.2.   Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment

Articles 56 point (b), 474, 475(3) point (b) and 478 of CRR

The amount to be reported in column 060 of this row: Residual amount according to Article 475(3) of CRR

310

1.3.2.7.3.   Reciprocal cross holdings in T2 Capital

Articles 66 point (b), 476, 477(3) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction according to Article 66 (b) of CRR

320

1.3.2.7.3.1.   Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment

Articles 66 point (b), 476, 477(3) point (a) and 478 of CRR

The amount to be reported in column 060 of this row: Residual amount according to Article 477(3) of CRR

330

1.3.2.7.3.2.   Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment

Articles 66 point (b), 476, 477(3) point (b) and 478 of CRR

The amount to be reported in column 060 of this row: Residual amount according to Article 477(3) of CRR

340

1.3.2.8.   Own funds instruments of financial sector entities where the institution does not have a significant investment

350

1.3.2.8.1.   CET1 instruments of financial sector entities where the institution does not have a significant investment

Articles 36(1) point (h), 469 (1), 472(10) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(h) of CRR

360

1.3.2.8.2.   AT1 instruments of financial sector entities where the institution does not have a significant investment

Articles 56 point (c), 474, 475(4) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction according to Article 56 (c) of CRR

370

1.3.2.8.3.   T2 instruments of financial sector entities where the institution does not have a significant investment

Articles 66 point (c), 476, 477(4) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction according to Article 66 (c) of CRR

380

1.3.2.9.   Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment

Article 470(2) and (3) of CRR

The amount to be reported in column 060 of this row: Article 470(1) of CRR

385

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

Article 469(1)(c), 478 and 472(5) CRR.

Part of deferred tax assets that rely in future profitability and arise from temporary differences which exceeds the 10 % threshold in Article 470(2) lit. (a) CRR.

390

1.3.2.10.   Own funds instruments of financial sector entities where the institution has a significant investment

400

1.3.2.10.1.   CET1 instruments of financial sector entities where the institution has a significant investment

Articles 36(1) point (i), 469 (1), 472(11) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(i) of CRR

410

1.3.2.10.2.   AT1 instruments of financial sector entities where the institution has a significant investment

Articles 56 point (d), 474, 475(4) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction according to Article 56 (d) of CRR

420

1.3.2.10.2.   T2 instruments of financial sector entities where the institution has a significant investment

Articles 66 point (d), 476, 477(4) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction according to Article 66 (d) of CRR

425

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

Article 471 of CRR

430

1.3.3.   Additional filters and deductions

Article 481 of CRR

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

In accordance with Article 481 of CRR, institutions shall report in item 1.3.3 information relating to the filters and deductions required under the national transposition measures for Articles 57 and 66 of Directive 2006/48/EC and for Articles 13 and 16 of Directive 2006/49/EC, and which are not required in accordance with Part Two.

440

1.3.4.   Adjustments due to IFRS 9 transitional arrangements

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

1.6.3.   C 05.02 — Grandfathered Instruments: Instruments Not Constituing State Aid (Ca5.2)

25.

 Institutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting state aid (Article 484 to 491 of CRR).

1.6.3.1.   Instructions concerning specific positions

Columns

010

Amount of instruments plus related share premium

Article 484(3) to (5) of CRR

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

020

Base for calculating the limit

Articles 486(2) to (4) of CRR

030

Applicable percentage

Article 486(5) of CRR

040

Limit

Article 486(2) to (5) of CRR

050

(-) Amount that exceeds the limits for grandfathering

Article 486(2) to (5) of CRR

060

Total grandfathered amount

The amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA 5.1.

Rows

010

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

Article 484(3) of CRR

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

020

2.   Instruments that qualified for point (ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489

Article 484(4) of CRR

030

2.1.   Total instruments without a call or an incentive to redeem

Article 484(4) and 489 of CRR

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

040

2.2.   Grandfathered instruments with a call and incentive to redeem

Article 489 of CRR

050

2.2.1.   Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of CRR after the date of effective maturity

Articles 489(3), and 491 point (a) of CRR

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

060

2.2.2.   Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity

Articles 489(5), and 491 point (a) of CRR

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

070

2.2.3.   Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity

Articles 489(6) and 491 point (c) of CRR

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

080

2.3.   Excess on the limit of CET1 grandfathered instruments

Article 487(1) of CRR

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

090

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

Article 484(5) of CRR

100

3.1.   Total items without an incentive to redeem

Article 490 of CRR

110

3.2.   Grandfathered items with an incentive to redeem

Article 490 of CRR

120

3.2.1.   Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity

Articles 490(3), and 491 point (a) of CRR

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

130

3.2.2.   Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity

Articles 490(5), and 491 point (a) of CRR

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

140

3.2.3.   Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity

Articles 490(6) and 491 point (c) of CRR

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

150

3.3.   Excess on the limit of AT1 grandfathered instruments

Article 487(2) of CRR

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

2.   GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

2.1.   GENERAL REMARKS

26.

 Templates C 06.01 and C 06.02 shall be reported if own funds requirements are calculated on a consolidated basis. This template consists of four parts in order to gather different information on all individual entities (including the reporting institution) included in the scope of consolidation.

(a)

Entities within the scope of consolidation;

(b)

Detailed group solvency information;

(c)

Information on the contribution of individual entities to group solvency;

(d)

Information on capital buffers;

27.

 Institutions waived according to Article 7 of CRR shall only report the columns 010 to 060 and 250 to 400.

28.

 The figures reported take into account all applicable transitional provisions of CRR which are applicable at the respective reporting date.

2.2.   DETAILED GROUP SOLVENCY INFORMATION

29.

 The second part of this template (detailed group solvency information) in columns 070 to 210 is designed to gather information on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for each risk category and the own funds for solvency purposes.

30.

 In the case of proportional consolidation of participations, the figures related to own funds requirements and own funds shall reflect the respective proportional amounts.

2.3.   INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY

31.

 The objective of the third part of this template (information on the contributions of all entities within CRR scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 250 to 400, is to identify which entities within the group generate the risks and raise own funds from the market, based on data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared to each other.

32.

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

33.

 As this third part of the template refers to “contributions”, the figures to be reported herein shall defer, when applicable, from the figures reported in the columns referring to detailed group solvency information.

34.

 The principle is to delete the cross-exposures within the same groups in a homogeneous way both in terms of risks or own funds, in order to cover the amounts reported in the group’s consolidated CA template by adding the amounts reported for each entity in “Group Solvency” template. In cases where the 1 % threshold is not exceeded a direct link to the CA template is not possible.

35.

 The institutions shall define the most appropriate breakdown method between the entities to take into account the possible diversification effects for market risk and operational risk.

36.

 It is possible for one consolidated group to be included within another consolidated group. This means that the entities within a subgroup shall be reported entity-by-entity in the GS of the entire group, even if the sub-group itself is subject to reporting requirements. If the subgroup is subject to reporting requirements, it shall also report the GS template on an entity-by-entity basis, although those details are included in the GS template of a higher consolidated group.

37.

 An institution shall report data of the contribution of an entity when its contribution to the total risk exposure amount exceeds 1 % of the total risk exposure amount of the group or when its contribution to the total own funds exceeds 1 % of the total own funds of the group. This threshold does not apply in the case of subsidiaries or subgroups that provide own funds (in the form of minority interests or qualifying AT1 or T2 instruments included in own funds) to the group.

2.4.   C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – Total (GS Total)

Columns

Instructions

250-400

ENTITIES WITHIN SCOPE OF CONSOLIDATION

See instructions for C 06.02

410-480

CAPITAL BUFFERS

See instructions for C 06.02


Rows

Instructions

010

TOTAL

The Total shall represent the sum of the values reported in all rows of template C 06.02.

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

Columns

Instructions

010-060

ENTITIES WITHIN SCOPE OF CONSOLIDATION

This template is designed to gather information on all entities on an entity-by-entity-basis within the scope of consolidation according to Chapter 2 of Title II of Part One of CRR.

010

NAME

Name of the entity within the scope of consolidation.

020

CODE

This code is a row identifier and shall be unique for each row in the table.

Code assigned to the entity within the scope of consolidation.

The actual composition of the code depends on the national reporting system.

025

LEI CODE

LEI code stands for Legal Entity Identification code which is a reference code proposed by the Financial Stability Board (FSB) and endorsed by the G20, aimed at achieving a unique and worldwide identification of parties to financial transactions.

Until the global LEI system is fully operational, pre-LEI codes are being assigned to counterparties by a Local Operational Unit that has been endorsed by Regulatory Oversight Committee (ROC, detailed information may be found at the following website: www.leiroc.org)).

Where a Legal Entity Identification code (LEI code) exists for a given counterparty, it shall be used to identify that counterparty.

030

INSTITUTION OR EQUIVALENT (YES/NO)

“YES” shall be reported in case the entity is subject to own funds requirements according to CRR and CRD or provisions at least equivalent to Basel provisions.

“NO” shall be reported otherwise.

Image 1
Minority interests:

Articles 81(1) point (a) (ii) and 82(1) point (a) (ii) of CRR

To the effects of minority interests and AT1 and T2 instruments issued by subsidiaries, the subsidiaries whose instruments can be eligible shall be institutions or undertakings subject by virtue of applicable national law to the requirements of CRR.

035

TYPE OF ENTITY

The type of entity shall be reported based on the following categories:

(a)

credit institution

Article 4(1) (1) CRR;

(b)

investment firm

Article 4(1) (2) CRR;

(c)

financial institution (other)

Articles 4(1) (20), (21) and (26) CRR

Financial institutions within the meaning of Article 4(1) (26) CRR which are not included in any of the categories (d), (f) or (g);

(d)

(mixed) financial holding company

Articles 4(1) (20) and (21) CRR;

(e)

ancillary services undertaking

Article 4(1) (18) CRR;

(f)

securitisation special purpose entity (SSPE),

Article 4(1) (66) CRR;

(g)

covered bond company

Entity set up to issue covered bonds or to hold the collateral securing a covered bond, if not included in any of the categories (a), (b) or (d) to (f) above;

(h)

other type of entity

Entity other than those referred to in points (a) to (g)

Where an entity is not subject to CRR and CRD, but subject to provisions at least equivalent to Basel provisions, the relevant category shall be determined on a best effort basis.

040

SCOPE OF DATA: solo fully consolidated (SF) OR solo partially consolidated (SP)

“SF” shall be reported for individual subsidiaries fully consolidated.

“SP” shall be reported for individual subsidiaries partially consolidated.

050

COUNTRY CODE

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

060

SHARE OF HOLDING (%)

This percentage refers to the actual share of capital the parent undertaking holds in subsidiaries. In case of full consolidation of a direct subsidiary, the actual share is e.g. 70 %. In accordance with Article 4(16) of CRR, the share of holding of a subsidiary of a subsidiary to be reported results from a multiplication of the shares between the subsidiaries concerned.

070-240

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT

The section of detailed information (i.e. columns 070 to 240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Chapter 2 of Title II of Part One of CRR), are effectively subject to solvency requirements according to CRR or provisions at least equivalent to Basel provisions (i.e, reported yes in column 030).

Information shall be included about all individual institutions of a consolidated group that are subject to own funds requirements, regardless where they are located.

The information reported in this part shall be according to the local solvency rules where the institution is operating (therefore for this template it is not necessary to do a double calculation on an individual basis according to the parent institution’s rules). When local solvency rules differ from CRR and a comparable breakdown is not given, the information shall be completed where data is available in the respective granularity. Therefore, this part is a factual template that summarises the calculations that the individual institutions of a group shall carry out, bearing in mind that some of those institutions may be subject to different solvency rules.

Reporting of fixed overheads of investment firms:

Investment firms shall include own funds requirements related to fixed overheads in their calculation of capital ratio according to Articles 95, 96, 97 and 98 of CRR.

The part of the total risk exposure amount related to fixed overheads shall be reported in column 100 of part 2 of this template.

070

TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 080 to 110 shall be reported.

080

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

The amount to be reported in this column corresponds to the sum of risk weighted exposure amounts that are equal or equivalent to the ones that must be reported in row 040 “RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES” and the amounts of own funds requirements that are equal or equivalent to the ones that must be reported in row 490 “TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS” of the template CA2.

090

POSITION, FX AND COMMODITY RISKS

The amount to be reported in this column corresponds to the amount of own funds requirements that are equal or equivalent to the ones that must be reported in row 520 “TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS” of the template CA2.

100

OPERATIONAL RISK

The amount to be reported in this column corresponds to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 590 “TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR)” of the template CA2.

Fixed overheads shall be included in this column including the row 630 “ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS” of the template CA2.

110

OTHER RISK EXPOSURE AMOUNTS

The amount to be reported in this column corresponds to the risk exposure amount not especially listed above. It is the sum of the amounts of rows 640, 680 and 690 of the template CA2.

120-240

DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS

The information reported in the following columns shall be according to the local solvency rules where the entity or subgroup is operating.

120

OWN FUNDS

The amount to be reported in this column corresponds to the amount of own funds that are equal or equivalent to the ones that must be reported in row 010 “OWN FUNDS” of the template CA1.

130

OF WHICH: QUALIFYING OWN FUNDS

Article 82 of CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions.

Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings, share premium accounts and other reserves) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

140

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

Article 87(1)(b) of CRR

150

TOTAL TIER 1 CAPITAL

Article 25 of CRR

160

OF WHICH: QUALIFYING TIER 1 CAPITAL

Article 82 of CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions.

Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

170

RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

Article 85(1)(b) of CRR

180

COMMON EQUITY TIER 1 CAPITAL

Article 50 of CRR

190

OF WHICH: MINORITY INTERESTS

Article 81 of CRR

This column shall only be reported for subsidiaries fully consolidated which are institutions, except subsidiaries referred to in article 84(3) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 84 of CRR, if relevant, in accordance with article 84(2), otherwise on a solo basis.

To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the CET1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

200

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

Article 84(1)(b) of CRR

210

ADDITIONAL TIER 1 CAPITAL

Article 61 of CRR

220

OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

Articles 82 and 83 of CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated which are institutions, except subsidiaries referred to in Article 85(2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 85 of CRR, if relevant, in accordance with article 85(2), otherwise on a solo basis.

To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the AT1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

230

TIER 2 CAPITAL

Article 71 of CRR

240

OF WHICH: QUALIFYING TIER 2 CAPITAL

Articles 82 and 83 of CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions, except subsidiaries referred to in Article 87(2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 87 of CRR, if relevant, in accordance with article 87(2) of CRR, otherwise on a solo basis.

To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the T2 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision, i.e. it has to be the eligible amount in the date of reporting.

250-400

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

250-290

CONTRIBUTION TO RISKS

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

250

TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 260 to 290 shall be reported.

260

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

The amount to be reported shall be the risk weighted exposure amounts for credit risk and own funds requirements of settlement/delivery risk as per CRR, excluding any amount related to transactions with other entities included in the Group consolidated solvency ratio computation.

270

POSITION, FX AND COMMODITY RISKS

Risk exposure amounts for market risks are to be computed at each entity level following CRR. Entities shall report the contribution to the total risk exposure amounts for position, FX and commodity risk of the group. The sum of amounts reported here corresponds to the amount reported in row 520 “TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS” of the consolidated report.

280

OPERATIONAL RISK

In case of AMA, the reported risk exposure amounts for operational risk include the effect of diversification.

Fixed overheads shall be included in this column.

290

OTHER RISK EXPOSURE AMOUNTS

The amount to be reported in this column corresponds to the risk exposure amount not especially listed above.

300-400

CONTRIBUTION TO OWN FUNDS

This part of the template does not intend to impose that institutions perform a full computation of the total capital ratio at the level of each entity.

Columns 300 to 350 shall be reported for those consolidated entities which contribute to own funds by minority interest, qualifying Tier 1 capital and/or qualifying own funds. Subject to the threshold defined in the last paragraph of Part II, chapter 2.3 above, columns 360 to 400 shall be reported for all consolidated entities which contribute to the consolidated own funds.

Own funds brought to an entity by the rest of entities included within the scope of the reporting entity shall not to be taken into account, only the net contribution to the group own funds shall be reported in this column, that is mainly the own funds raised from third parties and accumulated reserves.

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

300-350

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

The amount to be reported as “QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS” shall be the amount as derived from Title II of Part Two of CRR, excluding any fund brought in by other group entities.

300

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

Article 87 of CRR

310

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

Article 85 of CRR

320

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

Article 84 of CRR

The amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated CET1 according to CRR.

330

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

Article 86 of CRR

The amount to be reported is the amount of qualifying T1 capital of a subsidiary that is included in consolidated AT1 according to CRR.

340

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

Article 88 of CRR

The amount to be reported is the amount of qualifying own funds of a subsidiary that is included in consolidated T2 according to CRR.

350

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

360-400

CONSOLIDATED OWN FUNDS

Article 18 CRR

The amount to be reported as “CONSOLIDATED OWN FUNDS” is the amount as derived from the balance sheet, excluding any fund brought in by other group entities.

360

CONSOLIDATED OWN FUNDS

370

OF WHICH: COMMON EQUITY TIER 1

380

OF WHICH: ADDITIONAL TIER 1

390

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

The contribution of each entity to the consolidated result (profit or loss (-)) is reported. This includes the results attributable to minority interests.

400

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

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

410-480

CAPITAL BUFFERS

The structure of the reporting of capital buffers for the GS template follows the general structure of the template CA4, using the same reporting concepts. When reporting the capital buffers for the GS template, the relevant amounts shall be reported in accordance with the provisions applicable to determine the buffer requirement for the consolidated situation of a group. Therefore, the reported amounts of capital buffers represent the contributions of each entity to group capital buffers. The amounts reported shall be based on the national transposition measures of CRD and on CRR, including any transitional provisions provided for therein.

410

COMBINED BUFFER REQUIREMENT

Article 128 point (6) of CRD

420

CAPITAL CONSERVATION BUFFER

Article 128 point (1) and 129 of CRD

According to Article 129(1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this cell.

430

INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER

Article 128 point (2), Article 130 and 135-140 of CRD

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

440

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

Article 458(2) point d (iv) of CRR

In this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 of CRR in addition to the capital conservation buffer shall be reported.

450

SYSTEMIC RISK BUFFER

Articles 128 point (5), 133 and 134 of CRD

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

470

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Articles 128 point (3) and 131 of CRD

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

480

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Articles 128 point (4) and 131 of CRD

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

3.   CREDIT RISK TEMPLATES

3.1.   GENERAL REMARKS

38.

 There are different sets of templates for the Standardised approach and the IRB approach for credit risk. Additionally, separate templates for the geographical breakdown of positions subject to credit risk shall be reported if the relevant threshold as set out in Article 5(a)(4) is exceeded.

3.1.1.   Reporting of CRM techniques with substitution effect

39.

 Article 235 of CRR describes the computation procedure of the exposure which is fully protected by unfunded protection.

40.

 Article 236 of CRR describes the computation procedure of exposure which is fully protected by unfunded protection in the case of full protection/partial protection — equal seniority.

41.

 Articles 196, 197 and 200 of CRR regulate the funded credit protection.

42.

 Reporting of exposures to obligors (immediate counterparties) and protection providers which are assigned to the same exposure class shall be done as an inflow as well as an outflow to the same exposure class.

43.

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

44.

 If an exposure is secured by an unfunded credit protection, the secured part is assigned as an outflow e.g. in the exposure class of the obligor and as an inflow in the exposure class of the protection provider. However, the type of the exposure does not change due to the change of the exposure class.

45.

 The substitution effect in the COREP reporting framework shall reflect the risk weighting treatment effectively applicable to the covered part of the exposure. As such, the covered part of the exposure is risk weighted according to the SA approach and shall be reported in the CR SA template.

3.1.2.   Reporting of Counterparty Credit Risk

46.

 Exposures stemming from Counterparty Credit Risk positions shall be reported in templates CR SA or CR IRB independent from whether they are Banking Book items or Trading Book items.

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

3.2.1.   General remarks

47.

 The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk according to the standardised approach. In particular, they provide detailed information on:

a)

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

b)

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

3.2.2.   Scope of the CR SA template

48.

 According to Article 112 of CRR each SA exposure shall be assigned to one of the 16 SA exposure classes in order to calculate the own funds requirements.

49.

 The information in CR SA is required for the total exposure classes and individually for each of the exposure classes as defined for the standardised approach. The total figures as well as the information of each exposure class are reported in a separate dimension.

50.

 However the following positions are not within the scope of CR SA:

(a)

Exposures assigned to exposure class “items representing securitisation positions” according to Article 112 (m) of CRR which shall be reported in the CR SEC templates.

(b)

Exposures deducted from own funds.

51.

 The scope of the CR SA template covers the following own funds requirements:

(a)

Credit risk in accordance with Chapter 2 (Standardised Approach) of Title II of Part Three of CRR in the banking book, among which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the banking book;

(b)

Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the trading book;

(c)

Settlement risk arising from free deliveries in accordance with Article 379 of CRR in respect of all the business activities.

52.

 The scope of the template are all exposures for which the own funds requirements are calculated according to part 3 title II chapter 2 of CRR in conjunction with part 3 title II chapter 4 and 6 of CRR. Institutions that apply Article 94(1) of CRR also need to report their trading book positions in this template when they apply part 3 title II chapter 2 of CRR to calculate the own funds requirements thereof (part 3 title II chapter 2 and 6 and title V of CRR). Therefore the template provides not only detailed information on the type of the exposure (e.g. on balance sheet/off balance sheet items), but also information on the allocation of risk weights within the respective exposure class.

53.

 In addition CR SA includes memorandum items in rows 290 to 320 in order to collect further information about exposures secured by mortgages on immovable property and exposures in default.

54.

 These memorandum items shall only be reported for the following exposure classes:

(a)

Central governments or central banks (Article 112 point (a) of CRR)

(b)

Regional governments or local authorities (Article 112 point (b) of CRR)

(c)

Public sector entities (Article 112 point (c) of CRR)

(d)

Institutions (Article 112 point (f) of CRR)

(e)

Corporates (Article 112 point (g) of CRR)

(f)

Retail (Article 112 point (h) of CRR).

55.

 The reporting of the memorandum items affect neither the calculation of the risk weighted exposure amounts of the exposure classes according to Article 112 points a) to c) and f) to h) of CRR nor of the exposure classes according to Article 112 points i) and j) of CRR reported in CR SA.

56.

 The memorandum rows provide additional information about the obligor structure of the exposure classes “in default” or “secured by immovable property”. Exposures shall be reported in these rows where the obligors would have been reported in the exposure classes “Central governments or central banks”, “Regional governments or local authorities”, “Public sector entities”, “Institutions”, “Corporates” and “Retail” of CR SA, if those exposures were not assigned to the exposure classes “in default” or “secured by immovable property”. However the figures reported are the same as used to calculate the risk weighted exposure amounts in the exposure classes “in default” or ‘secured by immovable property.

57.

 E.g. if an exposure, the risk exposure amounts of which are calculated subject to Article 127 of CRR and the value adjustments are less than 20 %, then this information is reported in CR SA, row 320 in the total and in the exposure class “in default”. If this exposure, before it defaulted, was an exposure to an institution then this information shall also be reported in row 320 of exposure class “institutions”.

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

58.

 In order to ensure a consistent categorisation of exposures into the different exposure classes as defined in Article 112 of CRR the following sequential approach shall be applied:

(a)

In the first step the Original exposure pre conversion factors is classified into the corresponding (original) exposure class as referred to in Article 112 of CRR, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.

(b)

In a second step the exposures may be redistributed to other exposure classes due to the application of credit risk mitigation (CRM) techniques with substitution effects on the exposure (e.g. guarantees, credit derivatives, financial collateral simple method) via inflows and outflows.

59.

 The following criteria apply for the classification of the Original exposure pre conversion factors into the different exposure classes (first step) without prejudice to the subsequent redistribution caused by the use of CRM techniques with substitution effects on the exposure or to the treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.

60.

 For the purpose of classifying the original exposure pre conversion factor in the first step, the CRM techniques associated to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class mentioned in Article 112 point (i) of CRR (exposures secured by mortgages on immovable property).

61.

 Article 112 of CRR does not provide criteria for disjoining the exposure classes. This might imply that one exposure could potentially be classified in different exposure classes if no prioritisation in the assessment criteria for the classification is provided. The most obvious case arises between exposures to institutions and corporate with a short-term credit assessment (Article 112 point (n) of CRR) and exposures to institutions (Article 112 point (f) of CRR)/exposures to corporates (Article 112 point (g) of CRR). In this case it is clear that there is an implicit prioritisation in CRR since it shall be assessed first if a certain exposure fit for being assigned to Short-term exposures to institutions and corporate and only afterwards do the same process for exposures to institutions and exposures to corporates. Otherwise it is obvious that the exposure class mentioned in Article 112 point (n) of CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but not the only one. It is worth noting that the criteria used for establishing the exposure classes under the standardised approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is the underlying reason for non disjoint groupings.

62.

 For a homogeneous and comparable reporting it is necessary to specify prioritisation assessment criteria for the assignment of the Original exposure pre conversion factor by exposure classes, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. The prioritisation criteria presented below using a decision tree scheme are based on the assessment of the conditions explicitly laid down in CRR for an exposure to fit in a certain exposure class and, if it is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. As such, the outcome of the exposure assignment process for reporting purposes would be in line with CRR provisions. This does not preclude institutions to apply other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora.

63.

 An exposure class shall be given priority to others in the assessment ranking in the decision tree (i.e. it shall be first assessed if an exposure can be assigned to it, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. This would be the case when in the absence of prioritisation criteria one exposure class would be a subset of others. As such the criteria graphically depicted in the following decision tree would work on a sequential process.

64.

 With this background the assessment ranking in the decision tree mentioned below would follow the following order:

1.

Securitisation positions;

2.

Items associated with particular high risk;

3.

Equity exposures

4.

Exposures in default;

5.

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

6.

Exposures secured by mortgages on immovable property;

7.

Other items;

8.

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

9.

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

65.

 In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach (Article 132(3) to (5) of CRR) is used, the underlying individual exposures shall be considered and classified into their corresponding risk weight line according to their treatment, but all the individual exposures shall be classified within the exposure class of exposures in the form of units or shares in collective investment undertakings (“CIU”).

66.

 In the case of “nth” to default credit derivatives specified in Article 134(6) of CRR, if they are rated, they shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the “Other items” exposure class. In this latter case the nominal amount of the contract shall be reported as the Original exposure pre conversion factors in the line for “Other risk weights” (the risk weight used shall be that specified by the sum indicated under Article 134(6) of CRR.

67.

 In a second step, as a consequence of credit risk mitigation techniques with substitution effects, exposures shall be reallocated to the exposure class of the protection provider.

DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH ACCORDING TO CRR

Original exposure pre conversion factors

 

 

Does it fit for being assigned to the exposure class of Article 112 (m)?

 YES

Image 2

Securitisation positions
NO

Image 3

 

 

Does it fit for being assigned to the exposure class of Article 112point (k)?

 YES

Image 4

Items associated with particular high risk (also see Article 128)
NO

Image 5

 

 

Does it fit for being assigned to the exposure class of Article 112 point (p)?

 YES

Image 6

Equity exposures (also see Article 133)
NO

Image 7

 

 

Does it fit for being assigned to the exposure class of Article 112 point (j)?

 YES

Image 8

Exposures in default
NO

Image 9

 

 

Does it fit for being assigned to the exposure classes of Article 112 points (l) and (o)?

 YES

Image 10

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

Exposures in the form of covered bonds (also see Article 129)

These two exposure classes are disjoint among themselves (see comments on the look-through approach in the answer above). Therefore the assignment to one of them is straightforward.
NO

Image 11

 

 

Does it fit for being assigned to the exposure class of Article 112 point (i)?

 YES

Image 12

Exposures secured by mortgages on immovable property (also see Article 124)
NO

Image 13

 

 

Does it fit for being assigned to the exposure class of Article 112 point (q)?

 YES

Image 14

Other items
NO

Image 15

 

 

Does it fit for being assigned to the exposure class of Article 112 point (n)?

 YES

Image 16

Exposures to institutions and corporates with a short-term credit assessment
NO

Image 17

 

 

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

Exposures to central governments or central banks

Exposures to regional governments or local authorities

Exposures to public sector entities

Exposures to multilateral development banks

Exposures to international organisations

Exposures to institutions

Exposures to corporates

Retail exposures

3.2.4.   Clarifications on the scope of some specific exposure classes referred to in Article 112 of CRR

3.2.4.1.   Exposure Class “Institutions”

68.

 Reporting of intra-group exposures according to Article 113(6) to (7) of CRR shall be done as follows:

69.

 Exposures which fulfil the requirements of Article 113(7) of CRR shall be reported in the respective exposure classes where they would be reported if they were no intra-group exposures.

70.

 According Article 113(6) and (7) of CRR “an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of this Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC.” This means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings within the meaning of Article 12(1) of Directive 83/349/EEC. Therefore intra-group exposures shall be reported in the corresponding exposure class.

3.2.4.2.   Exposure Class “Covered Bonds”

71.

 The assignment of SA exposures to the exposure class “covered bonds” shall be done as follows:

72.

 Bonds as defined in Article 52(4) of Directive 2009/65/EC shall fulfil the requirements of Article 129(1) to (2) of CRR to be classified in the exposure class “Covered Bonds”. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds according to Article 52(4) of Directive 2009/65/EC and issued before 31 December 2007, are also assigned to the exposure class “Covered Bonds” because of Article 129(6) of CRR.

3.2.4.3.   Exposure class “Collective Investment Undertakings”

73.

 Where the possibility according to Article 132(5) of CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items according to Article 111(1) sentence 1 of CRR.

3.2.5.   Instructions concerning specific positions

Columns

010

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Exposure value according to Article 111 of CRR without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) of CRR:

For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR or subject to Article 92(3) point (f) of CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 of CRR.

Exposure values for leases are subject to Article 134(7) of CRR.

In case of on-balance sheet netting laid down in Article 219 of CRR the exposure values shall be reported according to the received cash collateral.

In the case of master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market driven transactions subject to part 3 title II chapter 6 of CRR, the effect of Funded Credit Protection in the form of master netting agreements as under Article 220(4) of CRR shall be included in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to the provisions in part 3 title II chapter 6 of CRR, E* as calculated under Articles 220 and 221 of CRR shall be reported in column 010 of the CR SA template.

030

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

Article 24 and 111 of CRR

Value adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject to.

040

Exposure net of value adjustments and provisions

Sum of columns 010 and 030.

050 - 100

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

Credit risk mitigation techniques as defined in Article 4(57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in Substitution of the exposure due to CRM.

If collateral has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value.

Items to be reported here:

—

collateral, incorporated according to Financial Collateral Simple Method;

—

eligible unfunded credit protection.

Please also see instructions of point 4.1.1.

050 - 060

Unfunded credit protection: adjusted values (Ga)

Article 235 of CRR

Article 239(3) of CRR defines the adjusted value Ga of an unfunded credit protection.

050

Guarantees

Article 203 of CRR

Unfunded Credit Protection as defined in Article 4(59) of CRR different from Credit Derivatives.

060

Credit derivatives

Article 204 of CRR.

070 – 080

Funded credit protection

These columns refer to funded credit protection according to Article 4(58) of CRR and Articles 196, 197 and 200 of CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre conversion factors).

Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR shall be treated as cash collateral.

070

Financial collateral: simple method

Article 222(1) to (2) of CRR.

080

Other funded credit protection

Article 232 of CRR.

090 - 100

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Articles 222(3), Article 235(1) to (2) and Article 236 of CRR.

Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor’s exposure class and subsequently assigned to the protection provider’s exposure class. This amount shall be considered as an Inflow into the protection provider’s exposure class.

Inflows and outflows within the same exposure classes shall also be reported.

Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.

110

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

Amount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

120-140

CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD

Articles 223, 224, 225, 226, 227 and 228 of CRR. It also includes credit linked notes (Article 218 of CRR)

Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR are treated as cash collateral.

The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, is calculated according to Articles 223, 224, 225, 226, 227 and 228 of CRR.

120

Volatility adjustment to the exposure

Article 223(2) to (3) of CRR.

The amount to be reported is given by the impact of the volatility adjustment to the exposure (EVA-E) = E*He

130

(-) Financial collateral adjusted value (Cvam)

Article 239(2) of CRR.

For trading book operations includes financial collateral and commodities eligible for trading book exposures according to Article 299(2) points (c) to (f) of CRR.

The amount to be reported corresponds to Cvam = C*(1-Hc-Hfx)*(t-t*)/(T-t*). For a definition of C, Hc, Hfx, t, T and t* see part 3 title II chapter 4 section 4 and 5 of CRR.

140

(-) Of which: Volatility and maturity adjustments

Article 223(1) of CRR and Article 239(2) of CRR.

The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva) = C*(1-Hc-Hfx)*[(t-t*)/(T-t*)-1]

150

Fully adjusted exposure value (E*)

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

160 - 190

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

Article 111(1) and Article 4(56) of CRR. See also Article 222(3) and Article 228(1) of CRR.

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

200

Exposure value

Article 111 of CRR and Part 3 title II chapter 4 section 4 of CRR.

Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights according to Article 113 and part 3 title II chapter 2 section 2 of CRR.

210

Of which: Arising from Counterparty Credit Risk

For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR, the exposure value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 2, 3, 4, 5 of CRR.

215

Risk weighted exposure amount pre SME-supporting factor

Article 113(1) to (5) of CRR without taking into account the SME-supporting factor according to Article 501 of CRR.

220

Risk weighted exposure amount after SME-supporting factor

Article 113(1) to (5) of CRR taking into account the SME-supporting factor according to Article 500 of CRR.

230

Of which: with a credit assessment by a nominated ECAI

Article 112 a) to d), f), g), l), n) o) and q) of CRR

240

Of which: with a credit assessment derived from central government

Article 112 b) to d), f), g), l) and o) of CRR


Rows

Instructions

010

Total exposures

015

of which: Defaulted exposures

Article 127 CRR

This row shall only be reported in exposure classes “Items associated with a particular high risk” and “Equity exposures”.

If an exposure is either listed in Article 128(2) of CRR or meets the criteria set in Articles 128(3) or 133 of CRR, it shall be assigned to the exposure class “Items associated with particular high risk” or “Equity exposures”. Consequently, there shall be no other allocation, even if the exposure is defaulted according to Article 127 of CRR.

020

of which: SME

All exposures to SME shall be reported here.

030

of which: Exposures subject to the SME-supporting factor

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

040

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

Article 125 of CRR.

Only reported in exposure class “Secured by mortgages on immovable property”

050

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

Exposures treated under Article 150(1) of CRR

060

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

Exposures treated under Article 148(1) of CRR

070-130

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES

Reporting institution's “banking book” positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.

Reporting institution's “trading book” counterparty credit risk positions according to Article 92(3) point (f) and Article 299(2) of CRR are assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) of CRR also break down their “trading book” positions following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.

070

On balance sheet exposures subject to credit risk

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

Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 090, 110 and 130, and therefore shall not be reported in this row.

Free deliveries according to Article 379(1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.

Exposures arising from assets posted to a CCP according to Article 4(90) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if not reported in row 030.

080

Off balance sheet exposures subject to credit risk

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

Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040, 060 and, therefore, not reported in this row.

Exposures arising from assets posted to a CCP according to Article 4(90) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if they are considered as off-balance sheet items.

090-130

Exposures/Transactions subject to counterparty credit risk

090

Securities Financing Transactions

Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document “The Application of Basel II to Trading Activities and the Treatment of Double Default Effects”, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4(82) of CRR as well as securities or commodities lending and borrowing transactions; (ii) margin lending transactions as defined in Article 272(3) of CRR.

100

Of which: centrally cleared through a QCCP

Article 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR.

Trade exposures to a CCP according to Article 4(91) of CRR

110

Derivatives and Long Settlement Transactions

Derivatives comprise those contract listed in Annex II of CRR.

Long Settlement Transactions as defined in Article 272(2) of CRR.

Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 130, shall not be reported in this row.

120

Of which: centrally cleared through a QCCP

Article 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR

Trade exposures to a CCP according to Article 4(91) of CRR

130

From Contractual Cross Product Netting

Exposures that due to the existence of a contractual cross product netting (as defined in Article 272(11) of CRR) cannot be assigned to either Derivatives & Long Settlement Transactions or Securities Financing Transactions, shall be included in this row.

140-280

BREAKDOWN OF EXPOSURES BY RISK WEIGHTS

140

0  %

150

2 %

Article 306(1) of CRR

160

4 %

Article 305(3) of CRR

170

10  %

180

20  %

190

35  %

200

50  %

210

70  %

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

220

75  %

230

100  %

240

150  %

250

250  %

Articles 133(2) and 48(4) CRR

260

370  %

Article 471 of CRR

270

1 250  %

Articles 133(2), 379 of CRR

280

Other risk weights

This row is not available for exposure classes Government, Corporates, Institutions and Retail.

For reporting those exposures not subject to the risk weights listed in the template.

Article 113(1) to (5) of CRR.

Unrated nth to default credit derivatives under the Standardized Approach (Article 134(6) of CRR) shall be reported in this row under the exposure class “Other items”.

See also Article 124(2) and Article 152(2) point (b) of CRR.

290-320

Memorandum Items

See also the explanation of the purpose of the memorandum items in the general section of the CR SA.

290

Exposures secured by mortgages on commercial immovable property

Article 112 point (i) of CRR

This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property according to Article 124 and 126 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by commercial real estate.

300

Exposures in default subject to a risk weight of 100 %

Article 112 point (j) of CRR.

Exposures included in the exposure class “exposures in default” which shall be included in this exposure class if they were not in default.

310

Exposures secured by mortgages on residential property

Article 112 point (i) of CRR.

This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property according to Article 124 and 125 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by real estate property.

320

Exposures in default subject to a risk weight of 150 %

Article 112 point (j) of CRR.

Exposures included in the exposure class “exposures in default” which shall be included in this exposure class if they were not in default.

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

3.3.1.   Scope of the CR IRB template

74.

 The scope of the CR IRB template covers own funds requirements for:

i.

Credit risk in the banking book, among which:

—

Counterparty credit risk in the banking book;

—

Dilution risk for purchased receivables;

ii.

Counterparty credit risk in the trading book;

iii.

Free deliveries resulting from all business activities..

75.

 The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated according to Articles 151 to 157 Part Three Title II Chapter 3 CRR (IRB approach).

76.

 The CR IRB template does not cover the following data:

i.

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

ii.

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

iii.

“Other non-obligation assets”, according to Article 147(2) point (g) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, according to Article 156 CRR. The risk weighted exposure amounts for this exposure class are reported directly in the CA-Template;

iv.

Credit valuation adjustment risk, which is reported on the CVA Risk template;

The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown is reported in the template CR GB.

77.

 In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors the following information shall be provided for each reported exposure class:

“NO” = in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)

“YES” = in case own estimates of LGD and credit conversion factors are used (Advanced IRB)

In any case, for the reporting of the retail portfolios “YES” has to be reported.

In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as uses supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.

3.3.2.   Breakdown of the CR IRB template

78.

 The CR IRB consists of two templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate total risk exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools. The templates CR IRB 1 and CR IRB 2 shall be reported separately for the following exposure and sub-exposure classes:

1.

Total

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

2.

Central banks and central governments

(Article 147(2)(a) CRR)

3.

Institutions

(Article 147(2) point (b) CRR)

4.1)

Corporate – SME

(Article 147(2) point (c) CRR

4.2)

Corporate – Specialised lending

(Article 147(8) CRR)

4.3)

Corporate – Other

(All corporates according to Article 147(2) point (c), not reported under 4.1 and 4.2).

5.1)

Retail – Secured by immovable property SME

(Exposures reflecting Article 147(2) point (d) in conjunction with Article 154(3) CRR which are secured by immovable property).

5.2)

Retail – Secured by immovable property non-SME

(Exposures reflecting Article 147(2) point (d) CRR which are secured by immovable property and not reported under 5.1).

5.3)

Retail – Qualifying revolving

(Article 147(2) point (d) in conjunction with Article 154(4) CRR).

5.4)

Retail – Other SME

(Article 147(2) point (d) not reported under 5.1 and 5.3).

5.5)

Retail – Other non – SME

(Article 147(2) point (d) CRR which were not reported under 5.2 and 5.3).

3.3.3.   C 08.01 — Credit and counterparty credit risks and free deliveries: IRB Approach to Capital Requirements (CR IRB 1)

3.3.3.1.   Instructions concerning specific positions

Columns

Instructions

010

INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of CRR. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the exposure-weighted average PD.

For each individual grade or pool the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.

It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale is used.

Otherwise, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.

Institutions shall contact their competent authority in advance, if they want to report a different number of grades in comparison with the internal number of grades.

For the purposes of weighting the average PD the exposure value reported in column 110 is used. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD (e.g. for “total exposure”). Defaulted exposures are those assigned to the last rating grade/s with a PD of 100 %.

020

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Institutions report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors.

The original exposure value shall be reported in accordance with Article 24 of CRR and Article 166(1) and (2) and (4) to (7) of CRR.

The effect resulting from Article 166(3) of CRR (effect of on balance sheet netting of loans and deposits) is reported separately as Funded Credit Protection and therefore shall not reduce the Original Exposure.

030

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the original exposure pre conversion factor for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR.

040-080

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

Credit risk mitigation techniques as defined in Article 4(57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in “SUBSTITUTION OF THE EXPOSURE DUE TO CRM”.

040-050

UNFUNDED CREDIT PROTECTION

Unfunded credit protection: Values as they are defined in Article 4(59) of CRR.

If collateral has an effect on the exposure (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value.

040

GUARANTEES:

When own estimates of LGD are not used, the Adjusted Value (Ga) as defined in Article 236 of CRR shall be provided.

When Own estimates of LGD are used, (Article 183 of CRR, except paragraph 3), the relevant value used in the internal model shall be reported.

Guarantees shall be reported in column 040 when the adjustment is not made in the LGD. When the adjustment is made in the LGD, the amount of the guarantee shall be reported in column 150.

Regarding exposures subject to the double default treatment, the value of unfunded credit protection is re-ported in column 220.

050

CREDIT DERIVATIVES:

When own estimates of LGD are not used, the Adjusted Value (Ga) as defined in Article 216 of CRR shall be provided.

When own estimates of LGD are used (Article 183 of CRR), the relevant value used in the internal modelling shall be reported.

When the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 160

Regarding exposures subject to the double default treatment the value of unfunded credit protection shall be reported in column 220.

060

OTHER FUNDED CREDIT PROTECTION

If collateral has an effect on the exposure (e.g. if used for credit risk mitigation techniques with substitution effects of the exposure), it shall be capped at the exposure value.

When own estimates of LGD are not used, Article 232 of CRR shall be applied.

When own estimates of LGD are used, those credit risk mitigants that comply with the criteria in Article 212 of CRR shall be reported. The relevant value used in the internal model shall be reported.

To be reported in column 060 when the adjustment is not made in the LGD. When an adjustment is made in the LGD the amount shall be reported in column 170.

070-080

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor’s exposure class and, when relevant, obligor grade or pool, and subsequently assigned to the protection provider’s exposure class and, when relevant, obligor grade or pool. This amount shall be considered as an Inflow into the protection provider’s exposure class and, when relevant, obligor grades or pools.

Inflows and outflows within the same exposure classes and, when relevant, obligor grades or pools shall also be considered.

Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.

090

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure.

100, 120

Of which: Off Balance Sheet Items

See CR-SA instructions

110

EXPOSURE VALUE

The value in accordance with Article 166 of CRR and Article 230(1) sentence 2 of CRR are reported.

For the instruments as defined in Annex I, the credit conversion factors (Article 166(8) to (10) of CRR) irrespective the approach chosen by the institution, are applied.

For rows 040-060 (securities financing transactions, derivatives and long settlement transactions and exposures from contractual cross-product netting) subject to part 3 title II chapter 6 of CRR, the Exposure Value is the same as the value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 3, 4, 5, 6 and 7 of CRR. These values are reported in this column and not column 130 “Of which: arising from counterparty credit risk”.

130

Of which: Arising from counterparty Credit Risk

See CR SA instructions.

140

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the exposure value for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR.

150-210

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

CRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques shall not be included in these columns.

Where own estimates of LGD are not used: Articles 228(2), 230 (1) and (2), 231 of CRR

Where own estimates of LGD are used:

—

Regarding unfunded credit protection, for exposures to central government and central banks, institutions and corporates: Article 161 paragraph 3 of CRR. For retail exposures Article 164(2) of CRR.

—

Regarding funded credit protection collateral taken into account in the LGD estimates according to points (e) and (f) of Article 181(1) of CRR.

150

GUARANTEES

See instructions to column 040.

160

CREDIT DERIVATIVES

See instructions to column 050.

170

OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION

The relevant value used in the internal modelling of the institution.

Those credit risk mitigants that comply with the criteria in Article 212 of CRR.

180

ELIGIBLE FINANCIAL COLLATERAL

For trading book operations includes financial instruments and commodities eligible for trading book exposures according to Article 299 paragraph 2 point. (c) to (f) of CRR Credit linked Notes and on -balance sheet netting according to Part 3 Title II Chapter 4 Section 4 of CRR are treated as cash collateral.

When own estimates of LGD are not used: values in accordance with Article 193(1) to (4) and Article 194(1) of CRR. The adjusted value (Cvam) as set out in Article 223(2) of CRR is reported.

When own estimates of LGD are used: financial collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of CRR. The amount to be reported shall be the estimated market value of the collateral.

190-210

OTHER ELIGIBLE COLLATERAL

Where own estimates of LGD are not used: Article 199(1) to (8) of CRR and Article 229 of CRR.

Where own estimates of LGD are used: other collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of CRR.

190

REAL ESTATE

Where own estimates of LGD are not used, values in accordance with Article 199(2) to (4) of CRR shall be reported. Leasing of real estate property is also included (see Article 199(7) of CRR). See also Article 229 of CRR.

When own estimates of LGD are used the amount to be reported shall be the estimated market value.

200

OTHER PHYSICAL COLLATERAL

Where own estimates of LGD are not used, values in accordance with Article 199(6) and (8) of CRR shall be reported. Leasing of property different from real estate is also included (see Article 199(7) of CRR). See also Article 229(3) of CRR.

Where own estimates of LGD are used the amount to be reported shall be the estimated market value of collateral.

210

RECEIVABLES

When own estimates of LGD are not used, values in accordance with Articles 199(5), 229 (2) of CRR are reported.

When own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.

220

SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION

Guarantees and credit derivatives covering exposures subject to the double default treatment reflecting Articles 202 and 217 (1) of CRR. See also columns 040 “Guarantees” and 050 “Credit derivatives”.

230

EXPOSURE WEIGHTED AVERAGE LGD (%)

All the impact of CRM techniques on LGD values as specified in Part 3 Title II Chapters 3 and 4 of CRR shall be considered. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161(4) of CRR.

For defaulted exposures, provisions laid down in Article 181(1) point (h) of CRR shall be considered.

The definition of exposure value as in Column 110 shall be used for the calculation of the exposure-weighted averages.

All effects shall be considered (so the floor applicable to mortgages shall be included in the reporting).

For institutions applying the IRB approach but not using their own estimates of LGD the risk mitigation effects of financial collateral are reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* according to Article 228(2) CRR.

The exposure weighted average LGD associated to each PD “obligor grade or pool” shall result from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, weighted by the respective exposure value of Column 110.

If own estimates of LGD are applied Article 175 and Article 181(1) and (2) of CRR shall be considered.

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

The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating system approved by the respective competent authority.

Data shall not be reported for specialized lending exposures referred to in Article 153(5).

Exposure and the respective LGD's for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, they shall only be included in the calculation of column 240.

240

EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Exposure weighted average LGD (%) for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR.

250

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

The value reported reflects Article 162 of CRR. The exposure value (Column 110) shall be used for the calculation of the exposure-weighted averages. The average maturity is reported in days.

This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts. This means that this column shall not be filled in for the exposure class “retail”.

255

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

For Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR.

The SME-supporting factor according to Article 501 of CRR shall not be taken into account.

260

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

For Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR.

The SME-supporting factor according to Article 501 of CRR shall be taken into account.

270

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the risk weighted exposure amount after SME supporting factor for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR.

280

EXPECTED LOSS AMOUNT

For the definition of Expected Loss see Article 5(3) of CRR and, for calculation see Article 158 of CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating system approved by the respective competent authority.

290

(-) VALUE ADJUSTMENTS AND PROVISIONS

Value Adjustments as well as specific and general provisions under Article 159 CRR are reported. General provisions shall be reported by assigning the amount pro rata — according to the expected loss of the different obligor grades.

300

NUMBER OF OBLIGORS

Articles 172(1) and (2) of CRR.

For all exposure classes with the exception of the exposure class retail and the cases mentioned in Article 172(1) lit. e, second sentence CRR, the institution shall report the number of legal entities/obligors which were separately rated, regardless of the number of different loans or exposures granted.

Within the exposure class retail or if separate exposures to the same obligor are assigned to different obligor grades in accordance with Article 172(1) lit. e, second sentence CRR in other exposure classes, the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172(2) of CRR applies, an obligor may be considered in more than one grade.

As this column deals with an element of the structure of the rating systems, it relates to the original exposures pre conversion factor assigned to each obligor grade or pool without taking into account the effect of CRM techniques (in particular redistribution effects).


Rows

Instructions

010

TOTAL EXPOSURES

015

of which: Exposures subject to SME-supporting factor

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

020-060

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

020

On balance sheet items subject to credit risk

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

Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row.

Free deliveries according to Article 379(1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.

Exposures arising from assets posted to a CCP according to Article 4(91) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if not reported in row 030.

030

Off balance sheet items subject to credit risk

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

Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row.

Exposures arising from assets posted to a CCP according to Article 4(91) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if they are considered as off-balance sheet items.

040-060

Exposures/Transactions subject to counterparty credit risk

040

Securities Financing Transactions

Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document “The Application of Basel II to Trading Activities and the Treatment of Double Default Effects”, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4(82) of CRR as well as securities or commodities lending and borrowing transactions and (ii) margin lending transactions as defined in Article 272(3) of CRR.

Securities Financing Transactions, which are included in a Cross Product Netting and therefore reported in row 060, shall not be reported in this row.

050

Derivatives and Long Settlement Transactions

Derivatives comprise those contracts listed in Annex II of CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 060 shall not be reported in this row.

060

From Contractual Cross Product Netting

See CR SA instructions

070

EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

For exposures to corporates, institutions and Central governments and Central Banks see Article 142(1) point (6) and Article 170(1) point (c) of CRR.

For retail exposures see Article 170(3) point (b) of CRR. For Exposures arising from purchased receivables see Article 166(6) of CRR.

Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 180.

Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.

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

080

SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL

Article 153(5) of CRR. This only applies to the corporates, institutions and central governments and central banks exposure classes.

090-150

BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:

120

Of which: In category 1

Article 153(5) table 1 of CRR.

160

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

Articles 193(1) and (2), 194 (1) to (7) and 230 (3) of CRR.

170

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

Exposures arising from free deliveries for which the alternative treatment referred to in Article 379(2) first subparagraph, last sentence of CRR is used or for which a 100 % risk weight is applied according to Article 379(2) last subparagraph of CRR. Unrated nth to default credit derivatives under Article 153(8) of CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row.

180

DILUTION RISK: TOTAL PURCHASED RECEIVABLES

See Article 4(53) of CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157(1) of CRR.

According to Article 166(6) of CRR the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation.

3.3.4.   C 08.02 — Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (breakdown by obligor grades or pools (CR IRB 2 template)

Column

Instructions

005

Obligor grade (row identifier)

This is a row identifier and shall be unique for each row on a particular sheet of the table. It shall follow the numerical order 1, 2, 3, etc.

010-300

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


Row

Instructions

010-001 – 010-NNN

Values reported in these rows must be in ordered from the lower to the higher according to the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned according to the PD of the obligor and not reported in this template.

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

79.

 All institutions shall submit information aggregated at a total level. Additionally, institutions fulfilling the threshold set in Article 5 (a) (4) of this Regulation shall submit information broken down by country regarding the domestic country as well as any non-domestic country. The threshold is only applicable to Table 1 and Table 2. Exposures to supranational organisations shall be assigned to the geographical area “other countries”.

80.

 The term “residence of the obligor” refers to the country of incorporation of the obligor. This concept can be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques with substitution effects can change the allocation of an exposure to a country. Exposures to supranational organisations shall not be assigned to the country of residence of the institution but to the geographical area “Other countries” irrespective of the exposure class where the exposure to supranational organisations is assigned.

81.

 Data regarding “original exposure pre conversion factors” shall be reported referring to the country of residence of the immediate obligor. Data regarding “exposure value” and “Risk weighted exposure amounts” shall be reported as of the country of residence of the ultimate obligor.

3.4.1.   C 09.01 – Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1)

3.4.1.1.   Instructions concerning specific positions

Columns

010

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Same definition as for column 010 of CR SA template

020

Defaulted exposures

Original exposure pre conversion factors for those exposures which have been classified as “exposures in default” and for defaulted exposures assigned to the exposure classes “exposures associated with particularly high risk” or “equity exposures”.

This “memorandum item” provides additional information about the obligor structure of defaulted exposures. Exposures classified as “exposures in default” in accordance with Article 112 point (j) CRR shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes “exposures in default”.

This information is a “memorandum item” – hence does not affect the calculation of risk weighted exposure amounts of exposure classes “exposures in default”, “exposures associated with particularly high risk” or “equity exposures” according to Article 112 points (j), (k) respectively (p) of CRR.

040

Observed new defaults for the period

The amount of original exposures which have moved into exposure class “Exposures in default” during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.

050

General credit risk adjustments

Credit risk adjustments according to Article 110 of CRR.

This item shall include the general credit risk adjustments that are eligible for inclusion in T2 capital, before the application of the cap referred to in Article 62 (c) of CRR.

The amount to be reported shall be gross of tax effects.

055

Specific credit risk adjustments

Credit risk adjustments according to Article 110 of CRR.

060

Write-offs

Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].

070

Credit risk adjustments/write-offs for observed new defaults

Sum of credit risk adjustments and write-offs for those exposures which were classified as “defaulted exposures” during the 3-month period since the last data submission.

075

Exposure value

Same definition as for column 200 of CR SA template

080

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

Same definition as for column 215 of CR SA template

090

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

Same definition as for column 220 of CR SA template


Rows

010

Central governments or central banks

Article 112 point (a) of CRR.

020

Regional governments or local authorities

Article 112 point (b) of CRR.

030

Public sector entities

Article 112 point (c) of CRR.

040

Multilateral developments banks

Article 112 point (d) of CRR.

050

International organisations

Article 112 point (e) of CRR.

060

Institutions

Article 112 point (f) of CRR.

070

Corporates

Article 112 point (g) of CRR.

075

of which: SME

Same definition as for row 020of CR SA template

080

Retail

Article 112 point (h) of CRR.

085

of which: SME

Same definition as for row 020of CR SA template

090

Secured by mortgages on immovable property

Article 112 point (i) of CRR.

095

of which: SME

Same definition as for row 020of CR SA template

100

Exposures in default

Article 112 point (j) of CRR.

110

Items associated with particularly high risk

Article 112 point (k) of CRR.

120

Covered bonds

Article 112 point (l) of CRR.

130

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

Article 112 point (n) of CRR.

140

Collective investments undertakings (CIU)

Article 112 point (o) of CRR.

150

Equity exposures

Article 112 point (p) of CRR.

160

Other exposures

Article 112 point (q) of CRR.

170

Total exposures

3.4.2.   C 09.02 – Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2)

3.4.2.1.   Instructions concerning specific positions

Columns

 

010

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Same definition as for column 020 of CR IRB template

030

Of which defaulted

Original exposure value for those exposures which have been classified as “defaulted exposures” according to CRR article 178.

040

Observed new defaults for the period

The amount of original exposures which have moved into exposure class “Exposures in default” during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.

050

General credit risk adjustments

Credit risk adjustments according to Article 110of CRR.

055

Specific credit risk adjustments

Credit risk adjustments according to Article 110 of CRR.

060

Write-offs

Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].

070

Credit risk adjustments/write-offs for observed new defaults

Sum of credit risk adjustments and write-offs for those exposures which were classified as “defaulted exposures” during the 3-month period since the last data submission.

080

INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

Same definition as for column 010 of CR IRB template

090

EXPOSURE WEIGHTED AVERAGE LGD (%)

Same definition as for columns 230 and 240 of CR IRB template: the exposure weighted average LGD (%) shall refer to all exposures, including exposures to large financial sector entities and unregulated financial entities. Provisions laid down in Article 181(1) point (h) of CRR shall apply.

Data shall not be reported for specialized lending exposures referred to in Article 153(5).

100

Of which: defaulted

Exposure weighted LGD for those exposures which have been classified as “defaulted exposures” according to Article 178 of CRR.

105

Exposure value

Same definition as for column 110 of CR IRB template.

110

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

Same definition as for column 255 of CR IRB template

120

Of which defaulted

Risk weighted exposure amount for those exposures which have been classified as “defaulted exposures” according to Article 178 of CRR.

125

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

Same definition as for column 260 of CR IRB template

130

EXPECTED LOSS AMOUNT

Same definition as for column 280 of CR IRB template


Rows

 

010

Central banks and central governments

(Article 147(2)(a) CRR)

020

Institutions

(Article 147(2) point (b) CRR)

030

Corporates

(All corporates according to Article 147(2) point (c).)

042

Of which: Specialized lending (excl. SL subject to slotting criteria)

(Article 147(8) a CRR)

Data shall not be reported for specialized lending exposures referred to in Article 153(5).

045

Of which: Specialized lending subject to slotting criteria

Articles 147(8) lit. a and 153(5) CRR

050

Of which: SME

(Article 147(2) point (c) CRR)

060

Retail

All Retail exposures according to Article 147(2) point (d)

070

Retail – Secured by real estate property

Exposures reflecting Article 147(2) point (d) CRR which are secured by real estate.

080

SME

Retail exposures reflecting Article 147(2) point (d) in conjunction with Article 153(3) CRR which are secured by real estate.

090

non-SME

Retail exposures reflecting Article 147(2) point (d) CRR which are secured by real estate.

100

Retail – Qualifying revolving

(Article 147(2) point (d) in conjunction with Article 154(4) CRR).

110

Other Retail

Other retail exposures according to Article 147(2) point (d) not reported in rows 070 - 100.

120

SME

Other retail exposures reflecting Article 147(2) point (d) in conjunction with Article 153(3) CRR.

130

non-SME

Other retail exposures reflecting Article 147(2) point (d) CRR.

140

Equity

Equity exposures reflecting Article 147(2) point (e) CRR.

150

Total exposures

3.4.3.   C 09.04 – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB)

3.4.3.1.   General remarks

82.

 This table aims at receiving more information regarding the elements of the institution-specific countercyclical capital buffer. The information required refers to the own funds requirements determined in accordance with Part Three, Title II and Title IV of CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution specific counter-cyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit exposures).

83.

 Information in template C 09.04 shall be reported for the “Total” of relevant credit exposures across all jurisdictions where these exposures are located and individually for each of the jurisdictions in which relevant credit exposures are located. The total figures as well as the information of each jurisdiction shall be reported in a separate dimension.

84.

 The threshold set in Article 5 (a) (4) of this Regulation shall not apply for the reporting of this breakdown.

85.

 In order to determine the geographical location, the exposures are allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 with regard to regulatory technical standards on the identification of the geographical location of the relevant credit exposures for calculating institution-specific countercyclical capital buffer rates. Therefore CRM techniques do not change the allocation of an exposure to its geographical location for the purpose of reporting information set out in this template.

3.4.3.2.   Instructions concerning specific positions

Columns

 

010

Amount

The value of the relevant credit exposures and their associated own-funds requirements determined in accordance with the instructions for the respective row.

020

Percentage

030

Qualitative Information

This information shall only be reported for the country of residence of the institution (the jurisdiction corresponding to its home Member State) and the “Total” of all countries.

Institutions shall report either {y} or {n} in accordance with the instructions for the relevant row.


Rows

 

010-020

Relevant credit exposures – Credit risk

Relevant credit exposures defined in accordance with Article 140(4)(a) CRD.

010

Exposure value under the Standardised Approach

Exposure value determined in accordance with Article 111 CRR for relevant credit exposures defined in accordance with Article 140(4)(a) CRD.

The exposure value of securitisation positions in the banking book under the Standardised Approach shall be excluded from this row and reported in row 050.

020

Exposure value under the IRB Approach

Exposure value determined in accordance with Article 166 CRR for relevant credit exposures defined in accordance with Article 140(4)(a) CRD.

The exposure value of securitisation positions in the banking book under the IRB Approach shall be excluded from this row and reported in row 060

030-040

Relevant credit exposures – Market risk

Relevant credit exposures defined in accordance with Article 140(4)(b) CRD.

030

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

Sum of net long and net short positions according to Article 327 CRR of relevant credit exposures defined in accordance with Article 140(4)(b) CRD under Part Three, Title IV, Chapter 2 CRR:

—

exposures to debt instruments other than securitisation,

—

exposures to securitisation positions in the trading book,

—

exposures to correlation trading portfolios,

—

exposures to equity securities, and

—

exposures to CIUs if capital requirements are calculated according to Article 348 CRR.

040

Value of trading book exposures under internal model approaches

For relevant credit exposures defined in accordance with Article 140(4)(b) CRD under Part Three, Title IV, Chapter 2 and Chapter 5 CRR, the sum of the following shall be reported:

—

Fair value of non-derivative positions, that represent relevant credit exposures as defined in Article 140(4)(b) CRD, determined in accordance with Article 104 CRR.

—

Notional value of derivatives, that represent relevant credit exposures as defined in accordance with Article 140(4)(b) CRD.

050-060

Relevant credit exposures – Securitisation positions in the banking book

Relevant credit exposures defined in accordance with Article 140(4)(c) CRD.

050

Exposure value of securitisation positions in the banking book under the Standardised Approach

Exposure value determined in accordance with Article 246 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD.

060

Exposure value of securitisation positions in the banking book under the IRB Approach

Exposure value determined in accordance with Article 246 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD.

070-110

Own funds requirements and weights

070

Total own funds requirements for CCB

The sum of rows 080, 090 and 100.

080

Own funds requirements for relevant credit exposures – Credit risk

Own funds requirements determined in accordance with Part Three, Title II, Chapter 1 to 4 and Chapter 6 CRR for relevant credit exposures, defined in accordance with Article 140(4)(a) of CRD, in the country in question.

Own fund requirements for securitisation positions in the banking book shall be excluded from this row and reported in row 100.

The own-funds requirements are 8 % of the risk-weighted exposure amount determined according to the provisions of Part Three, Title II, Chapter 1 to 4 and Chapter 6 of CRR.

090

Own funds requirements for relevant credit exposures – Market risk

Own funds requirements determined in accordance with Part Three, Title IV, Chapter 2 of CRR for specific risk, or in accordance with Part Three, Title IV, Chapter 5 of CRR for incremental default and migration risk for relevant credit exposures, defined in accordance with Article 140(4)(b) of CRD, in the country in question.

The own funds requirements for relevant credit exposures under the market risk framework include, among others, the own fund requirements for securitisation positions under Part Three, Title IV, Chapter 2 CRR and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 CRR.

100

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

Own funds requirements determined in accordance with Part Three, Title II, Chapter 5 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD in the country in question.

The own-funds requirements are 8 % of the risk-weighted exposure amount determined according to the provisions of Part Three, Title II, Chapter 5 CRR.

110

Own funds requirements weights

The weight applied to the countercyclical buffer rate in each country is calculated as a ratio of own fund requirements, determined as follows:

1.

Numerator: The total own funds requirements that relates to the relevant credit exposures in the country in question [r070; c010 country sheet],

2.

Denominator: The total own funds requirements that relate to all credit exposures relevant for the calculation of the countercyclical buffer in accordance with Article 140(4) of CRD [r070; c010; “Total”].

Information on the Own fund requirements weights shall not be reported for the “Total” of all countries.

120-140

Countercyclical buffer rates

120

Countercyclical capital buffer rate set by the Designated Authority

Countercyclical capital buffer rate set for the country in question by the Designated Authority of that country in accordance with Article 136, 137, 138 and 139 CRD.

This row shall be left empty when no countercyclical buffer rate was set for the country in question by the Designated Authority of that country.

Countercyclical capital buffer rates that were set by the Designated Authority, but are not yet applicable in the country in question at the reporting reference date shall not be reported.

Information on the Countercyclical capital buffer rate set by the Designated Authority shall not be reported for the “Total” of all countries.

130

Countercyclical capital buffer rate applicable for the country of the institution

Countercyclical capital buffer rate applicable for the country in question which was set by the Designated Authority of the country of residence of the institution, in accordance with Article 137, 138, 139 and Article 140(1), (2) and (3) CRD. Countercyclical capital buffer rates that are not yet applicable at the reporting reference date shall not be reported.

Information on the Countercyclical capital buffer rate applicable in the country of the institution shall not be reported for the “Total” of all countries.

140

Institution-specific countercyclical capital buffer rate

Institution-specific countercyclical capital buffer rate, determined in accordance with Article 140(1) CRD.

The institution-specific countercyclical capital buffer rate is calculated as the weighted average of the countercyclical buffer rates that apply in the jurisdictions where the relevant credit exposures of the institution are located or are applied for the purposes of Article 140 by virtue of Article 139(2) or (3) CRD. The relevant countercyclical buffer rate is reported in [r120; c020; country sheet], or [r130; c020; country sheet] as applicable.

The weight applied to the countercyclical buffer rate in each country is the share of own funds requirements in total own funds requirements, and is reported in [r110; c020; country sheet].

Information on the institution-specific countercyclical capital buffer rate shall only be reported for the “Total” of all countries and not for each country separately.

150 - 160

Use of the 2 % threshold

150

Use of 2 % threshold for general credit exposure

In accordance with Article 2(5)(b) of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, whose aggregate does not exceed 2 % of the aggregate of the general credit, trading book and securitisation exposures of that institution, may be allocated to the institutions’ home Member State. The aggregate of the general credit, trading book and securitisation exposures is calculated by excluding the general credit exposures located in accordance with Article 2(5) point (a) and Article 2(4) of Commission Delegated Regulation (EU) No 1152/2014.

If the institution makes use of this derogation, it shall indicate “y” in the table for the jurisdiction corresponding to its home Member State and for the “Total” of all countries.

If an institution does not make use of this derogation, it shall indicate “n” in the respective cell.

160

Use of 2 % threshold for trading book exposure

In accordance with Article 3(3) of Commission Delegated Regulation (EU) No 1152/2014, institutions may allocate trading book exposures to their home Member State, if the total trading book exposures do not exceed 2 % of their total general credit, trading book and securitisation exposures.

If the institution makes use of this derogation, it shall indicate “y” in the table for the jurisdiction corresponding to its home Member State and for the “Total” of all countries.

If an institution does not make use of this derogation, it shall indicate “n” in the respective cell.

3.5.   C 10.01 AND C 10.02 – EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2)

3.5.1.   General remarks

86.

 The CR EQU IRB template consists of two templates: CR EQU IRB 1 provides a general overview of IRB exposures of the equity exposure class and the different methods to calculate total risk exposure amounts. CR EQU IRB 2 provides a breakdown of total exposures assigned to obligor grades in the context of the PD/LGD approach. “CR EQU IRB” refers to both “CR EQU IRB 1” and “CR EQU IRB 2” templates, as applicable, in the following instructions.

87.

 The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (Article 92(3) point (a) of CRR) according to the IRB method (Part Three, Title II, Chapter 3 of CRR) for equity exposures referred to in Article 147(2) point (e) of CRR.

88.

 According to Article 147(6) of CRR, the following exposures shall be assigned to the equity exposure class:

(a)

non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer; or

(b)

debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance of which is similar to the exposures specified in point (a).

89.

 Collective investment undertakings treated according to the simple risk weight approach as referred to in Article 152 of CRR shall also be reported in the CR EQU IRB template.

90.

 In accordance with Article 151(1) of CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 of CRR:

—

the Simple Risk Weight approach,

—

the PD/LGD approach, or

—

the Internal Models approach.

Moreover, institutions applying the IRB approach shall also report in the CR EQU IRB template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach (e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) of CRR, respectively a risk-weight of 370 % in accordance with Article 471(2) of CRR))).

91.

 The following equity claims shall not be reported in the CR EQU IRB template:

—

Equity exposures in the trading book (in case where institutions are not exempted from calculating own funds requirements for trading book positions according to Article 94 of CRR).

—

Equity exposures subject to the partial use of the standardised approach (Article 150 of CRR), including:

—

Grandfathered equity exposures according to Article 495(1) of CRR,

—

Equity exposures to entities whose credit obligations are assigned a 0 % risk weight under the Standardised Approach, including those publicly sponsored entities where a 0 % risk weight can be applied (Article 150(1) point (g) of CRR),

—

Equity exposures incurred under legislated programmes to promote specified sectors of the economy that provide significant subsidies for the investment to the institution and involve some form of government oversight and restrictions on the equity investments (Article 150(1) point (h) of CRR).

—

Equity exposures to ancillary services undertakings whose risk weighted exposure amounts may be calculated according to the treatment of “other non credit-obligation assets” (in accordance with Article 155(1) of CRR).

—

Equity claims deducted from own funds in accordance with Articles 46 and 48 of CRR.

3.5.2.   Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2)

Columns

005

OBLIGOR GRADE (ROW IDENTIFIER)

The obligor grade is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc.

010

INTERNAL RATING SYSTEM

PD ASSIGNED TO THE OBLIGOR GRADE (%)

Institutions applying the PD/LGD approach report in column 010 the probability of default (PD) calculated in accordance with the provisions referred to in Article 165(1) of CRR.

The PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements as laid down in Part Three, Title II, Chapter 3, Section 6 of CRR. For each individual grade or pool, the PD assigned to that specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.

For figures corresponding to an aggregation of obligor grades or pools (e.g. “total exposures”) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD. For the calculation of the exposure-weighted average PD, the exposure value taking into account unfunded credit protection (column 060) shall be used for weighting purposes.

020

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Institutions report in column 020 the original exposure value (pre conversion factors). According to the provisions laid down in Article 167 of CRR, the exposure value for equity exposures shall be the accounting value remaining after specific credit risk adjustments. The exposure value of off-balance sheet equity exposures shall be its nominal value after specific credit risk adjustments.

Institutions also include in column 020 off balance sheet items referred to in Annex I of CRR assigned to the equity exposure class (e.g. “the unpaid portion of partly-paid shares”).

Institutions applying the Simple Risk Weight approach or the PD/LGD approach (as referred to in Article 165(1) also consider the offsetting provisions referred to in Article 155(2) of CRR.

030-040

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

UNFUNDED CREDIT PROTECTION

GUARANTEES

CREDIT DERIVATIVES

Irrespective of the approach adopted for the calculation of risk weighted exposure amounts for equity exposures, institutions may recognize unfunded credit protection obtained on equity exposures (Article 155(2),(3) and (4) of CRR). Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in columns 030 and 040 the amount of unfunded credit protection under the form of guarantees (column 030) or credit derivatives (column 040) recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR.

050

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

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

(-) TOTAL OUTFLOWS

Institutions report in column 050 the part of the original exposure pre conversion factors covered by unfunded credit protection recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR.

060

EXPOSURE VALUE

Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in column 060 the exposure value taking into account substitution effects stemming from unfunded credit protection (Article 155(2) and (3), Article 167 of CRR).

As a reminder, in the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 of CRR).

070

EXPOSURE WEIGHTED AVERAGE LGD (%)

Institutions applying the PD/LGD approach report in column 070 of the CR EQU IRB 2 template the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation; the same applies for row 020 of the CR EQU IRB template. The exposure value taking into account unfunded credit protection (column 060) shall be used for the calculation of the exposure-weighted average LGD. Institutions shall take into accounts the provisions laid down in Article 165(2) of CRR.

080

RISK WEIGHTED EXPOSURE AMOUNT

Institutions report risk-weighted exposure amounts for equity exposures in column 080, calculated in accordance with the provisions laid down in Article 155 of CRR.

In case where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 of CRR, a scaling factor of 1.5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) of CRR).

With regard to the input parameter M (Maturity) to the risk-weight function, the maturity assigned to equity exposures equals 5 years (Article 165(3) of CRR).

090

MEMORANDUM ITEM: EXPECTED LOSS AMOUNT

Institutions report in column 090 the expected loss amount for equity exposures calculated in accordance with Article 158(4), (7), (8) and (9) of CRR.

92.

 In accordance with Article 155 of CRR, institutions may employ different approaches (Simple Risk Weight approach, PD/LGD approach or Internal Models approach) to different portfolios when they use these different approaches internally. Institutions shall also report in the CR EQU IRB 1 template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised approach).

Rows

CR EQU IRB 1 — row 020,

PD/LGD APRROACH: TOTAL

Institutions applying the PD/LGD approach (Article 155(3) of CRR) shall report the required information in row 020 of the CR EQU IRB 1 template.

CR EQU IRB 1 — rows 050- 090

SIMPLE RISK WEIGHT APPROACH: TOTAL

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

Institutions applying the Simple Risk Weight approach (Article 155(2) of CRR) shall report the required information according to the characteristics of the underlying exposures in rows 050 to 090.

CR EQU IRB 1 — row 100

INTERNAL MODELS APPROACH

Institutions applying the Internal Models approach (Article 155(4) of CRR) shall report the required information in row 100.

CR EQU IRB 1 — row 110

EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS

Institutions applying the IRB approach shall report risk weighted exposure amounts for those equity exposures which attract a fixed risk weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach). As an example,

—

the risk weighted exposure amount of equity positions in financial sector entities treated in accordance with Article 48(4) of CRR, as well as

—

equity positions risk-weighted with 370 % in accordance with Article 471(2) CRR

shall be reported in row 110.

CR EQU IRB 2

BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:

Institutions applying the PD/LGD approach (Article 155(3) of CRR) shall report the required information in the CR EQU IRB 2 template.

In case where institutions using the PD/LGD approach apply a unique rating system or are able to report according to an internal master scale, they report in CR EQU IRB 2 the rating grades or pools associated to this unique rating system/masterscale. In any other case, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades or pools of the different rating systems shall be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher.

3.6.   C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)

3.6.1.   General remarks

93.

 This template requests information on both trading and non-trading book transactions which are unsettled after their due delivery dates, and their corresponding own funds requirements for settlement risk according to Articles 92(3) point (c) ii) and 378 of CRR.

94.

 Institutions report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book.

95.

 According to Article 378 of CRR, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates are nevertheless subject to own funds requirements for settlement/delivery risk as determined in Article 378 of CRR.

96.

 In the case of unsettled transactions after the due delivery date, institutions calculate the price difference to which they are exposed. This is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the institution.

97.

 Institutions multiply this difference by the appropriate factor of Table 1 of Article 378 of CRR to determine the corresponding own funds requirements.

98.

 According to Article 92(4) Point (b), the own funds requirements for settlement/delivery risk shall be multiplied by 12.5 to calculate the risk exposure amount.

99.

 Note that own funds requirements for free deliveries as laid down in Article 379 of CRR are not within the scope of the CR SETT template; the latter shall be reported in the credit risk templates (CR SA, CR IRB).

3.6.2.   Instructions concerning specific positions

Columns

010

UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE

In accordance with Article 378 of CRR, institutions report in this column 010 the unsettled transactions after their due delivery date at the respective agreed settlement prices.

All unsettled transactions shall be included in this column 010, irrespective of whether or not they are at a gain or at a loss after the due settlement date.

020

PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS

In accordance with Article 378 of CRR, institutions report in column 020 the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution.

Only unsettled transactions at a loss after the due settlement date shall be reported in column 020

030

OWN FUNDS REQUIREMENTS

Institutions report in column 030 the own funds requirements calculated in accordance with Article 378 of CRR.

040

TOTAL SETTLEMENT RISK EXPOSURE AMOUNT

In accordance with Article 92(4) point (b) of CRR, institutions multiply their own funds requirements reported in column 030 by 12.5 in order to obtain the settlement risk exposure amount.


Rows

010

Total unsettled transactions in the Non-trading Book

Institutions report in row 010 aggregated information in relation with settlement/delivery risk for non-trading book positions (in accordance with Articles 92(3) point (c) ii) and 378 of CRR).

Institutions report in 010/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.

Institutions report in 010/020 the aggregated information for price difference exposure due to unsettled transactions at a loss.

Institutions report in 010/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the “price difference” reported in column 020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR).

020 to 060

Institutions report the information in relation with settlement/delivery risk for non-trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 020 to 060.

No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.

070

Total unsettled transactions in the Trading Book

Institutions report in row 070 aggregated information in relation with settlement/delivery risk for trading book positions (in accordance with Articles 92(3) point (c) ii) and 378 of CRR).

Institutions report in 070/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.

Institutions report in 070/020 the aggregated information for price difference exposure due to unsettled transactions at a loss.

Institutions report in 070/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the “price difference” reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR).

080 to 120

Transactions unsettled up to 4 days (Factor 0 %)

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

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

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

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

Institutions report the information in relation with settlement/delivery risk for trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 080 to 120.

No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.

3.7.   C 12.00 – CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)

3.7.1.   General remarks

100.

 The information in this template shall be submitted with regard to all securitisations for which a significant risk transfer is recognised and in which the reporting institution is involved in a securitisation treated under the Standardised Approach. On reporting reference dates that are after 1 January 2019, securitisations the risk weighted exposure amount of which is determined based on the revised securitisation framework shall not be reported in this template, but only in template C 02.00. Equally, on reporting reference dates that are after 1 January 2019, securitisation positions, which are subject to a 1 250 % risk weight in accordance with the revised securitisation framework and which are deducted from CET1 in accordance with Article 36(1) point (k) (ii) of CRR, shall not be reported in this template, but only in template C 01.00.

100a.

 For the purposes of this template, all references to the Articles of Part Three, Title II, chapter 5 of CRR shall be read as references to CRR in the version applicable on 31 December 2018.

100b.

 The information to be reported is contingent on the role of the institution in the context of a securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.

101.

 The CR SEC SA template gathers joint information on both traditional and synthetic securitisations held in the banking book, as defined in Article 242(10) and (11) of CRR, respectively.

3.7.2.   Instructions concerning specific positions

Columns

010

TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED

Originator institutions must report the outstanding amount at the reporting date of all current securitisation exposures originated in the securitisation transaction, irrespective of who holds the positions. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, credit default swaps, etc.) that have been originated in the securitisation shall be reported.

In the case of traditional securitisations where the originator does not hold any position, then the originator shall not consider that securitisation in the reporting of the CR SEC SA or CR SEC IRB templates. For this purpose securitisation positions held by the originator include early amortisation provisions in a securitisation of revolving exposures, as defined under Article 242(12) of CRR.

020-040

SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

Following the provisions in Articles 249 and 250 of CRR the credit protection to the securitised exposures shall be as if there was no maturity mismatch.

020

(-) FUNDED CREDIT PROTECTION (CVA)

The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which is expected to be reported in this column is established in Article 223(2) of CRR.

030

(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

Following the general rule for “inflows” and “outflows” the amounts reported under this column shall appear as “inflows” in the corresponding credit risk template (CR SA or CR IRB) and exposure class relevant for the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection)

The calculation procedure of the “foreign exchange risk”- adjusted nominal amount of the credit protection (G*) is established in Article 233(3) of CRR.

040

NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount.

The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection.

050

SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Securitisation positions held by the reporting institution, calculated according to Article 246(1)(a), (c) and (e), and (2) of CRR, without applying credit conversion factors and any credit risk adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement.

Value adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitised positions are not considered.

In case of early amortization clauses, institutions must specify the amount of “originator’s” interest’ as defined in Article 256(2) of CRR.

In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest (early amortisation) shall be the result of the aggregation of columns 010 to 040.

060

(-) VALUE ADJUSTMENTS AND PROVISIONS

Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items.

070

EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

Securitisation positions according to Article 246(1) and (2) of CRR, without applying conversion factors.

This piece of information is related to column 040 of the CR SA Total template.

080-110

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

Article 4(57) and Part Three, Title II, Chapter 4 of CRR.

This block of columns gathers information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows).

See CR SA instructions (Reporting of CRM techniques with substitution effect).

080

(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA)

Unfunded credit protection is defined in Article 4(59) and regulated in Article 235 of CRR.

See CR SA instructions (Reporting of CRM techniques with substitution effect).

090

(-) FUNDED CREDIT PROTECTION

Funded credit protection is defined in Article 4(58) and regulated in Articles 195, 197 and 200 of CRR.

Credit linked notes and on-balance sheet netting according to Articles 218-236 of CRR are treated as cash collateral.

See CR SA instructions (Reporting of CRM techniques with substitution effect).

100-110

SUBSTITUTION OF THE EXPOSURE DUE TO CRM:

Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported.

100

(-) TOTAL OUTFLOWS

Articles 222(3) and 235 (1) and (2).

Outflows correspond to the covered part of the “Exposure net of value adjustments and provisions”, that is deducted from the obligor’s exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider’s exposure class and, when relevant, risk weight or obligor grade.

This amount shall be considered as an Inflow into the protection provider’s exposure class and, when relevant, risk weights or obligor grades.

This piece of information is related to column 090 [(-) Total Outflows] of the CR SA Total template.

110

TOTAL INFLOWS

Securitisation positions which are debt securities and are eligible financial collateral according to Article 197(1) of CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column.

This piece of information is related to column 100 (Total Inflows) of the CR SA Total template.

120

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

Exposure assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to “Credit risk mitigation (CRM) techniques with substitution effects on the exposure”.

This piece of information is related to column 110 of the CR SA Total template.

130

(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM)

This item also includes credit linked notes (Article 218 of CRR).

This piece of information is related to columns 120 and 130 of the CR SA Total template.

140

FULLY ADJUSTED EXPOSURE VALUE (E*)

Securitisation positions according to Article 246 of CRR, therefore without applying the conversion figures laid down in Article 246(1) point (c) of CRR.

This piece of information is related to column 150 of the CR SA Total template.

150-180

BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS

Article 246(1) point (c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion factor. This conversion figure shall be 100 % unless otherwise specified in CRR.

See columns 160 to 190 of the CR SA Total template.

For reporting purposes, fully adjusted exposure values (E*) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %,]0 %, 20 %],]20 %, 50 %] and]50 %, 100 %].

190

EXPOSURE VALUE

Securitisation positions according to Article 246 of CRR.

This piece of information is related to column 200 of the CR SA Total template.

200

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

Article 258 of CRR envisages that in case of a securitisation position in respect of which a 1 250  % risk weight is assigned, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position.

210

EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

Exposure value minus the exposure value deducted from own funds.

220-320

BREAKDOWN OF EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS

220-260

RATED

Article 242(8) of CRR defines rated positions.

Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the SA in Article 251 (Table 1) of CRR.

270

1 250  % (UNRATED)

Article 242(7) of CRR defines unrated positions.

280

LOOK-THROUGH

Articles 253, 254 and 256(5) of CRR.

The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).

290

LOOK-THROUGH — OF WHICH: SECOND LOSS IN ABCP

Exposure value subject to the treatment of securitisation positions in a second loss tranche or better in an ABCP programme is set in 254 of CRR.

Article 242(9) of CRR defines Asset-backed commercial paper (ABCP) programme.

300

LOOK-THROUGH OF WHICH: AVERAGE RISK WEIGHT (%)

Exposure value weighted average risk weight shall be provided.

310

INTERNAL ASSESSMENT APPROACH (IAA)

Articles 109(1) and 259 (3) of CRR. Exposure value of securitisation positions under the internal assessment approach.

320

IAA: AVERAGE RISK WEIGHT (%)

Exposure value weighted average risk weight shall be provided.

330

RISK-WEIGHTED EXPOSURE AMOUNT

Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template.

340

OF WHICH: SYNTHETIC SECURITISATIONS

For synthetic securitisations, the amount to be reported in this column shall ignore any maturity mismatch.

350

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

Articles 14(2), 406(2) and 407 of CRR require that whenever certain requirements in Articles 405, 406 or 409 of CRR are not met by the institution, Member States shall ensure that the competent authorities impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1 250  %) which would apply to the relevant securitisation positions under Part Three, Title II, Chapter 5, Section 3 of CRR. Such an additional risk weight may not only be imposed to investor institutions, but also to originators, sponsors and original lenders.

360

ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250  % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 330 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.

370-380

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/AFTER CAP

Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (column 370)/after (column 380) applying the limits specified in Articles 252 -securitisation of items currently in default or associated with particular high risk items- or 256 (4) -additional own funds requirements for securitisations of revolving exposures with early amortisation provisions- of CRR.

390

MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES

Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions.

102.

 The CR SEC SA template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives as well as by securitisations and re-securitisations.

103.

 Positions treated according to the ratings based method and unrated positions (exposures at reporting date) shall also be broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.

Rows

010

TOTAL EXPOSURES

Total exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows.

020

OF WHICH: RE-SECURITISATIONS

Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR.

030

ORIGINATOR: TOTAL EXPOSURES

This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(1)(13) of CRR.

040-060

ON-BALANCE SHEET ITEMS

Article 246(1) point (a) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the Standardised Approach, the exposure value of an on-balance sheet securitisation position shall be its accounting value after application of specific credit risk adjustments.

On-balance sheet items are broken down by securitisations (row 050) and re-securitisations (row 060).

070-090

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

These rows gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion figure unless otherwise specified.

The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR.

For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount.

For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template.

Off-balance sheet items and derivatives are broken down by securitisations (row 080) and re-securitisations (row 090) as in Article 251 Table 1 of CRR.

100

EARLY AMORTISATION

This row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242(13) and (14) of CRR.

110

INVESTOR: TOTAL EXPOSURES

This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor.

CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.

120-140

ON-BALANCE SHEET ITEMS

The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.

150-170

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here.

180

SPONSOR: TOTAL EXPOSURES

This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator’s rows the information regarding its own securitised assets.

190-210

ON-BALANCE SHEET ITEMS

The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.

220-240

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here.

250-290

BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION

These rows gather information on outstanding positions treated according to the ratings based method and unrated positions (at reporting date) according to credit quality steps (envisaged for the SA in Article 251 (Table 1) of CRR) applied at origination date (inception). In the absence of this information, the earliest CQS-equivalent data available shall be reported.

These rows are only to be reported for columns 190, 210 to 270 and columns 330 to 340.

3.8.   C 13.00 — CREDIT RISK – SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)

3.8.1.   General remarks

104.

 The information in this template is required for all securitisations for which a significant risk transfer is recognised and in which the reporting institution is involved in a securitisation treated under the Internal Ratings Based Approach. On reporting reference dates that are after 1 January 2019, securitisations the risk weighted exposure amounts of which is determined based on the revised securitisation framework shall not be reported in this template, but only template C 02.00. Equally, on reporting reference dates that are after 1 January 2019, securitisation positions, which are subject to a 1 250 % risk weight in accordance with the revised securitisation framework and which are deducted from CET1 in accordance with Article 36(1) point (k) (ii) of CRR, shall not be reported in this template, but only in template C 01.00.

104a.

 For the purposes of this template, all references to the Articles of Part Three, Title II, chapter 5 of CRR shall be read as references to CRR in the version applicable on 31 December 2018.

105.

 The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.

106.

 The CR SEC IRB template has the same scope as the CR SEC SA, it gathers joint information on both traditional and synthetic securitisations held in the banking book.

3.8.2.   Instructions concerning specific positions

Columns

010

TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED

For the row total on balance sheet items the amount reported under this column corresponds to the outstanding amount of securitised exposures at the reporting date.

See column 010 of CR SEC SA.

020-040

SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

Articles 249 and 250 of CRR.

Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure.

020

(-) FUNDED CREDIT PROTECTION (CVA)

The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which is expected to be reported in this column is established in Article 223(2) of CRR.

030

(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

Following the general rule for “inflows” and “outflows” the amounts reported under column 030 of the CR SEC IRB template shall appear as “inflows” in the corresponding credit risk template (CR SA or CR IRB) and exposure class relevant for the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection).

The calculation procedure of the “foreign exchange risk”- adjusted nominal amount of the credit protection (G*) is established in Article 233(3) of CRR.

040

NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount.

The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection.

050

SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Securitisation positions held by the reporting institution, calculated according to Article 246(1)(b), (d) and (e), and (2) of CRR, without applying credit conversion factors and gross of value adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement.

Value adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitized positions are not considered.

In case of early amortisation clauses, institutions must specify the amount of “originator’s” interest’ as defined in Article 256(2) of CRR.

In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest (early amortisation) shall be the result of the aggregation of columns 010 to 040.

060-090

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

See Article 4(1)(57) and Part Three, Title II, Chapter 4 of CRR.

This block of columns gathers information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows).

060

(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA)

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

Article 236 of CRR describes the computation procedure of GA in the case of full protection/partial protection — equal seniority.

This piece of information is related to columns 040 and 050 of the CR IRB template.

070

(-) FUNDED CREDIT PROTECTION

Funded credit protection is defined in Article 4(1)(58) of CRR.

Since the Financial Collateral Simple Method is not applicable, only funded credit protection according to Article 200 of CRR shall be reported in this column.

This piece of information is related to column 060 of the CR IRB template.

080-090

SUBSTITUTION OF THE EXPOSURE DUE TO CRM:

Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported.

080

(-) TOTAL OUTFLOWS

Article 236 of CRR.

Outflows correspond to the covered part of the “Exposure net of value adjustments and provisions”, that is deducted from the obligor’s exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider’s exposure class and, when relevant, risk weight or obligor grade.

This amount shall be considered as an Inflow into the protection provider’s exposure class and, when relevant, risk weights or obligor grades.

This piece of information is related to column 070 of the CR IRB template.

090

TOTAL INFLOWS

This piece of information is related to column 080 of the CR IRB template.

100

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

Exposure assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to “Credit risk mitigation (CRM) techniques with substitution effects on the exposure”.

This piece of information is related to column 090 of the CR IRB template.

110

(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM)

Articles 218 to 222 of CRR. This item also includes credit linked notes (Article 218 of CRR).

120

FULLY ADJUSTED EXPOSURE VALUE (E*)

Securitisation positions according to Article 246 of CRR, therefore without applying the conversion factors laid down in Article 246(1) point (c) of CRR.

130-160

BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS

Article 246(1) point (c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion figure. This conversion figure shall be 100 % unless otherwise specified.

In this respect, Article 4(1)(56) of CRR defines conversion factor.

For reporting purposes, fully adjusted exposure values (E*) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %, (0 %, 20 %], (20 %, 50 %] and (50 %, 100 %].

170

EXPOSURE VALUE

Securitisation positions according to Article 246 of CRR.

This piece of information is related to column 110 of the CR IRB template.

180

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

Article 266(3) of CRR foresees that in case of a securitisation position in respect of which a 1 250  % risk weight applies, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position.

190

EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

200-320

RATINGS BASED METHOD (CREDIT QUALITY STEPS)

Article 261 of CRR.

IRB-Securitisation positions with an inferred rating according to Article 259(2) of CRR shall be reported as positions with a rating.

Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the IRB Approach Article 261(1) Table 4 of CRR.

330

SUPERVISORY FORMULA METHOD

For the Supervisory Formula Method (SFM), Article 262 of CRR.

The risk weight for a securitisation position shall be the greater of 7 % or the risk weight to be applied in accordance with the formulas provided.

340

SUPERVSIORY FORMULA METHOD: AVERAGE RISK WEIGHT

Credit risk mitigation on securitisation positions may be recognised in accordance with Article 264 of CRR. In this case, the institution shall indicate the “effective risk weight” of the position when full protection has been received, according to what is established in Article 264(2) of CRR (the effective risk weight equals the risk-weighted exposure amount of the position divided by the exposure value of the position, multiplied by 100).

When the position benefits from partial protection, the institution must apply the Supervisory Formula Method using the “T” adjusted according to what is established in Article 264(3) of CRR.

Weighted average risk weights shall be reported in this column.

350

LOOK-THROUGH

The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (highest risk weight of the pool).

Article 263(2) and (3) of CRR envisage an exceptional treatment where Kirb cannot be calculated.

The undrawn amount of the liquidity facilities shall be reported under “Off balance sheet items and derivatives”.

As long as an originator would be under the exceptional treatment where Kirb cannot be calculated, then column 350 would be the right column to use for the reporting of the risk weighting treatment given to the exposure value of a liquidity facility subject to the treatment laid down in Article 263 of CRR.

For early amortisations see Articles 256(5) and 265 of CRR.

360

LOOK-THROUGH: AVERAGE RISK WEIGHT

Exposure value weighted average risk weight shall be provided.

370

INTERNAL ASSESSMENT APPROACH

Article 259(3) and (4) of CRR envisages the “Internal Assessment Approach” (IAA) for positions in ABCP programmes.

380

IAA: AVERAGE RISK WEIGHT

Weighted average risk weights shall be reported in this column.

390

(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS

Institutions applying the IRB Approach shall follow Article 266(1) (only applicable for originators, when the exposure has not been deducted from own funds) and (2) of CRR.

Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items.

400

RISK-WEIGHTED EXPOSURE AMOUNT

Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template.

410

RWEA OF WHICH: SYNTHETIC SECURITISATIONS

For synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch.

420

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

Articles 14(2), 406(2) and 407 of CRR foresee that whenever certain requirements are not met by the institution, Member States shall ensure that the competent authorities impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1 250  %) which would apply to the relevant securitisation positions under Part Three, Title II, Chapter 5, Section 3 of CRR.

430

ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250  % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 400 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.

440-450

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/AFTER CAP

Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (col 440)/after (col 450) applying the limits specified in Article 260 of CRR. Additionally Article 265 of CRR (additional own funds requirements for securitisations of revolving exposures with early amortisation provisions) has to be considered.

460

MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES

Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions.

107.

 The CR SEC IRB template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as by risk weight groupings of securitisations and re-securitisations.

108.

 Positions treated according to the ratings based method and unrated positions (exposures at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.

Rows

010

TOTAL EXPOSURES

Total exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows.

020

OF WHICH: RE-SECURITISATIONS

Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR.

030

ORIGINATOR: TOTAL EXPOSURES

This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(1)(13) of CRR.

040-090

ON-BALANCE SHEET ITEMS

Article 246(1) lit b) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the IRB Approach, the exposure value of an on-balance sheet securitisation position shall be the accounting value without taking into account any credit risk adjustments made.

On-balance sheet items are broken down according to risk weight groupings of securitisations (A-B-C), in rows 050-070, and re-securitisations (D-E), in rows 080-090, as stated in Article 261(1) Table 4 of CRR.

100-150

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

These rows gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion factor unless otherwise specified.

Off-balance sheet securitisation positions arising from a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR.

For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount.

For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template.

Off-balance sheet items are broken down according to risk weight groupings of securitisations (A-B-C), in rows 110-130, and re-securitisations (D-E), in rows 140-150, as stated in Article 261(1) Table 4 of CRR.

160

EARLY AMORTISATION

This row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242(13) and (14) of CRR.

170

INVESTOR: TOTAL EXPOSURES

This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor.

CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.

180-230

ON-BALANCE SHEET ITEMS

The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items for originators shall be applied here.

240-290

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here.

300

SPONSOR: TOTAL EXPOSURES

This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4(1)(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets.

310-360

ON-BALANCE SHEET ITEMS

The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items and derivatives for originators shall be applied here.

370-420

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here.

430-540

BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION

These rows gather information on outstanding positions treated according to the ratings based method and unrated positions (at reporting date) according to credit quality steps (envisaged for the IRB in Article 261 Table 4 of CRR) applied at origination date (inception). In the absence of this information, the earliest CQS-equivalent data available shall be reported.

These rows are only to be reported for columns 170, 190 to 320 and columns 400 to 410.

3.9.   C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

3.9.1.   General remarks

109.

 This template gathers information on a transaction basis (versus the aggregate information reported in CR SEC SA, CR SEC IRB, MKR SA SEC, MKR SA CTP, CA1 and CA2 templates) on all securitisations the reporting institution is involved in. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements shall be reported.

110.

 This template is to be reported for:

a.

Securitisations originated/sponsored by the reporting institution in case it holds at least one position in the securitisation. This means that, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 405 of CRR.

b.

Securitisations originated/sponsored by the reporting institution during the year of report (1), in case it holds no position.

c.

Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. This underlying could include covered bonds or other liabilities and shall be identified as such in column 160.

d.

Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).

111.

 This template shall be reported by consolidated groups and stand-alone institutions (2) located in the same country where they are subject to own funds requirements. In case of securitisations involving more than one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided.

112.

 On account of Article 406(1) of CRR, which establishes that institutions investing in securitisation positions shall acquire a great deal of information on them in order to comply with due diligence requirements the reporting scope of the template is applied to a limited extent to investors. In particular, they shall report columns 010-040; 070-110; 160; 190; 290-400; 420-470.

113.

 Institutions playing the role of original lenders (not performing also the role of originators or sponsors in the same securitisation) shall generally report the template to the same extent as investors.

3.9.2.   Instructions concerning specific positions

Columns

005

ROW NUMBER

The row number is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc.

010

INTERNAL CODE

Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation.

020

IDENTIFIER OF THE SECURITISATION (Code/Name)

Code used for the legal registration of the securitisation or, if not available, the name by which the securitisation is known in the market. When the International Securities Identification Number -ISIN- is available (i.e. for public transactions) the characters that are common to all tranches of the securitisation shall be reported in this column.

030

IDENTIFIER OF THE ORIGINATOR (Code/Name)

The code given by the supervisory authority to the originator or, if not available, the name of the institution itself shall be reported for this column.

In the case of multi-seller securitisations the reporting entity shall provide the identifier of all the entities within its consolidated group that are involved (as originator, sponsor or original lender) in the transaction. Whenever the code is not available or is not known by the reporting entity, the name of the institution shall be reported.

040

SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC)

Report the following abbreviations:

—

“T” for Traditional;

—

“S” for Synthetic.

The definitions of “traditional securitisation” and “synthetic securitisation” is provided in Article 242(10) and (11) of CRR.

050

ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?

Originators, sponsors and original lenders shall report one of the following abbreviations:

—

“K” if entirely recognised

—

“P” if partially derecognised

—

“R” if entirely derecognised

—

“N” if not applicable.

This column summarises the accounting treatment of the transaction.

In case of synthetic securitisations, originators shall report that securitised exposures are removed from the balance sheet.

In case of the securitisations of liabilities originators shall not report this column.

Option “P” (partially removed) shall be reported when the securitised assets are recognized in the balance sheet to the extent of the reporting entity’ continuing involvement in accordance with IFRS 9.3.2.16 – 3.2.21.

060

SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS?

Originators, only, shall report the following abbreviations:

—

“N” not subject to own funds requirements;

—

“B” banking book;

—

“T” trading book;

—

“A” partly in both books.

Articles 109, 243 and 244 of CRR.

This column summarises the solvency treatment of the securitisation scheme by the originator. It indicates whether own funds requirements are computed according to securitised exposures or securitisation positions (banking book/trading book).

If own funds requirements are based on securitised exposures (for not being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SA template, in case the Standardised Approach is used, or in the CR IRB template, in case the Internal Ratings Based Approach is used by the institution.

Conversely, if own funds requirements are based on securitisation positions held in the banking book (for being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SEC SA template or in the CR SEC IRB template. In the case of securitisation positions held in the trading book the computation of own funds requirements for market risk shall be reported in the MKR SA TDI (standardised general position risk) and in the MKR SA SEC or MKR SA CTP (standardised specific position risk) or in the MKR IM (internal models) templates.

In the case of the securitisations of liabilities originators shall not report this column.

070

SECURITISATION OR RE-SECURITISATION?

According to definitions of “securitisation” and “re-securitisation” are provided in Article 4(1)(61) and (62) to (64) of CRR, report the type of underlying using the following abbreviations:

—

“S” for securitisation;

—

“R” for re-securitisation.

075

STS SECURITISATION

Article 18 of Regulation (EU) 2017/2402

Report one of the following abbreviations

Y

–

Yes

N

–

No

080-100

RETENTION

Articles 404 to 410 of CRR.

080

TYPE OF RETENTION APPLIED

For each securitisation scheme originated, it shall be reported the relevant type of retention of net economic interest, as envisaged in Article 405 of CRR:

 

A — Vertical slice (securitisation positions): “retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to the investors”.

 

V — Vertical slice (securitised exposures): retention of no less than 5 % of the credit risk of each of the securitised exposures, if the credit risk thus retained with respect to such securitised exposures always ranks pari passu with, or is subordinated to, the credit risk that has been securitised with respect to those same exposures.

 

B — Revolving exposures: “in the case of securitisations of revolving exposures, retention of the originator’s interest of no less than 5 % of the nominal value of the securitised exposures”.

 

C — On-balance sheet: “retention of randomly selected exposures, equivalent to no less than 5 % of the nominal amount of the securitised exposures, where such exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is no less than 100 at origination”.

 

D — First loss: “retention of the first loss tranche and, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, so that the retention equals in total no less than 5 % of the nominal value of the securitised exposures”.

 

E — Exempted. This code shall be reported for those securitisations affected by provisions in Article 405(3) of CRR.

 

N — Not applicable. This code shall be reported for those securitisations affected by provisions in Article 404 of CRR.

 

U — In breach or unknown. This code shall be reported when the reporting does not know with certain which type of retention is being applied or in case of non-compliance.

090

% OF RETENTION AT REPORTING DATE

The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be no less than 5 % (at origination date).

Notwithstanding Article 405(1) of CRR, measurement of retention at origination can typically be interpreted as being when the exposures were first securitised, and not when the exposures were first created (for instance, not when the underlying loans were first extended). Measurement of retention at origination means that 5 % is the retention percentage that is required at the point in time when such retention level was measured and the requirement fulfilled (for instance, when the exposures were first securitised); dynamic re-measurement and readjustment of the retained percentage throughout the life of the transaction is not required.

This column shall not be reported in case codes “E” (exempted) or “N” (not applicable) are reported under column 080 (Type of retention applied).

100

COMPLIANCE WITH THE RETENTION REQUIREMENT?

Article 405(1) of CRR.

Report the following abbreviations:

Y

–

Yes;

N

–

No.

This column shall not be reported in case codes “E” (exempted) or “N” (not applicable) are reported under column 080 (Type of retention applied).

110

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

Report the following abbreviations:

—

“O” for Originator;

—

“S” for Sponsor;

—

“L” for Original Lender;

—

“I” for Investor.

See definitions in Article 4(1)(13) (Originator) and Article 4(1)(14) (Sponsor) of CRR. Investors are assumed to be those institutions to which provisions in Articles 406 and 407of CRR apply.

120-130

NON ABCP PROGRAMS

Because of their special character because they comprise of several single securitisation positions, ABCP programs (defined in Article 242(9) of CRR) are exempted from reporting in columns 120 and 130.

120

ORIGINATION DATE (mm/yyyy)

The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported according to the following format: “mm/yyyy”.

For each securitisation scheme the origination date cannot change between reporting dates. In the particular case of securitisation schemes backed by open pools, the origination date shall be the date of the first issuance of securities.

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

130

TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE

This column gathers the amount (according to original exposures pre conversion factors) of the securitised portfolio at the origination date.

In case of securitisation schemes backed by open pools the amount referring to the origination date of the first issuance of securities shall be reported. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. In the case of the securitisation of liabilities only the amounts issued by the reporting entity shall be reported.

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

140-220

SECURITISED EXPOSURES

Columns 140 to 220 request information on several features of the securitised portfolio by the reporting entity.

140

TOTAL AMOUNT

Institutions shall report the value of the securitised portfolio at reporting date, i.e. the outstanding amount of the securitised exposures. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. In the case of securitisation schemes backed by closed pools (i.e. the portfolio of securitised assets cannot be enlarged after the origination date) the amount will progressively be reduced.

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

150

INSTITUTION’S SHARE (%)

It shall be reported the institution’s share (percentage with two decimals) at reporting date in the securitised portfolio. The figure to be reported in this column is, by default, 100 % except for multi-seller securitisation schemes. In that case the reporting entity shall report its current contribution to the securitised portfolio (equivalent to column 140 in relative terms).

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

160

TYPE

This column gathers information on the type of assets (“1” to “8”) or liabilities (“9” and “10”) of the securitised portfolio. The institution must report one of the following number codes:

 

1 — Residential mortgages;

 

2 — Commercial mortgages;

 

3 — Credit card receivables;

 

4 — Leasing;

 

5 — Loans to corporates or SMEs (treated as corporates);

 

6 — Consumer loans;

 

7 — Trade receivables;

 

8 — Other assets;

 

9 — Covered bonds;

 

10 — Other liabilities.

In case the pool of securitised exposures is a mix of the previous types, the institution shall indicate the most important type. In case of re-securitisations, the institution shall refer to the ultimate underlying pool of assets. Type “10” (Other liabilities) includes treasury bonds and credit linked notes.

For securitisation schemes backed by closed pools the type cannot change between reporting dates.

170

APPROACH APPLIED (SA/IRB/MIX)

This column gathers information on the approach that at reporting date the institution would apply to the securitised exposures.

Report the following abbreviations:

—

“S” for Standardised Approach;

—

“I” for Internal Ratings Based Approach;

—

“M” for a combination of both approaches (SA/IRB).

If under SA, “P” is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC SA template.

If under IRB, “P” is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC IRB template.

If under combination of SA and IRB, “P” is reported in column 050 then the computation of own funds requirements shall be reported in both the CR SEC SA and CR SEC IRB templates.

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Nevertheless, this column does not apply to securitisations of liabilities. Sponsors shall not report this column.

180

NUMBER OF EXPOSURES

Article 261(1) of CRR.

This column is only compulsory for those institutions using the IRB approach to the securitisation positions (and, therefore, reporting “I” in column 170). The institution shall report the effective number of exposures.

This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled when the reporting entity does not hold any positions in the securitisation. This column shall not be fulfilled by investors.

190

COUNTRY

Report the code (ISO 3166-1 alpha-2) of the country of origin of the ultimate underlying of the transaction, i.e. the country of the immediate obligor of the original securitised exposures (look through). In case the pool of the securitisation consists of different countries, the institution shall indicate the most important country. If no country exceeds a 20 % threshold based on the amount of assets/liabilities, then “other countries” shall be reported.

200

ELGD (%)

The exposure-weighted average loss-given-default (ELGD) shall only be reported by those institutions applying the Supervisory Formula Method (and, therefore, reporting “I” in column 170). The ELGD is to be calculated as indicated in Article 262(1) of CRR.

This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled either when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column.

210

(-) VALUE ADJUSTMENTS AND PROVISIONS

Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items.

This column gathers information on the value adjustments and provisions applied to the securitised exposures. This column shall not be reported in case of securitisation of liabilities.

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

Sponsors shall not report this column.

220

OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)

This column gathers information on the own funds requirements of the securitised portfolio in case there had been no securitisation plus the expected losses related to those risks (Kirb), as a percentage (with two decimals) on the total of securitised exposures at origination date. Kirb is defined in Article 242(4) of CRR.

This column shall not be reported in case of securitisation of liabilities. In case of the securitisation of assets, this piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

Sponsors shall not report this column.

230-300

SECURITISATION STRUCTURE

This block of six columns gathers information on the structure of the securitisation according to on/off balance sheet positions, tranches (senior/mezzanine/first loss) and maturity.

In the case of multi-seller securitisations, for the first loss tranche only the amount corresponding or attributed to the reporting institution shall be reported.

230-250

ON-BALANCE SHEET ITEMS

This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss).

230

SENIOR

On reporting reference dates that are after 1 January 2019, for securitisation positions the exposure values of which are calculated in accordance with CRR: A securitisation position as defined in Article 242(6) of CRR.

For all other securitisation positions: All tranches that do not qualify as mezzanine or first loss in accordance with CRR in the version applicable on 31 December 2018 shall be included in this category.

240

MEZZANINE

On reporting reference dates that are after 1 January 2019, for securitisation positions the exposure values of which are calculated according to CRR:

—

all positions as defined in Article 242(18) of the CRR;

—

all positions which are not subject to Articles 242(6) or (17) of the CRR.

For all other securitisation positions: see Articles 243(3) (traditional securitisations) and 244 (3) (synthetic securitisations) of CRR in the version applicable on 31 December 2018.

250

FIRST LOSS

On reporting reference dates that are after 1 January 2019, for securitisation positions the exposure values of which are calculated according to CRR: a securitisation position as defined in Article 242(17) of CRR.

For all other securitisation positions: first loss tranche is defined in Article 242(15) of CRR in the version applicable on 31 December 2018.

260-280

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

This block of columns gathers information on off-balance sheet items and derivatives broken down by tranches (senior/mezzanine/first loss).

The same criteria of classification among tranches used for on-balance sheet items shall be applied here.

290

FIRST FORESEEABLE TERMINATION DATE

The likely termination date of the whole securitisation in the light of its contractual clauses and the currently expected financial conditions. Generally, it would be the earliest of the following dates:

(i)

the date when a clean-up call (defined in Article 242(2) of CRR) might first be exercised taking into account the maturity of the underlying exposure(s) as well as their expected pre-payment rate or potential re-negotiation activities;

(ii)

the date on which the originator may first exercise any other call option embedded in the contractual clauses of the securitisation which would result in the total redemption of the securitisation.

The day, month and year of the first foreseeable termination date shall be reported. The exact day shall be reported if this data is available, otherwise the first day of the month shall be reported.

300

LEGAL FINAL MATURITY DATE

The date upon which all principal and interest of the securitisation must be legally repaid (based on the transaction documentation).

The day, month and year of the legal final maturity date shall be reported. The exact day shall be reported if this data is available, otherwise the first day of the month shall be reported.

310-400

SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

This block of columns gathers information on the securitisation positions according to on/off balance sheet positions and the tranches (senior/mezzanine/first loss) at reporting date.

310-330

ON-BALANCE SHEET ITEMS

The same criteria of classification among tranches used for columns 230 to 250 shall be applied here.

340-360

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among tranches used for columns 260 to 280 shall be applied here.

370-400

MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

This block of columns gathers additional information on the total off-balance sheet items and derivatives (which are already reported under a different breakdown in columns 340-360).

370

DIRECT CREDIT SUBSTITUTES (DCS)

This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS).

According to Annex I of CRR the following full risk off-balance sheet items are regarded as DCS:

—

Guarantees having the character of credit substitutes.

—

Irrevocable standby letters of credit having the character of credit substitutes.

380

IRS/CRS

IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. These derivatives are listed in Annex II of CRR.

390

ELIGIBLE LIQUIDITY FACILITIES

Liquidity facilities (LF), defined in Article 242(3) of CRR must satisfy a list of six conditions established in Article 255(1) of CRR to be considered as eligible (regardless of the method applied by the institution -SA or IRB-).

400

OTHER (INCLUDING NON-ELIGIBLE LF)

This column is devoted to remaining off-balance sheet items such as non-eligible liquidity facilities (i.e. those LF that do not meet the conditions listed in Article 255(1) of CRR).

410

EARLY AMORTISATION: CONVERSION FACTOR APPLIED

Articles 242(12) and 256(5) (SA) and Article 265(1) (IRB) of CRR envisage a set of conversion factors to be applied to amount of the investors’ interest (in order to calculate risk-weighted exposure amounts).

This column applies to securitisation schemes with early amortisation clauses (i.e. revolving securitisations).

According to Article 256(6) of CRR, the conversion figure to be applied shall be determined by the level of the actual three month average excess spread.

In the case of the securitisations of liabilities this column shall not be reported. This piece of information is related to row 100 in CR SEC SA and row 160 in the CR SEC IRB template.

420

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

This piece of information is closely related to column 200 in the CR SEC SA template and column 180 in the CR SEC IRB template.

A negative figure shall be reported in this column.

430

TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP

This column gathers information on the risk weighted exposure amount before cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount computed according securitised exposures) no data shall be reported in this column.

In the case of the securitisations of liabilities this column shall not be reported.

440

TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP

This column gathers information on the risk weighted exposure amount after cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. own funds requirements computed according securitised exposures) no data shall be reported in this column.

In the case of the securitisations of liabilities this column shall not be reported.

445

APPROACH

In this column, the approach to determining the total risk exposure amount as reported in column 440 shall be reported.

The approach shall be one of the following ones:

 

For securitisation positions the risk weighted exposure amounts of which are calculated according to CRR in the version applicable on 31 December 2018

—

Other (original securitisation framework)

 

On reporting reference dates that are after 1 January 2019, for securitisation positions the risk weighted exposure amounts of which are calculated according to CRR:

—

SEC-IRBA

—

SEC-SA

—

SEC-ERBA

—

IAA

—

1 250  % for positions not subject to any method (Article 254(7) CRR)

—

Multiple approaches

In line with the determination of risk weights according to Article 337 CRR, for instruments in the trading book that are securitisation positions, the approach shall be determined as the approach the institution would apply to the position in its non-trading book.

“Multiple approaches” shall be used if the institution is involved in or exposed to a securitisation transaction in multiple ways and applies different approaches to the calculation of own funds requirements in its different roles or for its different exposures.

446

SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

On reporting reference dates that are after 1 January 2019, Articles 243 and 270 of CRR

Report one of the following abbreviations

Y

–

Yes

N

–

No

“Yes” shall be reported both in case of STS securitisations qualifying for the differentiated capital treatment in accordance with Article 243 of the CRR and in case of senior positions in (non-STS) SME securitisations eligible for this treatment in accordance with Article 270 of the CRR.

450-510

SECURITISATION POSITIONS — TRADING BOOK

450

CTP OR NON-CTP?

Report the following abbreviations:

C

—

Correlation Trading Portfolio (CTP);

N

—

Non-CTP

460-470

NET POSITIONS — LONG/SHORT

See columns 050/060 of MKR SA SEC or MKR SA CTP, respectively.

480

TOTAL OWN FUNDS REQUIREMENTS (SA) - SPECIFIC RISK

See column 610 of MKR SA SEC, or column 450 of MKR SA CTP, respectively.

4.   OPERATIONAL RISK TEMPLATES

4.1.   C 16.00 – OPERATIONAL RISK (OPR)

4.1.1.   General Remarks

114.

 This template provides information on the calculation of own funds requirements according to Articles 312 to 324 of CRR for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA). An institution cannot apply TSA and ASA for the business lines retail banking and commercial banking at the same time at solo level

115.

 Institutions using the BIA, TSA and/or ASA shall calculate their own funds requirement, based on the information at financial year end. When audited figures are not available, institutions may use business estimates. If audited figures are used, institutions shall report the audited figures which are expected to remain unchanged. Deviations from this “unchanged” principle are possible, for instance if during that period the exceptional circumstances, such as recent acquisitions or disposals of entities or activities, are met.

116.

 If an institution can justify its competent authority that – due to exceptional circumstances such as a merger or a disposal of entities or activities – using a three year average to calculating the relevant indicator would lead to a biased estimation for the own funds requirement for operational risk„ the competent authority may permit the institution to modify the calculation in a way that would take into account such events. Also the competent authority may on its own initiative, require an institution to modify the calculation. Where an institution has been in operation for less than three years it may use forward looking business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as they are available.

117.

 By columns, this template presents information, for the three most recent years, on the amount of the relevant indicator of the banking activities subject to operational risk and on the amount of loans and advances (the latter only applicable in the case of ASA). Next, information on the amount of own funds requirement for operational risk is reported. If applicable, it must be detailed which part of this amount is due to an allocation mechanism. Regarding AMA, memorandum items are added to present a detail of the effect of the expected loss, diversification and mitigation techniques on own funds requirement for operational risk.

118.

 By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA.

119.

 This template shall be submitted by all institutions subject to operational risk own funds requirement.

4.1.2.   Instructions concerning specific positions

Columns

010-030

RELEVANT INDICATOR

Institutions using the relevant indicator to calculate the own funds requirement for operational risk (BIA, TSA and ASA) report relevant indicator for the respective years in columns 010 to 030. Moreover, in the case of a combined use of different approaches as referred in Article 314 of CRR, institutions also report, for information purposes, relevant indicator for the activities subject to AMA. It is also the case for all other AMA banks.

Hereafter, the term “relevant indicator” refers to “the sum of the elements” at the end of the financial year as defined in Article 316 point 1, Table1 of CRR.

If the institution has less than 3 years of data on “relevant indicator” available, the available historical data (audited figures) shall be assigned by priority to the corresponding columns in the table. If, for instance, historical data for only one year is available, it shall be reported in column 030. If it seems reasonable, the forward looking estimates shall then be included in column 020 (estimate of next year) and column 010 (estimate of year +2).

Furthermore if there are no historical data on “relevant indicator” available the institution may use forward-looking business estimates.

040-060

LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION)

These columns shall be used to report the amounts of the loans and advances for business lines “Commercial banking” and “Retail banking”, as referred to in Article 319(1) point (b) of CRR. These amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to ASA (Article 319(1) point (a) of CRR).

For the “commercial banking” business line, securities held in the non-trading book shall also be included.

070

OWN FUND REQUIREMENT

The own fund requirement is calculated according to the approach used, following Articles 312 to 324 of CRR The resulting amount is reported in column 070.

071

TOTAL OPERATIONAL RISK EXPOSURE AMOUNT

Article 92(4) of CRR. Own funds requirements in column 070 multiplied by 12.5.

080

OF WHICH: DUE TO AN ALLOCATION MECHANISM

Article 18(1) of CRR (related to the inclusion, in the application referred to in Article 312(2) of CRR) of the methodology used for allocating operational risk capital between the different entities of the group and of whether and how diversification effects are intended to be factored in the risk measurement system used by a EU parent credit institution and its subsidiaries or jointly by the subsidiaries of an EU parent financial holding company or EU parent mixed financial holding company.

090-120

AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE

090

OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES

The own funds requirement reported in column 090 is the one of column 070 but calculated before taking into account the alleviation effects due to expected loss, diversification and risk mitigation techniques (see below).

100

(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES

In column 100 the alleviation of own funds requirements due to expected loss captured in internal business practices (as referred to in Article 322(2) point (a) of CRR) is reported.

110

(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION

The diversification effect in column 110 is the difference between the sum of own funds requirements calculated separately for each operational risk class (i.e. a “perfect dependence” situation) and the diversified own funds requirement calculated by taking into account correlations and dependencies (i.e. assuming less than “perfect dependence” between the risk classes). The “perfect dependence” situation occurs in the “default case”, that is when the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is computed as the sum of the individual operational risk measures of the chosen risk classes. In this case the correlation between the risk classes is assumed of 100 % and the value in the column has to be set to zero. Conversely, when the institution computes an explicit correlations structure between risk classes, it has to include in this column the difference between the AMA capital as stemming from the “default case” and that obtained after applying the correlations structure between the risk classes. The value reflects the “diversification capacity” of the AMA model, that is the ability of the model to capture the not simultaneous occurrence of severe operational risk loss events. In the column 110 the amount by which the assumed correlation structure decreases the AMA capital relative to the assumption of 100 % correlation has to be reported.

120

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)

In column 120 the impact of insurance and other risk transfer mechanisms according to Article 323(1) to (5) of CRR is reported.


Rows

010

BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)

This row shall present the amounts corresponding to activities subject to the BIA to calculate the own funds requirement for operational risk (Articles 315 and 316 of CRR).

020

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

The own funds requirement calculated according to the TSA and ASA (Articles 317 to 319 of CRR) shall be reported.

030-100

SUBJECT TO TSA

In the case of using the TSA, relevant indicator for each respective year shall be distributed in rows 030 to 100 amongst the business lines defined in Article 317, Table 2 of CRR. The mapping of activities into business lines shall follow the principles described in Article 318 of CRR.

110-120

SUBJECT TO ASA

Institutions using the ASA (Article 319 of CRR) shall report for the respective years the relevant indicator separately for each business line in the rows 030 to 050 and 080 to 100 and in the rows 110 and 120 for business lines “Commercial banking” and “Retail banking”.

Rows 110 and 120 shall present the amount of relevant indicator of activities subject to ASA distinguishing between those corresponding to the business line “Commercial banking” and those corresponding to the business line “Retail banking” (Article 319 of CRR). There can be amounts for the rows corresponding to “Commercial banking” and “Retail banking” under the TSA (rows 060 and 070) as well as under the ASA rows 110 and 120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA).

130

BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA

The relevant data for AMA institutions (Article 312 point 2 and Article 321 to 323 of CRR) shall be reported.

In the case of combined use of different approaches as indicated in Article 314 of CRR, information on relevant indicator for activities subject to AMA shall be reported. It is also the case for all other AMA banks.

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

4.2.1.   General Remarks

120.

 Template C 17.01 (OPR DETAILS 1) summarises the information on the gross losses and loss recoveries registered by an institution in the last year according to event types and business lines. Template C 17.02 (OPR DETAILS 2) provides detailed information on the largest loss events in the last year.

121.

 Operational risk losses that are related to credit risk and are subject to own funds requirements for credit risk (boundary credit-related operational risk events) are neither considered in template C 17.01 nor template C 17.02.

122.

 In case of a combined use of different approaches for the calculation of own funds requirements for operational risk according to Article 314 CRR, losses and recoveries registered by an institution shall be reported in C 17.01 and C 17.02 irrespective of the approach applied to calculate own funds requirements.

123.

 “Gross loss” means a loss stemming from an operational risk event or event type — as referred to in Article 322(3)(b) of CRR — before recoveries of any type, without prejudice to “rapidly recovered loss events” as defined below.

124.

 “Recovery” means an independent occurrence related to the original operational risk loss that is separate in time, in which funds or inflows of economic benefits are received from first or third parties, such as insurers or other parties. Recoveries are broken down into recoveries from insurance and other risk transfer mechanisms and direct recoveries.

125.

 “Rapidly recovered loss events” means operational risk events that lead to losses that are partly or fully recovered within five working days. In case of a rapidly recovered loss event, only the part of the loss that is not fully recovered (i.e. the loss net of the partial rapid recovery) shall be included into the gross loss definition. As a consequence, loss events that lead to losses that are fully recovered within five working days shall not be included into the gross loss definition, as well as into the OPR DETAILS reporting at all.

126.

 “Date of accounting” means the date when a loss or reserve/provision was first recognized in the Profit and Loss statement, against an operational risk loss. This date logically follows the “Date of occurrence” (i.e. the date when the operational risk event happened or first began) and the “Date of discovery” (i.e. the date on which the institution became aware of the operational risk event).

127.

 Losses caused by a common operational risk event or by multiple events linked to an initial operational risk event generating events or losses (“root-event”) are grouped. The grouped events shall be considered and reported as one event, and thus the related gross loss amounts respectively amounts of loss adjustments shall be summed up.

128.

 The figures reported in June of the respective year are interim figures, while the final figures are reported in December. Therefore the figures in June have a six-month reference period (i.e. from 1 January to 30 June of the calendar year) while the figures in December have a twelve-month reference period (i.e. from 1 January to 31 December of the calendar year). Both for data reported as of June and December, “previous reporting reference periods” means all reporting reference periods until and including the one ending at the preceding calendar year end.

129.

 In order to verify the conditions envisaged by Article 5 (b) (2) (b) (i) of this Regulation, the institutions shall use the latest statistics as available in the Supervisory Disclosure webpage of the EBA to get “the sum of individual balance sheet totals of all institutions within the same Member State”. In order to verify the conditions envisaged by Article 5 (b) 2 (b) (iii), the gross domestic product at market prices as defined in point 8.89 of Annex A to Regulation (EU) No 549/2013 of the European Parliament and of the Council (ESA 2010) and published by Eurostat for the previous calendar year shall be used.

4.2.2.   C 17.01: Operational risk losses and recoveries by business lines and event types in the last year (OPR DETAILS 1)

4.2.2.1.   General Remarks

130.

 In template C 17.01, the information is presented by distributing the losses and recoveries above internal thresholds amongst business lines (as defined in Article 317, Table 2 of CRR including the additional business line “Corporate items” as referred to in Article 322(3) point (b) CRR) and event types (as defined in Article 324 CRR), being possible that the losses corresponding to one event are distributed amongst several business lines.

131.

 Columns present the different event types and the totals for each business line, together with a memorandum item that shows the lowest internal threshold applied in the data collection of losses, revealing within each business line the lowest and the highest threshold if there is more than one threshold.

132.

 Rows present the business lines, and within each business line, information on the number of events (new events), the gross loss amount (new events), the number of events subject to loss adjustments, the loss adjustments relating to previous reporting periods, the maximum single loss, the sum of the five largest losses and the total loss recoveries (direct loss recoveries as well as recoveries from insurance and other risk transfer mechanisms).

133.

 For the total business lines, data on the number of events and the gross loss amount is also required for certain ranges based on set thresholds, 10,000, 20,000, 100,000, and 1 000 000. The thresholds are set in Euro amounts and are included for comparability purposes of the reported losses among institutions; therefore they do not necessarily relate with the minimum loss thresholds used for the internal loss data collection, to be reported in another section of the template.

4.2.2.2.   Instructions concerning specific positions

Columns

0010-0070

EVENT TYPES

Institutions report the losses in the respective columns 010 to 070 according to the event types as defined in Article 324 CRR.

Institutions that calculate their own funds requirement according to BIA may report those losses for which the event type is not identified in column 080 only.

0080

TOTAL EVENT TYPES

In column 080, for each business line, institutions report the total “number of events (new events)”, the total of “gross loss amount (new events)”, the total “number of events subject to loss adjustments”, the total of “loss adjustments relating to previous reporting periods”, the “maximum single loss”, the “sum of the five largest losses”, the total of “total direct loss recovery” and the total of “total recovery from insurance and other risk transfer mechanisms”.

Provided that the institution has identified the event types for all losses, column 080 shows the simple aggregation of the number of loss events, the total gross loss amounts, the total loss recovery amounts and the “loss adjustments relating to previous reporting periods” reported in columns 010 to 070.

The “maximum single loss” reported in column 080 is the maximum single loss within a business line and identical to the maximum of the “maximum single losses” reported in columns 010 to 070, provided that the institution has identified the event types for all losses.

For the sum of the five largest losses, in column 080 the sum of the five largest losses within one business line is reported.

0090-0100

MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION

Institutions report in the columns 090 and 100 the minimum loss thresholds they are using for the internal loss data collection in accordance with Article 322(3) point (c), last sentence CRR.

If the institution applies only one threshold for in each business line, only the column 090 shall be filled in.

In the case where there are different thresholds applied within the same regulatory business line, then the highest applicable threshold (column 100) shall be filled in as well.


Rows

0010-0880

BUSINESS LINES: CORPORATE FINANCE, TRADING AND SALES, RETAIL BROKERAGE, COMMERCIAL BANKING, RETAIL BANKING, PAYMENT AND SETTLEMENT, AGENCY SERVICES, ASSET MANAGEMENT, CORPORATE ITEMS

For each business line as defined in Article 317(4), table 2 CRR, including the additional business line “Corporate items” as referred to in Article 322(3) point (b) CRR, and for each event type, the institution shall report, according to the internal thresholds the following information: number of events (new events), gross loss amount (new events), the number of events subject to loss adjustments, loss adjustments relating to previous reporting periods, maximum single loss, sum of the five largest losses, total direct loss recovery and the total recovery from insurance and other risk transfer mechanisms.

For a loss event that affects more than one business line the “gross loss amount” is distributed among all the affected business lines.

Institutions that calculate their own funds requirement according to BIA can report those losses for which the business line is not identified in rows 910-980 only.

0010, 0110, 0210, 0310, 0410, 0510, 0610, 0710, 0810

Number of events (new events)

The number of events is the number of operational risk events for which gross losses were accounted for within the reporting reference period.

The number of events shall refer to “new events”, i.e. operational risk events

(i)

“accounted for the first time” within the reporting reference period or

(ii)

“accounted for the first time” within a previous reporting reference period, if the event had not been included in any previous supervisory report, e.g. because it was identified as operational risk event only in the current reporting reference period or because the accumulated loss attributable to that event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period.

“New events” do not include operational risk events “accounted for the first time” within a previous reporting reference period, which had been included already in previous supervisory reports.

0020, 0120, 0220, 0320, 0420, 0520, 0620, 0720, 0820

Gross loss amount (new events)

The gross loss amount is the gross loss amounts pertinent to operational risk events (e.g. direct charges, provisions, settlements). All losses related to a single event which are accounted for within the reporting reference period are summed up and considered as the gross loss for that event for that reporting reference period.

The reported gross loss amount shall refer to “new events” as defined in the row above. For events “accounted for the first time” within a previous reporting reference period which had not been included in any previous supervisory report, the total loss accumulated until the reporting reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) shall be reported as the gross loss at the reporting reference date.

The amounts to be reported do not take into account obtained recoveries.

0030, 0130, 0230, 0330, 0430, 0530, 0630, 0730, 0830

Number of loss events subject to loss adjustments

The number of loss events subject to loss adjustments is the number of operational risk events “accounted for the first time” in previous reporting reference periods and already included in previous reports, for which loss adjustments were made in the current reporting reference period.

If more than one loss adjustment was made for an event within the reporting reference period, the sum of those loss adjustments shall be counted as one adjustment in the period.

0040, 0140, 0240, 0340, 0440, 0540, 0640, 0740, 0840

Loss adjustments relating to previous reporting periods

Loss adjustments relating to previous reporting reference periods is the sum of the following elements (positive or negative):

(i)

the gross loss amounts pertinent to positive loss adjustments made within the reporting reference period (e.g. increase of provisions, linked loss events, additional settlements) of operational risk events “accounted for the first time” and reported in previous reporting reference periods;

(ii)

the gross loss amounts pertinent to negative loss adjustments made within the reporting reference period (e.g. due to decrease of provisions) of operational risk events “accounted for the first time” and reported in previous reporting reference periods.

If more than one loss adjustment was made for an event within the reporting reference period, the amounts of all those loss adjustments are summed up, taking into account the sign of the adjustments (positive, negative). This sum is considered as the loss adjustment for that event for that reporting reference period.

If, due to a negative loss adjustment, the adjusted loss amount attributable to an event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that event accumulated until the last time when the event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign instead of the amount of the negative loss adjustment itself.

The amounts to be reported do not take into account obtained recoveries.

0050, 0150, 0250, 0350, 0450, 0550, 0650, 0750, 0850

Maximum single loss

The Maximum single loss is the larger of

(i)

the largest gross loss amount related to an event reported for the first time within the reporting reference period and

(ii)

the largest positive loss adjustment amount (as defined above) related to an event reported for the first time within a previous reporting reference period.

The amounts to be reported do not take into account obtained recoveries.

0060, 0160, 0260, 0360, 0460, 0560, 0660, 0760, 0860

Sum of the five largest losses

The sum of the five largest losses is the sum of the five largest amounts among

(i)

the gross loss amounts for events reported for the first time within the reporting reference period and

(ii)

the positive loss adjustment amounts (as defined for rows 040, 140, …, 840 above) relating to events reported for the first time within a previous reporting reference period. The amount which can qualify as one of the five largest ones is the amount of the loss adjustment itself, not the total loss associated with the respective event before or after the loss adjustment.

The amounts to be reported do not take into account obtained recoveries.

0070, 0170, 0270, 0370, 0470, 0570, 0670, 0770, 0870

Total direct loss recovery

Direct recoveries are all recoveries obtained except those which are subject to Article 323 CRR as reported in the row below.

The total direct loss recovery is the sum of all the direct recoveries and adjustments to direct recoveries accounted for within the reporting period and pertinent to operational risk events accounted for the first time within the reporting reference period or in previous reporting reference periods.

0080, 0180, 0280, 0380, 0480, 0580, 0680, 0780, 0880

Total recovery from insurance and other risk transfer mechanisms

Recoveries from insurance and other risk transfer mechanisms are those recoveries which are subject to Article 323 CRR.

The total recovery from insurance and other risk transfer mechanisms is the sum of all the recoveries from insurance and other risk transfer mechanisms and adjustments to such recoveries accounted within the reporting reference period and pertinent to operational risk events accounted for the first time within the reporting reference period or in previous reporting reference periods.

0910-0980

TOTAL BUSINESS LINES

For each event type (column 010 to 080), the information (Article 322(3) lit. b), c) and e) of CRR on total business lines has to be reported.

0910-0914

Number of Events

In row 910, the number of events above the internal threshold by event types for the total business lines shall be reported. This figure may be lower than the aggregation of the number of events by business lines since the events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, if an institution calculating its own funds requirements according to BIA cannot identify the business line(s) affected by the loss in every case.

In rows 911 – 914, the number of events with a gross loss amount within the ranges defined in the pertinent rows shall be reported.

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line “Corporate items” as referred to in Article 322(3) point (b) CRR respectively that it has identified the event types for all losses, the following shall apply for column 080:

—

The total number of events reported in rows 910 to 914 is equal to the horizontal aggregation of the number of events in the corresponding row, given that in those figures the events with impacts in different business lines shall have already been considered as one event.

—

The figure reported in column 080, row 910 shall not necessarily be equal to the vertical aggregation of the number of events which are included in column 080, given that one event can have an impact in different business lines simultaneously.

0920-0924

Gross loss amount (new events)

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line “Corporate items” as referred to in Article 322(3) point (b) CRR, the gross loss amount (new events) reported in row 920 is the simple aggregation of the gross loss amounts of new events for each business line.

In rows 921 – 924, the gross loss amount for events with a gross loss amount within the ranges defined in the pertinent rows shall be reported.

0930, 0935, 0936

Number of loss events subject to loss adjustments

In row 930, the total of the numbers of events subject to loss adjustments as defined for rows 030, 130, …, 830 shall be reported. This figure may be lower than the aggregation of the number of events subject to loss adjustments by business lines since events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, if an institution calculating its own funds requirements according to BIA cannot identify the business line(s) affected by the loss in every case.

The number of loss events subject to loss adjustments shall be broken down into the number of events for which a positive loss adjustment was made within the reporting reference period and the number of events for which a negative loss adjustment was made within the reporting period (all reported with a positive sign).

0940, 0945, 0946

Loss adjustments relating to previous reporting periods

In row 940, the total of the loss adjustment amounts relating to previous reporting periods per business lines (as defined for rows 040, 140, …, 840) shall be reported. Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 of CRR or the business line “Corporate items” as referred to in Article 322(3) point (b) of CRR, the amount reported in row 940 is the simple aggregation of the loss adjustments relating to previous reporting periods reported for the different business lines.

The amount of loss adjustments shall be broken down into the amount related to events for which a positive loss adjustment was made in the reporting reference period (row 945, reported with as positive figure) and the amount related to events for which a negative loss adjustment was made within the reporting period (row 946, reported as negative figure). If, due to a negative loss adjustment, the adjusted loss amount attributable to an event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that event accumulated until the last time when the event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign in row 946 instead of the amount of the negative loss adjustment itself.

0950

Maximum single loss

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line “Corporate items” as referred to in Article 322(3) point (b) CRR, the maximum single loss is the maximum loss over the internal threshold for each event type and amongst all business lines. These figures may be higher than the highest single loss recorded in each business line if an event impacts different business lines.

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line “Corporate items” as referred to in Article 322(3) point (b) CRR respectively that it has identified the event types for all losses, the following shall apply for column 080:

—

The maximum single loss reported shall be equal to the highest of the values reported in columns 010 – 070 of this row.

—

If there are events having an impact in different business lines, the amount reported in {r950, c080} may be higher than the amounts of “Maximum single loss” per business line reported in other rows of column 080.

0960

Sum of the five largest losses

The sum of the five largest gross losses for each event type and amongst all business lines is reported. This sum may be higher than the highest sum of the five largest losses recorded in each business line. This sum has to be reported regardless of the number of losses.

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line “Corporate items” as referred to in Article 322(3) point (b) CRR respectively that it has identified the event types for all losses, for column 080, the sum of the five largest losses shall be the sum of the five largest losses in the whole matrix, which means that it may not necessarily be equal to neither the maximum value of “sum of the five largest losses” in row 960 nor the maximum value of “sum of the five largest losses” in column 080.

0970

Total direct loss recovery

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line “Corporate items” as referred to in Article 322(3) point (b) CRR, the total direct loss recovery is the simple aggregation of the total direct loss recovery for each business line.

0980

Total recovery from insurance and other risk transfer mechanisms

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line “Corporate items” as referred to in Article 322(3) point (b) CRR, the total recovery from insurance and other risk transfer mechanisms is the simple aggregation of the total loss recovery from insurance and other risk transfer mechanisms for each business line.

4.2.3.   C 17.02: Operational risk: Detailed information on the largest loss events in the last year (OPR DETAILS 2)

4.2.3.1.   General Remarks

134.

 In template C 17.02, information on individual loss events shall be provided (one row per event).

135.

 The information reported in this template shall refer to “new events”, i.e. operational risk events

(a)

“accounted for the first time” within the reporting reference period or

(b)

“accounted for the first time” within a previous reporting reference period, if the event had not been included in any previous supervisory report, e.g. because it was identified as operational risk event only in the current reporting reference period or because the accumulated loss attributable to that event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period..

136.

 Only events entailing a gross loss amount of 100,000 EUR or more shall be reported.

1. Subject to that threshold,

(a)

the largest event for each event type, provided that the institution has identified the event types for losses and

(b)

at least the ten largest of the remaining events with or without identified event type by gross loss amount shall be included in the template.

(c)

Events are ranked based on the gross loss attributed to them.

(d)

An event shall only be considered once.

4.2.3.2.   Instructions concerning specific positions

Columns

0010

Event ID

The event ID is a row identifier and shall be unique for each row in the table.

Where an internal ID is available, institutions shall provide the internal ID. Otherwise, the reported ID shall follow the numerical order 1, 2, 3, etc.

0020

Date of Accounting

Date of accounting means the date when a loss or reserve/provision against an operational risk loss was first recognized in the Profit and Loss statement.

0030

Date of occurrence

Date of occurrence is the date when the operational risk event happened or first began.

0040

Date of discovery

Date of discovery is the date on which the institution became aware of the operational risk event.

0050

Event Type

Event types as defined in Article 324 CRR

0060

Gross loss

Gross loss related to the event as defined for rows 020, 120 etc. of template C 17.01 above

0070

Gross loss net of direct recoveries

Gross loss related to the event as defined for rows 020, 120 etc. of template C 17.01 above net of direct recoveries pertinent to that loss event

0080 - 0160

Gross loss by business line

The gross loss as reported in column 060 shall be allocated to the relevant business lines as defined in Articles 317 and 322 (3) point (b) CRR.

0170

Legal Entity name

Name of the legal entity as reported in column 010 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.

0180

Legal Entity ID

LEI code of the legal entity as reported in column 025 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.

0190

Business Unit

Business unit or corporate division of the institution where the loss – or the greatest share of the loss if several business units or corporate divisions were affected – occurred.

0200

Description

Narrative description of the event, where necessary in an generalised or anonymised manner, which shall comprise at least information about the event itself and information about the drivers or causes of the event, where known.

5.   MARKET RISK TEMPLATES

137.

 These instructions refer to the templates reporting of the calculation of own funds requirements according to the standardised approach for foreign exchange risk (MKR SA FX), commodities risk (MKR SA COM) interest rate risk (MKR SA TDI, MKR SA SEC, MKR SA CTP) and equity risk (MKR SA EQU). Additionally, instructions for the template reporting of the calculation of own funds requirements according to the internal models approach (MKR IM) are included in this part.

138.

 The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components in order to calculate the capital required against it. The first shall be its specific-risk component — this is the risk of a price change in the instrument concerned due to factors related to its issuer or, in the case of a derivative, the issuer of the underlying instrument. The second component shall cover its general risk — this is the risk of a price change in the instrument due (in the case of a traded debt instrument or debt derivative) to a change in the level of interest rates or (in the case of an equity or equity derivative) to a broad equity- market movement unrelated to any specific attributes of individual securities. The general treatment of specific instruments and netting procedures can be found in Articles 326 to 333 of CRR.

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

5.1.1.   General Remarks

139.

 This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the standardised approach (Articles 102 and 105 (1) of CRR). The different risks and methods available under CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP only has to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {325;060} (securitisations) and {330;060} (CTP) respectively..

140.

 The template has to be filled out separately for the “Total”, plus a pre-defined list of following currencies: EUR, ALL, BGN, CZK, DKK, EGP, GBP, HRK, HUF, ISK, JPY, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.

5.1.2.   Instructions concerning specific positions

Columns

010-020

ALL POSITIONS (LONG AND SHORT)

Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR.

030-040

NET POSITIONS (LONG AND SHORT)

Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR.

050

POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge.

060

OWN FUNDS REQUIREMENTS

The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.

070

TOTAL RISK EXPOSURE AMOUNT

Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.


Rows

010-350

TRADED DEBT INSTRUMENTS IN TRADING BOOK

Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk according to Article 92(3) point (b) (i) CRR and Part 3 Title IV Chapter 2 of CRR are reported depending on risk category, maturity and approach used.

011

GENERAL RISK.

012

Derivatives

Derivatives included in the calculation of interest rate risk of trading book positions taking into account Articles 328 to 331, if applicable.

013

Other assets and liabilities

Instruments other than derivatives included in the calculation of interest rate risk of trading book positions.

020-200

MATURITY BASED APPROACH

Positions in traded debt instruments subject to the maturity-based approach according to Article 339(1) to (8) of CRR and the correspondent own funds requirements set up in Article 339(9) of CRR. The position shall be split by zones 1, 2 and 3 and these by the maturity of the instruments.

210-240

GENERAL RISK. DURATION BASED APPROACH

Positions in traded debt instruments subject to the duration-based approach according to Article 340(1) to (6) of CRR and the correspondent own funds requirements set up in Article 340(7) of CRR. The position shall be split by zones 1, 2 and 3.

250

SPECIFIC RISK

Sum of amounts reported in rows 251, 325 and 330.

Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to Article 92(3) lit. b and 335, 336 (1) to (3), 337 and 338 of CRR. Be also aware of last sentence in Article 327(1) of CRR.

251-321

Own funds requirement for non-securitisation debt instruments

Sum of the amounts reported in rows 260 to 321.

The own funds requirement of the n-th to default credit derivatives which are not rated externally has to be computed by summing up the risk weights of the reference entities (Article 332(1) point (e) para 1 and 2 CRR – “look-through”). N-th-to-default credit derivatives which are rated externally (Article 332(1) point (e) para 3 CRR) shall be reported separately in line 321.

Reporting of positions subject to Article 336(3) CRR:

There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book according to Article 129(3) CRR (covered bonds). The specific own funds requirements is half of the percentage of the second category of table 1 of Article 336 CRR. Those positions have to be assigned to rows 280-300 according to the residual term to final maturity.

If the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 shall be applied.

325

Own funds requirement for securitisation instruments

Total own funds requirements reported in column 610 of template MKR SA SEC. It shall only be reported on Total level of the MKR SA TDI.

330

Own funds requirement for the correlation trading portfolio

Total own funds requirements reported in column 450 of template MKR SA CTP. It shall only be reported on Total level of the MKR SA TDI.

350-390

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 329(3) of CRR.

The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

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

5.2.1.   General Remarks

141.

 This template requests information on positions (all/net and long/short) and the related own funds requirements for the specific risk component of position risk in securitisations/re-securitisations held in the trading book (not eligible for correlation trading portfolio) under the standardised approach. On reporting reference dates that are after 1 January 2019, securitisations held in the trading book, the own funds requirement for specific risk of which is determined based on CRR, i.e where the own funds requirement is calculated in accordance with the revised securitisation framework, shall not be reported in this template, but only in template C 02.00. Equally, on reporting reference dates that are after 1 January 2019, securitisation positions which are subject to a 1 250 % risk weight in accordance with the CRR and which are deducted from CET1 in accordance with Article 36(1) point (k) (ii) of the CRR, shall not be reported in this template, but only in template C 01.00.

141a.

 For the purposes of this template, all references to the Articles of Part Three, Title II, chapter 5 of CRR and Article 337 CRR shall be read as references to CRR in the version applicable on 31 December 2018.

142.

 The MKR SA SEC template determines the own funds requirement only for the specific risk of securitisation positions according to Articles 335 in connection with 337 CRR. If securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.

143.

 Positions which receive a risk weight of 1,250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.

5.2.2.   Instructions concerning specific positions

Columns

010-020

ALL POSITIONS (LONG AND SHORT)

Articles 102 and 105 (1) of CRR in connection with Article 337 of CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR.

030-040

(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

Article 258 of CRR.

050-060

NET POSITIONS (LONG AND SHORT)

Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR.

070-520

BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS

Articles 251 (Table 1) and 261 (1) (Table 4) of CRR. The breakdown has to be done separately for long and short positions.

230-240 and 460-470

1 250  %

Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.

250-260 and 480-490

SUPERVISORY FORMULA METHOD

Article 337(2) of CRR in connection with Article 262 of CRR.

These columns shall be reported when the institutions uses the alternative Supervisory Formula Approach (SFA), which determines the own funds requirements as a function of the characteristics of the collateral pool and contractual properties of the tranche.

270 and 500

LOOK THROUGH

SA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).

IRB: Articles 263(2) and (3) of CRR. For early amortisations see Article 265(1) and 256 (5) of CRR.

280-290/510-520

INTERNAL ASSESSMENT APPROACH

Article 109(1) sentence 2 and Article 259(3) and (4) of CRR.

These columns shall be reported when the institution uses the internal assessment approach for determining capital charges for liquidity facilities and credit enhancements that banks (including third-party banks) extend to ABCP conduits. The IAA, based on ECAI’s methodologies, is applicable only to exposures to ABCP conduits that have an internal rating equivalent of investment-grade at inception.

530-540

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

Article 337(3) of CRR in connection with Article 407 of CRR. Article 14(2) of CRR

550-570

BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

Article 337 of CRR without taking into account the discretion of Article 335 of CRR, that allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss.

580-600

AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

Article 337 of CRR taking into account the discretion of Article 335 of CRR.

610

TOTAL OWN FUNDS REQUIREMENTS

According to Article 337(4) of CRR for a transitional period ending 31 December 2014, the institution shall sum separately its weighted net long positions (column 580) and its weighted net short positions (column 590). The larger of those sums (after cap) shall constitute the own funds requirement. From 2015 onwards according to Article 337(4) of CRR, the institution shall sum its weighted net positions, regardless whether they are long or short (column 600), in order to calculate the own funds requirements.


Rows

010

TOTAL EXPOSURES

Total amount of outstanding securitisations (held in the trading book) reported by the institution playing the role/s of originator and/or investor and/or sponsor.

040,070 and

100

SECURITISATIONS

Article 4(61) and (62) of CRR.

020,050,

080 and110

RE-SECURITISATIONS

Article 4(63) of CRR.

030-050

ORIGINATOR

Article 4(13) of CRR

060-080

INVESTOR

Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor

090-110

SPONSOR

Article 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets

120-210

BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES

Article 337(4), last sentence of CRR.

The breakdown of the underlying assets follows the classification used in the SEC Details template (Column “Type”):

—

1-residential mortgages;

—

2-commercial mortgages;

—

3-credit card receivables;

—

4-leasing;

—

5-loans to corporates or SMEs (treated as corporates);

—

6-consumer loans;

—

7-trade receivables;

—

8-other assets;

—

9-covered bonds;

—

10-other liabilities.

For each securitisation, in case the pool consists of different types of assets, the institution shall consider the most important type.

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

5.3.1.   General Remarks

144.

 This template requests information on positions of the CTP (comprising securitisations, nth-to-default credit derivatives and other CTP positions included according to Article 338(3)) and the corresponding own funds requirements under the standardised approach.

145.

 The MKR SA CTP template determines the own funds requirement only for the specific risk of positions assigned to the Correlation Trading Portfolio according to Articles 335 in connection with 338 (2) and (3) of CRR. If CTP- positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all CTP-positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.

146.

 This structure of the template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. As a result, securitisation positions shall always be reported in rows 030, 060 or 090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in line 110. The “other CTP-positions” are neither securitisation positions nor n-th to default credit derivatives (see definition in Article 338(3) CRR), but they are explicitly “linked” (because of the hedging intent) to one of these two positions. That is why they are assigned either under the sub-heading “securitisation” or “n-th to default credit derivative”.

147.

 Positions which receive a risk weight of 1,250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.

5.3.2.   Instructions concerning specific positions

Columns

010-020

ALL POSITIONS (LONG AND SHORT)

Articles 102 and 105 (1) of CRR in connection with positions assigned to the Correlation Trading Portfolio according to Article 338(2) and (3) of CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR.

030-040

(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

Article 258 of CRR.

050-060

NET POSITIONS (LONG AND SHORT)

Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR.

070-400

BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS (SA AND IRB)

Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.

160 and 330

OTHER

Other risk weights not explicitly mentioned in the previous columns.

For n-th-to-default credit derivatives only those which are not externally rated. Externally rated n-th to default credit derivatives are either to be reported in the MKR SA TDI template (row 321) or – if they are incorporated into the CTP – shall be assigned to the column of the respective risk weight.

170-180 and 360-370

1 250  %

Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.

190 -200 and 340 -350

SUPERVISORY FORMULA METHOD

Article 337(2) of CRR in connection with Article 262 of CRR.

210/380

LOOK THROUGH

SA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).

IRB: Articles 263(2) and (3) of CRR. For early amortisations see Article 265(1) and 256 (5) of CRR.

220-230 and 390-400

INTERNAL ASSESSMENT APPROACH

Article 259(3) and (4) of CRR.

410-420

BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS

Article 338 without taking into account the discretion of Article 335 of CRR.

430-440

AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS

Article 338 taking into account the discretion of Article 335 of CRR.

450

TOTAL OWN FUNDS REQUIREMENTS

The own funds requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (column 430) or (ii) the specific risk charge that would apply just to the net short positions (column 440).


Rows

010

TOTAL EXPOSURES

Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor.

020-040

ORIGINATOR

Article 4(13) of CRR

050-070

INVESTOR

Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor

080-100

SPONSOR

Article 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets

030,060 and 090

SECURITISATIONS

The correlation trading portfolio comprises securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set in Article 338(2) and (3) of CRR.

Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row “Other CTP positions”.

110

N-TH-TO-DEFAULT CREDIT DERIVATIVES

N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives according to Article 347 CRR shall both be reported here.

The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives.

040, 070, 100 and 120

OTHER CTP POSITIONS

The positions in:

—

Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions;

—

CTP positions hedged by credit derivatives according to Article 346 CRR;

—

Other positions that satisfy Article 338(3) of CRR;

are included.

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

5.4.1.   General Remarks

148.

 This template requests information on the positions and the corresponding own funds requirements for position risk in equities held in the trading book and treated under the standardised approach.

149.

 The template has to be filled out separately for the “Total”, plus a static, pre-defined list of following markets: Bulgaria, Croatia, Czech Republic, Denmark, Egypt, Hungary, Iceland, Liechtenstein, Norway, Poland, Romania, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA, Euro Area plus one residual template for all other markets. For the purpose of this reporting requirement the term “market” shall be read as “country” (except for countries belonging to the Euro Area, see Commission Delegated Regulation (EU) No 525/2014).

5.4.2.   Instructions concerning specific positions

Columns

010-020

ALL POSITIONS (LONG AND SHORT)

Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR).

030-040

NET POSITIONS (LONG AND SHORT)

Articles 327, 329, 332, 341 and 345 of CRR.

050

POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge. The capital charge has to be calculated for each national market separately. Positions in stock-index futures according to the second sentence of Article 344(4) CRR shall not be included in this column.

060

OWN FUNDS REQUIREMENTS

The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.

070

TOTAL RISK EXPOSURE AMOUNT

Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.


Rows

010-130

EQUITIES IN TRADING BOOK

Own funds requirements for position risk according to Article 92(3) point (b) (i) CRR and Part 3 Title IV Chapter 2 Section 3 of CRR.

020-040

GENERAL RISK

Positions in equities subject to general risk (Article 343 of CRR) and their correspondent own funds requirement according to Part 3 Title IV Chapter 2 Section 3 of CRR.

Both breakdowns (021/022 as well as 030/040) are a breakdown related to all positions subject to general risk.

Rows 021 and 022 requests information on the breakdown according to instruments. Only the breakdown in rows 030 and 040 is used as a basis for the calculation of own funds requirements.

021

Derivatives

Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332, if applicable.

022

Other assets and liabilities

Instruments other than derivatives included in the calculation of equity risk of trading book positions.

030

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

Exchange traded stock-index futures broadly diversified and subject to a particular approach according to Article 344(1) and (4) of CRR. These positions are only subject to general risk and, accordingly, must not be reported in row (050).

040

Other equities than exchange traded stock-index futures broadly diversified

Other positions in equities subject to specific risk and the correspondent own funds requirements according to Article 343 and 344 (3) of CRR.

050

SPECIFIC RISK

Positions in equities subject to specific risk and the correspondent own funds requirement according to Articles 342 and 344 (4) CRR.

090-130

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 329(2) and (3) of CRR.

The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

5.5.   C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

5.5.1.   General Remarks

150.

 Institutions shall report information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange treated under the standardised approach. The position is calculated for each currency (including euro), gold, and positions to CIUs.

151.

 Rows 100 to 480 of this template shall be reported even if institutions are not required to calculate own funds requirements for foreign exchange risk according to Article 351 of CRR. In those memorandum items, all the positions in the reporting currency are included, irrespective of the extent to which they are considered for the purposes of Article 354 CRR. Rows 130 to 480 of the memorandum items of the template shall be filled out separately for all currencies of the Member States of the Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

5.5.2.   Instructions concerning specific positions

Columns

020-030

ALL POSITIONS (LONG AND SHORT)

Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) of CRR. According to Article 352(2) and subject to permission from competent authorities, positions taken to hedge against the adverse effect of the exchange rate on their ratios in accordance with Article 92(1) and positions related to items that are already deducted in the calculation of own funds shall not be reported.

040-050

NET POSITIONS (LONG AND SHORT)

Articles 352(3) and (4), first and second sentences, and 353 of CRR.

The net positions are calculated by each currency, accordingly there may be simultaneous long and short positions.

060-080

POSITIONS SUBJECT TO CAPITAL CHARGE

Articles 352(4), third sentence, 353 and 354 of CRR.

060-070

POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT)

The long and short net positions for each currency are calculated by deducting the total of short positions from the total of long positions.

Long net positions for each operation in a currency are added to obtain the long net position in that currency.

Short net positions for each operation in a currency are added to obtain the short net position in that currency.

Unmatched positions in non-reporting currencies are added to positions subject to capital charges for other currencies (row 030) in column (060) or (070) depending on their short or long arrangement.

080

POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED)

Matched positions for closely correlated currencies

090

OWN FUNDS REQUIREMENTS

The capital charge for any relevant position according to Part 3 Title IV Chapter 3 of CRR.

100

TOTAL RISK EXPOSURE AMOUNT

Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.


Rows

010

TOTAL POSITIONS

All positions in non-reporting currencies and those positions in the reporting currency that are considered for the purposes of Article 354 CRR as well as their correspondent own funds requirements according to Article 92(3) point (c) (i) and Article 352(2) and (4) of CRR (for conversion into the reporting currency).

020

CURRENCIES CLOSELY CORRELATED

Positions and their correspondent own funds requirements for currencies referred to in Article 354 of CRR.

025

Currencies closely correlated: of which: reporting currency

Positions in the reporting currency which contribute to the calculation of the capital requirements according to Article 354 CRR

030

ALL OTHER CURRENCIES (including CIU's treated as different currencies)

Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR.

Reporting of CIU's treated as separate currencies according to Article 353 CRR:

 

There are two different treatments of CIU's treated as separate currencies for calculating the capital requirements:

1.

The modified gold method, if the direction of the CIU's investment is not available (those CIU's shall be added to an institution's overall net foreign-exchange position)

2.

If the direction of the CIU's investment is available, those CIU's shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU)

 

The reporting of those CIU's follows the calculation of the capital requirements accordingly.

040

GOLD

Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR.

050 - 090

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 352(5) and (6) of CRR.

The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

100-120

Breakdown of total positions (reporting currency included) by exposure types

Total positions shall be broken down according to derivatives, other assets and liabilities and off-balance sheet items.

100

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

Positions not included in row 110 or 120 shall be included here.

110

Off-balance sheet items

Items within the scope of Article 352 CRR, irrespective of the currency of denomination, which are included in Annex I of CRR except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.

120

Derivatives

Positions valued according to Articles 352 CRR.

130-480

MEMORANDUM ITEMS: CURRENCY POSITIONS

The memorandum items of the template shall be filled out separately for All currencies of the Member States of the Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

5.6.   C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

5.6.1.   General Remarks

152.

 This template request information on the positions in commodities and the corresponding own funds requirements treated under the standardised approach.

5.6.2.   Instructions concerning specific positions

Columns

010-020

All POSITIONS (LONG AND SHORT)

Gross long/short positions considered positions in the same commodity according to Article 357(1) and (4) of CRR (see also Article 359(1) of CRR).

030-040

NET POSITIONS (LONG AND SHORT)

As defined in Article 357(3) of CRR.

050

POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 4 of CRR, receive a capital charge.

060

OWN FUNDS REQUIREMENTS

The capital charge for any relevant position according to Part 3 Title IV Chapter 4 of CRR.

070

TOTAL RISK EXPOSURE AMOUNT

Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.


Rows

010

TOTAL POSITIONS IN COMMODITIES

Positions in commodities and their correspondent own funds requirements for market risk according to Article 92(3) point (c) (iii) CRR and Part 3 Title IV Chapter 4 of CRR.

020-060

POSITIONS BY CATEGORY OF COMMODITY

For reporting purposes commodities are grouped in the four main groups of commodities referred to in Table 2 of Article 361 CRR.

070

MATURITY LADDER APPROACH

Positions in commodities subject to the Maturity Ladder approach as referred to in Article 359 of CRR.

080

EXTENDED MATURITY LADDER APPROACH

Positions in commodities subject to the Extended Maturity Ladder approach as referred to in Article 361 of CRR

090

SIMPLIFIED APPROACH

Positions in commodities subject to the Simplified approach as referred to in Article 360 of CRR.

100-140

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 358(4) of CRR.

The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation

5.7.   C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM)

5.7.1.   General Remarks

153.

 This template provides a breakdown of VaR and stressed VaR (sVaR) figures according to the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements.

154.

 Generally the reporting depends on the structure of the model of the institutions whether they report the figures for general and specific risk separately or together. The same holds true for the decomposition of the VAR/Stress-Var into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution can resign to report the decompositions mentioned above if it proves that a reporting of these figures would be unduly burdensome.

5.7.2.   Instructions concerning specific positions

Columns

030-040

VaR

It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon.

030

Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg)

Articles 364(1) point (a) (ii) and 365 (1) of CRR.

040

Previous day VaR (VaRt-1)

Articles 364(1) point (a) (i) and 365 (1) of CRR.

050-060

Stressed VaR

It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution’s portfolio.

050

Multiplication factor (ms) x Average of previous 60 working days (SVaRavg)

Articles 364(1) point (b) (ii) and 365 (1) of CRR.

060

Latest available (SVaRt-1)

Articles 364(1) point (b) (i) and 365 (1) of CRR.

070-080

INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

It means the maximum potential loss that would result from a price change linked to default and migration risks calculated accordingly to Article 364(2) point (b) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.

070

12 weeks average measure

Article 364(2) point (b) (ii) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.

080

Last Measure

Article 364(2) point (b) (i) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.

090-110

ALL PRICE RISKS CAPITAL CHARGE FOR CTP

090

FLOOR

Article 364(3) point (c) of CRR.

= 8 % of the capital charge that would be calculated in accordance with Article 338(1) of CRR for all positions in the “all price risks” capital charge.

100-110

12 WEEKS AVERAGE MEASURE AND LAST MEASURE

Article 364(3) point (b).

110

LAST MEASURE

Article 364(3) point (a)

120

OWN FUNDS REQUIREMENTS

Referred to in Article 364 of CRR of all risk factors taking into account correlation effects, if applicable, plus incremental default and migration risk and all price of risks for CTP but excluding the Securitization capital charges for Securitization and nth-to-default credit derivative according Article 364(2) of CRR.

130

TOTAL RISK EXPOSURE AMOUNT

Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.

140

Number of overshootings (during previous 250 working days)

Referred to in Article 366 of CRR.

The number of overshootings based on which the addend is determined shall be reported.

150-160

VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)

As referred to in Article 366 of CRR.

170-180

ASSUMED CHARGE FOR CTP FLOOR — WEIGHTED NET LONG/SHORT POSITIONS AFTER CAP

The amounts reported and serving as the basis to calculate the floor capital charge for all price risks according to Article 364(3) point (c) of CRR take into account the discretion of Article 335 of CRR which says that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss.


Rows

010

TOTAL POSITIONS

Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) of CRR linked to the risk factors specified in Article 367(2) of CRR.

Concerning the columns 030 to 060 (VAR and Stress-VAR) the figures in the total row is not equal to the decomposition of the figures for the VAR/Stress-VAR of the relevant risk components. Hence the decomposition are memorandum items.

020

TRADED DEBT INSTRUMENTS

Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the interest rates risk factors as specified in Article 367(2) of CRR.

030

TDI – GENERAL RISK

General risk defined in Article 362 of CRR.

040

TDI – SPECIFIC RISK

Specific risk defined in Article 362 of CRR.

050

EQUITIES

Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the equity risk factors as specified in Article 367(2) of CRR.

060

EQUITIES – GENERAL RISK

General risk defined in Article 362 of CRR.

070

EQUITIES – SPECIFIC RISK

Specific risk defined in Article 362 of CRR.

080

FOREIGN EXCHANGE RISK

Articles 363(1) and 367 (2) of CRR.

090

COMMODITY RISK

Articles 363(1) and 367 (2) of CRR.

100

TOTAL AMOUNT FOR GENERAL RISK

Market risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VAR for general risk of all risk factors (taking into account correlation effects if applicable).

110

TOTAL AMOUNT FOR SPECIFIC RISK

Specific risk component of traded debt instruments and equities. VAR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects if applicable).

5.8.   C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA)

5.8.1.   Instructions concerning specific positions

Columns

010

Exposure value

Article 271 of CRR in accordance with article 382 of CRR

Total EAD from all transactions subject to CVA charge

020

Of which: OTC derivatives

Article 271 of CRR in accordance with Article 382(1) of CRR

The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set

030

Of which: SFT

Article 271 of CRR in accordance with Article 382(2) of CRR

The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set

040

MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)

Article 383 of CRR in accordance with Article 363(1)(d) of CRR

VaR calculation based on internal models for market risk

050

PREVIOUS DAY (VaRt-1)

See instructions referring to column 040

060

MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)

See instructions referring to column 040

070

LATEST AVAILABLE (SVaRt-1)

See instructions referring to column 040

080

OWN FUNDS REQUIREMENTS

Article 92(3) d) of CRR

Own funds requirements for CVA Risk calculated via the chosen method

090

TOTAL RISK EXPOSURE AMOUNT

Article 92(4) b) of CRR

Own funds requirements multiplied by 12,5.

 

Memorandum items

100

Number of counterparties

Article 382 of CRR

Number of counterparties included in calculation of own funds for CVA risk

Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are simply the other contracting party.

110

Of which: proxy was used to determine credit spread

number of counterparties where the credit spread was determined using a proxy instead of directly observed market data

120

INCURRED CVA

Accounting provisions due to decreased credit worthiness of derivatives counterparties

130

SINGLE NAME CDS

Article 386(1) lit. a of CRR

Total notional amounts of single name CDS used as hedge for CVA risk

140

INDEX CDS

Article 386(1) lit. b) of CRR

Total notional amounts of index CDS used as hedge for CVA risk


Rows

010

CVA risk total

Sum of rows 020-040 as applicable

020

According to Advanced method

Advanced CVA risk method as prescribed by Article 383 of CRR

030

According to Standardised method

Standardised CVA risk method as prescribed by Article 384 of CRR

040

Based on OEM

Amounts subject to the application of Article 385 of CRR

6.   PRUDENT VALUATION (PRUVAL)

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

6.1.1.   General remarks

154a.

 This template shall be completed by all institutions, whether or not they have adopted the simplified approach for the determination of Additional Valuation Adjustments (“AVAs”). It is dedicated to the absolute value of fair-valued assets and liabilities used to determine whether or not the conditions set out in Article 4 of Delegated Regulation (EU) 2016/101 on prudent valuation for using the simplified approach for the determination of AVAs are met.

154b.

 With regard to institutions using the simplified approach, this template shall provide the total AVA to be deducted from own funds under Articles 34 and 105 CRR as set out in Article 5 of the Delegated Regulation (EU) 2016/101 on prudent valuation, which shall be reported accordingly in row 290 of C 01.00.

6.1.2.   Instructions concerning specific positions

Columns

0010

FAIR-VALUED ASSETS AND LIABILITIES

Absolute value of fair-valued assets and liabilities, as stated in the financial statements under the applicable accounting framework, as referred to in Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation, before any deduction pursuant to Article 4(2) is performed.

0020

OF WHICH: trading book

Absolute value of fair-valued assets and liabilities, as reported in 010, corresponding to positions held in the trading book.

0030-0070

FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1

Absolute value of fair-valued assets and liabilities excluded pursuant to Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

0030

Exactly matching

Exactly matching, offsetting fair-valued assets and liabilities excluded according to Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

0040

Hedge accounting

For positions subject to hedge accounting under the applicable accounting framework, absolute value of fair-valued assets and liabilities excluded in proportion to the impact of the relevant valuation change on CET1 capital according to Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

0050

PRUDENTIAL Filters

Absolute value of fair-valued assets and liabilities excluded according to Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation due to the transitional filters referred to in Articles 467 and 468 of CRR.

0060

Other

Any other positions excluded according to Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation due to adjustments to their accounting value having only a proportional effect on CET1 capital.

This row shall only be populated in rare cases where elements excluded pursuant to Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation cannot be assigned to columns 0 030 , 0 040 or 0 050 of this template.

0070

Comment for other

The main reasons why the positions reported in column 0 060 were excluded shall be provided.

0080

FAIR-VALUED Assets and Liabilities included in ART. 4(1) threshold

Absolute value of fair-valued assets and liabilities actually included in the threshold computation in accordance with Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

0090

OF WHICH: trading book

Absolute value of fair-valued assets and liabilities, as reported in column 0 080 , corresponding to positions held in the trading book.


Rows

0010 – 0210

The definitions of these categories shall match those of the corresponding rows of FINREP templates 1.1 and 1.2.

0010

1   TOTAL FAIR-VALUED ASSETS AND LIABILITIES

Total of fair-valued assets and liabilities reported in rows 20 to 210.

0020

1.1   TOTAL FAIR-VALUED ASSETS

Total of fair-valued assets reported in rows 0 030 to 0 140 .

Relevant cells of rows 0 030 to 0 130 shall be reported in line with FINREP template F 01.01 of Annexes III and IV to this Regulation depending on the institution’s applicable standards:

—

IFRS as endorsed by the Union in application of Regulation (EU) No 1606/2002 (“EU IFRS”)

—

National accounting standards compatible with EU IFRS (“National GAAP compatible IFRS”) or

—

National GAAP based on Directive 86/635/EC, the Bank Accounting Directive (FINREP “National GAAP based on BAD”).

0030

1.1.1   FINANCIAL ASSETS HELD FOR TRADING

IFRS 9.Appendix A.

The information reported in this row shall correspond to row 050 of template F 01.01 of Annexes III and IV to this Regulation.

0040

1.1.2   TRADING FINANCIAL ASSETS

BAD Article 32-33; Annex V. Part 1.17.

The information reported in this row shall correspond to row 091 of template F 01.01 of Annexes III and IV to this Regulation.

0050

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

IFRS 7.8(a)(ii); IFRS 9.4.1.4.

The information reported in this row shall correspond to row 096 of template F 01.01 of Annexes III and IV to this Regulation.

0060

1.1.4   FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

IFRS 7.8(a)(i); IFRS 9.4.1.5; Accounting Directive art 8(1)(a), (6).

The information reported in this row shall correspond to row 100 of template F 01.01 of Annexes III and IV to this Regulation.

0070

1.1.5   FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME

IFRS 7.8(h); IFRS 9.4.1.2 A.

The information reported in this row shall correspond to row 141 of template F 01.01 of Annexes III and IV to this Regulation.

0080

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

BAD art 36(2).

The information reported in this row shall correspond to row 171 of template F 01.01 of Annexes III and IV to this Regulation.

0090

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

Accounting Directive art 8(1)(a), (8).

The information reported in this row shall correspond to row 175 of template F 01.01 of Annexes III and IV to this Regulation.

0100

1.1.8   OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS

BAD art 37; Accounting Directive Article 12(7); Annex V. Part 1.20.

The information reported in this row shall correspond to row 234 of template F 01.01 of Annexes III and IV to this Regulation.

0110

1.1.9   DERIVATIVES — HEDGE ACCOUNTING

IFRS 9.6.2.1; Annex V. Part 1.22; Accounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V. Part 1.22.

The information reported in this row shall correspond to row 240 of template F 01.01 of Annexes III and IV to this Regulation.

0120

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

IAS 39.89 A(a); IFRS 9.6.5.8; Accounting Directive art 8(5), (6).

The information reported in this row shall correspond to row 250 of template F 01.01 of Annexes III and IV to this Regulation.

0130

1.1.11   INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES

IAS 1.54(e); Annex V. Part 1.21, Part 2.4; BAD art 4.Assets(7)-(8); Accounting Directive art 2(2).

The information reported in this row shall correspond to row 260 of template F 01.01 of Annexes III and IV to this Regulation.

0140

1.1.12   (-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE

Annex V Part 1.29.

The information reported in this row shall correspond to row 375 of template F 01.01 of Annexes III and IV to this Regulation.

0150

1.2   TOTAL FAIR-VALUED LIABILITIES

Total of fair-valued liabilities reported in rows 0 160 to 0 210 .

Relevant cells of rows 0 150 to 0 190 shall be reported in line with FINREP template F 01.02 of Annexes III and IV to this Regulation depending on the institution’s applicable standards:

—

IFRS as endorsed by the Union in application of Regulation (EU) No 1606/2002 (“EU IFRS”)

—

National accounting standards compatible with EU IFRS (“National GAAP compatible IFRS”)

—

or National GAAP based on Directive 86/635/EC, the Bank Accounting Directive (FINREP “National GAAP based on BAD”).

0160

1.2.1   FINANCIAL LIABILITIES HELD FOR TRADING

IFRS 7.8 (e) (ii); IFRS 9.BA.6.

The information reported in this row shall correspond to row 010 of template F 01.02 of Annexes III and IV to this Regulation.

0170

1.2.2   TRADING FINANCIAL LIABILITIES

Accounting Directive art 8(1)(a),(3),(6).

The information reported in this row shall correspond to row 061 of template F 01.02 of Annexes III and IV to this Regulation.

0180

1.2.3   FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

IFRS 7.8 (e)(i); IFRS 9.4.2.2; Accounting Directive art 8(1)(a), (6); IAS 39.9.

The information reported in this row shall correspond to row 070 of template F 01.02 of Annexes III and IV to this Regulation.

0190

1.2.4   DERIVATIVES — HEDGE ACCOUNTING

IFRS 9.6.2.1; Annex V. Part 1.26; Accounting Directive art 8(1)(a), (6), (8)(a).

The information reported in this row shall correspond to row 150 of template F 01.02 of Annexes III and IV to this Regulation.

0200

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

IAS 39.89 A(b), IFRS 9.6.5.8; Accounting Directive art 8(5), (6); Annex V. Part 2.8.

The information reported in this row shall correspond to row 160 of template F 01.02 of Annexes III and IV to this Regulation.

0210

1.2.6   HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE

Annex V Part 1.29

The information reported in this row shall correspond to row 295 of template F 01.02 of Annexes III and IV to this Regulation.

6.2.   C 32.02 — PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)

6.2.1.   General remarks

154c.

 The purpose of this template is to provide information on the composition of the total AVA to be deducted from own funds under Articles 34 and 105 CRR alongside relevant information about the accounting valuation of the positions that give rise to the determination of AVAs.

154d.

 This template shall be completed by all institutions that:

(a)

are required to use the Core approach because they exceed the threshold referred to in Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation, either on an individual basis or on a consolidated basis as set out in Article 4(3) the Delegated Regulation (EU) 2016/101 on prudent valuation or

(b)

have chosen to apply the Core approach despite not exceeding the threshold.

154e.

 For the purposes of this template, “upside uncertainty” shall be defined as follows: As determined by Article 8(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation, AVAs are calculated as the difference between the fair value and a prudent valuation that is defined on the basis of a 90 % confidence that institutions can exit the exposure at that point or better within the notional range of plausible values. The upside value or “upside uncertainty” is the opposing point in the distribution of plausible values at which institutions are only 10 % confident that they can exit the position at that point or better. The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA but substituting a 10 % level of certainty for the 90 % used when determining the total AVA.

6.2.2.   Instructions concerning specific positions

Columns

0010 - 0100

CATEGORY LEVEL AVA

The category level AVAs for market price uncertainty, close-out costs, model risk, concentrated positions, future administrative costs, early termination and operational risk are calculated as described in Articles 9 to 11 and 14 to 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation respectively.

For the market price uncertainty, close-out cost and model risk categories, which are subject to diversification benefit as set out under Articles 9(6), 10(7) and 11(7) of the Delegated Regulation (EU) 2016/101 on prudent valuation, respectively, category level AVAs shall be, unless indicated otherwise, reported as the straight sum of the individual AVAs before diversification benefit [since diversification benefits calculated using method 1 or method 2 of the Annex of the Delegated Regulation (EU) 2016/101 on prudent valuation are reported in items 1.1.2, 1.1.2.1 and 1.1.2.2 of the template].

For the market uncertainty, close-out cost and model risk categories, amounts calculated under the expert-based approach as defined in Articles 9(5)(b), 10(6)(b) and 11(4) of the Delegated Regulation (EU) 2016/101 on prudent valuation shall be separately reported in columns 0 020 , 0 040 and 0 060 .

0010

MARKET PRICE UNCERTAINTY

Article 105(10) CRR.

Market price uncertainty AVAs computed according to Article 9 of the Delegated Regulation (EU) 2016/101 on prudent valuation.

0020

OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH

Market price uncertainty AVAs computed according to Article 9(5)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

0030

CLOSE-OUT COSTS

Article 105(10) CRR.

Close-out costs AVAs computed according to Article 10 of the Delegated Regulation (EU) 2016/101 on prudent valuation.

0040

OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH

Close-out costs AVAs computed according to Article 10(6)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

0050

MODEL RISK

Article 105(10) CRR

Model risk AVAs computed according to Article 11 of the Delegated Regulation (EU) 2016/101 on prudent valuation.

0060

OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH

Model risk AVAs computed according to Article 11(4) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

0070

CONCENTRATED POSITIONS

Article 105(11) CRR

Concentrated positions AVAs as computed under Article 14 of the Delegated Regulation (EU) 2016/101 on prudent valuation.

0080

FUTURE ADMINISTRATIVE COSTS

Article 105(10) CRR

Future administrative costs AVAs as computed under Article 15 of the Delegated Regulation (EU) 2016/101 on prudent valuation.

0090

EARLY TERMINATION

Article 105(10) CRR

Early termination AVAs as computed under Article 16 of the Delegated Regulation (EU) 2016/101 on prudent valuation.

0100

OPERATIONAL RISK

Article 105(10) CRR

Operational risk AVAs as computed under Article 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation.

0110

TOTAL AVA

Row 0 010 : total AVA to be deducted from own funds under Articles 34 and 105 CRR and reported accordingly in row 290 of C 01.00. The total AVA shall be the sum of rows 0 030 and 0 180 .

Row 0 020 : Share of the total AVA reported in row 0 010 stemming from trading book positions (absolute value).

Rows 0 030 to 0 160 : Sum of columns 0 010 , 0 030 , 0 050 and 0 070 to 0 100 .

Rows 0 180 to 0 210 : Total AVA stemming from portfolios under the fall-back approach.

0120

UPSIDE UNCERTAINTY

Article 8(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation

The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA computed in column 0 110 , but substituting a 10 % level of certainty for the 90 % used when determining the total AVA.

0130 -0140

FAIR-VALUED ASSETS AND LIABILITIES

Absolute value of fair-valued assets and liabilities corresponding to the AVA amounts reported in rows 0 010 to 0 130 and row 0 180 . For some rows, in particular rows 0 090 to 0 130 , these amounts may have to be approximated or allocated based on expert judgement.

Row 0 010 : Total absolute value of fair-valued assets and liabilities included in the threshold computation of Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation. This includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value according to Article 9(2), 10(2) or 10(3) of the Delegated Regulation (EU) 2016/101 on prudent valuation, which are also separately reported in rows 0 070 and 0 080 .

Row 0 010 is the sum of row 0 030 and row 0 180 .

Row 0 020 : share of total absolute value of fair-valued assets and liabilities reported in row 0 010 stemming from trading book positions (absolute value).

Row 0 030 : Absolute value of fair-valued assets and liabilities corresponding to the portfolios under Articles 9 to 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation. This includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value according to Article 9(2), 10(2) or 10(3) of the Delegated Regulation (EU) 2016/101 on prudent valuation, which are also separately reported in rows 0 070 and 0 080 . Row 0 030 shall be the sum of rows 0 090 to 0 130 .

Row 0 050 : Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation, may not be considered exactly matching, offsetting anymore.

Row 0 060 : Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation, may not be considered exactly matching, offsetting anymore.

Row 0 070 : Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 9(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

Row 0 080 : Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 10(2) or 10(3) of t the Delegated Regulation (EU) 2016/101 on prudent valuation.

Rows 0 090 to 0 130 : Absolute value of fair-valued assets and liabilities allocated as set out below (see corresponding row instructions) according to the following risk categories: interest rates, foreign exchange, credit, equities, commodities. This includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value according to Article 9(2), 10(2) or 10(3) of the Delegated Regulation (EU) 2016/101 on prudent valuation, which are also separately reported in rows 0 070 and 0 080 .

Row 0 180 : Absolute value of fair-valued assets and liabilities corresponding to the portfolios under the fall-back approach

0130

FAIR-VALUED ASSETS

Absolute value of fair-valued assets corresponding to the different rows as explained in the instructions on columns 0130-0140 above.

0140

FAIR-VALUED LIABILITIES

Absolute value of fair-valued liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above.

0150

QTD REVENUE

The quarter-to-date revenues (“QTD revenue”) since the last reporting date attributed to the fair valued assets and liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above, where relevant allocated or approximated based on expert judgment.

0160

IPV DIFFERENCE

The sum across all positions and risk factors of unadjusted difference amounts (“IPV difference”) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) of CRR, with respect to the best available independent data for the relevant position or risk factor.

Unadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process.

No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.

0170 - 0250

FAIR VALUE ADJUSTMENTS

Adjustments, sometimes also referred to as “reserves”, potentially applied in the institution’s accounting fair value that are made outside of the valuation model used to generate carrying amounts (excluding Deferral of day one gains and losses) and that can be identified as addressing the same source of valuation uncertainty as the relevant AVA. They could reflect risk factors not captured within the valuation technique, that are in a form of a risk premium or exit cost and are compliant with the definition of Fair value. They should nevertheless be considered by market participants when setting a price. (IFRS 13.9 and IFRS13.88)

0170

MARKET PRICE UNCERTAINTY

Adjustment applied in the institution’s fair value to reflect the risk premium arising from the existence of a range of observed prices for equivalent instruments or, in respect of a market parameter input to a valuation model, the instruments from which the input has been calibrated, and thus that can be identified as addressing the same source of valuation uncertainty as the Market price uncertainty AVA.

0180

CLOSE-OUT COSTS

Adjustment applied in the institution’s fair value to adjust for the fact that the position level valuations do not reflect an exit price for the position or portfolio, in particular where such valuations are calibrated to a mid-market price, and thus that can be identified as addressing the same source of valuation uncertainty as the Close-out costs AVA.

0190

MODEL RISK

Adjustment applied in the institution’s fair value to reflect market or product factors that are not captured by the model used to calculate daily position values and risks (“valuation model”) or to reflect an appropriate level of prudence given the uncertainty arising from the existence of a range of alternative valid models and model calibrations, and thus that can be identified as addressing the same source of valuation uncertainty as the Model risk AVA.

0200

CONCENTRATED POSITIONS

Adjustment applied in the institution’s fair value to reflect the fact that the aggregate position held by the institution is larger than normal traded volume or larger than the position sizes on which observable quotes or trades that are used to calibrate the price or inputs used by the valuation model are based, and thus that can be identified as addressing the same source of valuation uncertainty as the Concentrated positions AVA.

0210

UNEARNED CREDIT SPREADS

Adjustment applied in the institution’s fair value to cover expected losses due to counterparty default on derivative positions (i.e. total Credit Valuation Adjustment “CVA” at institution level).

0220

INVESTING AND FUNDING COSTS

Adjustment applied in the institution’s fair value to compensate where valuation models do not fully reflect the funding cost that market participants would factor into the exit price for a position or portfolio (i.e. total Funding Valuation Adjustment at institution level where an institution computes such adjustment, or alternatively, equivalent adjustment).

0230

FUTURE ADMINISTRATION COSTS

Adjustment applied in the institution’s fair value to reflect administrative costs that are incurred by the portfolio or position but are not reflected in the valuation model or the prices used to calibrate inputs to that model, and thus that can be identified as addressing the same source of valuation uncertainty as the Future administrative costs AVA.

0240

EARLY TERMINATION

Adjustments applied in the institution’s fair value to reflect contractual or non-contractual early termination expectations that are not reflected in the valuation model, and thus that can be identified as addressing the same source of valuation uncertainty as the Early termination AVA.

0250

OPERATIONAL RISK

Adjustments applied in the institution’s fair value to reflect the risk premium that market participants would charge to compensate for operational risks arising from hedging, administration and settlement of contracts in the portfolio, and thus that can be identified as addressing the same source of valuation uncertainty as the Operational risk AVA.

0260

DAY 1 P&L

Adjustments to reflect instances where the valuation model plus all other relevant fair value adjustments applicable to a position or portfolio did not reflect the price paid or received at first day recognition, i.e. the deferral of day one gains and losses (IFRS 9.B5.1.2.A).

0270

EXPLANATION DESCRIPTION

Description of the positions treated under Article 7(2)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation and the reason why it was not possible to apply Articles 9 to 17 thereof.


Rows

0010

1.   TOTAL CORE APPROACH

Article 7(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation

For each relevant category of AVAs referred to in columns 0 010 to 0 110 , total AVAs computed under the Core approach as set out in Chapter 3 of t the Delegated Regulation (EU) 2016/101 on prudent valuation for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation. This includes the diversification benefits reported in row 0 140 in accordance with Articles 9(6), 10(7) and 11(7) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

0020

OF WHICH: TRADING BOOK

Article 7(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation

For each relevant category of AVAs referred to in columns 0 010 to 0 110 , share of total AVAs reported in row 0 010 stemming from trading book positions (absolute value).

0030

1.1   PORTFOLIOS UNDER ARTICLES 9 TO 17 — TOTAL CATEGORY LEVEL POST-DIVERSIFICATION

Article 7(2)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation

For each relevant category of AVAs referred to in columns 0 010 to 0 110 , total AVAs computed according to Articles 9 to 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation, except fair-valued assets and liabilities subject to the treatment described in Article 7(2)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

This includes the AVAs computed in accordance with Articles 12 and 13 of the Delegated Regulation (EU) 2016/101 on prudent valuation that are reported in rows 0 050 and 0 060 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

This includes the diversification benefits reported in row 0 140 in accordance with Articles 9(6), 10(7) and 11(7) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

Row 0 030 is therefore expected to be the difference between rows 0 040 and 0 140 .

0040 - 0130

1.1.1   TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION

For rows 0 090 to 0 130 , institutions shall allocate their fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation (trading book and non-trading book) according to the following risk categories: interest rates, foreign exchange, credit, equities, commodities.

To this end, institutions shall rely on their internal risk management structure and, following a mapping developed based on expert judgement, allocate their business lines or trading desks to the most appropriate risk category. AVAs, Fair Value Adjustments and other required information, which correspond to the allocated business lines or trading desks, shall then be allocated to the same relevant risk category, in order to provide at row level for each risk category a consistent overview of the adjustments performed both for prudential purposes and accounting purposes, as well as an indication of the size of the positions concerned (in terms of fair-valued assets and liabilities). Where AVAs or other adjustments are computed at a different level of aggregation, in particular at firm level, institutions shall develop an allocation methodology of the AVAs to the relevant sets of positions. The allocation methodology shall lead to row 0 040 being the sum of rows 0 050 to 0 130 for columns 0 010 to 0 100 .

Regardless of the approach applied, the information reported shall, as much as possible, be consistent at row level, since the information provided will be compared at this level (AVA amounts, upside uncertainty, fair-value amounts and potential fair-value adjustments).

The breakdown in rows 0 090 to 0 130 excludes the AVAs computed in accordance with Articles 12 and 13 of the Delegated Regulation (EU) 2016/101 on prudent valuation that are reported in rows 0 050 and 0 060 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

Diversification benefits are reported in row 0 140 in accordance with Articles 9(6), 10(7) and 11(7) of the Delegated Regulation (EU) 2016/101 on prudent valuation and are therefore excluded from rows 0 040 to 0 130 .

0050

OF WHICH: UNEARNED CREDIT SPREADS AVA

Article 105(10) CRR, Article 12 of the Delegated Regulation (EU) 2016/101 on prudent valuation

The total AVA calculated for unearned credit spreads (“AVA on CVA”) and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 12 of the Delegated Regulation (EU) 2016/101 on prudent valuation.

Column 0 110 : The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs.

Columns 0 130 and 0 140 : Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVAs. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation, may not be considered exactly matching, offsetting anymore.

0060

OF WHICH: INVESTMENT AND FUNDING COSTS AVA

Article 105(10) CRR, Article 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation

The total AVA calculated for investing and funding costs and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 13 of the Delegated Regulation (EU) 2016/101 on prudent valuation.

Column 0 110 : The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs.

Columns 0 130 and 0 140 : Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation, may not be considered exactly matching, offsetting anymore.

0070

OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2)

Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 9(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

0080

OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 10(2)&10(3)

Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 10(2) or 10(3) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

0090

1.1.1.1

 INTEREST RATES

0100

1.1.1.2

 FOREIGN EXCHANGE

0110

1.1.1.3

 CREDIT

0120

1.1.1.4

 EQUITIES

0130

1.1.1.5

 COMMODITIES

0140

1.1.2   (-) Diversification BenefitS

Total diversification benefit. Sum of rows 0 150 and 0 160 .

0150

1.1.2.1   (-) Diversification Benefit calculated using Method 1

For those categories of AVA aggregated under Method 1 in accordance with Articles 9(6), 10(7) and 11(6) of the Delegated Regulation (EU) 2016/101 on prudent valuation, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation.

0160

1.1.2.2   (-) Diversification Benefit calculated using Method 2

For those categories of AVA aggregated under Method 2 in accordance with Articles 9(6), 10(7) and 11(6) of the Delegated Regulation (EU) 2016/101 on prudent valuation, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation.

0170

1.1.2.2*   Memorandum item: pre-diversification AVAs reduced by more than 90 % by diversification under Method 2

In the terminology of Method 2, the sum of FV – PV for all valuation exposures for which APVA < 10 % (FV – PV).

0180

1.2   Portfolios calculated under the fall-back approach

Article 7(2)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation

For portfolios subject to the fall-back approach under Article 7(2)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation, the total AVA shall be computed as a sum of rows 0 190 , 0 200 and 0 210 .

Relevant balance sheet and other contextual information shall be provided in columns 0130 - 0260. A description of the positions and the reason why it was not possible to apply Articles 9 to 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation shall be provided in column 0 270 .

0190

1.2.1   Fall-back approach; 100 % unrealised profit

Article 7(2)(b)(i) of the Delegated Regulation (EU) 2016/101 on prudent valuation

0200

1.2.2   Fall-back approach; 10 % notional value

Article 7(2)(b)(ii) of the Delegated Regulation (EU) 2016/101 on prudent valuation

0210

1.2.3   Fall-back approach; 25 % of inception value

Article 7(2)(b)(iii) of the Delegated Regulation (EU) 2016/101 on prudent valuation

6.3.   C 32.03 — PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)

6.3.1.   General remarks

154f.

 This template is to be completed only by institutions that exceed the threshold referred to in Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation at their level. Institutions that are part of a group breaching the threshold on a consolidated basis are required to report this template only where they also exceed the threshold at their level.

154g.

 This template shall be used to report details of the top 20 individual model risk AVAs in terms of AVA amount that contribute to the total category level model risk AVA computed in accordance with Article 11 of the Delegated Regulation (EU) 2016/101 on prudent valuation. This information corresponds to the information reported in column 0 050 of template C 32.02.

154h.

 The top 20 individual model risk AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual model risk AVAs.

154i.

 Products corresponding to these top individual model risk AVAs shall be reported using the product inventory required by Article 19(3)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

154j.

 Where products are sufficiently homogenous with respect to the valuation model and the model risk AVA, they shall be merged and shown on one line for the purpose of maximising coverage of this template in respect of the total category level Model Risk AVA of the institution.

6.3.2.   Instructions concerning specific positions

Columns

0005

RANK

The rank is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc., with 1 being assigned to the highest individual model risk AVAs, 2 to the second highest and so on.

0010

MODEL

Internal name (alpha-numerical) of the model used by the institution to identify the model.

0020

RISK CATEGORY

The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the product or group of products that give rise to the model risk valuation adjustment.

Institutions shall report the following codes:

IR – interest rates

FX – foreign exchange

CR – credit

EQ – equities

CO – commodities

0030

PRODUCT

Internal name (alpha-numerical) for the product or group of products, in line with the product inventory required by Article 19(3)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation, that is valued using the model.

0040

OBSERVABILITY

Number of price observations for the product or group of products in the last 12 months that meet either of the following criteria:

—

The price observation is a price at which the institution has conducted a transaction

—

It is a verifiable price for an actual transaction between third parties

—

The price is obtained from a committed quote.

Institutions shall report one of the following values: “none”, “1-6”, “6-24”, “24-100”, “100+”.

0050

MODEL RISK AVA

Article 11(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation

Individual model risk AVA before diversification benefit, but after portfolio netting where relevant.

0060

OF WHICH: USING EXPERT-BASED APPROACH

Amounts in column 0 050 that have been calculated under the expert-based approach as defined in Article 11(4) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

0070

OF WHICH: AGGREGATED USING METHOD 2

Amounts in column 0050 that have been aggregated under Method 2 of Annex to the Delegated Regulation (EU) 2016/101 on prudent valuation. This corresponds to FV – PV in the terminology of the Annex.

0080

AGGREGATED AVA CALCULATED UNDER METHOD 2

The contribution towards the total category level AVA for model risk, as computed according to Article 11(7) of the Delegated Regulation (EU) 2016/101 on prudent valuation, of individual model risk AVAs that are aggregated using Method 2 of the Annex to the Delegated Regulation (EU) 2016/101 on prudent valuation. This corresponds to APVA in the terminology of the Annex.

0090 -0100

FAIR-VALUED ASSETS AND LIABILITIES

Absolute value of fair-valued assets and liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.

0090

FAIR-VALUED ASSETS

Absolute value of fair-valued assets valued using the model reported in column 0 010 as stated in the financial statements under the applicable framework.

0100

FAIR-VALUED LIABILITIES

Absolute value of fair-valued liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.

0110

IPV DIFFERENCE (OUTPUT TESTING)

The sum of unadjusted difference amounts (“IPV difference”) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Art 105(8) of CRR, with respect to the best available independent data for the corresponding product or group of products.

Unadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process.

No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.

Only results that have been calibrated from prices of instruments that would be mapped to the same product (output testing) shall be included here. Input testing results from market data inputs that are tested against levels that have been calibrated from different products shall not be included.

0120

IPV COVERAGE (OUTPUT TESTING)

The percentage of those positions mapped to the model weighted by model risk AVA that is covered by the output IPV testing results given in column 0 110 .

0130 – 0140

FAIR VALUE ADJUSTMENTS

Fair Value adjustments as defined in columns 0 190 and 0 240 of template C 32.02 that have been applied to the positions mapped to the model in column 0 010 .

0150

DAY 1 P&L

Adjustments as defined in column 0 260 of template C 32.02 that have been applied to the positions mapped to the model in column 0 010 .

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

6.4.1.   General remarks

154k.

 This template shall be completed only by institutions that exceed the threshold referred to in Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation at their level. Institutions that are part of a group breaching the threshold on a consolidated basis shall report this template only where they also exceed the threshold at their level.

154l.

 This template shall be used to report details of the top 20 individual concentrated positions AVAs in terms of AVA amount that contribute to the total category level concentrated positions AVA computed in accordance with Article 14 of the Delegated Regulation (EU) 2016/101 on prudent valuation. This information shall correspond to the information reported in column 0 070 of template C 32.02.

154m.

 The top 20 concentrated positions AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual concentrated positions AVAs.

154n.

 Products corresponding to these top individual concentrated positions AVAs shall be reported using the product inventory required by Article 19(3)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

154o.

 Positions that are homogenous in terms of AVA calculation methodology shall be aggregated where this is possible in order to maximise the coverage of this template.

6.4.2.   Instructions concerning specific positions

Columns

0005

RANK

The rank is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc., with 1 being assigned to the highest concentrated positions AVAs, 2 to the second highest and so on.

0010

RISK CATEGORY

The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the position.

Institutions shall report the following codes:

IR – Interest Rates

FX – Foreign exchange

CR – Credit

EQ – Equities

CO – Commodities

0020

PRODUCT

Internal name for the product or group of products in line with the product inventory required by Article 19(3)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

0030

UNDERLYING

Internal name of the underlying, or underlyings, in the case of derivatives or of the instruments in the case of non-derivatives.

0040

CONCENTRATED POSITION SIZE

Size of the individual concentrated valuation position identified according to Article 14(1)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation, expressed in the unit described in column 0 050 .

0050

SIZE MEASURE

Unit of size measure used internally as part of the identification of the concentrated valuation position to compute the concentrated position size referred in column 0 040 .

In the case of positions in bonds or equity, please report the unit used for internal risk management, such as “number of bonds”, “number of shares” or “market value”.

In the case of position in derivatives, please report the unit used for internal risk management, such as “PV01; EUR per 1 basis point parallel yield curve shift”.

0060

MARKET VALUE

Market value of the position.

0070

PRUDENT EXIT PERIOD

The prudent exit period in number of days estimated under Art 14(1)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

0080

CONCENTRATED POSITIONS AVA

The concentrated positions AVA amount calculated according to Article 14(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation for the individual concentrated valuation position concerned.

0090

CONCENTRATED POSITION FAIR VALUE ADJUSTMENT

The amount of any fair value adjustments taken to reflect the fact that the aggregate position held by the institution is larger than the normal traded volume or larger than position sizes and on which quotes or trades, which are used to calibrate the price or inputs used by the valuation model, are based.

The amount reported shall correspond to the amount that has been applied to the individual concentrated valuation position concerned.

0100

IPV DIFFERENCE

The sum of unadjusted difference amounts (“IPV difference”) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Art 105(8) of CRR, with respect to the best available independent data for the individual concentrated valuation position concerned.

Unadjusted difference amounts shall refer to unadjusted differences between the valuations generated by the trading system and the valuations assessed during the monthly IPV process.

No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.

7.   C 33.00 — EXPOSURES TO GENERAL GOVERNMENTS (GOV)

7.1.   GENERAL REMARKS

155.

 The information for the purpose of template C 33.00 shall cover all exposures to “General governments” as defined in paragraph 42 (b) of Annex V.

156.

 Exposures to “General governments” are included in different exposure classes in accordance with Article 112 and Article 147 of CRR, as specified by the instructions for the completion of template C 07.00, C 08.01 and C 08.02.

157.

 Table 2 (Standardised approach) and Table 3 (IRB approach), included in Part 3 of Annex 5, shall be observed for the mapping of exposure classes used to calculate capital requirements under CRR to counterparty sector “General governments”.

158.

 Information shall be reported for the total aggregate exposures (meaning the sum of all countries in which the bank has sovereign exposures) and for each country on the basis of the residence of the counterparty on an immediate borrower basis.

159.

 The allocation of exposures to exposure classes or jurisdictions shall be made without considering credit mitigation techniques and in particular without considering substitution effects. However the calculation of exposure values and risk weighted exposure amounts for each exposure class and each jurisdiction includes the incidence of credit risk mitigation techniques, including substitution effects.

160.

 The reporting of information on exposures to “General governments” by jurisdiction of residence of the immediate counterparty other than the domestic jurisdiction of the reporting institution is subject to the thresholds in Article 5 (b) point 3 of this Regulation.

7.2.   SCOPE OF THE TEMPLATE ON EXPOSURES TO “GENERAL GOVERNMENTS”

161.

 The scope of the GOV template covers on, off-balance sheet and derivatives direct exposures to “General governments” in the banking and trading book. In addition a memorandum item on indirect exposures in the form of credit derivatives sold on general government exposures is also requested.

162.

 An exposure is a direct exposure when the immediate counterparty is an entity covered by the definition of “General governments”.

163.

 The template is divided in two sections. The first one is based on a breakdown of exposures by risk, regulatory approach and exposure classes whereas a second one is based on a breakdown by residual maturity

7.3.   INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

Columns

Instructions

010-260

DIRECT EXPOSURES

010-140

ON-BALANCE SHEET EXPOSURES

010

Total gross carrying amount of non-derivative financial assets

Aggregate of gross carrying amount, as determined in accordance with paragraph 34 in Annex V, Part 1, of non-derivative financial assets to General governments, for all accounting portfolios under IFRS or national GAAP based on Directive 86/635/EEC (Bank Accounting Directive, “BAD”) defined in paragraphs 15 to 22 in Annex V, Part 1 and listed in columns 030 to 120.

Prudent valuation adjustments shall not reduce the gross carrying amount of trading and non-trading exposures measured at fair value.

020

Total carrying amount of non-derivative financial assets (net of short positions)

Aggregate of the carrying amount, in accordance with paragraph 27 in Annex V, Part 1, of non-derivative financial assets to General governments for all accounting portfolios under IFRS or national GAAP based on BAD defined in paragraphs 15 to 22 in Annex V, Part 1 and listed in columns 030 to 120, net of short positions.

When the institution has a short position for the same residual maturity, the same immediate counterparty that is denominated in the same currency, the carrying amount of the short position shall be netted against the carrying amount of the direct position. This net amount shall be considered as zero when it is a negative amount.

The sum of the columns 030 to 120 minus column 130 must be reported. If this amount is lower than zero, the amount to be reported shall be zero.

030-120

NON-DERIVATIVE FINANCIAL ASSETS BY ACCOUNTING PORTFOLIOS

Aggregate carrying amount of non-derivative financial assets, as defined above, to General governments by accounting portfolio under the applicable accounting framework.

030

Financial assets held for trading

IFRS 7.8(a)(ii); IFRS 9 Appendix A

040

Trading financial assets

BAD Articles 32-33; Annex V. Part 1.16; Accounting Directive Article 8(1)(a)

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

050

Non-trading financial assets mandatorily at fair value through profit or loss

IFRS 7.8(a)(ii); IFRS 9.4.1.4

060

Financial assets designated at fair value through profit or loss

IFRS 7.8(a)(i); IFRS 9.4.1.5 and Accounting Directive Article 8(1)(a), (6)

070

Non-trading non-derivative financial assets measured at fair value through profit or loss

BAD Article 36(2); Accounting Directive Article 8(1)(a)

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

080

Financial assets at fair value through other comprehensive income

IFRS 7.8(d); IFRS 9.4.1.2 A

090

Non-trading non-derivative financial assets measured at fair value to equity

Accounting Directive Article 8(1)(a), (8)

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

100

Financial assets at amortised cost

IFRS 7.8(f); IFRS 9.4.1.2; Annex V. Part 1.15

110

Non-trading non-derivative financial assets measured at a cost-based method

BAD Article 35; Accounting Directive Article 6(1)(i) and Article 8(2); Annex V. Part 1.16

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

120

Other non-trading non-derivative financial assets

BAD Article 37; Accounting Directive Article 12(7); Annex V. Part 1.16

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

130

Short positions

Carrying amount of short positions, as defined in IFRS 9 BA.7(b) when the direct counterparty is a General government as defined in paragraph 1.

Short positions arise when the institution sells securities acquired in a reverse repurchase loan, or borrowed in a securities lending transaction, which direct counterparty is a General government.

The carrying amount is the fair value of the short positions.

Short positions must be reported by residual maturity bucket, as defined in row 170 to 230, and by immediate counterparty. Short positions will be then used for netting with positions for the same residual maturity and immediate counterparty for the computation of columns 030 to 120.

140

Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets

Carrying amount of short positions, as defined in IFRS 9 BA.7(b), that arise when the institution sells the securities acquired in reverse repurchase loans, which direct counterparty is a General government, that are included in the held for trading or trading financial assets accounting portfolios (columns 030 or 040).

Short positions that arise when the sold securities were borrowed in a securities lending transition shall not be included in this column.

150

Accumulated impairment

Aggregate accumulated impairment related to non-derivative financial assets reported in columns 080 to 120. [Annex V, Part 2, paragraphs 70 and 71]

160

Accumulated impairment — of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity

Aggregate of accumulated impairment related to non-derivative financial assets reported in columns 080 and 090.

170

Accumulated negative changes in fair value due to credit risk

Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 050, 060, 070, 080 and 090. [Annex V, Part 2, paragraph 69]

180

Accumulated negative changes in fair value due to credit risk — of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss

Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 050, 060 and 070.

190

Accumulated negative changes in fair value due to credit risk — of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity

Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 080 and 090.

200-230

DERIVATIVES

Direct derivative positions are to be reported in columns 200 to 230.

For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges see instructions for the row breakdown.

200-210

Derivatives with positive fair value

All derivative instruments with a General government counterparty with a positive fair value for the institution at the reporting date, regardless of whether they are used in a qualifying hedging relationship, are held for trading or are included in the trading portfolio under IFRS and national GAAP based on BAD.

Derivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (Annex V, Part 2, paragraphs 120, 124, 125 and 137 to 140).

200

Derivatives with positive fair value: Carrying amount

Carrying amount of the derivatives accounted for as financial assets at the reporting reference date.

Under GAAP based on BAD, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments.

210

Derivatives with positive fair value: Notional amount

Under IFRS and national GAAP based on BAD, notional amount, as defined in Annex V, Part 2, paragraphs 133 to 135, of all derivative contracts concluded and not yet settled at the reporting reference date whose counterparty is a General government, as defined above in paragraph 1, when its fair value is positive for the institution at the reporting reference date.

220-230

Derivatives with negative fair value

All derivative instruments with a General government counterparty with a negative fair value for the institution at the reporting reference date, regardless of whether they are used in a qualifying hedging relationship or are held for trading or included in the trading portfolio under IFRS and national GAAP based on BAD.

Derivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (Annex V, Part 2, paragraphs 120, 124, 125 and 137 to 140).

220

Derivatives with negative fair value: Carrying amount

Carrying amount of the derivatives accounted for as financial liabilities at the reporting reference date.

Under GAAP based on BAD, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments.

230

Derivatives with negative fair value: Notional amount

Under IFRS and national GAAP based on BAD, notional amount, as defined in Annex V, Part 2, paragraphs 133 to 135, of all derivative contracts concluded and not yet settled at the reference date whose counterparty is a General government, as defined above in paragraph 1, when its fair value is negative for the institution.

240-260

OFF-BALANCE SHEET EXPOSURES

240

Nominal amount

When the direct counterparty of the off-balance sheet item is a General government as defined above in paragraph 1, nominal amount of the commitments and financial guarantees that are not considered as a derivative in accordance with IFRS or under national GAAP based on BAD (Annex V, Part 2, paragraphs 102-119).

In accordance with Annex V, Part 1, paragraphs 43 and 44, the General government is the direct counterparty: (a) in a financial guarantee given, when it is the direct counterparty of the guaranteed debt instrument, and (b) in a loan commitment and other commitment given, when it is the counterparty whose credit risk is assumed by the reporting institution.

250

Provisions

BAD Article 4 Liabilities (6)(c), Off balance sheet items, Article 27(11), Article 28(8), Article 33; IFRS 9.4.2.1(c)(ii),(d)(ii), 9.5.5.20;IAS 37, IFRS 4, Annex V Part 2.11.

Provisions on all off-balance sheet exposures regardless how they are measured except those that are measured at fair value through profit or loss in accordance with IFRS 9.

Under IFRS, the impairment of a loan commitment given shall be reported in column 150 when the institution cannot separately identify the expected credit losses related to the drawn and undrawn amount of the debt instrument. In case the combined expected credit losses for that financial instrument exceed the gross carrying amount of the loan component of the instrument, the remaining balance of the expected credit losses shall be reported as a provision in column 250.

260

Accumulated negative changes in fair value due to credit risk

For off-balance sheet items measured at fair value through profit or loss under IFRS 9, accumulated negative changes in fair value due to credit risk (Annex V, Part 2, paragraph110)

270-280

Memorandum item: credit derivatives sold on general government exposures

Credit derivatives that do not meet the definition of financial guarantees that the reporting institution has underwritten with counterparties other than General governments and whose reference exposure is a General government must be reported.

These columns will not be reported for exposures broken down by risk, regulatory approach and exposure class (rows 020 to 160).

The exposures reported in the section are not to be considered in the computation of exposure Value and Risk weighted amount (columns 290 and 300) which is based solely on direct exposures.

270

Derivatives with positive fair value — Carrying amount

Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a positive fair value for the institution at the reference reporting date, without considering prudent valuation adjustments.

For derivatives under IFRS, the amount to be reported in this column is the carrying amount of the derivatives that are financial assets at the reporting date.

For derivatives under GAAP based on BAD, the amount to be reported in this column is the fair value of the derivatives with a positive fair value at the reference reporting date, independently how they are accounted for.

280

Derivatives with negative fair value — Carrying amount

Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a negative fair value for the institution at the reference reporting date, without considering prudent valuation adjustments.

For derivatives under IFRS, the amount to be reported in this column is the carrying amount of the derivatives that are financial liabilities at the reporting date.

For derivatives under GAAP based on BAD, the amount to be reported in this column is the fair value of the derivatives with a negative fair value at the reference reporting date, independently how they are accounted for.

290

Exposure value

Exposure value for exposures subject to the credit risk framework.

For exposures under the Standardised Approach (SA): see Article 111 of CRR. For exposures under the IRB approach: see Article 166 and Article 230(1) sentence 2 of CRR.

For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges see instructions for the row breakdown.

300

Risk weighted exposure amount

Risk weighted exposure amount for exposures subject to the credit risk framework.

For exposures under the Standardised Approach (SA): see Article 113(1) to (5) of CRR. For exposures under the IRB approach: see Article 153(1) and (3) of CRR.

For the reporting of direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk, see instructions for the row breakdown.


Rows

Instructions

BREAKDOWN OF EXPOSURES BY REGULATORY APPROACH

010

Total exposures

Aggregate of exposures to General governments, as defined in paragraph 1

020-155

Exposures under the credit risk framework

Aggregate of exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II CRR. Exposures under the credit risk framework include exposures from both the non-trading book and the trading book subject to a capital charge for counterparty credit risk.

Direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (020 to 155) and the market risk row (row 160): the exposures due to counterparty credit risk shall be reported in the credit risk rows, while the exposures due to market risk shall be reported in the market risk row.

030

Standardised Approach

Exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II, Chapter 2 CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.

040

Central governments

Exposures to General governments that are central governments. These exposures are allocated to the “Central governments or central banks” exposure class in accordance with Articles 112 and 114 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

050

Regional governments or local authorities

Exposures to General governments that are regional governments or local authorities. These exposures are allocated to the “Regional governments or local authorities” exposure class in accordance with Articles 112 and 115 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

060

Public sector entities

Exposures to General governments that are public sector entities. These exposures are allocated to the “Public sector entities” exposure class in accordance with Articles 112 and 116 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

070

International Organisations

Exposures to General governments that are international organisations. These exposures are allocated to the “International Organisations” exposure classes in accordance with Articles 112 and 118 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

075

Other general government exposures subject to Standardised Approach

Exposures to General governments other than those included in rows 040 to 070 above, which are allocated to SA exposure classes in accordance with Article 112 CRR for the purposes of calculating own funds requirements.

080

IRB Approach

Exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II, Chapter 3 CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.

090

Central governments

Exposures to General governments that are central governments and that are allocated to the “Central governments and central banks” exposure class in accordance with Article 147(3)(a) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply..

100

Regional governments or local authorities [Central governments and central banks]

Exposures to General governments that are regional governments or local authorities and that are allocated to the “Central governments and central banks” exposure class in accordance with Article 147(3)(a) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

110

Regional governments or local authorities [Institutions]

Exposures to General governments that are regional governments or local authorities and that are allocated to the “Institutions” exposure class in accordance with Article 147(4)(a) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

120

Public sector entities [Central governments and central banks]

Exposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the “Central governments and central banks” exposure class in accordance with Article 147(3)(a) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

130

Public sector entities [Institutions]

Exposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the “Institutions” exposure class in accordance with Article 147(4)(b) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

140

International Organisations [Central governments and central banks]

Exposures to General governments that are International Organisations and that are allocated to the “Central governments and central banks” exposure class in accordance with Article 147(3)(c) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

155

Other general government exposures subject to IRB approach

Exposures to General governments other than those included in rows 090 to 140 above which are allocated to IRB exposure classes in accordance with Article 147 CRR for the purposes of calculating own funds requirements.

160

Exposures subject to market risk

Market risk exposures cover positions for which own funds requirements are calculated according to Title IV of Part Three CRR.

Direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (020 to 155) and the market risk row (row 160): the exposure due to counterparty credit risk shall be reported in the credit risk rows, while the exposure due to market risk shall be reported in the market risk row.

170-230

BREAKDOWN OF EXPOSURES BY RESIDUAL MATURITY

Residual maturity shall be computed in days between the contractual date of maturity and the reporting reference date for all positions.

Exposures to General governments shall be broken-down by residual maturity and allocated to the buckets provided as follows:

—

[0 - 3M [: Less than 90 days

—

[3M - 1Y [: Equal or greater than 90 days and less than 365 days

—

[1Y – 2Y [: Equal or greater than 365 days and less than 730 days

—

[2Y – 3Y [: Equal or greater than 730 days and less than 1,095 days

—

[3Y – 5Y [: Equal or greater than 1,095 days and less than 1,825 days

—

[5Y – 10Y [: Equal or greater than 1,825 days and less than 3,650 days

—

[10Y – more: Equal or greater than 3,650 days’

(1)  The data requested from institutions in this template shall be reported on an accumulated basis for the natural year or report (i.e. since 1st of January of the current year).

(2)   “Stand alone institutions” are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements.

ANNEX III

‘ANNEX V

REPORTING ON FINANCIAL INFORMATION

Table of contents

GENERAL INSTRUCTIONS 337

1.

 References 337

2.

 Conventions 338

3.

 Consolidation 340

4.

 Accounting portfolios of financial instruments 340

4.1.

 Financial assets 340

4.2.

 Financial liabilities 341

5.

 Financial instruments 342

5.1.

 Financial assets 342

5.2.

 Gross carrying amount 342

5.3.

 Financial liabilities 343

6.

 Counterparty breakdown 343
TEMPLATE RELATED INSTRUCTIONS 345

1.

 Balance sheet 345

1.1.

 Assets (1.1) 345

1.2.

 Liabilities (1.2) 345

1.3.

 Equity (1.3) 346

2.

 Statement of profit or loss (2) 347

3.

 Statement of comprehensive income (3) 350

4.

 Breakdown of financial assets by instrument and by counterparty sector (4) 351

5.

 Breakdown of non-trading loans and advances by product (5) 353

6.

 Breakdown of non-trading loans and advances to non-financial corporations by NACE codes (6) 354

7.

 Financial assets subject to impairment that are past due (7) 354

8.

 Breakdown of financial liabilities (8) 355

9.

 Loan commitments, financial guarantees and other commitments (9) 355

10.

 Derivatives and hedge accounting (10 and 11) 358

10.1.

 Classification of derivatives by type of risk 358

10.2.

 Amounts to be reported for derivatives 359

10.3.

 Derivatives classified as “economic hedges” 360

10.4.

 Breakdown of derivatives by counterparty sector 361

10.5.

 Hedge accounting under national GAAP (11.2) 361

10.6.

 Amount to be reported for non-derivative hedging instruments (11.3 and 11.3.1) 361

10.7.

 Hedged items in fair value hedges (11.4) 361

11.

 Movements in allowances and provisions for credit losses (12) 362

11.1.

 Movements in allowances for credit losses and impairment of equity instruments under national GAAP based on BAD (12.0) 362

11.2.

 Movements in allowances and provisions for credit losses under IFRS (12.1) 362

11.3.

 Transfers between impairment stages (gross basis presentation) (12.2) 364

12.

 Collateral and guarantees received (13) 365

12.1.

 Breakdown of collateral and guarantees by loans and advances other than held for trading(13.1) 365

12.2.

 Collateral obtained by taking possession during the period [held at the reporting date] (13.2) 365

12.3.

 Collateral obtained by taking possession [tangible assets] accumulated (13.3) 365

13.

 Fair value hierarchy: Financial instruments at fair value (14) 365

14.

 Derecognition and financial liabilities associated with transferred financial assets (15) 366

15.

 Breakdown of selected statement of profit or loss items (16) 366

15.1.

 Interest income and expenses by instrument and counterparty sector (16.1) 366

15.2.

 Gains or losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss by instrument (16.2) 367

15.3.

 Gains or losses on financial assets and liabilities held for trading by instrument (16.3) 367

15.4.

 Gains or losses on financial assets and liabilities held for trading by risk (16.4) 368

15.5.

 Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument (16.4.1) 368

15.6.

 Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5) 368

15.7.

 Gains or losses from hedge accounting (16.6) 369

15.8.

 Impairment on non-financial assets (16.7) 369

16.

 Reconciliation between accounting and CRR scope of consolidation (17) 369

17.

 Non-performing exposures (18) 369

18.

 Forborne exposures (19) 373

19.

 Geographical breakdown (20) 376

19.1.

 Geographical breakdown by location of activities (20.1-20.3) 376

19.2.

 Geographical breakdown by residence of the counterparty (20.4-20.7) 376

20.

 Tangible and intangible assets: assets subject to operating lease (21) 377

21.

 Asset management, custody and other service functions (22) 377

21.1.

 Fee and commission income and expenses by activity (22.1) 377

21.2.

 Assets involved in the services provided (22.2) 378

22.

 Interests in unconsolidated structured entities (30) 379

23.

 Related parties (31) 379

23.1.

 Related parties: amounts payable to and amounts receivable from (31.1) 379

23.2.

 Related parties: expenses and income generated by transactions with (31.2) 380

24.

 Group structure (40) 380

24.1.

 Group structure: “entity-by-entity” (40.1) 380

24.2.

 Group structure: “instrument-by-instrument” (40.2) 381

25.

 Fair value (41) 382

25.1.

 Fair value hierarchy: financial instruments at amortised cost (41.1) 382

25.2.

 Use of fair value option (41.2) 382

26.

 Tangible and intangible assets: carrying amount by measurement method (42) 382

27.

 Provisions (43) 382

28.

 Defined benefit plans and employee benefits (44) 382

28.1.

 Components of net defined benefit plan assets and liabilities (44.1) 382

28.2.

 Movements in defined benefit obligations (44.2) 383

28.3.

 Memo items [related to staff expenses] (44.3) 383

29.

 Breakdown of selected items of statement of profit or loss (45) 383

29.1.

 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio (45.1) 383

29.2.

 Gains or losses on de-recognition of non-financial assets (45.2) 383

29.3.

 Other operating income and expenses (45.3) 383

30.

 Statement of changes in equity (46) 383
MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS 384

PART 1

GENERAL INSTRUCTIONS

1.   REFERENCES

1.

 This Annex contains additional instructions for the financial information templates (“FINREP”) in Annexes III and IV to this Regulation. This Annex complements the instructions included in the form of references in the templates in Annexes III and IV.

2.

 Institutions that use national accounting standards compatible with IFRS (“compatible national GAAP”) shall apply the common and IFRS instructions in this Annex, unless otherwise provided. This is without prejudice to the compliance of the compatible national GAAP requirements with the requirements of BAD. Institutions that use national GAAP non-compatible with IFRS or that have not yet been made compatible with the requirements in IFRS 9 shall apply the common and BAD instructions in this Annex, unless provided otherwise.

3.

 The data points identified in the templates shall be drawn up in accordance with the recognition, offsetting and valuation rules of the relevant accounting framework, as defined in Article 4(1)(77) of Regulation (EU) No 575/2013.

4.

 Institutions shall only submit those parts of the templates related to:

(a)

assets, liabilities, equity, income and expenses that are recognised by the institution;

(b)

off-balance sheet exposures and activities in which the institution is involved;

(c)

transactions performed by the institution;

(d)

valuation rules, including methods for the estimation of allowances for credit risk, applied by the institution.

5.

 For the purposes of Annexes III and IV as well as this Annex, the following abbreviations shall apply:

(a)

“CRR”: Regulation (EU) No 575/2013

(b)

“IAS” or “IFRS”: “International Accounting Standards”, as defined in Article 2 of the IAS Regulation (EC) No 1606/2002 (1), which have been adopted by the Commission;

(c)

“ECB BSI Regulation” or “ECB/2013/33”: Regulation (EC) No 1071/2013 of the European Central Bank (2);

(d)

“NACE Regulation”: Regulation (EC) No 1893/2006 of the European Parliament and of the Council (3);

(e)

“NACE codes”: codes in NACE Regulation;

(f)

“BAD”: Council Directive 86/635/EEC (4);

(g)

“Accounting Directive”: Directive 2013/34/EU (5);

(h)

“National GAAP”: national generally accepted accounting principles developed under BAD;

(i)

“SME”: micro, small and medium-sized enterprises defined in Commission Recommendation C(2003)1422 (6);

(j)

“ISIN code”: the International Securities Identification Number assigned to securities, composed of 12 alphanumeric characters, which uniquely identifies a securities issue;

(k)

“LEI code”: the global Legal Entity Identifier assigned to entities, which uniquely identifies a party to a financial transaction;

(l)

“Impairment stages”: categories of impairment as defined in IFRS 9.5.5. “Stage 1” refers to impairment measured in accordance with IFRS 9.5.5.5. “Stage 2” refers to impairment measured in accordance with IFRS 9.5.5.3. “Stage 3” refers to impairment on credit-impaired assets as defined in Appendix A of IFRS 9.

2.   CONVENTIONS

6.

 For the purposes of Annexes III and IV, a data point shadowed in grey shall mean that this data point is not requested or that it is not possible to report it. In Annex IV, a row or a column with references shadowed in black means that the related data points shall not be submitted by those institutions that follow those references in that row or column.

7.

 Templates in Annexes III and IV include implicit validation rules which are laid down in the templates themselves through the use of conventions.

8.

 The use of brackets in the label of an item in a template means that this item is to be subtracted to obtain a total, but it does not mean that it shall be reported as negative.

9.

 Items that shall be reported in negative are identified in the compiling templates by including “(-)” at the beginning of their label such as in “(-) Treasury shares”.

10.

 In the “Data Point Model” (“DPM”) for financial information reporting templates of Annexes III and IV, every data point (cell) has a “base item” to which the “credit/debit” attribute is allocated. This allocation ensures that all entities who report data points follow the “sign convention” and allows to know the “credit/debit” attribute that corresponds to each data point.

11.

 Schematically, this convention works as in Table 1.

Table 1

Credit/debit convention, positive and negative signs

Element

Credit/Debit

Balance/Movement

Figure reported

Assets

Debit

Balance on assets

Positive (“Normal”, no sign needed)

Increase on assets

Positive (“Normal”, no sign needed)

Negative balance on assets

Negative (Minus “–” sign needed)

Decrease on assets

Negative (Minus “–” sign needed)

Expenses

Balance on expenses

Positive (“Normal”, no sign needed)

Increase on expenses

Positive (“Normal”, no sign needed)

Negative balance (including reversals) on expenses

Negative (Minus “–” sign needed)

Decrease on expenses

Negative (Minus “–” sign needed)

Liabilities

Credit

Balance on liabilities

Positive (“Normal”, no sign needed)

Increase on liabilities

Positive (“Normal”, no sign needed)

Negative balance on liabilities

Negative (Minus “–” sign needed)

Decrease on liabilities

Negative (Minus “–” sign needed)

Equity

Balance on equity

Positive (“Normal”, no sign needed)

Increase on equity

Positive (“Normal”, no sign needed)

Negative balance on equity

Negative (Minus “–” sign needed)

Decrease on equity

Negative (Minus “–” sign needed)

Income

Balance on income

Positive (“Normal”, no sign needed)

Increase on income

Positive (“Normal”, no sign needed)

Negative balance (including reversals) on income

Negative (Minus “–” sign needed)

Decrease on income

Negative (Minus “–” sign needed)

3.   CONSOLIDATION

12.

 Unless specified otherwise in this Annex, FINREP templates shall be prepared using the prudential scope of consolidation in accordance with Part 1, Title II, Chapter 2, Section 2, of CRR. Institutions shall account for their subsidiaries, joint ventures and associates using the same methods as for prudential consolidation:

(a)

institutions may be permitted or required to apply the equity method to investments in insurance and non-financial subsidiaries in accordance with Article 18(5) of CRR;

(b)

institutions may be permitted to use the proportional consolidation method for financial subsidiaries in accordance with Article 18(2) of CRR;

(c)

institutions may be required to use the proportional consolidation method for investment in joint ventures in accordance with Article 18(4) of CRR.

4.   ACCOUNTING PORTFOLIOS OF FINANCIAL INSTRUMENTS

13.

 For the purposes of Annexes III and IV as well as this Annex, “accounting portfolios” means financial instruments aggregated by valuation rules. These aggregations shall not include investments in subsidiaries, joint ventures and associates, balances receivable on demand classified as “Cash, cash balances at central banks and other demand deposits” as well as those financial instruments classified as “Held for sale” presented in the items “Non-current assets and disposal groups classified as held for sale” and “Liabilities included in disposal groups classified as held for sale”.

14.

 Under national GAAP, institutions that are permitted or required to apply certain valuation rules for financial instruments in accordance with IFRS shall submit, to the extent that they are applied, the relevant IFRS accounting portfolios. Where the valuation rules for financial instruments that institutions are permitted or required to use under national GAAP based on BAD do refer to the valuation rules in IAS 39, institutions shall submit the accounting portfolios based on BAD for all their financial instruments until the valuation rules they apply refer to the valuation rules in IFRS 9.

4.1.   Financial assets

15.

 The following accounting portfolios based on IFRS shall be used for financial assets:

(a)

“Financial assets held for trading”;

(b)

“Non-trading financial assets mandatorily at fair value through profit or loss”

(c)

“Financial assets designated at fair value through profit or loss”;

(d)

“Financial assets at fair value through other comprehensive income”;

(e)

“Financial assets at amortised cost”.

16.

 The following accounting portfolios based on national GAAP shall be used for financial assets:

(a)

“Trading financial assets”;

(b)

“Non-trading non-derivative financial assets measured at fair value through profit or loss”;

(c)

‘Non-trading non-derivative financial assets measured at fair value to equity;

(d)

“Non-trading non-derivative financial assets measured at a cost-based method”; and

(e)

“Other non-trading non-derivative financial assets”.

17.

 “Trading financial assets” includes all financial assets classified as trading under the relevant national GAAP based on BAD. Irrespective of the measurement methodology applied under the relevant national GAAP based on BAD, all derivatives with a positive balance for the reporting institution that are not classified as hedge accounting in accordance with paragraph 22 of this Part shall be reported as trading financial assets. This classification shall also apply for derivatives which according to national GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet or which are used as economic hedges as defined in paragraph 137 of Part 2 of this Annex.

18.

 Under national GAAP based on BAD, for financial assets, “cost-based methods” shall include those valuation rules by which the debt instrument is measured at cost plus interest accrued less impairment losses.

19.

 Under national GAAP based on BAD, “Non-trading non-derivative financial assets measured at a cost-based method” includes financial instruments measured at cost-based methods as well as instruments measured at the lower of cost or market (“LOCOM”) under a non-continuous basis (moderate LOCOM) regardless of their actual measurement as of the reporting reference date. Assets measured at moderate LOCOM are assets for which LOCOM is applied only in specific circumstances. The applicable accounting framework provides for these circumstances, such as impairment, a prolonged decline in fair value compared to cost or change in the management intent.

20.

 Under national GAAP based on BAD, “Other non-trading non-derivative financial assets” shall include financial assets that do not qualify for inclusion in other accounting portfolios. This accounting portfolio includes, among others, financial assets that are measured at LOCOM on a continuous basis (“strict LOCOM”). Assets measured at strict LOCOM are assets for which the applicable accounting framework either provides for the initial and subsequent measurement at LOCOM, or the initial measurement at cost and the subsequent measurement at LOCOM.

21.

 Regardless of their measurement method, investments in subsidiaries, joint ventures and associates that are not fully or proportionally consolidated under the regulatory scope of consolidation are reported in “Investments in subsidiaries, joint ventures and associates”, except where they are classified as held for sale in accordance with IFRS 5.

22.

 “Derivatives — Hedge accounting” shall include derivatives with a positive balance for the reporting institution held for hedge accounting under IFRS. Under national GAAP based on BAD, banking book derivatives shall be classified as derivatives held for hedge accounting only if there are special accounting rules for banking book derivatives under the relevant national GAAP based on BAD and the derivatives reduce risk of another position in the banking book.

4.2.   Financial liabilities

23.

 The following accounting portfolios based on IFRS shall be used for financial liabilities:

(a)

“Financial liabilities held for trading”;

(b)

“Financial liabilities designated at fair value through profit or loss”;

(c)

“Financial liabilities measured at amortised cost”.

24.

 The following accounting portfolios based on national GAAP shall be used for financial liabilities:

(a)

“Trading financial liabilities”;

(b)

“Non-trading non-derivative financial liabilities measured at a cost-based method”.

25.

 “Trading financial liabilities” includes all financial liabilities classified as trading under the relevant national GAAP based on BAD. Irrespective of the measurement methodology applied under the relevant national GAAP based on BAD, all derivatives with a negative balance for the reporting institution that are not classified as hedge accounting in accordance with paragraph 26 of this Part shall be reported as trading financial liabilities. This classification shall also apply for derivatives which according to national GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet or which are used as economic hedges as defined in paragraph 137 of Part 2 of this Annex.

26.

 “Derivatives — Hedge accounting” shall include derivatives with a negative balance for the reporting institution held for hedge accounting under IFRS. Under national GAAP based on BAD, banking book derivatives shall be classified as hedge accounting only if there are special accounting rules for banking book derivatives under the relevant national GAAP based on BAD and the derivatives reduce risk of another position in the banking book.

5.   FINANCIAL INSTRUMENTS

27.

 For the purposes of Annexes III and IV as well as this Annex, “the carrying amount” means the amount to be reported in the balance sheet. The carrying amount of financial instruments shall include accrued interest. Under the relevant national GAAP based on BAD, the carrying amount of derivatives shall be either the carrying amount under national GAAP including accruals, premium values and provisions if applicable, or it shall be equal to zero where derivatives are not recognised on-balance sheet.

28.

 If recognised under the relevant national GAAP based on BAD, accruals and deferrals of financial instruments including interest accrual, premiums and discounts or transaction costs shall be reported together with the instrument and not as other assets or other liabilities.

29.

 Where applicable under national GAAP based on BAD, “Haircuts for trading positions valued at fair value” shall be reported. The haircuts decrease the value of trading assets and increase the value of trading liabilities.

5.1.   Financial assets

30.

 Financial assets shall be distributed among the following classes of instruments: “Cash on hand”, “Derivatives”, “Equity instruments”, “Debt securities” and “Loans and advances”.

31.

 “Debt securities” are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation.

32.

 “Loans and advances” are debt instruments held by the institutions that are not securities; this item includes “loans” in accordance with the ECB BSI Regulation as well as advances that cannot be classified as “loans” according to the ECB BSI Regulation. “Advances that are not loans” are further characterized in paragraph 85(g) of Part 2 of this Annex.

33.

 In FINREP, “debt instruments” shall include “loans and advances” and “debt securities”.

5.2.   Gross carrying amount

34.

 Gross carrying amount of debt instruments shall have the following meaning:

(a)

under IFRS and national GAAP based on BAD for debt instruments measured at fair value through profit or loss without being included in the held for trading or trading portfolio, the gross carrying amount shall depend on whether they are classified as performing or non-performing. For performing debt instruments, the gross carrying amount shall be the fair value. For non-performing debt instruments, the gross carrying amount shall be the fair value after adding back any accumulated negative fair value adjustment due to credit risk, as defined in paragraph 69 of Part 2 of this Annex. For the purpose of the measurement of the gross carrying amount, the valuation of the debt instruments shall be performed on the level of single financial instruments;

(b)

under IFRS for debt instruments at amortised cost or at fair value through other comprehensive income, the gross carrying amount shall be the carrying amount before adjusting for any loss allowance;

(c)

under national GAAP based on BAD, for debt instruments classified as “non-trading non-derivative financial assets measured at a cost-based method”, the gross carrying amount of impaired assets shall be equal to the carrying amount before adjusting for specific allowances for credit risk. The gross carrying amount of unimpaired assets shall be the carrying amount before adjusting for general allowances for credit risk and general allowances for banking risk, where affecting the carrying amount;

(d)

under national GAAP based on BAD, the gross carrying amount of debt instruments classified as “Non-trading non-derivative financial assets measured at fair value to equity” shall depend on whether these financial assets are subject to impairment requirements. Where they are subject to impairment requirements, the gross carrying amount shall be the carrying amount before adjusting for any accumulated impairment, following the requirements in point (c) above for impaired and unimpaired assets, or any accumulated amount of fair value adjustment that is considered as impairment loss. When these financial assets are not subject to impairment requirements, the gross carrying amount of these financial assets shall be the fair value for performing exposures, and for non-performing exposures the fair value after adding back any accumulated negative fair value adjustment due to credit risk;

(e)

under national GAAP based on BAD, the gross carrying amount of debt instruments measured at strict or moderate LOCOM shall be the cost where measured at cost during the reporting period. Where these debt instruments are measured at market value the gross carrying amount shall be the market value before adjusting for credit-risk induced value adjustments;

(f)

under national GAAP based on BAD, for debt instruments reported under “Other non-trading non-derivative financial assets” under measurement methods other than LOCOM, the gross carrying amount shall be the carrying amount before taking into account any valuation adjustment that qualifies as impairment;

(g)

for trading financial assets under GAAP based on BAD or held for trading financial assets under IFRS, the gross carrying amount shall be the fair value. Where GAAP based on BAD require haircuts on trading and fair valued instruments, the carrying amount of the financial instruments shall be the fair value before these haircuts.

5.3.   Financial liabilities

35.

 Financial liabilities shall be distributed among the following classes of instruments: “Derivatives”, “Short positions”, “Deposits”, “Debt securities issued” and “Other financial liabilities”.

36.

 For the purposes of Annexes III and IV