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Document 02014R0680-20180301
Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance)
Consolidated text: Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance)
Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance)
02014R0680 — EN — 01.03.2018 — 008.001
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COMMISSION IMPLEMENTING REGULATION (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191 28.6.2014, p. 1) |
Amended by:
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Official Journal |
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date |
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COMMISSION IMPLEMENTING REGULATION (EU) 2015/79 of 18 December 2014 |
L 14 |
1 |
21.1.2015 |
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COMMISSION IMPLEMENTING REGULATION (EU) 2015/227 of 9 January 2015 |
L 48 |
1 |
20.2.2015 |
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COMMISSION IMPLEMENTING REGULATION (EU) 2015/1278 of 9 July 2015 |
L 205 |
1 |
31.7.2015 |
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COMMISSION IMPLEMENTING REGULATION (EU) 2016/313 of 1 March 2016 |
L 60 |
5 |
5.3.2016 |
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COMMISSION IMPLEMENTING REGULATION (EU) 2016/322 of 10 February 2016 |
L 64 |
1 |
10.3.2016 |
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COMMISSION IMPLEMENTING REGULATION (EU) 2016/428 of 23 March 2016 |
L 83 |
1 |
31.3.2016 |
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COMMISSION IMPLEMENTING REGULATION (EU) 2016/1702 of 18 August 2016 |
L 263 |
1 |
29.9.2016 |
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COMMISSION IMPLEMENTING REGULATION (EU) 2017/1443 of 29 June 2017 |
L 213 |
1 |
17.8.2017 |
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COMMISSION IMPLEMENTING REGULATION (EU) 2017/2114 of 9 November 2017 |
L 321 |
1 |
6.12.2017 |
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Corrected by:
COMMISSION IMPLEMENTING REGULATION (EU) No 680/2014
of 16 April 2014
laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council
(Text with EEA relevance)
CHAPTER 1
SUBJECT MATTER AND SCOPE
Article 1
Subject matter and scope
This Regulation lays down uniform requirements in relation to supervisory reporting to competent authorities for the following areas:
(a) own funds requirements and financial information according to Article 99 of Regulation (EU) No 575/2013;
(b) losses stemming from lending collateralised by immovable property according to Article 101(4)(a) of Regulation (EU) No 575/2013;
(c) large exposures and other largest exposures according to Article 394(1) of Regulation (EU) No 575/2013;
(d) leverage ratio according to Article 430 of Regulation (EU) No 575/2013;
(e) liquidity Coverage requirements and Net Stable Funding requirements according to Article 415 of Regulation (EU) No 575/2013;
(f) asset encumbrance according to Article 100 of Regulation (EU) No 575/2013;
(g) additional liquidity monitoring metrics according to Article 415(3)(b) of Regulation (EU) No 575/2013.
CHAPTER 2
REPORTING REFERENCE AND REMITTANCE DATES AND REPORTING THRESHOLDS
Article 2
Reporting reference dates
1. Institutions shall submit information to competent authorities as it stands on the following reporting reference dates:
(a) Monthly reporting: on the last day of each month;
(b) Quarterly reporting: 31 March, 30 June, 30 September and 31 December;
(c) Semi-annual reporting: 30 June and 31 December;
(d) Annual reporting: 31 December.
2. Information submitted pursuant to the templates set out in Annex III and Annex IV according to the instructions in Annex V referring to a certain period shall be reported cumulatively from the first day of the accounting year to the reference date.
3. Where institutions are permitted by national laws to report their financial information based on their accounting year-end which deviates from the calendar year, reporting reference dates may be adjusted accordingly, so that reporting of financial information is done every three, six or twelve months from their accounting year-end, respectively.
Article 3
Reporting remittance dates
1. Institutions shall submit information to competent authorities by close of business of the following remittance dates:
(a) Monthly reporting: 15th calendar day after the reporting reference date;
(b) Quarterly reporting: 12 May, 11 August, 11 November and 11 February;
(c) Semi-annual reporting: 11 August and 11 February;
(d) Annual reporting: 11 February.
2. If the remittance day is a public holiday in the Member State of the competent authority to which the report is to be provided, or a Saturday or a Sunday, data shall be submitted on the following working day.
3. Where institutions report their financial information using adjusted reporting reference dates based on their accounting year-end as set out in Article 2 paragraph 3, the remittance dates may also be adjusted accordingly so that the same remittance period from the adjusted reporting reference date is maintained.
4. Institutions may submit unaudited figures. Where audited figures deviate from submitted unaudited figures, the revised, audited figures shall be submitted without undue delay. Unaudited figures are figures that have not received an external auditor's opinion whereas audited figures are figures audited by an external auditor expressing an audit opinion.
5. Other corrections to the submitted reports shall also be submitted to the competent authorities without undue delay.
Article 4
Reporting thresholds — entry and exit criteria
1. Institutions shall start reporting information subject to thresholds from the next reporting reference date where they have exceeded the threshold on two consecutive reporting reference dates.
2. For the first two reporting reference dates on which institutions have to comply with the requirements of this Regulation, institutions shall report the information subject to thresholds if they exceed the relevant thresholds on the same reporting reference date.
3. Institutions may stop reporting information subject to thresholds from the next reporting reference date where they have fallen below the relevant thresholds on three consecutive reporting reference dates.
CHAPTER 3
FORMAT AND FREQUENCY OF REPORTING ON OWN FUNDS, OWN FUNDS REQUIREMENTS AND FINANCIAL INFORMATION
SECTION 1
Format and frequency of reporting on own funds and own funds requirements
Article 5
Format and frequency of reporting on own funds and on own funds requirements for institutions on an individual basis, except for investment firms subject to article 95 and 96 of Regulation (EU) No 575/2013
In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit all the information listed in paragraphs (a) and (b).
(a) Institutions shall submit the following information with a quarterly frequency:
(1) the information relating to own funds and own funds requirements as specified in templates 1 to 5 of Annex I, according to the instructions in Part II point 1 of Annex II;
(2) the information on credit risk and counterparty credit risk exposures treated under the Standardised Approach as specified in template 7 of Annex I, according to the instructions in Part II point 3.2 of Annex II;
(3) the information on credit risk and counterparty credit risk exposures treated under the Internal Rating Based Approach as specified in template 8 of Annex I, according to the instructions in Part II point 3.3 of Annex II;
(4) the information on the geographical distribution of exposures by country as specified in template 9 of Annex I, according to the instructions in Part II point 3.4 of Annex II, where non-domestic original exposures in all ‘non-domestic’ countries in all exposures classes, as reported in row 850 of template 4 of Annex I, are equal or higher than 10 % of total domestic and non-domestic original exposures as reported in row 860 of template 4 of Annex I. For this purpose exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. The entry and exit criteria of Article 4 shall apply;
(5) the information on equity exposures treated under the Internal Ratings Based Approach as specified in template 10 of Annex I, according to the instructions in Part II point 3.5 of Annex II;
(6) the information on settlement risk as specified in template 11 of Annex I, according to the instructions in Part II point 3.6 of Annex II;
(7) the information on securitisations exposures treated under the Standardised Approach as specified in template 12 of Annex I, according to the instructions in Part II point 3.7 of Annex II;
(8) the information on securitisation exposures treated under the Internal Rating Based Approach as specified in template 13 of Annex I, according to the instructions in Part II point 3.8 of Annex II;
(9) the information on own funds requirements and losses relating to operational risk as specified in template 16 of Annex I, according to the instructions in Part II point 4.1 of Annex II;
(10) the information on own funds requirements relating to market risk as specified in templates 18 to 24 of Annex I, according to the instructions in Part II point 5.1 to 5.7 of Annex II;
(11) the information on own funds requirements relating to credit valuation adjustment risk as specified in template 25 of Annex I, according to the instructions in Part II point 5.8 of Annex II.
(b) Institutions shall submit the following information with a semi-annual frequency:
(1) the information on all securitisation exposures as specified in template 14 of Annex I, according to the instructions in point 3.9 of Part II of Annex II.
Institutions shall be exempted from submitting those securitisation details where they are part of a group in the same country in which they are subject to own funds requirements;
(2) the information on material losses stemming from operational risk events as follows:
(a) institutions which calculate own funds requirements relating to operational risk in accordance with Chapter 4 of Title III of Part Three of Regulation (EU) No 575/2013 shall report this information as specified in templates 17.01 and 17.02 of Annex I, in accordance with the instructions in point 4.2 of Part II of Annex II;
(b) institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 3 of Title III of Part Three of Regulation (EU) No 575/2013 and that meet at least one of the following criteria shall report this information as specified in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II:
(i) the ratio of the individual balance sheet total to the sum of individual balance sheet totals of all institutions within the same Member State is equal to or above 1 %, where balance sheet total figures are based on year-end figures for the year before the year preceding the reporting reference date;
(ii) the total value of the institution's assets exceeds EUR 30 billion;
(iii) the total value of the institution's assets exceeds both EUR 5 billion and 20 % of the GDP of the Member State where it is established;
(iv) the institution is one of the three largest institutions established in a particular Member State measured by the total value of its assets;
(v) the institution is the parent of subsidiaries, which are themselves credit institutions established in at least two Member States other than the Member State where the parent institution is authorised and where both of the following conditions are met:
— the value of the institution's consolidated total assets exceeds EUR 5 billion,
— more than 20 % of either the institution's consolidated total assets as defined in template 1.1 of Annex III or IV, as applicable, or the institution's consolidated total liabilities as defined in template 1.2 of Annex III or IV, as applicable, relates to activities with counterparties located in a Member State other than that where the parent institution is authorised;
(c) institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 3 of Title III of Part Three of Regulation (EU) No 575/2013 and for which none of the conditions in point (b) is met, shall report the information referred to in points (i) and (ii) below in accordance with the instructions in point 4.2 of Part II of Annex II:
(i) the information as specified for column 080 of template 17.01 of Annex I for the following rows:
— number of events (new events) (row 910),
— gross loss amount (new events) (row 920),
— number of events subject to loss adjustments (row 930),
— loss adjustments relating to previous reporting periods (row 940),
— maximum single loss (row 950),
— sum of the five largest losses (row 960),
— total direct loss recovery (except insurance and other risk transfer mechanisms) (row 970),
— total recoveries from insurance and other risk transfer mechanisms (row 980);
(ii) the information as specified in template 17.02 of Annex I;
(d) the institutions referred to in point (c) may report the complete set of information specified in templates 17.01 and 17.02 of Annex I, in accordance with the instructions in point 4.2 of Part II of Annex II;
(e) institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 and that meet at least one of the conditions (ii) to (v) of point (b) shall report this information as specified in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II;
(f) institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 and for which none of the conditions set out in points (ii) to (v) of point (b) are met, may report the information referred to in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II;
(g) the entry and exit criteria of Article 4 shall apply;
(3) the information on sovereign exposures as follows:
(a) institutions shall report the information specified in template 33 of Annex I in accordance with the instructions in point 6 of Part II of Annex II where the aggregate carrying amount of financial assets from the counterparty sector ‘General governments’ is equal or higher than 1 % of the sum of total carrying amount for ‘Debt securities and Loans and advances’. For the purposes of determining those carrying amounts, institutions shall apply the definitions used in templates 4.1 to 4.4.1 of Annex III or templates 4.1 to 4.4.1 and 4.6 to 4.10 of Annex IV, as applicable;
(b) institutions that meet the criterion referred to in point (a) and where the value reported for domestic exposures of non-derivative financial assets as defined in row 010, column 010 of template 33 of Annex I is less than 90 % of the value reported for domestic and non-domestic exposures for the same data point, shall report the information specified in template 33 of Annex I in accordance with the instructions in point 6 of Part II of Annex II aggregated at a total level and for each individual country they are exposed to;
(c) institutions that meet the criterion referred to in point (a) but do not meet the criterion referred in point (b) shall report the information specified in template 33 of Annex I in accordance with the instructions in point 6 of Part II of Annex II with exposures aggregated at both a total level and at domestic level;
(d) the entry and exit criteria of Article 4 shall apply.
Article 6
Format and frequency of reporting on own funds and own funds requirements on a consolidated basis, except for groups which only consist of investment firms subject to articles 95 and 96 of Regulation (EU) No 575/2013
In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, institutions in a member state shall submit:
(a) the information specified in Article 5 in the frequency specified therein but on a consolidated basis;
(b) the information specified in template 6 of Annex I according to the instructions provided in point 2 of Part II of Annex II regarding entities included in the scope of consolidation, with a semi-annual frequency.
Article 7
Format and frequency of reporting on own funds and own funds requirements for investment firms subject to Articles 95 and 96 Regulation (EU) No 575/2013 on an individual basis
1. In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, investment firms subject to Article 95 of Regulation (EU) No 575/2013 shall submit the information specified in templates 1 to 5 of Annex I, according to the instructions in point 1 of Part II of Annex II with a quarterly frequency.
2. In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit the information specified in points (a) and (b) (1) of Article 5 of this Regulation with the frequency specified therein.
Article 8
Format and frequency of reporting on own funds and own funds requirements for groups which only consist of investment firms subject to Article 95 and 96 Regulation (EU) No 575/2013 on a consolidated basis
1. In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups which consist only of investment firms subject to Article 95 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:
(a) the information on own funds and own funds requirements as specified in templates 1 to 5 of Annex I according to the instructions in point 1 of Part II of Annex II, with a quarterly frequency;
(b) the information on own funds and own funds requirements regarding entities included in the scope of consolidation as specified in template 6 of Annex I, according to the instructions in point 2 of Part II of Annex II, with a semi-annual frequency.
2. In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups which consist of investment firms subject to both Article 95 and Article 96 as well as groups which consist only of investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:
(a) the information specified in points (a) and (b) (1) of Article 5, with the frequency specified therein;
(b) the information regarding entities included in the scope of consolidation as specified in template 6 of Annex I, according to the instructions of point 2 of Part II of Annex II, with a semi-annual frequency.
SECTION 2
Format and frequency of reporting on financial information on a consolidated basis
Article 9
Format and frequency of reporting on financial information for institutions subject to Article 4 of Regulation (EC) No 1606/2002 and other credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis
1. In order to report financial information on a consolidated basis according to Article 99 (2) of Regulation (EU) No 575/2013, institutions established in a Member State shall submit the information specified in Annex III on a consolidated basis, according to the instructions in Annex V and the information specified in Annex VIII on a consolidated basis, according to the instructions in Annex IX.
2. The information referred to in paragraph 1 shall be submitted according to the following specifications:
(a) the information specified in Part 1 of Annex III with a quarterly frequency;
(b) the information specified in Part 3 of Annex III with a semi-annual frequency;
(c) the information specified in Part 4 of Annex III with an annual frequency;
(d) the information specified in template 20 in Part 2 of Annex III with a quarterly frequency in the manner provided in point (4) of Article 5 (a). The entry and exit criteria referred to in Article 4 shall apply;
(e) the information specified in template 21 in Part 2 of Annex III where tangible assets subject to operating leases are equal or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex III with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;
(f) the information specified in template 22 in Part 2 of Annex III where net fee and commission income is equal or higher than 10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex III with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;
(g) the information specified in Annex VIII for exposures whose exposure value is larger than or equal to EUR 300 million but less than 10 % of the institution's eligible capital with a quarterly frequency.
Article 10
Format and frequency of reporting on financial information for credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis, by virtue of Article 99(3) Regulation (EU) No 575/2013
Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions in a Member State in accordance with Article 99(3) Regulation (EU) No 575/2013, institutions shall submit financial information according to Article 9.
Article 11
Format and frequency of reporting on financial information for institutions applying national accounting frameworks developed under Directive 86/635/EEC on a consolidated basis
1. Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions established in a Member State in accordance with Article 99(6) Regulation (EU) No 575/2013, institutions shall submit the information specified in Annex IV on a consolidated basis, according to the instructions in Annex V and the information specified in Annex VIII on a consolidated basis, according to the instructions in Annex IX.
2. The information referred to in paragraph 1 shall be submitted according to the following specifications:
(a) the information specified in Part 1 of Annex IV with a quarterly frequency;
(b) the information specified in Part 3 of Annex IV with a semi-annual frequency;
(c) the information specified in Part 4 of Annex IV with an annual frequency;
(d) the information specified in template 20 in Part 2 of Annex IV with a quarterly frequency in the manner provided in point (4) of Article 5 (a). The entry and exit criteria referred to in Article 4 shall apply;
(e) the information specified in template 21 in Part 2 of Annex IV where tangible assets subject to operating leases are equal or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex IV with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;
(f) the information specified in template 22 in Part 2 of Annex IV where net fee and commission income is equal or higher than 10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex IV with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;
(g) the information specified in Annex VIII for exposures whose exposure value is larger than or equal to EUR 300 million but less than 10 % of the institution's eligible capital with a quarterly frequency.
CHAPTER 4
FORMAT AND FREQUENCY OF SPECIFIC REPORTING OBLIGATIONS ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY ACCORDING TO ARTICLE 101 OF REGULATION (EU) No 575/2013
Article 12
1. Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on a consolidated basis with a semi-annual frequency.
2. Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on an individual basis with a semi-annual frequency.
3. Branches in another Member State shall also submit to the competent authority of the host Member State information as specified in Annex VI according to the instructions in Annex VII related to that branch with a semi-annual frequency.
CHAPTER 5
FORMAT AND FREQUENCY OF REPORTING ON LARGE EXPOSURES ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
Article 13
1. In order to report information on large exposures to clients and groups of connected clients according to Article 394(1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.
2. In order to report information on the twenty largest exposures to clients or groups of connected clients according to the last sentence of Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions which are subject to Chapter 3 of Title II of Part Three of Regulation (EU) No 575/2013 shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.
3. In order to report information on the ten largest exposures to institutions as well as on the ten largest exposures to unregulated financial entities according to Article 394(2) of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.
CHAPTER 6
FORMAT AND FREQUENCY OF REPORTING ON LEVERAGE RATIO ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
Article 14
1. In order to report information on the leverage ratio according to Article 430 (1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex X according to the instructions in Annex XI, with a quarterly frequency.
2. The reporting of the data shall be based on the methodology used for the calculation of the leverage ratio as end of quarter leverage ratio.
3. Institutions are required to report the information referred to in paragraph 14 of Part II of Annex XI in the next reporting period, where any of the following conditions is met:
(a) the derivatives share referred to in paragraph 7 of Part II of Annex XI exceeds 1,5 %;
(b) the derivatives share referred to in paragraph 7 of Part II of Annex XI exceeds 2,0 %.
The entry criteria set out in Article 4 shall apply, except for point (b) of the first subparagraph of this paragraph where institutions start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date.
4. Institutions for which the total notional value of derivatives as defined in paragraph 9 of Part II of Annex XI exceeds EUR 10 billion shall report the information referred to in paragraph 14 of Part II of Annex XI, irrespective of whether their derivatives share fulfils the conditions referred to in paragraph 3.
The entry criteria set out in Article 4 shall not apply. Institutions shall start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date.
5. Institutions are required to report the information referred to in paragraph 15 of Part II of Annex XI in the next reporting period where any of the following conditions is met:
(a) the credit derivatives volume referred to in paragraph 10 of Part II of Annex XI exceeds EUR 300 million;
(b) the credit derivatives volume referred to in paragraph 10 of Part II of Annex XI exceeds EUR 500 million.
The entry criteria of Article 4 shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date.
▼M6 —————
CHAPTER 7
FORMAT AND FREQUENCY OF REPORTING ON LIQUIDITY AND ON STABLE FUNDING ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
Article 15
Format and frequency of reporting on liquidity coverage requirement
1. In order to report information on the liquidity coverage requirement in accordance with Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall apply the following:
(a) credit institutions shall submit the information specified in Annex XXIV according to the instructions in Annex XXV with a monthly frequency;
(b) all other institutions except those specified in point (a), shall submit the information specified in Annex XII according to the instructions in Annex XIII with a monthly frequency.
2. The information set out in Annexes XII and XXIV shall take into account the information submitted for the reference date and the information on the cash-flows of the institution over the following 30 calendar days.
Article 16
Format and frequency of reporting on stable funding
In order to report information on the stable funding according to Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall submit the information specified in Annex XII according to the instructions in Annex XIII with a quarterly frequency.
CHAPTER 7a
FORMAT AND FREQUENCY OF REPORTING ON ASSET ENCUMBRANCE ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
Article 16a
Format and frequency of reporting on asset encumbrance on an individual and a consolidated basis
1. In order to report information on asset encumbrance in accordance with Article 100 of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XVI to this Regulation according to the instructions set out in Annex XVII to this Regulation.
2. The information referred to in paragraph 1 shall be submitted according to the following specifications:
(a) the information specified in Parts A, B and D of Annex XVI with a quarterly frequency;
(b) the information specified in Part C of Annex XVI with an annual frequency;
(c) the information specified in Part E of Annex XVI with a semi-annual frequency.
3. Institutions shall not be required to report the information in Parts B, C or E of Annex XVI where all of the following conditions are met:
(a) the institution has total assets, as calculated in accordance with paragraph 10 of point 1.6 of Annex XVII, of less than EUR 30 billion;
(b) the asset encumbrance level of the institution, as calculated in accordance with paragraph 9 of point 1.6 of Annex XVII, is below 15 %.
4. Institutions shall only be required to report the information in Part D of Annex XVI where they issue the bonds referred to in the first subparagraph of Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council ( 1 ).
CHAPTER 7b
FORMAT AND FREQUENCY OF REPORTING ON ADDITIONAL LIQUIDITY MONITORING METRICS ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
Article 16b
1. In order to report information on additional liquidity monitoring metrics in accordance with Article 415(3)(b) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit all of the following information with a monthly frequency:
(a) the information specified in Annex XVIII in accordance with the instructions in Annex XIX;
(b) the information specified in Annex XX in accordance with the instructions in Annex XXI;
(c) the information specified in Annex XXII in accordance with the instructions in Annex XXIII.
2. By way of derogation from paragraph 1, an institution may report the information on additional liquidity monitoring metrics with a quarterly frequency where all of the following conditions are met:
(a) the institution does not form part of a group comprising credit institutions, investment firms or financial institutions with subsidiaries or parent institutions located in jurisdictions other than the institution's jurisdiction of incorporation;
(b) the ratio of the individual balance sheet total of the institution to the sum of individual balance sheet totals of all institutions in the respective Member State is below 1 % for two consecutive years preceding the year of reporting;
(c) the institution has total assets, calculated in accordance with Council Directive 86/635/EEC ( 2 ), of less than EUR 30 billion.
For the purposes of point (b), balance sheet total figures for calculating the ratio shall be based on year-end audited figures for the year before the year preceding the reporting reference date.
3. For the purposes of the obligations set out in paragraphs 1 and 2, the first month for which information on additional liquidity monitoring metrics is to be reported shall be April 2016.
CHAPTER 8
IT SOLUTIONS FOR THE SUBMISSION OF DATA FROM INSTITUTIONS TO COMPETENT AUTHORITIES
Article 17
1. Institutions shall submit the information referred to in this Regulation in the data exchange formats and representations specified by competent authorities, respecting the data point definitions included in the single data point model referred to in Annex XIV and the validation rules referred to in Annex XV as well as the following specifications:
(a) information not required or not applicable shall not be included in a data submission;
(b) numeric values shall be submitted as facts according to the following:
(i) data points with the data type ‘Monetary’ shall be reported using a minimum precision equivalent to thousands of units;
(ii) data points with the data type ‘Percentage’ shall be expressed as per unit with a minimum precision equivalent to four decimals;
(iii) data points with the data type ‘Integer’ shall be reported using no decimals and a precision equivalent to units.
2. The data submitted by the institutions shall be associated with the following information:
(a) reporting reference date and reference period;
(b) reporting currency;
(c) accounting standard;
(d) identifier of the reporting institution;
(e) level of application as individual or consolidated.
CHAPTER 9
TRANSITIONAL AND FINAL PROVISIONS
Article 18
Transitional period
The remittance date for data with a quarterly reporting frequency relating to the reference date 31 March 2014 for information to be reported shall be 30 June 2014 at the latest.
For the period from 31 March 2014 to 30 April 2014 as a deviation from point (a) of Article 3(1) the reporting remittance date relating to monthly reporting shall be 30 June 2014.
For the period from 31 May 2014 to 31 December 2014 as a deviation from point (a) of Article 3(1) the reporting remittance date relating to monthly reporting shall be the thirtieth calendar day after the reporting reference date
In respect of information to be reported pursuant to Article 16a, the first reporting reference date shall be 31 December 2014.
Without prejudice to Article 2, the first remittance date for templates 18 and 19 in Annex III shall be 31 December 2014. Rows and columns of templates 6, 9.1, 20.4, 20.5, and 20.7 in Annex III referring to forborne exposures and to non-performing exposures shall be completed for the remittance date 31 December 2014.
By way of derogation from Article 3(1)(a), for the months from April 2016 to October 2016 inclusive, the reporting remittance date relating to the monthly reporting of the additional liquidity monitoring metrics shall be the thirtieth calendar day after the reporting reference date.
For the period from 10 September 2016 to 10 March 2017, as a deviation from point (a) of Article 3(1), the reporting remittance date relating to the monthly reporting of the LCR for credit institutions shall be the 30th calendar day after the reporting reference date.
Article 19
Entry into Force
This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.
This Regulation shall apply from 1 January 2014.
Articles 9, 10 and 11 shall apply from 1 July 2014.
Article 15 shall apply from 1 March 2014.
Article 16a shall apply from 1 December 2014.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
ANNEX I
REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
|
COREP TEMPLATES |
|||
|
Template number |
Template code |
Name of the template/group of templates |
Short name |
|
|
|
Capital adequacy |
CA |
|
1 |
C 01.00 |
OWN FUNDS |
CA1 |
|
2 |
C 02.00 |
OWN FUNDS REQUIREMENTS |
CA2 |
|
3 |
C 03.00 |
CAPITAL RATIOS |
CA3 |
|
4 |
C 04.00 |
MEMORANDUM ITEMS: |
CA4 |
|
|
|
Transitional provisions |
CA5 |
|
5.1 |
C 05.01 |
TRANSITIONAL PROVISIONS |
CA5.1 |
|
5.2 |
C 05.02 |
GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID |
CA5.2 |
|
|
|
Group solvency |
GS |
|
6.1 |
C 06.01 |
GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL |
GS Total |
|
6.2 |
C 06.02 |
GROUP SOLVENCY: INFORMATION ON AFFILIATES |
GS |
|
|
|
Credit risk |
CR |
|
7 |
C 07.00 |
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS |
CR SA |
|
|
|
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS |
CR IRB |
|
8.1 |
C 08.01 |
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS |
CR IRB 1 |
|
8.2 |
C 08.02 |
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools) |
CR IRB 2 |
|
|
|
GEOGRAPHICAL BREAKDOWN |
CR GB |
|
9.1 |
C 09.01 |
Table 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures) |
CR GB 1 |
|
9.2 |
C 09.02 |
Table 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures) |
CR GB 2 |
|
9.4 |
C 09.04 |
Table 9.4 - Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate |
CCB |
|
|
|
CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS |
CR EQU IRB |
|
10.1 |
C 10.01 |
CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS |
CR EQU IRB 1 |
|
10.2 |
C 10.02 |
CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: |
CR EQU IRB 2 |
|
11 |
C 11.00 |
SETTLEMENT/DELIVERY RISK |
CR SETT |
|
12 |
C 12.00 |
CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS |
CR SEC SA |
|
13 |
C 13.00 |
CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS |
CR SEC IRB |
|
14 |
C 14.00 |
DETAILED INFORMATION ON SECURITISATIONS |
CR SEC Details |
|
|
|
Operational risk |
OPR |
|
16 |
C 16.00 |
OPERATIONAL RISK |
OPR |
|
17 |
C 17.00 |
OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR |
OPR Details |
|
|
|
Market risk |
MKR |
|
18 |
C 18.00 |
MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS |
MKR SA TDI |
|
19 |
C 19.00 |
MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS |
MKR SA SEC |
|
20 |
C 20.00 |
MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO |
MKR SA CTP |
|
21 |
C 21.00 |
MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES |
MKR SA EQU |
|
22 |
C 22.00 |
MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK |
MKR SA FX |
|
23 |
C 23.00 |
MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES |
MKR SA COM |
|
24 |
C 24.00 |
MARKET RISK INTERNAL MODELS |
MKR IM |
|
25 |
C 25.00 |
CREDIT VALUE ADJUSTMENT RISK |
CVA |
|
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 instruments and subordinated loans |
|
|
780 |
1.2.1.2* |
Memorandum item: Capital instruments and subordinated loans not eligible |
|
|
790 |
1.2.1.3 |
Share premium |
|
|
800 |
1.2.1.4 |
(-) Own T2 instruments |
|
|
810 |
1.2.1.4.1 |
(-) Direct holdings of T2 instruments |
|
|
840 |
1.2.1.4.2 |
(-) Indirect holdings of T2 instruments |
|
|
841 |
1.2.1.4.3 |
(-) Synthetic holdings of T2 instruments |
|
|
842 |
1.2.1.5 |
(-) Actual or contingent obligations to purchase own T2 instruments |
|
|
880 |
1.2.2 |
Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans |
|
|
890 |
1.2.3 |
Instruments issued by subsidiaries that are given recognition in T2 Capital |
|
|
900 |
1.2.4 |
Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries |
|
|
910 |
1.2.5 |
IRB Excess of provisions over expected losses eligible |
|
|
920 |
1.2.6 |
SA General credit risk adjustments |
|
|
930 |
1.2.7 |
(-) Reciprocal cross holdings in T2 Capital |
|
|
940 |
1.2.8 |
(-) T2 instruments of financial sector entities where the institution does not have a significant investment |
|
|
950 |
1.2.9 |
(-) T2 instruments of financial sector entities where the institution has a significant investment |
|
|
960 |
1.2.10 |
Other transitional adjustments to T2 Capital |
|
|
970 |
1.2.11 |
Excess of deduction from T2 items over T2 Capital (deducted in AT1) |
|
|
974 |
1.2.12 |
(-) Additional deductions of T2 Capital due to Article 3 CRR |
|
|
978 |
1.2.13 |
T2 capital elements or deductions - other |
|
C 02.00 - OWN FUNDS REQUIREMENTS (CA2)
|
Rows |
Item |
Label |
Amount |
|
010 |
1 |
TOTAL RISK EXPOSURE AMOUNT |
|
|
020 |
1* |
Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR |
|
|
030 |
1** |
Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR |
|
|
040 |
1.1 |
RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES |
|
|
050 |
1.1.1 |
Standardised approach (SA) |
|
|
060 |
1.1.1.1 |
SA exposure classes excluding securitisation positions |
|
|
070 |
1.1.1.1.01 |
Central governments or central banks |
|
|
080 |
1.1.1.1.02 |
Regional governments or local authorities |
|
|
090 |
1.1.1.1.03 |
Public sector entities |
|
|
100 |
1.1.1.1.04 |
Multilateral Development Banks |
|
|
110 |
1.1.1.1.05 |
International Organisations |
|
|
120 |
1.1.1.1.06 |
Institutions |
|
|
130 |
1.1.1.1.07 |
Corporates |
|
|
140 |
1.1.1.1.08 |
Retail |
|
|
150 |
1.1.1.1.09 |
Secured by mortgages on immovable property |
|
|
160 |
1.1.1.1.10 |
Exposures in default |
|
|
170 |
1.1.1.1.11 |
Items associated with particular high risk |
|
|
180 |
1.1.1.1.12 |
Covered bonds |
|
|
190 |
1.1.1.1.13 |
Claims on institutions and corporates with a short-term credit assessment |
|
|
200 |
1.1.1.1.14 |
Collective investments undertakings (CIU) |
|
|
210 |
1.1.1.1.15 |
Equity |
|
|
211 |
1.1.1.1.16 |
Other items |
|
|
220 |
1.1.1.2 |
Securitisation positions SA |
|
|
230 |
1.1.1.2* |
of which: resecuritisation |
|
|
240 |
1.1.2 |
Internal ratings based Approach (IRB) |
|
|
250 |
1.1.2.1 |
IRB approaches when neither own estimates of LGD nor Conversion Factors are used |
|
|
260 |
1.1.2.1.01 |
Central governments and central banks |
|
|
270 |
1.1.2.1.02 |
Institutions |
|
|
280 |
1.1.2.1.03 |
Corporates - SME |
|
|
290 |
1.1.2.1.04 |
Corporates - Specialised Lending |
|
|
300 |
1.1.2.1.05 |
Corporates - Other |
|
|
310 |
1.1.2.2 |
IRB approaches when own estimates of LGD and/or Conversion Factors are used |
|
|
320 |
1.1.2.2.01 |
Central governments and central banks |
|
|
330 |
1.1.2.2.02 |
Institutions |
|
|
340 |
1.1.2.2.03 |
Corporates - SME |
|
|
350 |
1.1.2.2.04 |
Corporates - Specialised Lending |
|
|
360 |
1.1.2.2.05 |
Corporates - Other |
|
|
370 |
1.1.2.2.06 |
Retail - Secured by real estate SME |
|
|
380 |
1.1.2.2.07 |
Retail - Secured by real estate non-SME |
|
|
390 |
1.1.2.2.08 |
Retail - Qualifying revolving |
|
|
400 |
1.1.2.2.09 |
Retail - Other SME |
|
|
410 |
1.1.2.2.10 |
Retail - Other non-SME |
|
|
420 |
1.1.2.3 |
Equity IRB |
|
|
430 |
1.1.2.4 |
Securitisation positions IRB |
|
|
440 |
1.1.2.4* |
Of which: resecuritisation |
|
|
450 |
1.1.2.5 |
Other non credit-obligation assets |
|
|
460 |
1.1.3 |
Risk exposure amount for contributions to the default fund of a CCP |
|
|
490 |
1.2 |
TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY |
|
|
500 |
1.2.1 |
Settlement/delivery risk in the non-Trading book |
|
|
510 |
1.2.2 |
Settlement/delivery risk in the Trading book |
|
|
520 |
1.3 |
TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS |
|
|
530 |
1.3.1 |
Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA) |
|
|
540 |
1.3.1.1 |
Traded debt instruments |
|
|
550 |
1.3.1.2 |
Equity |
|
|
555 |
1.3.1.3 |
Particular approach for position risk in CIUs |
|
|
556 |
1.3.1.3* |
Memo item: CIUs exclusively invested in traded debt instruments |
|
|
557 |
1.3.1.3** |
Memo item: CIUs invested exclusively in equity instruments or in mixed instruments |
|
|
560 |
1.3.1.4 |
Foreign Exchange |
|
|
570 |
1.3.1.5 |
Commodities |
|
|
580 |
1.3.2 |
Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM) |
|
|
590 |
1.4 |
TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR ) |
|
|
600 |
1.4.1 |
OpR Basic indicator approach (BIA) |
|
|
610 |
1.4.2 |
OpR Standardised (STA)/Alternative Standardised (ASA) approaches |
|
|
620 |
1.4.3 |
OpR Advanced measurement approaches (AMA) |
|
|
630 |
1.5 |
ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS |
|
|
640 |
1.6 |
TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT |
|
|
650 |
1.6.1 |
Advanced method |
|
|
660 |
1.6.2 |
Standardised method |
|
|
670 |
1.6.3 |
Based on OEM |
|
|
680 |
1.7 |
TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK |
|
|
690 |
1.8 |
OTHER RISK EXPOSURE AMOUNTS |
|
|
710 |
1.8.2 |
Of which: Additional stricter prudential requirements based on Art 458 |
|
|
720 |
1.8.2* |
Of which: requirements for large exposures |
|
|
730 |
1.8.2** |
Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property |
|
|
740 |
1.8.2*** |
Of which: due to intra financial sector exposures |
|
|
750 |
1.8.3 |
Of which: Additional stricter prudential requirements based on Art 459 |
|
|
760 |
1.8.4 |
Of which: Additional risk exposure amount due to Article 3 CRR |
|
C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
|
Rows |
ID |
Item |
Amount |
|
010 |
1 |
CET1 Capital ratio |
|
|
020 |
2 |
Surplus(+)/Deficit(–) of CET1 capital |
|
|
030 |
3 |
T1 Capital ratio |
|
|
040 |
4 |
Surplus(+)/Deficit(–) of T1 capital |
|
|
050 |
5 |
Total capital ratio |
|
|
060 |
6 |
Surplus(+)/Deficit(–) of total capital |
|
|
Memorandum Items: Capital ratios due to Pillar II adjustments |
|||
|
070 |
7 |
CET1 capital ratio including Pillar II adjustments |
|
|
080 |
8 |
Target CET1 capital ratio due to Pillar II adjustments |
|
|
090 |
9 |
T1 capital ratio including Pillar II adjustments |
|
|
100 |
10 |
Target T1 capital ratio due to Pillar II adjustments |
|
|
110 |
11 |
Total capital ratio including Pillar II adjustments |
|
|
120 |
12 |
Target Total capital ratio due to Pillar II adjustments |
|
C 04.00 - MEMORANDUM ITEMS (CA4)
|
Row |
ID |
Item |
Column |
|
Deferred tax assest and liabilities |
010 |
||
|
010 |
1 |
Total deferred tax assets |
|
|
020 |
1.1 |
Deferred tax assets that do not rely on future profitability |
|
|
030 |
1.2 |
Deferred tax assets that rely on future profitability and do not arise from temporary differences |
|
|
040 |
1.3 |
Deferred tax assets that rely on future profitability and arise from temporary differences |
|
|
050 |
2 |
Total deferred tax liabilities |
|
|
060 |
2.1 |
Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability |
|
|
070 |
2.2 |
Deferred tax liabilities deductible from deferred tax assets that rely on future profitability |
|
|
080 |
2.2.1 |
Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences |
|
|
090 |
2.2.2 |
Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences |
|
|
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 investment temporary waived |
|
|
700 |
23 |
Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived |
|
|
710 |
24 |
Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived |
|
|
720 |
25 |
Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived |
|
|
730 |
26 |
Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived |
|
|
Capital buffers |
|||
|
740 |
27 |
Combined buffer requirement |
|
|
750 |
|
Capital conservation buffer |
|
|
760 |
|
Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State |
|
|
770 |
|
Institution specific countercyclical capital buffer |
|
|
780 |
|
Systemic risk buffer |
|
|
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 to or 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 items without an incentive to redeem |
|
|
|
|
|
|
|
110 |
3.2 |
Grandfathered items with an incentive to redeem |
|
|
|
|
|
|
|
120 |
3.2.1 |
Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity |
|
|
|
|
|
|
|
130 |
3.2.2 |
Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity |
|
|
|
|
|
|
|
140 |
3.2.3 |
Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity |
|
|
|
|
|
|
|
150 |
3.3 |
Excess on the limit of AT1 grandfathered instruments |
|
|
|
|
|
|
C 06.01 - GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL (GS TOTAL)
|
|
INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP |
CAPITAL BUFFERS |
||||||||||||||||||||||
|
TOTAL RISK EXPOSURE AMOUNT |
|
QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS |
|
CONSOLIDATED OWN FUNDS |
|
COMBINED BUFFER REQUIREMENTS |
|
|||||||||||||||||
|
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK |
POSITION, FX AND COMMODITIES RISKS |
OPERATIONAL RISK |
OTHER RISK EXPOSURE AMOUNTS |
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL |
|
QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL |
MEMORANDUM ITEM: GOODWILL (–)/(+) NEGATIVE GOODWILL |
OF WHICH: COMMON EQUITY TIER 1 |
OF WHICH: ADDITIONAL TIER 1 |
OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT |
OF WHICH: (–) GOODWILL/(+) NEGATIVE GOODWILL |
CAPITAL CONSERVATION BUFFER |
INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER |
CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE |
SYSTEMIC RISK BUFFER |
GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER |
OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER |
|||||||
|
MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL |
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL |
|||||||||||||||||||||||
|
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) |
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 REQUIREMENTS |
|
||||||||||||||||||||||||||||
|
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK |
POSITION, FX AND COMMODITIES RISKS |
OPERATIONAL RISK |
OTHER RISK EXPOSURE AMOUNTS |
|
TOTAL TIER 1 CAPITAL |
|
|
TIER 2 CAPITAL |
|
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK |
POSITION, FX AND COMMODITIES RISKS |
OPERATIONAL RISK |
OTHER RISK EXPOSURE AMOUNTS |
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL |
|
QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL |
MEMORANDUM ITEM: GOODWILL (–)/(+) NEGATIVE GOODWILL |
OF WHICH: COMMON EQUITY TIER 1 |
OF WHICH: ADDITIONAL TIER 1 |
OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT |
OF WHICH: (–) GOODWILL/(+) NEGATIVE GOODWILL |
CAPITAL CONSERVATION BUFFER |
INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER |
CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE |
SYSTEMIC RISK BUFFER |
GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER |
OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER |
||||||||||||||||||||
|
|
COMMON EQUITY TIER 1 CAPITAL |
|
ADDITIONAL TIER 1 CAPITAL |
|
MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL |
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL |
|||||||||||||||||||||||||||||||||||||||||
|
OF WHICH: QUALIFYING OWN FUNDS |
RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS |
OF WHICH: QUALIFYING TIER 1 CAPITAL |
RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS |
OF WHICH: MINORITY INTERESTS |
RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES |
OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL |
OF WHICH: QUALIFYING TIER 2 CAPITAL |
||||||||||||||||||||||||||||||||||||||||
|
010 |
020 |
025 |
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 |
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 |
1 250 % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) |
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR |
MEMORANDUM ITEMS: |
|||||||||||||||||
|
UNFUNDED CREDIT PROTECTION |
(-) 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 |
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050 |
Derivatives & Long Settlement Transactions |
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060 |
From Contractual Cross Product Netting |
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|
070 |
EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL |
|
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080 |
SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL |
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|
BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA: |
|||||||||||||||||||||||||||||||
|
090 |
RISK WEIGHT: 0 % |
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100 |
50 % |
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110 |
70 % |
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120 |
Of which: in category 1 |
|
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130 |
90 % |
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140 |
115 % |
|
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|
150 |
250 % |
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160 |
ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE |
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|
170 |
EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS |
|
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|
180 |
DILUTION RISK: TOTAL PURCHASED RECEIVABLES |
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C 08.02 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)
IRB Exposure class:
Own estimates of LGD and/or conversion factors:
|
OBLIGOR GRADE (ROW IDENTIFIER) |
INTERNAL RATING SYSTEM |
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE |
EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS |
|
EXPOSURE VALUE |
|
CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT |
SUBJECT TO DOUBLE DEFAULT TREATMENT |
EXPOSURE WEIGHTED AVERAGE LGD (%) |
EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) |
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR |
MEMORANDUM ITEMS: |
||||||||||||||||
|
UNFUNDED CREDIT PROTECTION |
(-) OTHER FUNDED CREDIT PROTECTION |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM |
OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION |
FUNDED CREDIT PROTECTION |
UNFUNDED CREDIT PROTECTION |
EXPECTED LOSS AMOUNT |
(-) VALUE ADJUSTMENTS AND PROVISIONS |
NUMBER OF OBLIGORS |
|||||||||||||||||||||||
|
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) |
|
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
(-) GUARANTEES |
(-) CREDIT DERIVATIVES |
(-) TOTAL OUTFLOWS |
TOTAL INFLOWS (+) |
OF WHICH: OFF BALANCE SHEET ITEMS |
OF WHICH: OFF BALANCE SHEET ITEMS |
OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK |
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
GUARANTEES |
CREDIT DERIVATIVES |
OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION |
ELIGIBLE FINANCIAL COLLATERAL |
OTHER ELIGIBLE COLLATERAL |
|
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
||||||||||||||
|
REAL ESTATE |
OTHER PHYSICAL COLLATERAL |
RECEIVABLES |
|||||||||||||||||||||||||||||
|
005 |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
255 |
260 |
270 |
280 |
290 |
300 |
|
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|
|
C 09.01 - GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)
Country:
|
|
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
Defaulted exposures |
Observed new defaults for the period |
General credit risk adjustments |
Specific credit risk adjustments |
Of which: write off |
Credit risk adjustments/write-offs for observed new defaults |
EXPOSURE VALUE |
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR |
|
|
010 |
020 |
040 |
050 |
055 |
060 |
070 |
075 |
080 |
090 |
||
|
010 |
Central governments or central banks |
|
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|
020 |
Regional governments or local authorities |
|
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|
030 |
Public sector entities |
|
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|
040 |
Multilateral Development Banks |
|
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|
050 |
International Organisations |
|
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|
060 |
Institutions |
|
|
|
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|
|
|
|
|
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|
070 |
Corporates |
|
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|
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|
075 |
of which: SME |
|
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|
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|
|
|
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|
080 |
Retail |
|
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|
|
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|
085 |
of which: SME |
|
|
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|
|
|
|
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|
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|
090 |
Secured by mortgages on immovable property |
|
|
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|
|
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|
095 |
of which: SME |
|
|
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|
100 |
Exposures in default |
|
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|
110 |
Items associated with particularly high risk |
|
|
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|
|
|
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|
120 |
Covered bonds |
|
|
|
|
|
|
|
|
|
|
|
130 |
Claims on institutions and corporates with a short-term credit assessment |
|
|
|
|
|
|
|
|
|
|
|
140 |
Collective investments undertakings (CIU) |
|
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|
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|
150 |
Equity exposures |
|
|
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|
|
|
|
|
|
|
|
160 |
Other exposures |
|
|
|
|
|
|
|
|
|
|
|
170 |
Total exposures |
|
|
|
|
|
|
|
|
|
|
C 09.02 - GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)
Country:
|
|
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
Of which: defaulted |
Observed new defaults for the period |
General credit risk adjustments |
Specific credit risk adjustments |
Of which: write off |
Credit risk adjustments/write-offs for observed new defaults |
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) |
EXPOSURE WEIGHTED AVERAGE LGD (%) |
Of which: defaulted |
EXPOSURE VALUE |
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR |
Of which: defaulted |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR |
EXPECTED LOSS AMOUNT |
|
|
010 |
030 |
040 |
050 |
055 |
060 |
070 |
080 |
090 |
100 |
105 |
110 |
120 |
125 |
130 |
||
|
010 |
Central governments or central banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
020 |
Institutions |
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
Corporates |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
042 |
Of Which: Specialised Lending (excl. SL subject to slotting criteria) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
045 |
Of Which: Specialised Lending subject to slotting criteria |
|
|
|
|
|
|
|
|
|
|
|
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|
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|
|
050 |
Of Which: SME |
|
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|
|
|
|
|
060 |
Retail |
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
070 |
Secured by real estate property |
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
080 |
SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
090 |
Non-SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100 |
Qualifying Revolving |
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
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 SECURITISATION EXPOSURES ORIGINATED |
SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES |
SECURITISATION POSITIONS |
(-) VALUE ADJUSTMENTS AND PROVISIONS |
EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE |
NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS |
(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam) |
FULLY ADJUSTED EXPOSURE VALUE (E*) |
BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS |
EXPOSURE VALUE |
|
BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS |
BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS |
RISK-WEIGHTED EXPOSURE AMOUNT |
OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS |
ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES |
TOTAL RISK-WEIGHTED EXPOSURE AMOUNT |
MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES |
|||||||||||||||||||||
|
(-) FUNDED CREDIT PROTECTION (Cva) |
(-) TOTAL OUTFLOWS |
NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION |
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) |
(-) FUNDED CREDIT PROTECTION |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM |
0 % |
> 0 % and <= 20 % |
> 20 % and <= 50 % |
> 50 % and <= 100 % |
(-) DEDUCTED FROM OWN FUNDS |
SUBJECT TO RISK WEIGHTS |
RATED (CREDIT QUALITY STEPS) |
1 250 % |
LOOK-THROUGH |
INTERNAL ASSESMENT APPROACH |
||||||||||||||||||||||||
|
(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) |
(-) TOTAL OUTFLOWS |
TOTAL INFLOWS |
CQS 1 |
CQS 2 |
CQS 3 |
CQS 4 |
ALL OTHER CQS |
UNRATED |
|
OF WHICH: SECOND LOSS IN ABCP |
OF WHICH: AVERAGE RISK WEIGHT (%) |
|
AVERAGE RISK WEIGHT (%) |
|
OF WHICH: SYNTHETIC SECURITISATIONS |
BEFORE CAP |
AFTER CAP |
|||||||||||||||||||||||
|
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
340 |
350 |
360 |
370 |
380 |
390 |
||
|
010 |
TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cell linked to CA |
|
|
020 |
OF WHICH: RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cell linked to CA |
|
|
030 |
ORIGINATOR: TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
ON-BALANCE SHEET ITEMS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
060 |
RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
070 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
080 |
SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
090 |
RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100 |
EARLY AMORTISATION |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
INVESTOR: TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
120 |
ON-BALANCE SHEET ITEMS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
130 |
SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
140 |
RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
160 |
SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
170 |
RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
180 |
SPONSOR: TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
190 |
ON-BALANCE SHEET ITEMS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
200 |
SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
210 |
RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
220 |
OFF-BALANCE SHEET 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 SECURITISATION 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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
180 |
ON-BALANCE SHEET ITEMS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
190 |
SECURITISATIONS |
A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
200 |
B |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
210 |
C |
|
|
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|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
220 |
RE-SECURITISATIONS |
D |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
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|
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|
|
|
230 |
E |
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
240 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
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|
|
|
250 |
SECURITISATIONS |
A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
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|
|
|
|
|
|
|
|
260 |
B |
|
|
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|
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|
|
|
270 |
C |
|
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|
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|
|
280 |
RE-SECURITISATIONS |
D |
|
|
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|
|
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|
|
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|
290 |
E |
|
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|
|
|
|
|
|
300 |
SPONSOR: TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
310 |
ON-BALANCE SHEET ITEMS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
|
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|
|
|
320 |
SECURITISATIONS |
A |
|
|
|
|
|
|
|
|
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|
|
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|
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|
330 |
B |
|
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|
340 |
C |
|
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|
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|
|
|
350 |
RE-SECURITISATIONS |
D |
|
|
|
|
|
|
|
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|
|
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|
360 |
E |
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
370 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
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|
|
|
|
|
|
|
380 |
SECURITISATIONS |
A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
|
|
|
|
|
|
|
|
390 |
B |
|
|
|
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|
|
|
|
400 |
C |
|
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|
|
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|
|
|
410 |
RE-SECURITISATIONS |
D |
|
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|
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|
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|
|
420 |
E |
|
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|
|
BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: |
|||||||||||||||||||||||||||||||||||||||||||||||
|
430 |
CQS 1 & S/T CQS 1 |
|
|
|
|
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|
|
440 |
CQS 2 |
|
|
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|
450 |
CQS 3 |
|
|
|
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|
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|
|
460 |
CQS 4 & S/T CQS 2 |
|
|
|
|
|
|
|
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|
|
|
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|
|
470 |
CQS 5 |
|
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|
|
480 |
CQS 6 |
|
|
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|
|
490 |
CQS 7 & S/T CQS 3 |
|
|
|
|
|
|
|
|
|
|
|
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|
|
500 |
CQS 8 |
|
|
|
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|
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|
|
510 |
CQS 9 |
|
|
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|
|
|
|
|
520 |
CQS 10 |
|
|
|
|
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|
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|
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|
|
|
530 |
CQS 11 |
|
|
|
|
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|
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|
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|
|
|
540 |
ALL OTHER CQS AND UNRATED |
|
|
|
|
|
|
|
|
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|
|
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|
|
C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details)
|
ROW NUMBER |
INTERNAL CODE |
IDENTIFIER OF THE SECURITISATION |
IDENTIFIER OF THE ORIGINATOR |
SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC) |
ACCOUNTING TREATMENT: Securitised exposures are kept or removed from the balance sheet? |
SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements? |
SECURITISATION OR RE-SECURITISATION? |
RETENTION |
ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR) |
NON ABCP PROGRAMMES |
|
SECURITISED EXPOSURES |
SECURITISATION STRUCTURE |
SECURITISATION POSITIONS |
(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS |
TOTAL RISK-WEIGHTED EXPOSURE AMOUNT |
SECURITISATION POSITIONS - TRADING BOOK |
|||||||||||||||||||||||||||||||
|
TYPE OF RETENTION APPLIED |
% OF RETENTION AT REPORTING DATE |
COMPLIANCE WITH THE RETENTION REQUIREMENT? |
ORIGINATION DATE (mm/yyyy) |
TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE |
TOTAL AMOUNT |
INSTITUTION'S SHARE (%) |
TYPE |
APPROACH APPLIED (SA/IRB/MIX) |
NUMBER OF EXPOSURES |
COUNTRY |
ELGD (%) |
(-) VALUE ADJUSTMENTS AND PROVISIONS |
OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) |
ON-BALANCE SHEET ITEMS |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
MATURITY |
ORIGINAL EXPOSURE PRE-CONVERSION FACTORS |
MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
EARLY AMORTISATION |
CTP OR NON-CTP? |
NET POSITIONS |
TOTAL OWN FUNDS REQUIREMENTS (SA) |
||||||||||||||||||||||||||
|
SENIOR |
MEZZANINE |
FIRST LOSS |
SENIOR |
MEZZANINE |
FIRST LOSS |
FIRST FORESEEABLE TERMINATION DATE |
LEGAL FINAL MATURITY DATE |
ON-BALANCE SHEET ITEMS |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
DIRECT CREDIT SUBSTITUTES |
IRS/CRS |
ELIGIBLE LIQUIDITY FACILITIES |
OTHER (including non-eligible LF) |
CONVERSION FACTOR APPLIED |
||||||||||||||||||||||||||||||||||
|
SENIOR |
MEZZANINE |
FIRST LOSS |
SENIOR |
MEZZANINE |
FIRST LOSS |
BEFORE CAP |
AFTER CAP |
|||||||||||||||||||||||||||||||||||||||||
|
LONG |
SHORT |
SPECIFIC RISK |
||||||||||||||||||||||||||||||||||||||||||||||
|
005 |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
340 |
350 |
360 |
370 |
380 |
390 |
400 |
410 |
420 |
430 |
440 |
450 |
460 |
470 |
480 |
|
|
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|
|
C 16.00 - OPERATIONAL RISK (OPR)
|
BANKING ACTIVITIES |
RELEVANT INDICATOR |
LOANS AND ADVANCES (IN CASE OF ASA APPLICATION) |
OWN FUNDS REQUIREMENT |
Total operational risk exposure amount |
AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE |
|||||||||
|
YEAR-3 |
YEAR-2 |
LAST YEAR |
YEAR-3 |
YEAR-2 |
LAST YEAR |
OF WHICH: DUE TO AN ALLOCATION MECHANISM |
OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES |
(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES |
(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION |
(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS) |
||||
|
010 |
020 |
030 |
040 |
050 |
060 |
070 |
O71 |
080 |
090 |
100 |
110 |
120 |
||
|
010 |
1. BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA) |
|
|
|
|
|
|
|
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) |
|
|
|
|
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|
|
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|
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|
|
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 |
|
|
010 |
CORPORATE FINANCE [CF] |
Number of events (new events) |
|
|
|
|
|
|
|
|
|
|
|
020 |
Gross loss amount (new events) |
|
|
|
|
|
|
|
|
|
|
|
|
030 |
Number of events subject to loss adjustments |
|
|
|
|
|
|
|
|
|
|
|
|
040 |
Loss adjustments relating to previous reporting periods |
|
|
|
|
|
|
|
|
|
|
|
|
050 |
Maximum single loss |
|
|
|
|
|
|
|
|
|
|
|
|
060 |
Sum of the five largest losses |
|
|
|
|
|
|
|
|
|
|
|
|
070 |
Total direct loss recovery |
|
|
|
|
|
|
|
|
|
|
|
|
080 |
Total recovery from insurance and other risk transfer mechanisms |
|
|
|
|
|
|
|
|
|
|
|
|
110 |
TRADING AND SALES [TS] |
Number of events (new events) |
|
|
|
|
|
|
|
|
|
|
|
120 |
Gross loss amount (new events) |
|
|
|
|
|
|
|
|
|
|
|
|
130 |
Number of events subject to loss adjustments |
|
|
|
|
|
|
|
|
|
|
|
|
140 |
Loss adjustments relating to previous reporting periods |
|
|
|
|
|
|
|
|
|
|
|
|
150 |
Maximum single loss |
|
|
|
|
|
|
|
|
|
|
|
|
160 |
Sum of the five largest losses |
|
|
|
|
|
|
|
|
|
|
|
|
170 |
Total direct loss recovery |
|
|
|
|
|
|
|
|
|
|
|
|
180 |
Total recovery from insurance and other risk transfer mechanisms |
|
|
|
|
|
|
|
|
|
|
|
|
210 |
RETAIL BROKERAGE [RBr] |
Number of events (new events) |
|
|
|
|
|
|
|
|
|
|
|
220 |
Gross loss amount (new events) |
|
|
|
|
|
|
|
|
|
|
|
|
230 |
Number of events subject to loss adjustments |
|
|
|
|
|
|
|
|
|
|
|
|
240 |
Loss adjustments relating to previous reporting periods |
|
|
|
|
|
|
|
|
|
|
|
|
250 |
Maximum single loss |
|
|
|
|
|
|
|
|
|
|
|
|
260 |
Sum of the five largest losses |
|
|
|
|
|
|
|
|
|
|
|
|
270 |
Total direct loss recovery |
|
|
|
|
|
|
|
|
|
|
|
|
280 |
Total recovery from insurance and other risk transfer mechanisms |
|
|
|
|
|
|
|
|
|
|
|
|
310 |
COMMERCIAL BANKING [CB] |
Number of events (new events) |
|
|
|
|
|
|
|
|
|
|
|
320 |
Gross loss amount (new events) |
|
|
|
|
|
|
|
|
|
|
|
|
330 |
Number of events subject to loss adjustments |
|
|
|
|
|
|
|
|
|
|
|
|
340 |
Loss adjustments relating to previous reporting periods |
|
|
|
|
|
|
|
|
|
|
|
|
350 |
Maximum single loss |
|
|
|
|
|
|
|
|
|
|
|
|
360 |
Sum of the five largest losses |
|
|
|
|
|
|
|
|
|
|
|
|
370 |
Total direct loss recovery |
|
|
|
|
|
|
|
|
|
|
|
|
380 |
Total recovery from insurance and other risk transfer mechanisms |
|
|
|
|
|
|
|
|
|
|
|
|
410 |
RETAIL BANKING [RB] |
Number of events (new events) |
|
|
|
|
|
|
|
|
|
|
|
420 |
Gross loss amount (new events) |
|
|
|
|
|
|
|
|
|
|
|
|
430 |
Number of events subject to loss adjustments |
|
|
|
|
|
|
|
|
|
|
|
|
440 |
Loss adjustments relating to previous reporting periods |
|
|
|
|
|
|
|
|
|
|
|
|
450 |
Maximum single loss |
|
|
|
|
|
|
|
|
|
|
|
|
460 |
Sum of the five largest losses |
|
|
|
|
|
|
|
|
|
|
|
|
470 |
Total direct loss recovery |
|
|
|
|
|
|
|
|
|
|
|
|
480 |
Total recovery from insurance and other risk transfer mechanisms |
|
|
|
|
|
|
|
|
|
|
|
|
510 |
PAYMENT AND SETTLEMENT [PS] |
Number of events (new events) |
|
|
|
|
|
|
|
|
|
|
|
520 |
Gross loss amount (new events) |
|
|
|
|
|
|
|
|
|
|
|
|
530 |
Number of events subject to loss adjustments |
|
|
|
|
|
|
|
|
|
|
|
|
540 |
Loss adjustments relating to previous reporting periods |
|
|
|
|
|
|
|
|
|
|
|
|
550 |
Maximum single loss |
|
|
|
|
|
|
|
|
|
|
|
|
560 |
Sum of the five largest losses |
|
|
|
|
|
|
|
|
|
|
|
|
570 |
Total direct loss recovery |
|
|
|
|
|
|
|
|
|
|
|
|
580 |
Total recovery from insurance and other risk transfer mechanisms |
|
|
|
|
|
|
|
|
|
|
|
|
610 |
AGENCY SERVICES [AS] |
Number of events (new events) |
|
|
|
|
|
|
|
|
|
|
|
620 |
Gross loss amount (new events) |
|
|
|
|
|
|
|
|
|
|
|
|
630 |
Number of events subject to loss adjustments |
|
|
|
|
|
|
|
|
|
|
|
|
640 |
Loss adjustments relating to previous reporting periods |
|
|
|
|
|
|
|
|
|
|
|
|
650 |
Maximum single loss |
|
|
|
|
|
|
|
|
|
|
|
|
660 |
Sum of the five largest losses |
|
|
|
|
|
|
|
|
|
|
|
|
670 |
Total direct loss recovery |
|
|
|
|
|
|
|
|
|
|
|
|
680 |
Total recovery from insurance and other risk transfer mechanisms |
|
|
|
|
|
|
|
|
|
|
|
|
710 |
ASSET MANAGEMENT [AM] |
Number of events (new events) |
|
|
|
|
|
|
|
|
|
|
|
720 |
Gross loss amount (new events) |
|
|
|
|
|
|
|
|
|
|
|
|
730 |
Number of events subject to loss adjustments |
|
|
|
|
|
|
|
|
|
|
|
|
740 |
Loss adjustments relating to previous reporting periods |
|
|
|
|
|
|
|
|
|
|
|
|
750 |
Maximum single loss |
|
|
|
|
|
|
|
|
|
|
|
|
760 |
Sum of the five largest losses |
|
|
|
|
|
|
|
|
|
|
|
|
770 |
Total direct loss recovery |
|
|
|
|
|
|
|
|
|
|
|
|
780 |
Total recovery from insurance and other risk transfer mechanisms |
|
|
|
|
|
|
|
|
|
|
|
|
810 |
CORPORATE ITEMS [CI] |
Number of events (new events) |
|
|
|
|
|
|
|
|
|
|
|
820 |
Gross loss amount (new events) |
|
|
|
|
|
|
|
|
|
|
|
|
830 |
Number of events subject to loss adjustments |
|
|
|
|
|
|
|
|
|
|
|
|
840 |
Loss adjustments relating to previous reporting periods |
|
|
|
|
|
|
|
|
|
|
|
|
850 |
Maximum single loss |
|
|
|
|
|
|
|
|
|
|
|
|
860 |
Sum of the five largest losses |
|
|
|
|
|
|
|
|
|
|
|
|
870 |
Total direct loss recovery |
|
|
|
|
|
|
|
|
|
|
|
|
880 |
Total recovery from insurance and other risk transfer mechanisms |
|
|
|
|
|
|
|
|
|
|
|
|
910 |
TOTAL BUSINESS LINES |
Number of events (new events). Of which: |
|
|
|
|
|
|
|
|
|
|
|
911 |
related to losses ≥ 10 000 and < 20 000 |
|
|
|
|
|
|
|
|
|
|
|
|
912 |
related to losses ≥ 20 000 and < 100 000 |
|
|
|
|
|
|
|
|
|
|
|
|
913 |
related to losses ≥ 100 000 and < 1 000 000 |
|
|
|
|
|
|
|
|
|
|
|
|
914 |
related to losses ≥ 1 000 000 |
|
|
|
|
|
|
|
|
|
|
|
|
920 |
Gross loss amount (new events). Of which: |
|
|
|
|
|
|
|
|
|
|
|
|
921 |
related to losses ≥ 10 000 and < 20 000 |
|
|
|
|
|
|
|
|
|
|
|
|
922 |
related to losses ≥ 20 000 and < 100 000 |
|
|
|
|
|
|
|
|
|
|
|
|
923 |
related to losses ≥ 100 000 and < 1 000 000 |
|
|
|
|
|
|
|
|
|
|
|
|
924 |
related to losses ≥ 1 000 000 |
|
|
|
|
|
|
|
|
|
|
|
|
930 |
Number of events subject to loss adjustments. Of which: |
|
|
|
|
|
|
|
|
|
|
|
|
935 |
of which: number of events with a positive loss adjustment |
|
|
|
|
|
|
|
|
|
|
|
|
936 |
of which: number of events with a negative loss adjustment |
|
|
|
|
|
|
|
|
|
|
|
|
940 |
Loss adjustments relating to previous reporting periods |
|
|
|
|
|
|
|
|
|
|
|
|
945 |
of which: positive loss adjustment amounts (+) |
|
|
|
|
|
|
|
|
|
|
|
|
946 |
of which: negative loss adjustment amounts (–) |
|
|
|
|
|
|
|
|
|
|
|
|
950 |
Maximum single loss |
|
|
|
|
|
|
|
|
|
|
|
|
960 |
Sum of the five largest losses |
|
|
|
|
|
|
|
|
|
|
|
|
970 |
Total direct loss recovery |
|
|
|
|
|
|
|
|
|
|
|
|
980 |
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 |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
|
… |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
C 18.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
Currency:
|
|
POSITIONS |
OWN FUNDS REQUIREMENTS |
TOTAL RISK EXPOSURE AMOUNT |
||||||
|
ALL POSITIONS |
NET POSITIONS |
POSITIONS SUBJECT TO CAPITAL CHARGE |
|||||||
|
LONG |
SHORT |
LONG |
SHORT |
||||||
|
010 |
020 |
030 |
040 |
050 |
060 |
070 |
|||
|
010 |
TRADED DEBT INSTRUMENTS IN TRADING BOOK |
|
|
|
|
|
|
Cell linked to CA2 |
|
|
011 |
General risk |
|
|
|
|
|
|
|
|
|
012 |
Derivatives |
|
|
|
|
|
|
|
|
|
013 |
Other assets and liabilities |
|
|
|
|
|
|
|
|
|
020 |
Maturity-based approach |
|
|
|
|
|
|
|
|
|
030 |
Zone 1 |
|
|
|
|
|
|
|
|
|
040 |
0 ≤ 1 month |
|
|
|
|
|
|
|
|
|
050 |
> 1 ≤ 3 months |
|
|
|
|
|
|
|
|
|
060 |
> 3 ≤ 6 months |
|
|
|
|
|
|
|
|
|
070 |
> 6 ≤ 12 months |
|
|
|
|
|
|
|
|
|
080 |
Zone 2 |
|
|
|
|
|
|
|
|
|
090 |
> 1 ≤ 2 (1,9 for cupon of less than 3 %) years |
|
|
|
|
|
|
|
|
|
100 |
> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3 %) years |
|
|
|
|
|
|
|
|
|
110 |
> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3 %) years |
|
|
|
|
|
|
|
|
|
120 |
Zone 3 |
|
|
|
|
|
|
|
|
|
130 |
> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3 %) years |
|
|
|
|
|
|
|
|
|
140 |
> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3 %) years |
|
|
|
|
|
|
|
|
|
150 |
> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3 %) years |
|
|
|
|
|
|
|
|
|
160 |
> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3 %) years |
|
|
|
|
|
|
|
|
|
170 |
> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3 %) years |
|
|
|
|
|
|
|
|
|
180 |
> 20 (> 10,6 ≤ 12,0 for cupon of less than 3 %) years |
|
|
|
|
|
|
|
|
|
190 |
(> 12,0 ≤ 20,0 for cupon of less than 3 %) years |
|
|
|
|
|
|
|
|
|
200 |
(> 20 for cupon of less than 3 %) years |
|
|
|
|
|
|
|
|
|
210 |
Duration-based approach |
|
|
|
|
|
|
|
|
|
220 |
Zone 1 |
|
|
|
|
|
|
|
|
|
230 |
Zone 2 |
|
|
|
|
|
|
|
|
|
240 |
Zone 3 |
|
|
|
|
|
|
|
|
|
250 |
Specific risk |
|
|
|
|
|
|
|
|
|
251 |
Own funds requirement for non-securitisation debt instruments |
|
|
|
|
|
|
|
|
|
260 |
Debt securities under the first category in Table 1 |
|
|
|
|
|
|
|
|
|
270 |
Debt securities under the second category in Table 1 |
|
|
|
|
|
|
|
|
|
280 |
With residual term ≤ 6 months |
|
|
|
|
|
|
|
|
|
290 |
With a residual term > 6 months and ≤ 24 months |
|
|
|
|
|
|
|
|
|
300 |
With a residual term > 24 months |
|
|
|
|
|
|
|
|
|
310 |
Debt securities under the third category in Table 1 |
|
|
|
|
|
|
|
|
|
320 |
Debt securities under the fourth category in Table 1 |
|
|
|
|
|
|
|
|
|
321 |
Rated nth-to default credit derivatives |
|
|
|
|
|
|
|
|
|
325 |
Own funds requirement for securitisation instruments |
|
|
|
|
|
|
|
|
|
330 |
Own funds requirement for the correlation trading portfolio |
|
|
|
|
|
|
|
|
|
350 |
Additional requirements for options (non-delta risks) |
|
|
|
|
|
|
|
|
|
360 |
Simplified method |
|
|
|
|
|
|
|
|
|
370 |
Delta plus approach - additional requirements for gamma risk |
|
|
|
|
|
|
|
|
|
380 |
Delta plus approach - additional requirements for vega risk |
|
|
|
|
|
|
|
|
|
390 |
Scenario matrix approach |
|
|
|
|
|
|
|
|
C 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
|
|
ALL POSITIONS |
(-) POSITIONS DEDUCTED FROM OWN FUNDS |
NET POSITIONS |
BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS |
BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS |
OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS |
BEFORE CAP |
AFTER CAP |
TOTAL OWN FUNDS REQUIREMENTS |
|||||||||||||||||||||||||||||||||||||||||||||||||||||
|
RISK WEIGHTS < 1 250 % |
1 250 % |
SUPERVISORY FORMULA METHOD |
LOOK-THROUGH |
INTERNAL ASSESMENT APPROACH |
RISK WEIGHTS < 1 250 % |
1 250 % |
SUPERVISORY FORMULA METHOD |
LOOK-THROUGH |
INTERNAL ASSESMENT APPROACH |
|||||||||||||||||||||||||||||||||||||||||||||||||||||
|
LONG |
SHORT |
(-) LONG |
(-) SHORT |
LONG |
SHORT |
7 - 10 % |
12 - 18 % |
20 - 35 % |
40 - 75 % |
100 % |
150 % |
200 % |
225 % |
250 % |
300 % |
350 % |
425 % |
500 % |
650 % |
750 % |
850 % |
RATED |
UNRATED |
|
AVERAGE RISK WEIGHT (%) |
|
AVERAGE RISK WEIGHT (%) |
7 - 10 % |
12 - 18 % |
20 - 35 % |
40 - 75 % |
100 % |
150 % |
200 % |
225 % |
250 % |
300 % |
350 % |
425 % |
500 % |
650 % |
750 % |
850 % |
RATED |
UNRATED |
|
AVERAGE RISK WEIGHT (%) |
|
AVERAGE RISK WEIGHT (%) |
WEIGHTED NET LONG POSITIONS |
WEIGHTED NET SHORT POSITIONS |
WEIGHTED NET LONG POSITIONS |
WEIGHTED NET SHORT POSITIONS |
SUM OF WEIGHTED NET LONG AND SHORT POSITIONS |
WEIGHTED NET LONG POSITIONS |
WEIGHTED NET SHORT POSITIONS |
SUM OF WEIGHTED NET LONG AND SHORT POSITIONS |
|||||
|
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
340 |
350 |
360 |
370 |
380 |
390 |
400 |
410 |
420 |
430 |
440 |
450 |
460 |
470 |
480 |
490 |
500 |
510 |
520 |
530 |
540 |
550 |
560 |
570 |
580 |
590 |
600 |
610 |
||
|
010 |
TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cell linked to MKR SA TDI {325:060} |
|
020 |
Of which: RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
|
|
|
|
|
|
|
030 |
ORIGINATOR: TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
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|
|
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|
|
|
|
|
|
|
|
040 |
SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
|
|
|
|
|
|
|
|
050 |
RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
|
|
|
|
|
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|
|
|
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|
|
|
|
|
|
|
|
060 |
INVESTOR: TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
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|
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|
|
|
|
|
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|
|
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|
|
|
|
|
|
|
|
|
|
|
070 |
SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
080 |
RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
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|
|
|
|
|
|
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|
|
|
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|
|
|
|
|
|
|
|
090 |
SPONSOR: TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
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|
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|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100 |
SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES: |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
120 |
1. Residential mortgages |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
130 |
2. Commercial mortgages |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
140 |
3. Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
150 |
4. Leasing |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
160 |
5. Loans to corporates or SMEs |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
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|
|
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|
|
|
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|
|
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|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
170 |
6. Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
180 |
7. Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
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|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
190 |
8. Other assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
|
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|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
200 |
9. Covered Bondes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
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|
|
|
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|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
210 |
10. Other liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
|
|
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|
|
|
|
|
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|
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|
|
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|
|
|
|
|
|
C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
|
|
ALL POSITIONS |
(-) POSITIONS DEDUCTED FROM OWN FUNDS |
NET POSITIONS |
BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS |
BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS |
BEFORE CAP |
AFTER CAP |
TOTAL OWN FUNDS REQUIREMENTS |
||||||||||||||||||||||||||||||||||||||
|
RISK WEIGHTS < 1 250 % |
1 250 % |
SUPERVISORY FORMULA METHOD |
LOOK-THROUGH |
INTERNAL ASSESMENT APPROACH |
RISK WEIGHTS < 1 250 % |
1 250 % |
SUPERVISORY FORMULA METHOD |
LOOK-THROUGH |
INTERNAL ASSESMENT APPROACH |
|||||||||||||||||||||||||||||||||||||
|
LONG |
SHORT |
(-) LONG |
(-) SHORT |
LONG |
SHORT |
7 - 10 % |
12 - 18 % |
20 - 35 % |
40- 75 % |
100 % |
250 % |
350 % |
425 % |
650 % |
Other |
RATED |
UNRATED |
|
AVERAGE RISK WEIGHT (%) |
|
AVERAGE RISK WEIGHT (%) |
7 - 10 % |
12 - 18 % |
20 - 35 % |
40 - 75 % |
100 % |
250 % |
350 % |
425 % |
650 % |
Other |
RATED |
UNRATED |
|
AVERAGE RISK WEIGHT (%) |
|
AVERAGE RISK WEIGHT (%) |
WEIGHTED NET LONG POSITIONS |
WEIGHTED NET SHORT POSITIONS |
WEIGHTED NET LONG POSITIONS |
WEIGHTED NET SHORT POSITIONS |
|||||
|
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
340 |
350 |
360 |
370 |
380 |
390 |
400 |
410 |
420 |
430 |
440 |
450 |
||
|
010 |
TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
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 overshootings during previous 250 working days |
VaR Multiplication Factor (mc) |
SVaR Multiplication Factor (ms) |
ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP |
ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP |
||||||
|
MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) |
PREVIOUS DAY (VaRt – 1) |
MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) |
LATEST AVAILABLE (SVaRt – 1) |
12 WEEKS AVERAGE MEASURE |
LAST MEASURE |
FLOOR |
12 WEEKS AVERAGE MEASURE |
LAST MEASURE |
|||||||||
|
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
||
|
010 |
TOTAL POSITIONS |
|
|
|
|
|
|
|
|
|
|
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 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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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] |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150 |
International Organisations [Institutions] |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
|
Table of Contents |
|
|
PART I: GENERAL INSTRUCTIONS |
|
|
1. |
STRUCTURE AND CONVENTIONS |
|
1.1. |
STRUCTURE |
|
1.2. |
NUMBERING CONVENTION |
|
1.3. |
SIGN CONVENTION |
|
PART II: TEMPLATE RELATED INSTRUCTIONS |
|
|
1. |
CAPITAL ADEQUACY OVERVIEW (CA) |
|
1.1. |
GENERAL REMARKS |
|
1.2. |
C 01.00 — OWN FUNDS (CA1) |
|
1.2.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
1.3. |
C 02.00 — OWN FUNDS REQUIREMENTS (CA2) |
|
1.3.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
1.4. |
C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3) |
|
1.4.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
1.5. |
C 04.00 — MEMORANDUM ITEMS (CA4) |
|
1.5.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
1.6. |
TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5) |
|
1.6.1. |
GENERAL REMARKS |
|
1.6.2. |
C 05.01 — TRANSITIONAL PROVISIONS (CA5.1) |
|
1.6.2.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
1.6.3. |
C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) |
|
1.6.3.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
2. |
GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) |
|
2.1. |
GENERAL REMARKS |
|
2.2. |
DETAILED GROUP SOLVENCY INFORMATION |
|
2.3. |
INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY |
|
2.4. |
C 06.01 — GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL) |
|
2.5. |
C 06.02 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) |
|
3. |
CREDIT RISK TEMPLATES |
|
3.1. |
GENERAL REMARKS |
|
3.1.1. |
REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT |
|
3.1.2. |
REPORTING OF COUNTERPARTY CREDIT RISK |
|
3.2. |
C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA) |
|
3.2.1. |
GENERAL REMARKS |
|
3.2.2. |
SCOPE OF THE CR SA TEMPLATE |
|
3.2.3. |
ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES UNDER THE STANDARDISED APPROACH |
|
3.2.4. |
CLARIFICATIONS ON THE SCOPE OF SOME SPECIFIC EXPOSURE CLASSES REFERRED TO IN ARTICLE 112 OF CRR |
|
3.2.4.1. |
EXPOSURE CLASS ‘INSTITUTIONS’ |
|
3.2.4.2. |
EXPOSURE CLASS ‘COVERED BONDS’ |
|
3.2.4.3. |
EXPOSURE CLASS ‘COLLECTIVE INVESTMENT UNDERTAKINGS’ |
|
3.2.5. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
3.3. |
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB) |
|
3.3.1. |
SCOPE OF THE CR IRB TEMPLATE |
|
3.3.2. |
BREAKDOWN OF THE CR IRB TEMPLATE |
|
3.3.3. |
C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1) |
|
3.3.3.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
3.3.4. |
C 08.02 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2 TEMPLATE) |
|
3.4. |
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN |
|
3.4.1. |
C 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1) |
|
3.4.1.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
3.4.2. |
C 09.02 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2) |
|
3.4.2.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
3.4.3. |
C 09.04 — BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB) |
|
3.4.3.1. |
GENERAL REMARKS |
|
3.4.3.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
3.5. |
C 10.01 AND C 10.02 — EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2) |
|
3.5.1. |
GENERAL REMARKS |
|
3.5.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS (APPLICABLE TO BOTH CR EQU IRB 1 AND CR EQU IRB 2) |
|
3.6. |
C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT) |
|
3.6.1. |
GENERAL REMARKS |
|
3.6.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
3.7. |
C 12.00 — CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA) |
|
3.7.1. |
GENERAL REMARKS |
|
3.7.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
3.8. |
C 13.00 — CREDIT RISK — SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB) |
|
3.8.1. |
GENERAL REMARKS |
|
3.8.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
3.9. |
C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) |
|
3.9.1. |
GENERAL REMARKS |
|
3.9.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
4. |
OPERATIONAL RISK TEMPLATES |
|
4.1. |
C 16.00 — OPERATIONAL RISK (OPR) |
|
4.1.1. |
GENERAL REMARKS |
|
4.1.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
4.2. |
OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS) |
|
4.2.1. |
GENERAL REMARKS |
|
4.2.2. |
TEMPLATE 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 |
|
4.2.2.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
4.2.3. |
TEMPLATE 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 |
|
4.2.3.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
5. |
MARKET RISK TEMPLATES |
|
5.1. |
C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) |
|
5.1.1. |
GENERAL REMARKS |
|
5.1.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
5.2. |
C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC) |
|
5.2.1. |
GENERAL REMARKS |
|
5.2.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
5.3. |
C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) |
|
5.3.1. |
GENERAL REMARKS |
|
5.3.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
5.4. |
C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) |
|
5.4.1. |
GENERAL REMARKS |
|
5.4.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
5.5. |
C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) |
|
5.5.1. |
GENERAL REMARKS |
|
5.5.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
5.6. |
C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) |
|
5.6.1. |
GENERAL REMARKS |
|
5.6.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
5.7. |
C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM) |
|
5.7.1. |
GENERAL REMARKS |
|
5.7.2. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
5.8. |
C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA) |
|
5.8.1. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
|
6. |
C 33.00 — EXPOSURES TO GENERAL GOVERNMENTS (GOV) |
|
6.1. |
GENERAL REMARKS |
|
6.2. |
SCOPE OF THE TEMPLATE ON EXPOSURES TO ‘GENERAL GOVERNMENTS’ |
|
6.3. |
INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
PART I: GENERAL INSTRUCTIONS
1. STRUCTURE AND CONVENTIONS
1.1. STRUCTURE
1. Overall, the framework consists of five blocks of templates:
(a) capital adequacy, an overview of regulatory capital; total risk exposure amount;
(b) group solvency, an overview of the fulfilment of the solvency requirements by all individual entities included in the scope of consolidation of the reporting entity
(c) credit risk (including counterparty, dilution and settlement risks);
(d) market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk);
(e) operational risk.
2. For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as validation rules are included in this part of the Implementing Technical Standard.
3. Institutions report only those templates that are relevant depending on the approach used for determining own funds requirements.
1.2. NUMBERING CONVENTION
4. The document follows the labelling convention set in the following table, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules.
5. The following general notation is followed in the instructions: {Template;Row;Column}.
6. In the case of validations inside a template, in which only data points of that template is used, notations do not refer to a template: {Row;Column}.
7. In the case of templates with only one column, only rows are referred to. {Template;Row}
8. An asterisk sign is used to express that the validation is done for the rows or columns specified before.
1.3. SIGN CONVENTION
9. Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the capital requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is expected to be reported for that item.
PART II: TEMPLATE RELATED INSTRUCTIONS
1. CAPITAL ADEQUACY OVERVIEW (CA)
1.1. GENERAL REMARKS
10. CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and transitional provisions and is structures in five templates:
(a) CA1 template contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount. The amount of own funds obtained includes the aggregate effect of transitional provisions per type of capital
(b) CA2 template summarizes the total risk exposures amounts as defined in Article 92(3) of Regulation (EU) No 575/2013 (‘CRR’)
(c) CA3 template contains the ratios for which CRR state a minimum level, and some other related data
(d) CA4 template contains memorandums items needed for calculating items in CA1 as well as information with regard to the CRD capital buffers.
(e) CA5 template contains the data needed for calculating the effect of transitional provisions in own funds. CA5 will cease to exist once the transitional provisions will expire.
11. The templates shall apply to all reporting entities, irrespective of the accounting standards followed, although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount.
12. The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common Equity Tier 1 capital (CET1), Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).
13. Transitional provisions are treated as follows in CA templates:
(a) The items in CA1 are generally gross of transitional adjustments. This means that figures in CA1 items are calculated according to the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of the transitional provisions. For each type of capital (i.e. CET1; AT1 and T2) there are three different items in which all the adjustments due to transitional provisions are included.
(b) Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in articles 36(1) point (j) and 56 point (e) of CRR respectively), and thus the items containing these shortfalls may indirectly reflect the effect of transitional provisions.
(c) Template CA5 is exclusively used for reporting the transitional provisions.
14. The treatment of Pillar II requirements can be different within the EU (Article 104(2) CRD IV has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting of CRR. A detailed reporting of Pillar II requirements is not within the mandate of Article 99 CRR.
a) The templates CA1, CA2 or CA5 only contain data on Pillar I issues.
b) The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. One block focuses on the impact of amounts on the ratios, whereas the other block focuses on the ratio itself. Both blocks of ratios do not have any further link to the templates CA1, CA2 or CA5.
c) The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. This cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104(2) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.
1.2. C 01.00 — OWN FUNDS (CA1)
1.2.1. Instructions concerning specific positions
|
Row |
Legal references and instructions |
|
010 |
1. Own funds Articles 4(1)(118) and 72 of CRR The own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital. |
|
015 |
1.1. Tier 1 capital Article 25 of CRR The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital |
|
020 |
1.1.1. Common Equity Tier 1 capital Article 50 of CRR |
|
030 |
1.1.1.1. Capital instruments eligible as CET1 capital Articles 26(1) points (a) and (b), 27 to 30, 36(1) point (f) and 42 of CRR |
|
040 |
1.1.1.1.1. Paid up capital instruments Articles 26(1) point (a) and 27 to 31 of CRR Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of CRR) shall be included. The share premium related to the instruments shall not be included. Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 CRR are fulfilled. |
|
045 |
1.1.1.1.1* Of which: Capital instruments subscribed by public authorities in emergency situations Article 31 of CRR Capital instruments subscribed by public authorities in emergency situations shall be included in CET1 capital if all conditions of Article 31 CRR are fulfilled. |
|
050 |
1.1.1.1.2* Memorandum item: Capital instruments not eligible Article 28(1) points (b), (l) and (m) of CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments |
|
060 |
1.1.1.1.3. Share premium Articles 4(1)(124), 26(1) point (b) of CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’. |
|
070 |
1.1.1.1.4. (-) Own CET1 instruments Articles 36(1) point (f) and 42 of CRR Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of CRR. Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.1.1.1.4 to 1.1.1.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own CET1 instruments are reported separately in item 1.1.1.1.5. |
|
080 |
1.1.1.1.4.1. (-) Direct holdings of CET1 instruments Articles 36(1) point (f) and 42 of CRR Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group. The amount to be reported shall include holdings in the trading book calculated on the basis of the net long position, as stated in Article 42 point (a) of CRR. |
|
090 |
1.1.1.1.4.2. (-) Indirect holdings of CET1 instruments Articles 4(1)(114), 36(1) point (f) and 42 of CRR |
|
091 |
1.1.1.1.4.3. (-) Synthetic holdings of CET1 instruments Articles 4(1)(126), 36(1) point (f) and 42 of CRR |
|
092 |
1.1.1.1.5. (-) Actual or contingent obligations to purchase own CET1 instruments Articles 36(1) point (f) and 42 of CRR According to Article 36(1) point (f) of CRR, ‘own Common Equity Tier 1 instruments that an institution is under an actual or contingent obligation to purchase by virtue of an existing contractual obligation’ shall be deducted. |
|
130 |
1.1.1.2. Retained earnings Articles 26(1) point (c) and 26(2) of CRR Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits |
|
140 |
1.1.1.2.1. Previous years retained earnings Articles 4(1)(123) and 26(1) c) of CRR Article 4(1)(123) of CRR defines retained earnings as ‘Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting 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 Securitisation positions which are subject to a 1 250 % risk weight, but alternatively, are allowed to be deducted from CET1 (Article 36(1) point (k) (ii) of CRR). In the latter case, they shall be reported in this item. |
|
470 |
1.1.1.19. (-) Free deliveries which can alternatively be subject to a 1 250 % risk weight Articles 36(1) point (k) (iii) and 379(3) of CRR Free deliveries are subject to a 1 250 % risk weight after 5 days post second contractual payment or delivery leg until the extinction of the transaction, according to the own funds requirements for settlement risk. Alternatively, they are allowed to be deducted from CET1 (Article 36(1) point (k) (iii) of CRR). In the latter case, they shall be reported in this item. |
|
471 |
1.1.1.20. (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250 % risk weight Articles 36(1) point (k) (iv) and 153(8) of CRR According to Article 36(1) point (k) (iv) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250 %. |
|
472 |
1.1.1.21. (-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight Articles 36(1) point (k) (v) and 155(4) of CRR According to Article 36(1) point (k) (v) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250 %. |
|
480 |
1.1.1.22. (-) CET1 instruments of financial sector entities where the institution does not have a significant investment Articles 4(1)(27), 36(1) point (h); 43 to 46, 49 (2) and (3) and 79 of CRR Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from CET1 See alternatives to deduction when consolidation is applied (Article 49(2) and (3)) |
|
490 |
1.1.1.23. (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences Articles 36(1) point (c); 38 and 48(1) point (a) of CRR Part of deferred tax assets that rely in future profitability and arise from temporary differences (net of the part of associated deferred tax liabilities allocated to deferred tax assets that arise from temporary differences, according to article 38(5) point (b) of CRR) which has to be deducted, applying the 10 % threshold in article 48(1) point (a) of CRR. |
|
500 |
1.1.1.24. (-) CET1 instruments of financial sector entities where the institution has a significant investment Articles 4(1)(27); 36(1) point (i); 43, 45; 47; 48(1) point (b); 49(1) to (3) and 79 of CRR Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 10 % threshold in Article 48(1) point (b) of CRR. See alternatives to deduction when consolidation is applied (article 49(1), (2) and (3)). |
|
510 |
1.1.1.25. (-) Amount exceeding the 17,65 % threshold Article 48(1) of CRR Part of deferred tax assets that rely in future profitability and arise from temporary differences, and direct and indirect holdings by the institution of the CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 17,65 % threshold in Article 48(1) of CRR. |
|
520 |
1.1.1.26. Other transitional adjustments to CET1 Capital Articles 469 to 472, 478 and 481 of CRR Adjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5. |
|
524 |
1.1.1.27. (-) Additional deductions of CET1 Capital due to Article 3 CRR Article 3 CRR |
|
529 |
1.1.1.28. CET1 capital elements or deductions — other This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a CET1 capital element respective a deduction of a CET1 element cannot be assigned to one of the rows 020 to 524. This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR). |
|
530 |
1.1.2. ADDITIONAL TIER 1 CAPITAL Article 61 of CRR |
|
540 |
1.1.2.1. Capital instruments eligible as AT1 Capital Articles 51 point (a), 52 to 54, 56 point (a) and 57 of CRR |
|
550 |
1.1.2.1.1. Paid up capital instruments Articles 51 point (a) and 52 to 54 of CRR The amount to be reported shall not include the share premium related to the instruments |
|
560 |
1.1.2.1.2 (*) Memorandum item: Capital instruments not eligible Article 52(1) points (c), (e) and (f) of CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments |
|
570 |
1.1.2.1.3. Share premium Article 51 point (b) of CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’. |
|
580 |
1.1.2.1.4. (-) Own AT1 instruments Articles 52(1) point (b), 56 point (a) and 57 of CRR Own AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 57 of CRR. Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.1.2.1.4 to 1.1.2.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own AT1 instruments are reported separately in item 1.1.2.1.5. |
|
590 |
1.1.2.1.4.1. (-) Direct holdings of AT1 instruments Articles 4(1)(114) 52 (1) point (b), 56 point (a) and 57 of CRR Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group. |
|
620 |
1.1.2.1.4.2. (-) Indirect holdings of AT1 instruments Articles 52(1) point (b) (ii), 56 point (a) and 57of CRR |
|
621 |
1.1.2.1.4.3. (-) Synthetic holdings of AT1 instruments Articles 4(1)(126), 52(1) point (b), 56 point (a) and 57 of CRR |
|
622 |
1.1.2.1.5. (-) Actual or contingent obligations to purchase own AT1 instruments Articles 56 point (a) and 57 of CRR According to Article 56 point (a) of CRR, ‘own Additional Tier 1 instruments that an institution could be obliged to purchase as a result of existing contractual obligations’ shall be deducted. |
|
660 |
1.1.2.2. Transitional adjustments due to grandfathered AT1 Capital instruments Articles 483(4) and (5), 484 to 487, 489 and 491 of CRR Amount of capital instruments transitionally grandfathered as AT1. The amount to be reported is directly obtained from CA5. |
|
670 |
1.1.2.3. Instruments issued by subsidiaries that are given recognition in AT1 Capital Articles 83, 85 and 86 of CRR Sum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated AT1. Qualifying AT1 capital issued by a special purpose entity (Article 83 of CRR) shall be included. |
|
680 |
1.1.2.4. Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries Article 480 of CRR Adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions. This item is obtained directly from CA5. |
|
690 |
1.1.2.5. (-) Reciprocal cross holdings in AT1 Capital Articles 4(1)(122), 56 point (b) and 58 of CRR Holdings in AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Additional Tier 1 own-fund insurance items. |
|
700 |
1.1.2.6. (-) AT1 instruments of financial sector entities where the institution does not have a significant investment Articles 4(1)(27), 56 point (c); 59, 60 and 79 of CRR Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from AT1 |
|
710 |
1.1.2.7. (-) AT1 instruments of financial sector entities where the institution has a significant investment Articles 4(1)(27), 56 point (d), 59 and 79 of CRR Holdings by the institution of AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment are completely deducted |
|
720 |
1.1.2.8. (-) Excess of deduction from T2 items over T2 Capital Article 56 point (e) of CRR The amount to be reported is directly taken from CA 1 item ‘Excess of deduction from T2 items over T2 Capital’ (deducted in AT1). |
|
730 |
1.1.2.9. Other transitional adjustments to AT1 Capital Articles 474, 475, 478 and 481 of CRR Adjustments due to transitional provisions. The amount to be reported is directly obtained from CA5. |
|
740 |
1.1.2.10. Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) Article 36(1) point (j) of CRR Additional Tier 1 cannot be negative, but it is possible that AT1 deductions are greater than AT1 Capital plus related share premium. When this happens, AT1 has to be equal to zero, and the excess of AT1 deductions has to be deducted from CET1. With this item, it is achieved that the sum of items 1.1.2.1 to 1.1.2.12 is never lower than zero. Then, if this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure. |
|
744 |
1.1.2.11. (-) Additional deductions of AT1 Capital due to Article 3 CRR Article 3 CRR |
|
748 |
1.1.2.12. AT1 capital elements or deductions — other This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if an AT1 capital element respective a deduction of an AT1 element cannot be assigned to one of the rows 530 to 744. This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR). |
|
750 |
1.2. TIER 2 CAPITAL Article 71 of CRR |
|
760 |
1.2.1. Capital instruments and subordinated loans eligible as T2 Capital Articles 62 point (a), 63 to 65, 66 point (a), and 67 of CRR |
|
770 |
1.2.1.1. Paid up capital instruments and subordinated loans Articles 62 point (a), 63 and 65 of CRR The amount to be reported shall not include the share premium related to the instruments |
|
780 |
1.2.1.2 (*) Memorandum item: Capital instruments and subordinated loans not eligible Article 63 points (c), (e) and (f); and article 64 of CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments |
|
790 |
1.2.1.3. Share premium Articles 62 point (b) and 65 of CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’. |
|
800 |
1.2.1.4. (-) Own T2 instruments Article 63 point (b) (i), 66 point (a), and 67 of CRR Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 67 of CRR. Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.2.1.4 to 1.2.1.4.3 do not include actual or contingent obligations to purchase own T2 instruments. Actual or contingent obligations to purchase own T2 instruments are reported separately in item 1.2.1.5. |
|
810 |
1.2.1.4.1. (-) Direct holdings of T2 instruments Articles 63 point (b), 66 point (a) and 67 of CRR Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group. |
|
840 |
1.2.1.4.2. (-) Indirect holdings of T2 instruments Articles 4(1)(114), 63 point (b), 66 point (a) and 67 of CRR |
|
841 |
1.2.1.4.3. (-) Synthetic holdings of T2 instruments Articles 4(1)(126), 63 point (b), 66 point (a) and 67 of CRR |
|
842 |
1.2.1.5. (-) Actual or contingent obligations to purchase own T2 instruments Articles 66 point (a) and 67 of CRR According to Article 66 point (a) of CRR, ‘own Tier 2 instruments that an institution could be obliged to purchase as a result of existing contractual obligations’ shall be deducted. |
|
880 |
1.2.2. Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans Articles 483(6) and (7), 484, 486, 488, 490 and 491 of CRR Amount of capital instruments transitionally grandfathered as T2. The amount to be reported is directly obtained from CA5. |
|
890 |
1.2.3. Instruments issued by subsidiaries that are given recognition in T2 Capital Articles 83, 87 and 88 of CRR Sum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2. Qualifying Tier 2 capital issued by a special purpose entity (Article 83 of CRR) shall be included. |
|
900 |
1.2.4. Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries Article 480 of CRR Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions. This item is obtained directly from CA5. |
|
910 |
1.2.5. IRB Excess of provisions over expected losses eligible Article 62 point (d) of CRR For institutions calculating risk-weighted exposure amounts in accordance with IRB approach, this item contains the positive amounts resulting from comparing the provisions and expected losses which are eligible as T2 capital. |
|
920 |
1.2.6. SA General credit risk adjustments Article 62 point (c) of CRR For institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item contains the general credit risk adjustments eligible as T2 capital. |
|
930 |
1.2.7. (-) Reciprocal cross holdings in T2 Capital Articles 4(1)(122), 66 point (b) and 68 of CRR Holdings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution. The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 2 and Tier 3 own-fund insurance items. |
|
940 |
1.2.8. (-) T2 instruments of financial sector entities where the institution does not have a significant investment Articles 4(1)(27), 66 point (c), 68 to 70 and 79 of CRR Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from T2. |
|
950 |
1.2.9. (-) T2 instruments of financial sector entities where the institution has a significant investment Articles 4(1)(27), 66 point (d), 68, 69 and 79 of CRR Holdings by the institution of T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment shall be completely deducted. |
|
960 |
1.2.10. Other transitional adjustments to T2 Capital Articles 476 to 478 and 481 of CRR Adjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5. |
|
970 |
1.2.11. Excess of deduction from T2 items over T2 Capital (deducted in AT1) Article 56 point (e) of CRR Tier 2 cannot be negative, but it is possible that T2 deductions are greater than T2 Capital plus related share premium. When this happens, T2 shall be equal to zero, and the excess of T2 deductions shall be deducted from AT1. With this item, the sum of items 1.2.1 to 1.2.13 is never lower than zero. If this item shows a positive figure, item 1.1.2.8 shall be the inverse of that figure. |
|
974 |
1.2.12. (-) Additional deductions of T2 Capital due to Article 3 CRR Article 3 CRR |
|
978 |
1.2.13. T2 capital elements or deductions — other This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a T2 capital element respective a deduction of a T2 element cannot be assigned to one of the rows 750 to 974. This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR). |
1.3. C 02.00 — OWN FUNDS REQUIREMENTS (CA2)
1.3.1. Instructions concerning specific positions
|
Row |
Legal references and instructions |
|
010 |
1. TOTAL RISK EXPOSURE AMOUNT Articles 92(3), 95, 96 and 98 of CRR |
|
020 |
1* Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR For investment firms under Article 95(2) and Article 98 of CRR |
|
030 |
1** Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR For investment firms under Article 96(2) and Article 97 of CRR |
|
040 |
1.1. RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES Article 92(3) points (a) and (f) of CRR |
|
050 |
1.1.1. Standardised approach (SA) CR SA and SEC SA templates at the level of total exposures |
|
060 |
1.1.1.1. SA exposure classes excluding securitisations positions CR SA template at the level of total exposures. The SA exposure classes are those mentioned in Article 112 of CRR excluding securitisation positions. |
|
070 |
1.1.1.1.01. Central governments or central banks See CR SA template |
|
080 |
1.1.1.1.02. Regional governments or local authorities See CR SA template |
|
090 |
1.1.1.1.03. Public sector entities See CR SA template |
|
100 |
1.1.1.1.04. Multilateral Development Banks See CR SA template |
|
110 |
1.1.1.1.05. International Organisations See CR SA template |
|
120 |
1.1.1.1.06. Institutions See CR SA template |
|
130 |
1.1.1.1.07. Corporates See CR SA template |
|
140 |
1.1.1.1.08. Retail See CR SA template |
|
150 |
1.1.1.1.09. Secured by mortgages on immovable property See CR SA template |
|
160 |
1.1.1.1.10. Exposures in default See CR SA template |
|
170 |
1.1.1.1.11. Items associated with particular high risk See CR SA template |
|
180 |
1.1.1.1.12. Covered bonds See CR SA template |
|
190 |
1.1.1.1.13. Claims on institutions and corporate with a short-term credit assessment See CR SA template |
|
200 |
1.1.1.1.14. Collective investments undertakings (CIU) See CR SA template |
|
210 |
1.1.1.1.15. Equity See CR SA template |
|
211 |
1.1.1.1.16. Other items See CR SA template |
|
220 |
1.1.1.2. Securitisations positions SA CR SEC SA template at the level of total securitisation types |
|
230 |
1.1.1.2.* Of which: resecuritisation CR SEC SA template at the level of total securitisation types |
|
240 |
1.1.2. Internal ratings based Approach (IRB) |
|
250 |
1.1.2.1. IRB approaches when neither own estimates of LGD nor Conversion Factors are used CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are not used) |
|
260 |
1.1.2.1.01. Central governments and central banks See CR IRB template |
|
270 |
1.1.2.1.02. Institutions See CR IRB template |
|
280 |
1.1.2.1.03. Corporates — SME See CR IRB template |
|
290 |
1.1.2.1.04. Corporates – Specialised Lending See CR IRB template |
|
300 |
1.1.2.1.05. Corporates – Other See CR IRB template |
|
310 |
1.1.2.2. IRB approaches when own estimates of LGD and/or Conversion Factor are used CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are used) |
|
320 |
1.1.2.2.01. Central governments and central banks See CR IRB template |
|
330 |
1.1.2.2.02. Institutions See CR IRB template |
|
340 |
1.1.2.2.03. Corporates — SME See CR IRB template |
|
350 |
1.1.2.2.04. Corporates – Specialised Lending See CR IRB template |
|
360 |
1.1.2.2.05. Corporates – Other See CR IRB template |
|
370 |
1.1.2.2.06. Retail – secure by real estate SME See CR IRB template |
|
380 |
1.1.2.2.07. Retail – secure by real estate non-SME See CR IRB template |
|
390 |
1.1.2.2.08. Retail – Qualifying revolving See CR IRB template |
|
400 |
1.1.2.2.09. Retail – Other SME See CR IRB template |
|
410 |
1.1.2.2.10. Retail – Other non-SME See CR IRB template |
|
420 |
1.1.2.3. Equity IRB See CR EQU IRB template |
|
430 |
1.1.2.4. Securitisations positions IRB CR SEC IRB template at the level of total securitisation types |
|
440 |
1.1.2.4* Of which: resecuritisation CR SEC IRB template at the level of total securitisation types |
|
450 |
1.1.2.5. Other non credit-obligation assets The amount to be reported is the risk weighted exposure amount as calculated according to Article 156 of CRR. |
|
460 |
1.1.3. Risk exposure amount for contributions to the default fund of a CCP Articles 307 to 309 of CRR |
|
490 |
1.2. TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY Articles 92(3) point (c) (ii) and 92(4) point (b) of CRR |
|
500 |
1.2.1. Settlement/delivery risk in the non-Trading book See CR SETT template |
|
510 |
1.2.2. Settlement/delivery risk in the Trading book See CR SETT template |
|
520 |
1.3. TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS Articles 92(3) points (b) (i) and (c) (i) and (iii), and 92(4) point (b) of CRR |
|
530 |
1.3.1. Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA) |
|
540 |
1.3.1.1. Traded debt instruments MKR SA TDI template at the level of total currencies. |
|
550 |
1.3.1.2. Equity MKR SA EQU template at the level of total national markets. |
|
555 |
1.3.1.3. Particular approach for position risk in CIUs Articles 348(1), 350 (3) c) and 364 (2) a) CRR Total risk exposure amount for positions in CIUs if capital requirements are calculated according to Article 348(1) CRR either immediately or as a consequence of the cap defined in Article 350(3) c) CRR. The CRR does not explicitly assign those positions to either the interest rate risk or the equity risk. If the particular approach according to Article 348(1) sentence 1 of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question, multiplied by 12,5. If the particular approach according to Article 348(1) sentence 2 of CRR is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure, multiplied by 12,5 respectively. |
|
556 |
1.3.1.3.* Memo item: CIUs exclusively invested in traded debt instruments Total risk exposure amount for positions in CIUs if the CIU is invested exclusively in instruments subject to interest rate risk. |
|
557 |
1.3.1.3.** CIUs invested exclusively in equity instruments or in mixed instruments Total risk exposure amount for positions in CIUs if the CIU is invested either exclusively in instruments subject to equity risk or in mixed instruments or if the constituents of the CIU are unknown. |
|
560 |
1.3.1.4. Foreign Exchange See MKR SA FX template |
|
570 |
1.3.1.5. Commodities See MKR SA COM template |
|
580 |
1.3.2. Risk exposure amount for positions, foreign exchange and commodity risks under internal models (IM) See MKR IM template |
|
590 |
1.4. TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR) Article 92(3) point (e) and 92(4) point (b) of CRR For investment firms under Article 95(2), Article 96(2) and Article 98 of CRR this element shall be zero. |
|
600 |
1.4.1. OpR Basic Indicator approach (BIA) See OPR template |
|
610 |
1.4.2. OpR Standardised (TSA)/Alternative Standardised (ASA) approaches See OPR template |
|
620 |
1.4.3. OpR Advanced measurement approaches (AMA) See OPR template |
|
630 |
1.5. ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS Articles 95(2), 96(2), 97 and 98(1) point (a) of CRR Only for investment firms under Article 95(2), Article 96(2) and Article 98 of CRR. See also Article 97 of CRR Investment firms under Article 96 of CRR shall report the amount referred to in Article 97 multiplied by 12,5. Investment firms under Article 95 of CRR shall report: — If the amount referred to in article 95(2) point (a) of CRR is greater than the amount referred to in article 95(2) point (b) of CRR, the amount to be reported is zero. — If the amount referred to in article 95(2) point (b) of CRR is greater than the amount referred to in article 95(2) point (a) of CRR, the amount to be reported is the result of subtracting the latter amount from the former. |
|
640 |
1.6. TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT Article 92(3) point (d) of CRR See CVA template. |
|
650 |
1.6.1. Advanced method Own funds requirements for credit valuation adjustment risk according to Article 383 of CRR. See CVA template. |
|
660 |
1.6.2. Standardised method Own funds requirements for credit valuation adjustment risk according to Article 384 of CRR. See CVA template. |
|
670 |
1.6.3. Based on OEM Own funds requirements for credit valuation adjustment risk according to Article 385 of CRR. See CVA template. |
|
680 |
1.7. TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK Articles 92(3) point (b) (ii) and 395 to 401 of CRR |
|
690 |
1.8. OTHER RISK EXPOSURE AMOUNTS Articles 3, 458 and 459 of CRR and risk exposure amounts which cannot be assigned to one of the items from 1.1 to 1.7. Institutions shall report the amounts needed to comply with the following: Stricter prudential requirements imposed by the Commission, in accordance with Article 458 and 459 of CRR Additional risk exposure amounts due to Article 3 CRR This item does not have a link to a details template. |
|
710 |
1.8.2. Of which: Additional stricter prudential requirements based on Art 458 Article 458 of CRR |
|
720 |
1.8.2* Of which: requirements for large exposures Article 458 of CRR |
|
730 |
1.8.2** Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property Article 458 of CRR |
|
740 |
1.8.2*** Of which: 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). |
1.4. C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
1.4.1. Instructions concerning specific positions
|
Rows |
|
|
010 |
1. CET1 Capital ratio Article 92(2) point (a) of CRR The CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount. |
|
020 |
2. Surplus(+)/Deficit(–) of CET1 capital This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirement set in Article 92(1) point (a) of CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio. |
|
030 |
3. T1 Capital ratio Article 92(2) point (b) of CRR The T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount. |
|
040 |
4. Surplus(+)/Deficit(–) of T1 capital This item shows, in absolute figures, the amount of T1 capital surplus or deficit relating to the requirement set in Article 92(1) point (b) of CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio. |
|
050 |
5. Total capital ratio Article 92(2) point (c) of CRR The total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount. |
|
060 |
6. Surplus(+)/Deficit(–) of total capital This item shows, in absolute figures, the amount of own funds surplus or deficit relating to the requirement set in Article 92(1) point (c) of CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio. |
|
070 |
CET1 capital ratio including Pillar II adjustments Article 92(2) point (a) of CRR and Article 104(2) CRD IV This cell only has to be populated if a decision of a competent authority has an impact on the CET1 capital ratio. |
|
080 |
Target CET1 capital ratio due to Pillar II adjustments Article 104(2) CRD This cell only has to be populated if a competent authority decides that an institution has to meet a higher target CET1capital ratio. The target CET1 capital ratio reflects the minimum requirement of Article 92(1) point (a) CRR and the requirement imposed in accordance with Article 104(2) CRD, but excludes other requirements (e.g. the capital buffer requirements). |
|
090 |
T1 capital ratio including Pillar II adjustments Article 92(2) point (b) of CRR and Article 104(2) CRD IV This cell only has to be populated if a decision of a competent authority has an impact on the T1 capital ratio. |
|
100 |
Target T1 capital ratio due to Pillar II adjustments Article 104(2) CRD IV This cell only has to be populated if a competent authority decides that an institution has to meet a higher target T1 capital ratio. The target T1 capital ratio reflects the minimum requirement of Article 92(1) point (b) CRR and the requirement imposed in accordance with Article 104(2) CRD, but excludes other requirements (e.g. the capital buffer requirements). |
|
110 |
Total capital ratio including Pillar II adjustments Article 92(2) point (c) of CRR and Article 104(2) CRD IV This cell only has to be populated if a decision of a competent authority has an impact on the total capital ratio. |
|
120 |
Target total capital ratio due to Pillar II adjustments Article 104(2) CRD IV This cell only has to be populated if a competent authority decides that an institution has to meet a higher target total capital ratio. The target total capital ratio reflects the minimum requirement of Article 92(1) point (c) CRR and the requirement imposed in accordance with Article 104(2) CRD, but excludes other requirements (e.g. the capital buffer requirements). |
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 should be reported as risk weighted exposure amounts, whereas transitional amounts subject to Title IV of Part Three should 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 Regulation (EU) No 575/2013 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.
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. |
|
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 the CRR. |
|
330 |
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL Article 86 of CRR The amount to be reported is the amount of qualifying T1 capital of a subsidiary that is included in consolidated AT1 according to the CRR. |
|
340 |
QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL Article 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 the CRR. |
|
350 |
MEMORANDUM ITEM: GOODWILL (–)/(+) NEGATIVE GOODWILL |
|
360-400 |
CONSOLIDATED OWN FUNDS Article 18 CRR The amount to be reported as ‘CONSOLIDATED OWN FUNDS’ is the amount as derived from the balance sheet, excluding any fund brought in by other group entities. |
|
360 |
CONSOLIDATED OWN FUNDS |
|
370 |
OF WHICH: COMMON EQUITY TIER 1 |
|
380 |
OF WHICH: ADDITIONAL TIER 1 |
|
390 |
OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT The contribution of each entity to the consolidated result (profit or loss (–)) is reported. This includes the results attributable to minority interests. |
|
400 |
OF WHICH: (–) GOODWILL/(+) NEGATIVE GOODWILL Goodwill or negative goodwill of the reporting entity on the subsidiary is reported here. |
|
410-480 |
CAPITAL BUFFERS The structure of the reporting of capital buffers for the GS template follows the general structure of the template CA4, using the same reporting concepts. When reporting the capital buffers for the GS template, the relevant amounts shall be reported 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 Directive 2013/36/EU (CRD) and on Regulation (EU) No 575/2013 (CRR), including any transitional provisions provided for therein. |
|
410 |
COMBINED BUFFER REQUIREMENTS Article 128 point (6) of CRD |
|
420 |
CAPITAL CONSERVATION BUFFER Article 128 point (1) and 129 of CRD According to Article 129(1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this cell. |
|
430 |
INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER Article 128 point (2), Article 130 and 135-140 of CRD In this cell the concrete amount of the countercyclical buffer shall be reported. |
|
440 |
CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE Article 458(2) point d (iv) of CRR In this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 of CRR in addition to the capital conservation buffer shall be reported. |
|
450 |
SYSTEMIC RISK BUFFER Articles 128 point (5), 133 and 134 of CRD In this cell the amount of the systemic risk buffer shall be reported. |
|
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. |
Minority interests: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 requested for the total exposure classes and individually for each of the exposure classes as defined for the standardised approach. The total figures as well as the information of each exposure class are reported in a separate dimension.
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 the CRR since it shall be assessed first if a certain exposure fit for being assigned to Short-term exposures to institutions and corporate and only afterwards do the same process for exposures to institutions and exposures to corporates. Otherwise it is obvious that the exposure class mentioned in Article 112 point (n) of CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but not the only one. It is worth noting that the criteria used for establishing the exposure classes under the standardised approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is the underlying reason for non disjoint groupings.
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 the CRR for an exposure to fit in a certain exposure class and, if it is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. As such, the outcome of the exposure assignment process for reporting purposes would be in line with CRR provisions. This does not preclude institutions to apply other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora.
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.
|
Original exposure pre conversion factors |
|
|
|
Does it fit for being assigned to the exposure class of Article 112 (m)? |
YES |
Securitisation positions |
|
NO |
|
|
|
Does it fit for being assigned to the exposure class of Article 112point (k)? |
YES |
Items associated with particular high risk (also see Article 128) |
|
NO |
|
|
|
Does it fit for being assigned to the exposure class of Article 112 point (p)? |
YES |
Equity exposures (also see Article 133) |
|
NO |
|
|
|
Does it fit for being assigned to the exposure class of Article 112 point (j)? |
YES |
Exposures in default |
|
NO |
|
|
|
Does it fit for being assigned to the exposure classes of Article 112 points (l) and (o)? |
YES |
Exposures in the form of units or shares in collective investment undertakings (CIU) Exposures in the form of covered bonds (also see Article 129) These two exposure classes are disjoint among themselves (see comments on the look-through approach in the answer above). Therefore the assignment to one of them is straightforward. |
|
NO |
|
|
|
Does it fit for being assigned to the exposure class of Article 112 point (i)? |
YES |
Exposures secured by mortgages on immovable property (also see Article 124) |
|
NO |
|
|
|
Does it fit for being assigned to the exposure class of Article 112 point (q)? |
YES |
Other items |
|
NO |
|
|
|
Does it fit for being assigned to the exposure class of Article 112 point (n)? |
YES |
Exposures to institutions and corporates with a short-term credit assessment |
|
NO |
|
|
|
The exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward. Exposures to central governments or central banks Exposures to regional governments or local authorities Exposures to public sector entities Exposures to multilateral development banks Exposures to international organisations Exposures to institutions Exposures to corporates Retail exposures |
||
3.2.4. Clarifications on the scope of some specific exposure classes referred to in Article 112 of CRR
3.2.4.1. Exposure Class ‘Institutions’
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 should be no other allocation, even if the exposure is defaulted according to Article 127 of CRR. |
|
020 |
of which: SME All exposures to SME shall be reported here. |
|
030 |
of which: Exposures subject to the SME-supporting factor Only exposures which meet the requirements of Article 501 CRR shall be reported here. |
|
040 |
of which: Secured by mortgages on immovable property — Residential property Article 125 of CRR. Only reported in exposure class ‘Secured by mortgages on immovable property’ |
|
050 |
of which: Exposures under the permanent partial use of the standardised approach Exposures treated under Article 150(1) of the CRR |
|
060 |
of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation Exposures treated under Article 148(1) of the CRR |
|
070-130 |
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES Reporting institution's ‘banking book’ positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk. Reporting institution's ‘trading book’ counterparty credit risk positions according to Article 92(3) point (f) and Article 299(2) of CRR are assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) of CRR also break down their ‘trading book’ positions following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk. |
|
070 |
On balance sheet exposures subject to credit risk Assets referred to in Article 24 of CRR not included in any other category. Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 090, 110 and 130, and therefore shall not be reported in this row. Free deliveries according to Article 379(1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row. Exposures arising from assets posted to a CCP according to Article 4(90) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if not reported in row 030. |
|
080 |
Off balance sheet exposures subject to credit risk Off-balance sheet positions comprise those items listed in Annex I of CRR. Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040, 060 and, therefore, not reported in this row. Exposures arising from assets posted to a CCP according to Article 4(90) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if they are considered as off-balance sheet items. |
|
090-130 |
Exposures/Transactions subject to counterparty credit risk |
|
090 |
Securities Financing Transactions Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document ‘The Application of Basel II to Trading Activities and the Treatment of Double Default Effects’, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4(82) of CRR as well as securities or commodities lending and borrowing transactions; (ii) margin lending transactions as defined in Article 272(3) of CRR. |
|
100 |
Of which: centrally cleared through a QCCP Article 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR. Trade exposures to a CCP according to Article 4(91) of CRR |
|
110 |
Derivatives and Long Settlement Transactions Derivatives comprise those contract listed in Annex II of CRR. Long Settlement Transactions as defined in Article 272(2) of CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 130, shall not be reported in this row. |
|
120 |
Of which: centrally cleared through a QCCP Article 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR Trade exposures to a CCP according to Article 4(91) of CRR |
|
130 |
From Contractual Cross Product Netting Exposures that due to the existence of a contractual cross product netting (as defined in Article 272(11) of CRR) cannot be assigned to either Derivatives & Long Settlement Transactions or Securities Financing Transactions, shall be included in this row. |
|
140-280 |
BREAKDOWN OF EXPOSURES BY RISK WEIGHTS |
|
140 |
0 % |
|
150 |
2 % Article 306(1) of CRR |
|
160 |
4 % Article 305(3) of CRR |
|
170 |
10 % |
|
180 |
20 % |
|
190 |
35 % |
|
200 |
50 % |
|
210 |
70 % Article 232(3) point (c) of CRR. |
|
220 |
75 % |
|
230 |
100 % |
|
240 |
150 % |
|
250 |
250 % Article 133(2) of CRR |
|
260 |
370 % Article 471 of CRR |
|
270 |
1 250 % Article 133(2) of CRR |
|
280 |
Other risk weights This row is not available for exposure classes Government, Corporates, Institutions and Retail. For reporting those exposures not subject to the risk weights listed in the template. Article 113(1) to (5) of CRR. Unrated nth to default credit derivatives under the Standardized Approach (Article 134(6) of CRR) shall be reported in this row under the exposure class ‘Other items’. See also Article 124(2) and Article 152(2) point (b) of CRR. |
|
290-320 |
Memorandum Items See also the explanation of the purpose of the memorandum items in the general section of the CR SA. |
|
290 |
Exposures secured by mortgages on commercial immovable property Article 112 point (i) of CRR This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property according to Article 124 and 126 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by commercial real estate. |
|
300 |
Exposures in default subject to a risk weight of 100 % Article 112 point (j) of CRR. Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default. |
|
310 |
Exposures secured by mortgages on residential property Article 112 point (i) of CRR. This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property according to Article 124 and 125 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by real estate property. |
|
320 |
Exposures in default subject to a risk weight of 150 % Article 112 point (j) of CRR. Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default. |
3.3. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)
3.3.1. Scope of the CR IRB template
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 the CRR shall be reported. The relevant value used in the internal model shall be reported. To be reported in column 060 when the adjustment is not made in the LGD. When an adjustment is made in the LGD the amount shall be reported in column 170. |
|
070-080 |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and, when relevant, obligor grade or pool, and subsequently assigned to the protection provider's exposure class and, when relevant, obligor grade or pool. This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, obligor grades or pools. Inflows and outflows within the same exposure classes and, when relevant, obligor grades or pools shall also be considered. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account. |
|
090 |
EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure. |
|
100, 120 |
Of which: Off Balance Sheet Items See CR-SA instructions |
|
110 |
EXPOSURE VALUE The value in accordance with Article 166 of CRR and Article 230(1) sentence 2 of CRR are reported. For the instruments as defined in Annex I, the credit conversion factors (Article 166(8) to (10) of CRR) irrespective the approach chosen by the institution, are applied. For rows 040-060 (securities financing transactions, derivatives and long settlement transactions and exposures from contractual cross-product netting) subject to part 3 title II chapter 6 of CRR, the Exposure Value is the same as the value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 3, 4, 5, 6 and 7 of CRR. These values are reported in this column and not column 130 ‘Of which: arising from counterparty credit risk’. |
|
130 |
Of which: Arising from counterparty Credit Risk See CR SA instructions. |
|
140 |
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the exposure value for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR. |
|
150-210 |
CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT CRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques shall not be included in these columns. Where own estimates of LGD are not used: Articles 228(2), 230 (1) and (2), 231 of the CRR Where own estimates of LGD are used: — Regarding unfunded credit protection, for exposures to central government and central banks, institutions and corporates: Article 161 paragraph 3 of the CRR. For retail exposures Article 164 paragraph 2 of the CRR. — Regarding funded credit protection collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of the CRR. |
|
150 |
GUARANTEES See instructions to column 040. |
|
160 |
CREDIT DERIVATIVES See instructions to column 050. |
|
170 |
OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION The relevant value used in the internal modelling of the institution. Those credit risk mitigants that comply with the criteria in Article 212 of the CRR. |
|
180 |
ELIGIBLE FINANCIAL COLLATERAL For trading book operations includes financial instruments and commodities eligible for trading book exposures according to Article 299 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. Institutions fulfilling the threshold set in Article 5 (a) (4) of this Regulation shall submit information regarding the domestic country as well as any non-domestic country. The threshold is only applicable to Table 1 and Table 2. Exposures to supranational organisations shall be assigned to the geographical area ‘other countries’.
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. |
|
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 110 of CRR. |
|
055 |
Specific credit risk adjustments Credit risk adjustments according to Article 110 of CRR. |
|
060 |
Write-offs Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)]. |
|
070 |
Credit risk adjustments/write-offs for observed new defaults Sum of credit risk adjustments and write-offs for those exposures which were classified as ‘defaulted exposures’ during the 3-month period since the last data submission. |
|
080 |
INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) Same definition as for column 010 of CR IRB template |
|
090 |
EXPOSURE WEIGHTED AVERAGE LGD (%) Same definition as for column 230 of CR IRB template. Provisions laid down in Article 181(1) point (h) of CRR shall apply. Data shall not be reported for specialized lending exposures referred to in Article 153(5). |
|
100 |
Of which: defaulted Exposure weighted LGD for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR. |
|
105 |
Exposure value Same definition as for column 110 of CR IRB template. |
|
110 |
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR Same definition as for column 255 of CR IRB template |
|
120 |
Of which defaulted Risk weighted exposure amount for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR. |
|
125 |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR Same definition as for column 260 of CR IRB template |
|
130 |
EXPECTED LOSS AMOUNT Same definition as for column 280 of CR IRB template |
|
Rows |
|
|
010 |
Central banks and central governments (Article 147(2)(a) CRR) |
|
020 |
Institutions (Article 147(2) point (b) CRR) |
|
030 |
Corporates (All corporates according to Article 147(2) point (c).) |
|
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 is implemented in order to receive more information regarding the elements of the institution specific countercyclical capital buffer. The information requested refers to the own funds requirements determined in accordance with Part Three, Title II and Title IV of the CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution specific counter-cyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit exposures).
83. Information in template C 09.04 is requested for the ‘Total’ of relevant credit exposures across all jurisdictions where these exposures are located and individually for each of the jurisdictions in which relevant credit exposures are located. The total figures as well as the information of each jurisdiction are reported in a separate dimension.
84. The threshold set in Article 5 (a) (4) of this Regulation is not relevant 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 the CRR. |
|
090 |
Own funds requirements for relevant credit exposures – Market risk Own funds requirements determined in accordance with Part Three, Title IV, Chapter 2 of CRR for specific risk, or in accordance with Part Three, Title IV, Chapter 5 of CRR for incremental default and migration risk for relevant credit exposures, defined in accordance with Article 140(4)(b) of CRD, in the country in question. The own funds requirements for relevant credit exposures under the market risk framework include, among others, the own fund requirements for securitisation positions under Part Three, Title IV, Chapter 2 CRR and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 CRR. |
|
100 |
Own funds requirements for relevant credit exposures – Securitisation positions in the banking book Own funds requirements determined in accordance with Part Three, Title II, Chapter 5 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD in the country in question. The own-funds requirements are 8 % of the risk-weighted exposure amount determined according to the provisions of Part Three, Title II, Chapter 5 CRR. |
|
110 |
Own funds requirements weights The weight applied to the countercyclical buffer rate in each country is calculated as a ratio of own fund requirements, determined as follows: 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 should be left empty when no countercyclical buffer rate was set for the country in question by the Designated Authority of that country. Countercyclical capital buffer rates that were set by the Designated Authority, but are not yet applicable in the country in question at the reporting reference date shall not be reported. Information on the Countercyclical capital buffer rate set by the Designated Authority shall not be reported for the ‘Total’ of all countries. |
|
130 |
Countercyclical capital buffer rate applicable for the country of the institution Countercyclical capital buffer rate applicable for the country in question which was set by the Designated Authority of the country of residence of the institution, in accordance with Article 137, 138, 139 and Article 140(1), (2) and (3) CRD. Countercyclical capital buffer rates that are not yet applicable at the reporting reference date shall not be reported. Information on the Countercyclical capital buffer rate applicable in the country of the institution shall not be reported for the ‘Total’ of all countries. |
|
140 |
Institution-specific countercyclical capital buffer rate Institution-specific countercyclical capital buffer rate, determined in accordance with Article 140(1) CRD. The institution-specific countercyclical capital buffer rate is calculated as the weighted average of the countercyclical buffer rates that apply in the jurisdictions where the relevant credit exposures of the institution are located or are applied for the purposes of Article 140 by virtue of Article 139(2) or (3) CRD. The relevant countercyclical buffer rate is reported in [r120; c020; country sheet], or [r130; c020; country sheet] as applicable. The weight applied to the countercyclical buffer rate in each country is the share of own funds requirements in total own funds requirements, and is reported in [r110; c020; country sheet]. Information on the institution-specific countercyclical capital buffer rate shall only be reported for the ‘Total’ of all countries and not for each country separately. |
|
150 - 160 |
Use of the 2 % threshold |
|
150 |
Use of 2 % threshold for general credit exposure In accordance with Article 2(5)(b) of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, whose aggregate does not exceed 2 % of the aggregate of the general credit, trading book and securitisation exposures of that institution, may be allocated to the institutions' home Member State. The aggregate of the general credit, trading book and securitisation exposures is calculated by excluding the general credit exposures located in accordance with Article 2(5) point (a) and Article 2(4) of Commission Delegated Regulation (EU) No 1152/2014. If the institution makes use of this derogation, it shall indicate ‘y’ in the table for the jurisdiction corresponding to its home Member State and for the ‘Total’ of all countries. If an institution does not make use of this derogation, it shall indicate ‘n’ in the respective cell. |
|
160 |
Use of 2 % threshold for trading book exposure In accordance with Article 3(3) of Commission Delegated Regulation (EU) No 1152/2014, institutions may allocate trading book exposures to their home Member State, if the total trading book exposures do not exceed 2 % of their total general credit, trading book and securitisation exposures. If the institution makes use of this derogation, it shall indicate ‘y’ in the table for the jurisdiction corresponding to its home Member State and for the ‘Total’ of all countries. If an institution does not make use of this derogation, it shall indicate ‘n’ in the respective cell. |
3.5. C 10.01 AND C 10.02 – EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2)
3.5.1. General remarks
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 the CRR.
3.5.2. Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2)
|
Columns |
|
|
005 |
OBLIGOR GRADE (ROW IDENTIFIER) The obligor grade is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc. |
|
010 |
INTERNAL RATING SYSTEM PD ASSIGNED TO THE OBLIGOR GRADE (%) Institutions applying the PD/LGD approach report in column 010 the probability of default (PD) calculated in accordance with the provisions referred to in Article 165(1) of CRR. The PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements as laid down in Part Three, Title II, Chapter 3, Section 6 of CRR. For each individual grade or pool, the PD assigned to that specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. For figures corresponding to an aggregation of obligor grades or pools (e.g. ‘total exposures’) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD. For the calculation of the exposure-weighted average PD, the exposure value taking into account unfunded credit protection (column 060) shall be used for weighting purposes. |
|
020 |
ORIGINAL EXPOSURE PRE CONVERSION FACTORS Institutions report in column 020 the original exposure value (pre conversion factors). According to the provisions laid down in Article 167 of CRR, the exposure value for equity exposures shall be the accounting value remaining after specific credit risk adjustments. The exposure value of off-balance sheet equity exposures shall be its nominal value after specific credit risk adjustments. Institutions also include in column 020 off balance sheet items referred to in Annex I of CRR assigned to the equity exposure class (e.g. ‘the unpaid portion of partly-paid shares’). Institutions applying the Simple Risk Weight approach or the PD/LGD approach (as referred to in Article 165(1) also consider the offsetting provisions referred to in Article 155(2) of CRR. |
|
030-040 |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE UNFUNDED CREDIT PROTECTION GUARANTEES CREDIT DERIVATIVES Irrespective of the approach adopted for the calculation of risk weighted exposure amounts for equity exposures, institutions may recognize unfunded credit protection obtained on equity exposures (Article 155(2),(3) and (4) of CRR). Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in columns 030 and 040 the amount of unfunded credit protection under the form of guarantees (column 030) or credit derivatives (column 040) recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR. |
|
050 |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE SUBSTITUTION OF THE EXPOSURE DUE TO CRM (-) TOTAL OUTFLOWS Institutions report in column 050 the part of the original exposure pre conversion factors covered by unfunded credit protection recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR. |
|
060 |
EXPOSURE VALUE Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in column 060 the exposure value taking into account substitution effects stemming from unfunded credit protection (Article 155(2) and (3), Article 167 of CRR). As a reminder, in the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 of CRR). |
|
070 |
EXPOSURE WEIGHTED AVERAGE LGD (%) Institutions applying the PD/LGD approach report in column 070 of the CR EQU IRB 2 template the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation; the same applies for row 020 of the CR EQU IRB template. The exposure value taking into account unfunded credit protection (column 060) shall be used for the calculation of the exposure-weighted average LGD. Institutions shall take into accounts the provisions laid down in Article 165(2) of CRR. |
|
080 |
RISK WEIGHTED EXPOSURE AMOUNT Institutions report risk-weighted exposure amounts for equity exposures in column 080, calculated in accordance with the provisions laid down in Article 155 of CRR. In case where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 of CRR, a scaling factor of 1.5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) of CRR). With regard to the input parameter M (Maturity) to the risk-weight function, the maturity assigned to equity exposures equals 5 years (Article 165(3) of CRR). |
|
090 |
MEMORANDUM ITEM: EXPECTED LOSS AMOUNT Institutions report in column 090 the expected loss amount for equity exposures calculated in accordance with Article 158(4), (7), (8) and (9) of CRR. |
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) report the requested information in row 020 of the CR EQU IRB 1 template. |
|
CR EQU IRB 1 — rows 050-090 |
SIMPLE RISK WEIGHT APPROACH: TOTAL BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: Institutions applying the Simple Risk Weight approach (Article 155(2) of CRR) report the requested informaton according to the characteristics of the underlying exposures in rows 050 to 090. |
|
CR EQU IRB 1 — row 100 |
INTERNAL MODELS APPROACH Institutions applying the Internal Models approach (Article 155(4) of CRR) report the requested information in row 100. |
|
CR EQU IRB 1 — row 110 |
EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS Institutions applying the IRB approach shall report risk weighted exposure amounts for those equity exposures which attract a fixed risk weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach). As an example, — the risk weighted exposure amount of equity positions in financial sector entities treated in accordance with Article 48(4) of the CRR, as well as — equity positions risk-weighted with 370 % in accordance with Article 471(2) CRR shall be reported in row 110. |
|
CR EQU IRB 2 |
BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: Institutions applying the PD/LGD approach (Article 155(3) of CRR) report the requested information in the CR EQU IRB 2 template. In case where institutions using the PD/LGD approach apply a unique rating system or are able to report according to an internal master scale, they report in CR EQU IRB 2 the rating grades or pools associated to this unique rating system/masterscale. In any other case, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades or pools of the different rating systems shall be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher. |
3.6. C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)
3.6.1. General remarks
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 |
Transactions unsettled up to 4 days (Factor 0 %) Transactions unsettled between 5 and 15 days (Factor 8 %) Transactions unsettled between 16 and 30 days (Factor 50 %) Transactions unsettled between 31 and 45 days (Factor 75 %) Transactions unsettled for 46 days or more (Factor 100 %) Institutions report the information in relation with settlement/delivery risk for non-trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 020 to 060. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date. |
|
070 |
Total unsettled transactions in the Trading Book Institutions report in row 070 aggregated information in relation with settlement/delivery risk for trading book positions (in accordance with Articles 92(3) point (c) ii) and 378 of CRR). Institutions report in 070/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions report in 070/020 the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions report in 070/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR). |
|
080 to 120 |
Transactions unsettled up to 4 days (Factor 0 %) Transactions unsettled between 5 and 15 days (Factor 8 %) Transactions unsettled between 16 and 30 days (Factor 50 %) Transactions unsettled between 31 and 45 days (Factor 75 %) Transactions unsettled for 46 days or more (Factor 100 %) Institutions report the information in relation with settlement/delivery risk for trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 080 to 120. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date. |
3.7. C 12.00 – CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)
3.7.1. General remarks
100. The information in this template is requested for all securitisations for which a significant risk transfer is recognised and in which the reporting institution is involved in a securitisation treated under the Standardised Approach. The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.
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 the CRR. See columns 160 to 190 of the CR SA Total template. For reporting purposes, fully adjusted exposure values (E*) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %,]0 %, 20 %],]20 %, 50 %] and]50 %, 100 %]. |
|
190 |
EXPOSURE VALUE Securitisation positions according to Article 246 of CRR. This piece of information is related to column 200 of the CR SA Total template. |
|
200 |
(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS Article 258 of CRR envisages that in case of a securitisation position in respect of which a 1 250 % risk weight is assigned, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position. |
|
210 |
EXPOSURE VALUE SUBJECT TO RISK WEIGHTS Exposure value minus the exposure value deducted from own funds. |
|
220-320 |
BREAKDOWN OF EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS |
|
220-260 |
RATED Article 242(8) of CRR defines rated positions. Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the SA in Article 251 (Table 1) of CRR. |
|
270 |
1 250 % (UNRATED) Article 242(7) of CRR defines unrated positions. |
|
280 |
LOOK-THROUGH Articles 253, 254 and 256(5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio). |
|
290 |
LOOK-THROUGH — OF WHICH: SECOND LOSS IN ABCP Exposure value subject to the treatment of securitisation positions in a second loss tranche or better in an ABCP programme is set in 254 of CRR. Article 242(9) of CRR defines Asset-backed commercial paper (ABCP) programme. |
|
300 |
LOOK-THROUGH OF WHICH: AVERAGE RISK WEIGHT (%) Exposure value weighted average risk weight shall be provided. |
|
310 |
INTERNAL ASSESSMENT APPROACH (IAA) Articles 109(1) and 259 (3) of CRR. Exposure value of securitisation positions under the internal assessment approach. |
|
320 |
IAA: AVERAGE RISK WEIGHT (%) Exposure value weighted average risk weight shall be provided. |
|
330 |
RISK-WEIGHTED EXPOSURE AMOUNT Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template. |
|
340 |
OF WHICH: SYNTHETIC SECURITISATIONS For synthetic securitisations, the amount to be reported in this column shall ignore any maturity mismatch. |
|
350 |
OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS Articles 14(2), 406(2) and 407 of CRR require that whenever certain requirements in Articles 405, 406 or 409 of CRR are not met by the institution, Member States shall ensure that the competent authorities impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1 250 %) which would apply to the relevant securitisation positions under Part Three, Title II, Chapter 5, Section 3 of CRR. Such an additional risk weight may not only be imposed to investor institutions, but also to originators, sponsors and original lenders. |
|
360 |
ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250 % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 330 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates. |
|
370-380 |
TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/AFTER CAP Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (column 370)/after (column 380) applying the limits specified in Articles 252 -securitisation of items currently in default or associated with particular high risk items- or 256 (4) -additional own funds requirements for securitisations of revolving exposures with early amortisation provisions- of CRR. |
|
390 |
MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions. |
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) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.
|
Rows |
|
|
010 |
TOTAL EXPOSURES Total exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows. |
|
020 |
OF WHICH: RE-SECURITISATIONS Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR. |
|
030 |
ORIGINATOR: TOTAL EXPOSURES This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(1)(13) of CRR. |
|
040-060 |
ON-BALANCE SHEET ITEMS Article 246(1) point (a) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the Standardised Approach, the exposure value of an on-balance sheet securitisation position shall be its accounting value after application of specific credit risk adjustments. On-balance sheet items are broken down by securitisations (row 050) and re-securitisations (row 060). |
|
070-090 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES These rows gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion figure unless otherwise specified. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR. For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount. For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template. Off-balance sheet items and derivatives are broken down by securitisations (row 080) and re-securitisations (row 090) as in Article 251 Table 1 of CRR. |
|
100 |
EARLY AMORTISATION This row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242(13) and (14) of CRR. |
|
110 |
INVESTOR: TOTAL EXPOSURES This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor. The CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor. |
|
120-140 |
ON-BALANCE SHEET ITEMS The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here. |
|
150-170 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here. |
|
180 |
SPONSOR: TOTAL EXPOSURES This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows the information regarding its own securitised assets. |
|
190-210 |
ON-BALANCE SHEET ITEMS The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here. |
|
220-240 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here. |
|
250-290 |
BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION These rows gather information on outstanding positions 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 requested for all securitisations for which a significant risk transfer is recognised and in which the reporting institution is involved in a securitisation treated under the Internal Ratings Based Approach.
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. Negative values shall be reported in this column. |
|
440-450 |
TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/AFTER CAP Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (col 440)/after (col 450) applying the limits specified in Article 260 of CRR. Additionally Article 265 of CRR (additional own funds requirements for securitisations of revolving exposures with early amortisation provisions) has to be considered. |
|
460 |
MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions. |
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. The CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor. |
|
180-230 |
ON-BALANCE SHEET ITEMS The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items for originators shall be applied here. |
|
240-290 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here. |
|
300 |
SPONSOR: TOTAL EXPOSURES This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4(1)(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets. |
|
310-360 |
ON-BALANCE SHEET ITEMS The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items and derivatives for originators shall be applied here. |
|
370-420 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here. |
|
430-540 |
BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION These rows gather information on outstanding positions 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 and MKR SA CTP templates) on all securitisations the reporting institution is involved. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements are requested.
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 ( 3 ), in case it holds no position.
c. Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. This underlying could include covered bonds or other liabilities and shall be identified as such in column 160.
d. Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).
111. This template shall be reported by consolidated groups and stand-alone institutions ( 4 ) located in the same country where they are subject to own funds requirements. In case of securitisations involving more than one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided.
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 as regulated in IAS 39.30-35. |
|
060 |
SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS? Originators, only, shall report the following abbreviations: — ‘N’ not subject to own funds requirements; — ‘B’ banking book; — ‘T’ trading book; — ‘A’ partly in both books. Articles 109, 243 and 244 of CRR. This column summarises the solvency treatment of the securitisation scheme by the originator. It indicates whether own funds requirements are computed according to securitised exposures or securitisation positions (banking book/trading book). If own funds requirements are based on securitised exposures (for not being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SA template, in case the Standardised Approach is used, or in the CR IRB template, in case the Internal Ratings Based Approach is used by the institution. Conversely, if own funds requirements are based on securitisation positions held in the banking book (for being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SEC SA template or in the CR SEC IRB template. In the case of securitisation positions held in the trading book the computation of own funds requirements for market risk shall be reported in the MKR SA TDI (standardised general position risk) and in the MKR SA SEC or MKR SA CTP (standardised specific position risk) or in the MKR IM (internal models) templates. In the case of the securitisations of liabilities originators shall not report this column. |
|
070 |
SECURITISATION OR RE-SECURITISATION? According to definitions of ‘securitisation’ and ‘re-securitisation’ are provided in Article 4(1)(61) and (62) to (64) of CRR, report the type of underlying using the following abbreviations: — ‘S’ for securitisation; — ‘R’ for re-securitisation. |
|
080-100 |
RETENTION Articles 404 to 410 of CRR. |
|
080 |
TYPE OF RETENTION APPLIED For each securitisation scheme originated, it shall be reported the relevant type of retention of net economic interest, as envisaged in Article 405 of CRR: A — Vertical slice (securitisation positions): ‘retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to the investors’. V — Vertical slice (securitised exposures): retention of no less than 5 % of the credit risk of each of the securitised exposures, if the credit risk thus retained with respect to such securitised exposures always ranks pari passu with, or is subordinated to, the credit risk that has been securitised with respect to those same exposures. B — Revolving exposures: ‘in the case of securitisations of revolving exposures, retention of the originator's interest of no less than 5 % of the nominal value of the securitised exposures’. C — On-balance sheet: ‘retention of randomly selected exposures, equivalent to no less than 5 % of the nominal amount of the securitised exposures, where such exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is no less than 100 at origination’. D — First loss: ‘retention of the first loss tranche and, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, so that the retention equals in total no less than 5 % of the nominal value of the securitised exposures’. E — Exempted. This code shall be reported for those securitisations affected by provisions in Article 405(3) of CRR. N — Not applicable. This code shall be reported for those securitisations affected by provisions in Article 404 of CRR. U — In breach or unknown. This code shall be reported when the reporting does not know with certain which type of retention is being applied or in case of non-compliance. |
|
090 |
% OF RETENTION AT REPORTING DATE The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be no less than 5 % (at origination date). Notwithstanding Article 405(1) of CRR, measurement of retention at origination can typically be interpreted as being when the exposures were first securitised, and not when the exposures were first created (for instance, not when the underlying loans were first extended). Measurement of retention at origination means that 5 % is the retention percentage that is required at the point in time when such retention level was measured and the requirement fulfilled (for instance, when the exposures were first securitised); dynamic re-measurement and readjustment of the retained percentage throughout the life of the transaction is not required. This column shall not be reported in case codes ‘E’ (exempted) or ‘N’ (not applicable) are reported under column 080 (Type of retention applied). |
|
100 |
COMPLIANCE WITH THE RETENTION REQUIREMENT? Article 405(1) of CRR. Report the following abbreviations: Y-Yes; N-No. This column shall not be reported in case codes ‘E’ (exempted) or ‘N’ (not applicable) are reported under column 080 (Type of retention applied). |
|
110 |
ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR) Report the following abbreviations: — ‘O’ for Originator; — ‘S’ for Sponsor; — ‘L’ for Original Lender; — ‘I’ for Investor. See definitions in Article 4(1)(13) (Originator) and Article 4(1)(14) (Sponsor) of CRR. Investors are assumed to be those institutions to which provisions in Articles 406 and 407of CRR apply. |
|
120-130 |
NON ABCP PROGRAMS Because of their special character because they comprise of several single securitisation positions, ABCP programs (defined in Article 242(9) of CRR) are exempted from reporting in columns 120 and 130. |
|
120 |
ORIGINATION DATE (mm/yyyy) The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported according to the following format: ‘mm/yyyy’. For each securitisation scheme the origination date cannot change between reporting dates. In the particular case of securitisation schemes backed by open pools, the origination date shall be the date of the first issuance of securities. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. |
|
130 |
TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE This column gathers the amount (according to original exposures pre conversion factors) of the securitised portfolio at the origination date. In case of securitisation schemes backed by open pools the amount referring to the origination date of the first issuance of securities shall be reported. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity's contribution in the securitised portfolio shall be reported. In the case of the securitisation of liabilities only the amounts issued by the reporting entity shall be reported. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. |
|
140-220 |
SECURITISED EXPOSURES Columns 140 to 220 request information on several features of the securitised portfolio by the reporting entity. |
|
140 |
TOTAL AMOUNT Institutions shall report the value of the securitised portfolio at reporting date, i.e. the outstanding amount of the securitised exposures. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity's contribution in the securitised portfolio shall be reported. In the case of securitisation schemes backed by closed pools (i.e. the portfolio of securitised assets cannot be enlarged after the origination date) the amount will progressively be reduced. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. |
|
150 |
INSTITUTION'S SHARE (%) It shall be reported the institution's share (percentage with two decimals) at reporting date in the securitised portfolio. The figure to be reported in this column is, by default, 100 % except for multi-seller securitisation schemes. In that case the reporting entity shall report its current contribution to the securitised portfolio (equivalent to column 140 in relative terms). This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. |
|
160 |
TYPE This column gathers information on the type of assets (‘1’ to ‘8’) or liabilities (‘9’ and ‘10’) of the securitised portfolio. The institution must report one of the following number codes: 1 — Residential mortgages; 2 — Commercial mortgages; 3 — Credit card receivables; 4 — Leasing; 5 — Loans to corporates or SMEs (treated as corporates); 6 — Consumer loans; 7 — Trade receivables; 8 — Other assets; 9 — Covered bonds; 10 — Other liabilities. In case the pool of securitised exposures is a mix of the previous types, the institution shall indicate the most important type. In case of re-securitisations, the institution shall refer to the ultimate underlying pool of assets. Type ‘10’ (Other liabilities) includes treasury bonds and credit linked notes. For securitisation schemes backed by closed pools the type cannot change between reporting dates. |
|
170 |
APPROACH APPLIED (SA/IRB/MIX) This column gathers information on the approach that at reporting date the institution would apply to the securitised exposures. Report the following abbreviations: — ‘S’ for Standardised Approach; — ‘I’ for Internal Ratings Based Approach; — ‘M’ for a combination of both approaches (SA/IRB). If under SA, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC SA template. If under IRB, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC IRB template. If under combination of SA and IRB, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in both the CR SEC SA and CR SEC IRB templates. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Nevertheless, this column does not apply to securitisations of liabilities. Sponsors shall not report this column. |
|
180 |
NUMBER OF EXPOSURES Article 261(1) of CRR. This column is only compulsory for those institutions using the IRB approach to the securitisation positions (and, therefore, reporting ‘I’ in column 170). The institution shall report the effective number of exposures. This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled when the reporting entity does not hold any positions in the securitisation. This column shall not be fulfilled by investors. |
|
190 |
COUNTRY Report the code (ISO 3166-1 alpha-2) of the country of origin of the ultimate underlying of the transaction, i.e. the country of the immediate obligor of the original securitised exposures (look through). In case the pool of the securitisation consists of different countries, the institution shall indicate the most important country. If no country exceeds a 20 % threshold based on the amount of assets/liabilities, then ‘OT’ (other) shall be reported. |
|
200 |
ELGD (%) The exposure-weighted average loss-given-default (ELGD) shall only be reported by those institutions applying the Supervisory Formula Method (and, therefore, reporting ‘I’ in column 170). The ELGD is to be calculated as indicated in Article 262(1) of CRR. This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled either when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column. |
|
210 |
(-) VALUE ADJUSTMENTS AND PROVISIONS Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items. This column gathers information on the value adjustments and provisions applied to the securitised exposures. This column shall not be reported in case of securitisation of liabilities. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column. |
|
220 |
OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) This column gathers information on the own funds requirements of the securitised portfolio in case there had been no securitisation plus the expected losses related to those risks (Kirb), as a percentage (with two decimals) on the total of securitised exposures at origination date. Kirb is defined in Article 242(4) of CRR. This column shall not be reported in case of securitisation of liabilities. In case of the securitisation of assets, this piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column. |
|
230-300 |
SECURITISATION STRUCTURE This block of six columns gathers information on the structure of the securitisation according to on/off balance sheet positions, tranches (senior/mezzanine/first loss) and maturity. In the case of multi-seller securitisations, for the first loss tranche only the amount corresponding or attributed to the reporting institution shall be reported. |
|
230-250 |
ON-BALANCE SHEET ITEMS This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss). |
|
230 |
SENIOR All tranches that do not qualify as mezzanine or first loss shall be included in this category. |
|
240 |
MEZZANINE See Articles 243(3) (traditional securitisations) and 244 (3) (synthetic securitisations) of CRR. |
|
250 |
FIRST LOSS First loss tranche is defined in Article 242(15) of CRR. |
|
260-280 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES This block of columns gathers information on off-balance sheet items and derivatives broken down by tranches (senior/mezzanine/first loss). The same criteria of classification among tranches used for on-balance sheet items shall be applied here. |
|
290 |
FIRST FORESEEABLE TERMINATION DATE The likely termination date of the whole securitisation in the light of its contractual clauses and the currently expected financial conditions. Generally, it would be the earliest of the following dates: (i) the date when a clean-up call (defined in Article 242(2) of CRR) might first be exercised taking into account the maturity of the underlying exposure(s) as well as their expected pre-payment rate or potential re-negotiation activities; (ii) the date on which the originator may first exercise any other call option embedded in the contractual clauses of the securitisation which would result in the total redemption of the securitisation. The day, month and year of the first foreseeable termination date shall be reported. The exact day shall be reported if this data is available, otherwise the first day of the month shall be reported. |
|
300 |
LEGAL FINAL MATURITY DATE The date upon which all principal and interest of the securitisation must be legally repaid (based on the transaction documentation). The day, month and year of the legal final maturity date shall be reported. The exact day shall be reported if this data is available, otherwise the first day of the month shall be reported. |
|
310-400 |
SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS This block of columns gathers information on the securitisation positions according to on/off balance sheet positions and the tranches (senior/mezzanine/first loss) at reporting date. |
|
310-330 |
ON-BALANCE SHEET ITEMS The same criteria of classification among tranches used for on-balance sheet items shall be applied here. |
|
340-360 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among tranches used for off-balance sheet items shall be applied here. |
|
370-400 |
MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES This block of columns gathers additional information on the total off-balance sheet items and derivatives (which are already reported under a different breakdown in columns 340-360). |
|
370 |
DIRECT CREDIT SUBSTITUTES (DCS) This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS). According to Annex I of CRR the following full risk off-balance sheet items are regarded as DCS: — Guarantees having the character of credit substitutes. — Irrevocable standby letters of credit having the character of credit substitutes. |
|
380 |
IRS/CRS IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. These derivatives are listed in Annex II of CRR. |
|
390 |
ELIGIBLE LIQUIDITY FACILITIES Liquidity facilities (LF), defined in Article 242(3) of CRR must satisfy a list of six conditions established in Article 255(1) of CRR to be considered as eligible (regardless of the method applied by the institution -SA or IRB-). |
|
400 |
OTHER (INCLUDING NON-ELIGIBLE LF) This column is devoted to remaining off-balance sheet items such as non-eligible liquidity facilities (i.e. those LF that do not meet the conditions listed in Article 255(1) of CRR). |
|
410 |
EARLY AMORTISATION: CONVERSION FACTOR APPLIED Articles 242(12) and 256(5) (SA) and Article 265(1) (IRB) of CRR envisage a set of conversion factors to be applied to amount of the investors' interest (in order to calculate risk-weighted exposure amounts). This column applies to securitisation schemes with early amortisation clauses (i.e. revolving securitisations). According to Article 256(6) of CRR, the conversion figure to be applied shall be determined by the level of the actual three month average excess spread. In the case of the securitisations of liabilities this column shall not be reported. This piece of information is related to row 100 in CR SEC SA and row 160 in the CR SEC IRB template. |
|
420 |
(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS This piece of information is closely related to column 200 in the CR SEC SA template and column 180 in the CR SEC IRB template. A negative figure shall be reported in this column. |
|
430 |
TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP This column gathers information on the risk weighted exposure amount before cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount computed according securitised exposures) no data shall be reported in this column. In the case of the securitisations of liabilities this column shall not be reported. |
|
440 |
TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP This column gathers information on the risk weighted exposure amount after cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. own funds requirements computed according securitised exposures) no data shall be reported in this column. In the case of the securitisations of liabilities this column shall not be reported. |
|
450-510 |
SECURITISATION POSITIONS — TRADING BOOK |
|
450 |
CTP OR NON-CTP? Report the following abbreviations: C — Correlation Trading Portfolio (CTP); N — Non-CTP |
|
460-470 |
NET POSITIONS — LONG/SHORT See columns 050/060 of MKR SA SEC or MKR SA CTP, respectively. |
|
480 |
TOTAL OWN FUNDS REQUIREMENTS (SA) - SPECIFIC RISK See column 610 of MKR SA SEC, or column 450 of MKR SA CTP, respectively. |
4. OPERATIONAL RISK TEMPLATES
4.1. C 16.00 – OPERATIONAL RISK (OPR)
4.1.1. General Remarks
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 should remain unchanged. Deviations from this ‘unchanged’ principle are possible, for instance if during that period the exceptional circumstances, such as recent acquisitions or disposals of entities or activities, are met.
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 Regulation (EU) No 575/2013 — 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 requested 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 |
|
|
010-070 |
EVENT TYPES Institutions report the losses in the respective columns 010 to 070 according to the event types as defined in Article 324 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. |
|
080 |
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. |
|
090-100 |
MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION Institutions report in the columns 090 and 100 the minimum loss thresholds they are using for the internal loss data collection in accordance with Article 322(3) point (c), 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 |
|
|
010-880 |
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. |
|
010, 110, 210, 310, 410, 510, 610, 710, 810 |
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. |
|
020, 120, 220, 320, 420, 520, 620, 720, 820 |
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. |
|
030, 130, 230, 330, 430, 530, 630, 730, 830 |
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. |
|
040, 140, 240, 340, 440, 540, 640, 740, 840 |
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. |
|
050, 150, 250, 350, 450, 550, 650, 750, 850 |
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. |
|
060, 160, 260, 360, 460, 560, 660, 760, 860 |
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. |
|
070, 170, 270, 370, 470, 570, 670, 770, 870 |
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. |
|
080, 180, 280, 380, 480, 580, 680, 780, 880 |
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. |
|
910-980 |
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. |
|
910-914 |
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. |
|
920-924 |
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. |
|
930, 935, 936 |
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). |
|
940, 945, 946 |
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. |
|
950 |
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. |
|
960 |
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. |
|
970 |
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. |
|
980 |
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.
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 |
|
|
010 |
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. |
|
020 |
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. |
|
030 |
Date of occurrence Date of occurrence is the date when the operational risk event happened or first began. |
|
040 |
Date of discovery Date of discovery is the date on which the institution became aware of the operational risk event. |
|
050 |
Event Type Event types as defined in Article 324 CRR |
|
060 |
Gross loss Gross loss related to the event as defined for rows 020, 120 etc. of template C 17.01 above |
|
070 |
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 |
|
080 - 160 |
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. |
|
170 |
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. |
|
180 |
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. |
|
190 |
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. |
|
200 |
Description Narrative description of the event, where necessary in an generalised or anonymised manner, which should 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 the CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP only has to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {325;060} (securitisations) and {330;060} (CTP) respectively.
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.
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 and 110 |
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 European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.
5.5.2. Instructions concerning specific positions
|
Columns |
|
|
020-030 |
ALL POSITIONS (LONG AND SHORT) Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) of CRR. According to Article 352(2) and subject to permission from competent authorities, positions taken to hedge against the adverse effect of the exchange rate on their ratios in accordance with Article 92(1) and positions related to items that are already deducted in the calculation of own funds shall not be reported. |
|
040-050 |
NET POSITIONS (LONG AND SHORT) Articles 352(3) and (4), first and second sentences, and 353 of CRR. The net positions are calculated by each currency, accordingly there may be simultaneous long and short positions. |
|
060-080 |
POSITIONS SUBJECT TO CAPITAL CHARGE Articles 352(4), third sentence, 353 and 354 of CRR. |
|
060-070 |
POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT) The long and short net positions for each currency are calculated by deducting the total of short positions from the total of long positions. Long net positions for each operation in a currency are added to obtain the long net position in that currency. Short net positions for each operation in a currency are added to obtain the short net position in that currency. Unmatched positions 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 |
|
|
RISK CAPITAL CHARGE (%) As defined in Articles 351 and 354, the risk capital charges in percentage. |
|
090 |
OWN FUNDS REQUIREMENTS The capital charge for any relevant position according to Part 3 Title IV Chapter 3 of CRR. |
|
100 |
TOTAL RISK EXPOSURE AMOUNT Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5. |
|
Rows |
|
|
010 |
TOTAL POSITIONS 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 included in Annex I of CRR except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting. |
|
120 |
Derivatives Positions valued according to Articles 352 CRR. |
|
130-480 |
MEMORANDUM ITEMS: CURRENCY POSITIONS The memorandum items of the template shall be filled out separately for All currencies of the Member States of the European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies. |
5.6. C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
5.6.1. General Remarks
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. |
|
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. C 33.00 — EXPOSURES TO GENERAL GOVERNMENTS (GOV)
6.1. 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 the 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.
6.2. 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
6.3. 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 and for the same immediate counterparty, 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 derivatives subject to both counterparty credit risk and market risk capital charges 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 |
|
020-150 |
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 the non-trading book subject to a capital charge for counterparty credit risk. Trading book exposures subject to a capital charge for counterparty credit risk shall be reported in rows 160 to 260, as applicable. Direct exposures to derivatives subject to both counterparty credit risk and market risk capital charges will be reported both in the credit risk rows (020 to 150) and the market risk row (row 160). However, risk weighted exposures due to counterparty credit risk will be reported in the credit risk rows, while the risk weighted exposures due to market risk for this derivatives will 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 Aggregate exposures to General government 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. |
|
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)(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. |
|
150 |
International Organisations [Institutions] Exposures to General governments that are International Organisations 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. |
|
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 to derivatives subject to both counterparty credit risk and market risk capital charges will be reported both in the credit risk rows (020 to 150) and the market risk row (row 160). However, risk weighted exposures due to counterparty credit risk will be reported in the credit risk rows, while the risk weighted exposures due to market risk for this derivatives will 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 |
ANNEX III
REPORTING FINANCIAL INFORMATION ACCORDING TO IFRS
|
FINREP TEMPLATES FOR IFRS |
||
|
TEMPLATE NUMBER |
TEMPLATE CODE |
NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE |
|
|
|
PART 1 [QUARTERLY FREQUENCY] |
|
Balance Sheet Statement [Statement of Financial Position] |
||
|
1.1 |
F 01.01 |
Balance Sheet Statement: assets |
|
1.2 |
F 01.02 |
Balance Sheet Statement: liabilities |
|
1.3 |
F 01.03 |
Balance Sheet Statement: equity |
|
2 |
F 02.00 |
Statement of profit or loss |
|
3 |
F 03.00 |
Statement of comprehensive income |
|
Breakdown of financial assets by instrument and by counterparty sector |
||
|
4.1 |
F 04.01 |
Breakdown of financial assets by instrument and by counterparty sector: financial assets held for trading |
|
4.2.1 |
F 04.02.1 |
Breakdown of financial assets by instrument and by counterparty sector: non-trading financial assets mandatorily at fair value through profit or loss |
|
4.2.2 |
F 04.02.2 |
Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss |
|
4.3.1 |
F 04.03.1 |
Breakdown of financial assets by instrument and by counterparty sector: financial assets at fair value through other comprehensive income |
|
4.4.1 |
F 04.04.1 |
Breakdown of financial assets by instrument and by counterparty sector: financial assets at amortised cost |
|
4.5 |
F 04.05 |
Subordinated financial assets |
|
5.1 |
F 05.01 |
Breakdown of non-trading Loans and advances by product |
|
6.1 |
F 06.01 |
Breakdown of loans and advances other than held for trading to non-financial corporations by NACE codes |
|
|
F 07.00 |
Financial assets subject to impairment that are past due |
|
7.1 |
F 07.01 |
Financial assets subject to impairment that are past due |
|
Breakdown of financial liabilities |
||
|
8.1 |
F 08.01 |
Breakdown of financial liabilities by product and by counterparty sector |
|
8.2 |
F 08.02 |
Subordinated financial liabilities |
|
Loan commitments, financial guarantees and other commitments |
||
|
9.1.1 |
F 09.01.1 |
Off-balance sheet exposures: loan commitments, financial guarantees and other commitments given |
|
9.2 |
F 09.02 |
Loan commitments, financial guarantees and other commitments received |
|
10 |
F 10.00 |
Derivatives - Trading and economic hedges |
|
Hedge accounting |
||
|
11.1 |
F 11.01 |
Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge |
|
11.3 |
F 11.03 |
Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge |
|
11.4 |
F 11.04 |
Hedged items in fair value hedges |
|
Movements in allowances and provisions for credit losses |
||
|
12.1 |
F 12.01 |
Movements in allowances and provisions for credit losses |
|
12.2 |
F 12.02 |
Transfers between impairment stages (gross basis presentation) |
|
Collateral and guarantees received |
||
|
13.1 |
F 13.01 |
Breakdown of collateral and guarantees by loans and advances other than held for trading |
|
13.2 |
F 13.02 |
Collateral obtained by taking possession during the period [held at the reporting date] |
|
13.3 |
F 13.03 |
Collateral obtained by taking possession [tangible assets] accumulated |
|
14 |
F 14.00 |
Fair value hierarchy: financial instruments at fair value |
|
15 |
F 15.00 |
Derecognition and financial liabilities associated with transferred financial assets |
|
Breakdown of selected statement of profit or loss items |
||
|
16.1 |
F 16.01 |
Interest income and expenses by instrument and counterparty sector |
|
16.2 |
F 16.02 |
Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument |
|
16.3 |
F 16.03 |
Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument |
|
16.4 |
F 16.04 |
Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk |
|
16.4.1 |
F 16.04.1 |
Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument |
|
16.5 |
F 16.05 |
Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument |
|
16.6 |
F 16.06 |
Gains or losses from hedge accounting |
|
16.7 |
F 16.07 |
Impairment on non-financial assets |
|
Reconciliation between accounting and CRR scope of consolidation: Balance Sheet |
||
|
17.1 |
F 17.01 |
Reconciliation between accounting and CRR scope of consolidation: Assets |
|
17.2 |
F 17.02 |
Reconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures - loan commitments, financial guarantees and other commitments given |
|
17.3 |
F 17.03 |
Reconciliation between accounting and CRR scope of consolidation: Liabilities |
|
18 |
F 18.00 |
Performing and non-performing exposures |
|
19 |
F 19.00 |
Forborne exposures |
|
|
|
PART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING] |
|
Geographical breakdown |
||
|
20.1 |
F 20.01 |
Geographical breakdown of assets by location of the activities |
|
20.2 |
F 20.02 |
Geographical breakdown of liabilities by location of the activities |
|
20.3 |
F 20.03 |
Geographical breakdown of main statement of profit or loss items by location of the activities |
|
20.4 |
F 20.04 |
Geographical breakdown of assets by residence of the counterparty |
|
20.5 |
F 20.05 |
Geographical breakdown of off-balance sheet exposures by residence of the counterparty |
|
20.6 |
F 20.06 |
Geographical breakdown of liabilities by residence of the counterparty |
|
20.7.1 |
F 20.07.1 |
Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes |
|
21 |
F 21.00 |
Tangible and intangible assets: assets subject to operating lease |
|
Asset management, custody and other service functions |
||
|
22.1 |
F 22.01 |
Fee and commission income and expenses by activity |
|
22.2 |
F 22.02 |
Assets involved in the services provided |
|
|
|
PART 3 [SEMI-ANNUAL] |
|
Off-balance sheet activities: interests in unconsolidated structured entities |
||
|
30.1 |
F 30.01 |
Interests in unconsolidated structured entities |
|
30.2 |
F 30.02 |
Breakdown of interests in unconsolidated structured entities by nature of the activities |
|
Related parties |
||
|
31.1 |
F 31.01 |
Related parties: amounts payable to and amounts receivable from |
|
31.2 |
F 31.02 |
Related parties: expenses and income generated by transactions with |
|
|
|
PART 4 [ANNUAL] |
|
Group structure |
||
|
40.1 |
F 40.1 |
Group structure: "entity-by-entity" |
|
40.2 |
F 40.02 |
Group structure: "instrument-by-instrument" |
|
Fair value |
||
|
41.1 |
F 41.01 |
Fair value hierarchy: financial instruments at amortised cost |
|
41.2 |
F 41.02 |
Use of the Fair Value Option |
|
42 |
F 42.00 |
Tangible and intangible assets: carrying amount by measurement method |
|
43 |
F 43.00 |
Provisions |
|
Defined benefit plans and employee benefits |
||
|
44.1 |
F 44.01 |
Components of net defined benefit plan assets and liabilities |
|
44.2 |
F 44.02 |
Movements in defined benefit plan obligations |
|
44.3 |
F 44.03 |
Memo items [related to staff expenses] |
|
Breakdown of selected items of statement of profit or loss |
||
|
45.1 |
F 45.01 |
Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio |
|
45.2 |
F 45.02 |
Gains or losses on derecognition of non-financial assets other than held for sale and investments in subsidiaries, joint ventures and associates |
|
45.3 |
F 45.03 |
Other operating income and expenses |
|
46 |
F 46.00 |
Statement of changes in equity |
1. Balance Sheet Statement [Statement of Financial Position]
1.1 Assets
|
|
References |
Breakdown in table |
Carrying amount |
|
|
Annex V.Part 1.27 |
||||
|
010 |
||||
|
010 |
Cash, cash balances at central banks and other demand deposits |
IAS 1.54 (i) |
|
|
|
020 |
Cash on hand |
Annex V.Part 2.1 |
|
|
|
030 |
Cash balances at central banks |
Annex V.Part 2.2 |
|
|
|
040 |
Other demand deposits |
Annex V.Part 2.3 |
5 |
|
|
050 |
Financial assets held for trading |
IFRS 9.Appendix A |
|
|
|
060 |
Derivatives |
IFRS 9.Appendix A |
10 |
|
|
070 |
Equity instruments |
IAS 32.11 |
4 |
|
|
080 |
Debt securities |
Annex V.Part 1.31 |
4 |
|
|
090 |
Loans and advances |
Annex V.Part 1.32 |
4 |
|
|
096 |
Non-trading financial assets mandatorily at fair value through profit or loss |
IFRS 7.8(a)(ii); IFRS 9.4.1.4 |
4 |
|
|
097 |
Equity instruments |
IAS 32.11 |
4 |
|
|
098 |
Debt securities |
Annex V.Part 1.31 |
4 |
|
|
099 |
Loans and advances |
Annex V.Part 1.32 |
4 |
|
|
100 |
Financial assets designated at fair value through profit or loss |
IFRS 7.8(a)(i); IFRS 9.4.1.5 |
4 |
|
|
120 |
Debt securities |
Annex V.Part 1.31 |
4 |
|
|
130 |
Loans and advances |
Annex V.Part 1.32 |
4 |
|
|
141 |
Financial assets at fair value through other comprehensive income |
IFRS 7.8(h); IFRS 9.4.1.2A |
4 |
|
|
142 |
Equity instruments |
IAS 32.11 |
4 |
|
|
143 |
Debt securities |
Annex V.Part 1.31 |
4 |
|
|
144 |
Loans and advances |
Annex V.Part 1.32 |
4 |
|
|
181 |
Financial assets at amortised cost |
IFRS 7.8(f); IFRS 9.4.1.2 |
4 |
|
|
182 |
Debt securities |
Annex V.Part 1.31 |
4 |
|
|
183 |
Loans and advances |
Annex V.Part 1.32 |
4 |
|
|
240 |
Derivatives – Hedge accounting |
IFRS 9.6.2.1; Annex V.Part 1.22 |
11 |
|
|
250 |
Fair value changes of the hedged items in portfolio hedge of interest rate risk |
IAS 39.89A(a); IFRS 9.6.5.8 |
|
|
|
260 |
Investments in subsidiaries, joint ventures and associates |
IAS 1.54(e); Annex V.Part 1.21, Part 2.4 |
40 |
|
|
270 |
Tangible assets |
|
|
|
|
280 |
Property, Plant and Equipment |
IAS 16.6; IAS 1.54(a) |
21, 42 |
|
|
290 |
Investment property |
IAS 40.5; IAS 1.54(b) |
21, 42 |
|
|
300 |
Intangible assets |
IAS 1.54(c); CRR art 4(1)(115) |
|
|
|
310 |
Goodwill |
IFRS 3.B67(d); CRR art 4(1)(113) |
|
|
|
320 |
Other intangible assets |
IAS 38.8,118 |
21, 42 |
|
|
330 |
Tax assets |
IAS 1.54(n-o) |
|
|
|
340 |
Current tax assets |
IAS 1.54(n); IAS 12.5 |
|
|
|
350 |
Deferred tax assets |
IAS 1.54(o); IAS 12.5; CRR art 4(1)(106) |
|
|
|
360 |
Other assets |
Annex V.Part 2.5 |
|
|
|
370 |
Non-current assets and disposal groups classified as held for sale |
IAS 1.54(j); IFRS 5.38, Annex V.Part 2.7 |
|
|
|
380 |
TOTAL ASSETS |
IAS 1.9(a), IG 6 |
|
|
1.2 Liabilities
|
|
References |
Breakdown in table |
Carrying amount |
|
|
Annex V.Part 1.27 |
||||
|
010 |
||||
|
010 |
Financial liabilities held for trading |
IFRS 7.8 (e) (ii); IFRS 9.BA.6 |
8 |
|
|
020 |
Derivatives |
IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) |
10 |
|
|
030 |
Short positions |
IFRS 9.BA7(b) |
8 |
|
|
040 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
8 |
|
|
050 |
Debt securities issued |
Annex V.Part 1.37 |
8 |
|
|
060 |
Other financial liabilities |
Annex V.Part 1.38-41 |
8 |
|
|
070 |
Financial liabilities designated at fair value through profit or loss |
IFRS 7.8 (e)(i); IFRS 9.4.2.2 |
8 |
|
|
080 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
8 |
|
|
090 |
Debt securities issued |
Annex V.Part 1.37 |
8 |
|
|
100 |
Other financial liabilities |
Annex V.Part 1.38-41 |
8 |
|
|
110 |
Financial liabilities measured at amortised cost |
IFRS 7.8(g); IFRS 9.4.2.1 |
8 |
|
|
120 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
8 |
|
|
130 |
Debt securities issued |
Annex V.Part 1.37 |
8 |
|
|
140 |
Other financial liabilities |
Annex V.Part 1.38-41 |
8 |
|
|
150 |
Derivatives – Hedge accounting |
IFRS 9.6.2.1; Annex V.Part 1.26 |
11 |
|
|
160 |
Fair value changes of the hedged items in portfolio hedge of interest rate risk |
IAS 39.89A(b), IFRS 9.6.5.8 |
|
|
|
170 |
Provisions |
IAS 37.10; IAS 1.54(l) |
43 |
|
|
180 |
Pensions and other post employment defined benefit obligations |
IAS 19.63; IAS 1.78(d); Annex V.Part 2.9 |
43 |
|
|
190 |
Other long term employee benefits |
IAS 19.153; IAS 1.78(d); Annex V.Part 2.10 |
43 |
|
|
200 |
Restructuring |
IAS 37.71, 84(a) |
43 |
|
|
210 |
Pending legal issues and tax litigation |
IAS 37.Appendix C. Examples 6 and 10 |
43 |
|
|
220 |
Commitments and guarantees given |
IFRS 9.4.2.1(c),(d), 9.5.5, 9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.11 |
9 12 43 |
|
|
230 |
Other provisions |
IAS 37.14 |
43 |
|
|
240 |
Tax liabilities |
IAS 1.54(n-o) |
|
|
|
250 |
Current tax liabilities |
IAS 1.54(n); IAS 12.5 |
|
|
|
260 |
Deferred tax liabilities |
IAS 1.54(o); IAS 12.5; CRR art 4(1)(108) |
|
|
|
270 |
Share capital repayable on demand |
IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12 |
|
|
|
280 |
Other liabilities |
Annex V.Part 2.13 |
|
|
|
290 |
Liabilities included in disposal groups classified as held for sale |
IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 |
|
|
|
300 |
TOTAL LIABILITIES |
IAS 1.9(b);IG 6 |
|
|
1.3 Equity
|
|
References |
Breakdown in table |
Carrying amount |
|
|
010 |
||||
|
010 |
Capital |
IAS 1.54(r), BAD art 22 |
46 |
|
|
020 |
Paid up capital |
IAS 1.78(e) |
|
|
|
030 |
Unpaid capital which has been called up |
Annex V.Part 2.14 |
|
|
|
040 |
Share premium |
IAS 1.78(e); CRR art 4(1)(124) |
46 |
|
|
050 |
Equity instruments issued other than capital |
Annex V.Part 2.18-19 |
46 |
|
|
060 |
Equity component of compound financial instruments |
IAS 32.28-29; Annex V.Part 2.18 |
|
|
|
070 |
Other equity instruments issued |
Annex V.Part 2.19 |
|
|
|
080 |
Other equity |
IFRS 2.10; Annex V.Part 2.20 |
|
|
|
090 |
Accumulated other comprehensive income |
CRR art 4(1)(100) |
46 |
|
|
095 |
Items that will not be reclassified to profit or loss |
IAS 1.82A(a) |
|
|
|
100 |
Tangible assets |
IAS 16.39-41 |
|
|
|
110 |
Intangible assets |
IAS 38.85-87 |
|
|
|
120 |
Actuarial gains or (-) losses on defined benefit pension plans |
IAS 1.7, IG6; IAS 19.120(c) |
|
|
|
122 |
Non-current assets and disposal groups classified as held for sale |
IFRS 5.38, IG Example 12 |
|
|
|
124 |
Share of other recognised income and expense of investments in subsidaries, joint ventures and associates |
IAS 1.IG6; IAS 28.10 |
|
|
|
320 |
Fair value changes of equity instruments measured at fair value through other comprehensive income |
IAS 1.7(d); IFRS 9 5.7.5, B5.7.1; Annex V.Part 2.21 |
|
|
|
330 |
Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income |
IAS 1.7(e);IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.22 |
|
|
|
340 |
Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item] |
IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.22 |
|
|
|
350 |
Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument] |
IAS 1.7(e);IFRS 9.5.7.5;.6.5.8(a);Annex V.Part 2.57 |
|
|
|
360 |
Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk |
IAS 1.7(f); IFRS 9 5.7.7;Annex V.Part 2.23 |
|
|
|
128 |
Items that may be reclassified to profit or loss |
IAS 1.82A(a) (ii) |
|
|
|
130 |
Hedge of net investments in foreign operations [effective portion] |
IFRS9.6.5.13(a); IFRS7.24B(b)(ii)(iii); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.24 |
|
|
|
140 |
Foreign currency translation |
IAS 21.52(b); IAS 21.32, 38-49 |
|
|
|
150 |
Hedging derivatives. Cash flow hedges reserve [effective portion] |
IAS 1.7 (e); IFRS 7.24B(b)(ii)(iii); IFRS 7.24C(b)(i);.24E; IFRS 9.6.5.11(b); Annex V.Part 2.25 |
|
|
|
155 |
Fair value changes of debt instruments measured at fair value through other comprehensive income |
IAS 1.7(da); IFRS 9.4.1.2A; 5.7.10; Annex V.Part 2.26 |
|
|
|
165 |
Hedging instruments [not designated elements] |
IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24 E (b)(c); Annex V.Part 2.60 |
|
|
|
170 |
Non-current assets and disposal groups classified as held for sale |
IFRS 5.38, IG Example 12 |
|
|
|
180 |
Share of other recognised income and expense of investments in subsidaries, joint ventures and associates |
IAS 1.IG6; IAS 28.10 |
|
|
|
190 |
Retained earnings |
CRR art 4(1)(123) |
|
|
|
200 |
Revaluation reserves |
IFRS 1.30, D5-D8; Annex V.Part 2.28 |
|
|
|
210 |
Other reserves |
IAS 1.54; IAS 1.78(e) |
|
|
|
220 |
Reserves or accumulated losses of investments in subsidaries, joint ventures and associates accounted for using the equity method |
IAS 28.11; Annex V.Part 2.29 |
|
|
|
230 |
Other |
Annex V.Part 2.29 |
|
|
|
240 |
(-) Treasury shares |
IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.30 |
46 |
|
|
250 |
Profit or loss attributable to owners of the parent |
IAS 1.81B (b)(ii) |
2 |
|
|
260 |
(-) Interim dividends |
IAS 32.35 |
|
|
|
270 |
Minority interests [Non-controlling interests] |
IAS 1.54(q) |
|
|
|
280 |
Accumulated Other Comprehensive Income |
CRR art 4(1)(100) |
46 |
|
|
290 |
Other items |
|
46 |
|
|
300 |
TOTAL EQUITY |
IAS 1.9(c), IG 6 |
46 |
|
|
310 |
TOTAL EQUITY AND TOTAL LIABILITIES |
IAS 1.IG6 |
|
|
2. Statement of profit or loss
|
|
References |
Breakdown in table |
Current period |
|
|
010 |
||||
|
010 |
Interest income |
IAS 1.97; Annex V.Part 2.31 |
16 |
|
|
020 |
Financial assets held for trading |
IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34 |
|
|
|
025 |
Non-trading financial assets mandatorily at fair value through profit or loss |
IFRS 7.20(a)(i), B5(e), IFRS 9.5.7.1 |
|
|
|
030 |
Financial assets designated at fair value through profit or loss |
IFRS 7.20(a)(i), B5(e) |
|
|
|
041 |
Financial assets at fair value through other comprehensive income |
IFRS 7.20(b); IFRS 9.5.7.10-11; IFRS 9.4.1.2A |
|
|
|
051 |
Financial assets at amortised cost |
IFRS 7.20(b);IFRS 9.4.1.2; IFRS 9.5.7.2 |
|
|
|
070 |
Derivatives - Hedge accounting, interest rate risk |
IFRS 9.Appendix A; .B6.6.16; Annex V.Part 2.35 |
|
|
|
080 |
Other assets |
Annex V.Part 2.36 |
|
|
|
085 |
Interest income on liabilities |
IFRS 9.5.7.1, Annex V.Part 2.37 |
|
|
|
090 |
(Interest expenses) |
IAS 1.97; Annex V.Part 2.31 |
16 |
|
|
100 |
(Financial liabilities held for trading) |
IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34 |
|
|
|
110 |
(Financial liabilities designated at fair value through profit or loss) |
IFRS 7.20(a)(i), B5(e) |
|
|
|
120 |
(Financial liabilities measured at amortised cost) |
IFRS 7.20(b); IFRS 9.5.7.2 |
|
|
|
130 |
(Derivatives - Hedge accounting, interest rate risk) |
IAS 39.9; Annex V.Part 2.35 |
|
|
|
140 |
(Other liabilities) |
Annex V.Part 2.38 |
|
|
|
145 |
(Interest expense on assets) |
IFRS 9.5.7.1, Annex V.Part 2.39 |
|
|
|
150 |
(Expenses on share capital repayable on demand) |
IFRIC 2.11 |
|
|
|
160 |
Dividend income |
Annex V.Part 2.40 |
31 |
|
|
170 |
Financial assets held for trading |
IFRS 7.20(a)(i), B5(e); Annex V.Part 2.40 |
|
|
|
175 |
Non-trading financial assets mandatorily at fair value through profit or loss |
IFRS 7.20(a)(i), B5(e),IFRS 9.5.7.1A; Annex V.Part 2.40 |
|
|
|
191 |
Financial assets at fair value through other comprehensive income |
IFRS 7.20(a)(ii); IFRS 9.4.1.2A; IFRS 9.5.7.1A; Annex V.Part 2.41 |
|
|
|
192 |
Investments in subsidiaries, joint ventures and associates accounted for using other than equity method |
Annex V Part 2 .42 |
|
|
|
200 |
Fee and commission income |
IFRS 7.20(c) |
22 |
|
|
210 |
(Fee and commission expenses) |
IFRS 7.20(c) |
22 |
|
|
220 |
Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net |
Annex V.Part 2.45 |
16 |
|
|
231 |
Financial assets at fair value through other comprehensive income |
IFRS 9.4.12A; IFRS 9.5.7.10-11 |
|
|
|
241 |
Financial assets at amortised cost |
IFRS 7.20(a)(v);IFRS 9.4.1.2; IFRS 9.5.7.2 |
|
|
|
260 |
Financial liabilities measured at amortised cost |
IFRS 7.20(a)(v); IFRS 9.5.7.2 |
|
|
|
270 |
Other |
|
|
|
|
280 |
Gains or (-) losses on financial assets and liabilities held for trading, net |
IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 46 |
16 |
|
|
287 |
Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net |
IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.46 |
|
|
|
290 |
Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net |
IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.44 |
16, 45 |
|
|
300 |
Gains or (-) losses from hedge accounting, net |
Annex V.Part 2.47 |
16 |
|
|
310 |
Exchange differences [gain or (-) loss], net |
IAS 21.28, 52 (a) |
|
|
|
330 |
Gains or (-) losses on derecognition of non-financial assets, net |
IAS 1.34; Annex V. Part 2.48 |
45 |
|
|
340 |
Other operating income |
Annex V.Part 2.314-316 |
45 |
|
|
350 |
(Other operating expenses) |
Annex V.Part 2.314-316 |
45 |
|
|
355 |
TOTAL OPERATING INCOME, NET |
|
|
|
|
360 |
(Administrative expenses) |
|
|
|
|
370 |
(Staff expenses) |
IAS 19.7; IAS 1.102, IG 6 |
44 |
|
|
380 |
(Other administrative expenses) |
|
|
|
|
390 |
(Depreciation) |
IAS 1.102, 104 |
|
|
|
400 |
(Property, Plant and Equipment) |
IAS 1.104; IAS 16.73(e)(vii) |
|
|
|
410 |
(Investment Properties) |
IAS 1.104; IAS 40.79(d)(iv) |
|
|
|
420 |
(Other intangible assets) |
IAS 1.104; IAS 38.118(e)(vi) |
|
|
|
425 |
Modification gains or (-) losses, net |
IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49 |
|
|
|
426 |
Financial assets at fair value through other comprehensive income |
IFRS 7.35J |
|
|
|
427 |
Financial assets at amortised cost |
IFRS 7.35J |
|
|
|
430 |
(Provisions or (-) reversal of provisions) |
IAS 37.59, 84; IAS 1.98(b)(f)(g) |
9 12 43 |
|
|
440 |
(Commitments and guarantees given) |
IFRS 9.4.2.1(c),(d),9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.50 |
|
|
|
450 |
(Other provisions) |
|
|
|
|
460 |
(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) |
IFRS 7.20(a)(viii); IFRS 9.5.4.4; Annex V Part 2.51, 53 |
12 |
|
|
481 |
(Financial assets at fair value through other comprehensive income) |
IFRS 9.5.4.4, 9.5.5.1, 9.5.5.2, 9.5.5.8 |
12 |
|
|
491 |
(Financial assets at amortised cost) |
IFRS 9.5.4.4, 9.5.5.1, 9.5.5.8 |
12 |
|
|
510 |
(Impairment or (-) reversal of impairment of investments in subsidiaries, joint ventures and associates) |
IAS 28.40-43 |
16 |
|
|
520 |
(Impairment or (-) reversal of impairment on non-financial assets) |
IAS 36.126(a)(b) |
16 |
|
|
530 |
(Property, plant and equipment) |
IAS 16.73(e)(v-vi) |
|
|
|
540 |
(Investment properties) |
IAS 40.79(d)(v) |
|
|
|
550 |
(Goodwill) |
IFRS 3.Appendix B67(d)(v); IAS 36.124 |
|
|
|
560 |
(Other intangible assets) |
IAS 38.118 (e)(iv)(v) |
|
|
|
570 |
(Other) |
IAS 36.126 (a)(b) |
|
|
|
580 |
Negative goodwill recognised in profit or loss |
IFRS 3.Appendix B64(n)(i) |
|
|
|
590 |
Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates accounted for using the equity method |
Annex V.Part 2.54 |
|
|
|
600 |
Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations |
IFRS 5.37; Annex V.Part 2.55 |
|
|
|
610 |
PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS |
IAS 1.102, IG 6; IFRS 5.33 A |
|
|
|
620 |
(Tax expense or (-) income related to profit or loss from continuing operations) |
IAS 1.82(d); IAS 12.77 |
|
|
|
630 |
PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS |
IAS 1, IG 6 |
|
|
|
640 |
Profit or (-) loss after tax from discontinued operations |
IAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56 |
|
|
|
650 |
Profit or (-) loss before tax from discontinued operations |
IFRS 5.33(b)(i) |
|
|
|
660 |
(Tax expense or (-) income related to discontinued operations) |
IFRS 5.33 (b)(ii),(iv) |
|
|
|
670 |
PROFIT OR (-) LOSS FOR THE YEAR |
IAS 1.81A(a) |
|
|
|
680 |
Attributable to minority interest [non-controlling interests] |
IAS 1.81B (b)(i) |
|
|
|
690 |
Attributable to owners of the parent |
IAS 1.81B (b)(ii) |
|
|
3. Statement of comprehensive income
|
|
References |
Current period |
|
|
010 |
|||
|
010 |
Profit or (-) loss for the year |
IAS 1.7, IG6 |
|
|
020 |
Other comprehensive income |
IAS 1.7, IG6 |
|
|
030 |
Items that will not be reclassified to profit or loss |
IAS 1.82A(a)(i) |
|
|
040 |
Tangible assets |
IAS 1.7, IG6; IAS 16.39-40 |
|
|
050 |
Intangible assets |
IAS 1.7; IAS 38.85-86 |
|
|
060 |
Actuarial gains or (-) losses on defined benefit pension plans |
IAS 1.7, IG6; IAS 19.120(c) |
|
|
070 |
Non-current assets and disposal groups held for sale |
IFRS 5.38 |
|
|
080 |
Share of other recognised income and expense of entities accounted for using the equity method |
IAS 1.IG6; IAS 28.10 |
|
|
081 |
Fair value changes of equity instruments measured at fair value through other comprehensive income |
IAS 1.7(d) |
|
|
083 |
Gains or (-) losses from hedge accounting of equity instruments at fair value through other comprehensive income, net |
IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.57 |
|
|
084 |
Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item] |
IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.57 |
|
|
085 |
Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument] |
IFRS 9.5.7.5;.6.5.8(a); Annex V.Part 2.57 |
|
|
086 |
Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk |
IAS 1.7(f) |
|
|
090 |
Income tax relating to items that will not be reclassified |
IAS 1.91(b); Annex V.Part 2.66 |
|
|
100 |
Items that may be reclassified to profit or loss |
IAS 1.82A(a)(ii) |
|
|
110 |
Hedge of net investments in foreign operations [effective portion] |
IFRS 9.6.5.13(a); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.58 |
|
|
120 |
Valuation gains or (-) losses taken to equity |
IAS 1.IG6;IFRS 9.6.5.13(a); IFRS 7.24C(b)(i);.24E(a); Annex V.Part 2.58 |
|
|
130 |
Transferred to profit or loss |
IAS 1.7, 92-95; IAS 21.48-49; IFRS 9.6.5.14; Annex V.Part 2.59 |
|
|
140 |
Other reclassifications |
Annex V.Part 2.65 |
|
|
150 |
Foreign currency translation |
IAS 1.7, IG6; IAS 21.52(b) |
|
|
160 |
Translation gains or (-) losses taken to equity |
IAS 21.32, 38-47 |
|
|
170 |
Transferred to profit or loss |
IAS 1.7, 92-95; IAS 21.48-49 |
|
|
180 |
Other reclassifications |
Annex V.Part 2.65 |
|
|
190 |
Cash flow hedges [effective portion] |
IAS 1.7, IG6; IAS 39.95(a)-96 IFRS 9.6.5.11(b); IFRS 7.24C(b)(i);.24E(a); |
|
|
200 |
Valuation gains or (-) losses taken to equity |
IAS 1.7(e),IG6; IFRS 9.6.5.11(a)(b)(d); IFRS 7.24C(b)(i), .24E(a) |
|
|
210 |
Transferred to profit or loss |
IAS 1.7, 92-95, IG6; IFRS 9.6.5.11(d)(ii)(iii);IFRS 7.24C(b)(iv),.24E(a) Annex V.Part 2.59 |
|
|
220 |
Transferred to initial carrying amount of hedged items |
IAS 1.IG6;IFRS 9.6.5.11(d)(i) |
|
|
230 |
Other reclassifications |
Annex V.Part 2.65 |
|
|
231 |
Hedging instruments [not designated elements] |
IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E(b)(c); Annex V.Part 2.60 |
|
|
232 |
Valuation gains or (-) losses taken to equity |
IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E (b)(c) |
|
|
233 |
Transferred to profit or loss |
IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E(b)(c); Annex V.Part 2.61 |
|
|
234 |
Other reclassifications |
Annex V.Part 2.65 |
|
|
241 |
Debt instruments at fair value through other comprehensive income |
IAS 1.7(da), IG 6; IAS 1.IG6; IFRS 9.5.6.4; Annex V.Part 2.62-63 |
|
|
251 |
Valuation gains or (-) losses taken to equity |
IFRS 7.20(a)(ii); IAS 1.IG6; IFRS 9.5.6.4 |
|
|
261 |
Transferred to profit or loss |
IAS 1.7, IAS 1.92-95, IAS 1.IG6; IFRS 9.5.6.7; Annex V.Part 2.64 |
|
|
270 |
Other reclassifications |
IFRS 5.IG Example 12;IFRS 9.5.6.5; Annex V.Part 2.64-65 |
|
|
280 |
Non-current assets and disposal groups held for sale |
IFRS 5.38 |
|
|
290 |
Valuation gains or (-) losses taken to equity |
IFRS 5.38 |
|
|
300 |
Transferred to profit or loss |
IAS 1.7, 92-95; IFRS 5.38 |
|
|
310 |
Other reclassifications |
IFRS 5.IG Example 12 |
|
|
320 |
Share of other recognised income and expense of Investments in subsidaries, joint ventures and associates |
IAS 1.IG6; IAS 28.10 |
|
|
330 |
Income tax relating to items that may be reclassified to profit or (-) loss |
IAS 1.91(b), IG6; Annex V.Part 2.66 |
|
|
340 |
Total comprehensive income for the year |
IAS 1.7, 81A(a), IG6 |
|
|
350 |
Attributable to minority interest [Non-controlling interest] |
IAS 1.83(b)(i), IG6 |
|
|
360 |
Attributable to owners of the parent |
IAS 1.83(b)(ii), IG6 |
|
4. Breakdown of financial assets by instrument and by counterparty sector
4.1 Financial assets held for trading
|
|
References |
Carrying amount |
|
|
Annex V.Part 1.27 |
|||
|
010 |
|||
|
005 |
Derivatives |
|
|
|
010 |
Equity instruments |
IAS 32.11, Annex V.Part 1.44(b) |
|
|
030 |
of which: credit institutions |
Annex V.Part 1.42(c) |
|
|
040 |
of which: other financial corporations |
Annex V.Part 1.42(d) |
|
|
050 |
of which: non-financial corporations |
Annex V.Part 1.42(e) |
|
|
060 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
070 |
Central banks |
Annex V.Part 1.42(a) |
|
|
080 |
General governments |
Annex V.Part 1.42(b) |
|
|
090 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
100 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
110 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
120 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
130 |
Central banks |
Annex V.Part 1.42(a) |
|
|
140 |
General governments |
Annex V.Part 1.42(b) |
|
|
150 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
160 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
170 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
180 |
Households |
Annex V.Part 1.42(f) |
|
|
190 |
FINANCIAL ASSETS HELD FOR TRADING |
IFRS 9.Appendix A |
|
4.2.1 Non-trading financial assets mandatorily at fair value through profit or loss
|
|
References |
Carrying amount |
Accumulated negative changes in fair value due to credit risk on non-performing exposures |
|
|
Annex V.Part 1.27 |
Annex V.Part 2.69 |
|||
|
010 |
020 |
|||
|
010 |
Equity instruments |
IAS 32.11, Annex V.Part 1.44(b) |
|
|
|
020 |
of which: credit institutions |
Annex V.Part 1.42(c) |
|
|
|
030 |
of which: other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
040 |
of which: non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
050 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
060 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
070 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
080 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
090 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
100 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
110 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
120 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
130 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
140 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
150 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
160 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
170 |
Households |
Annex V.Part 1.42(f) |
|
|
|
180 |
NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS |
IFRS 7.8(a)(ii); IFRS 9.4.1.4 |
|
|
4.2.2 Financial assets designated at fair value through profit or loss
|
|
References |
Carrying amount |
Accumulated negative changes in fair value due to credit risk on non-performing exposures |
|
|
Annex V.Part 1.27 |
Annex V.Part 2.69 |
|||
|
010 |
020 |
|||
|
060 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
070 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
080 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
090 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
100 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
110 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
120 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
130 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
140 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
150 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
160 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
170 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
180 |
Households |
Annex V.Part 1.42(f) |
|
|
|
190 |
FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS |
IFRS 7.8(a)(i); IFRS 9.4.1.5 |
|
|
4.3.1 Financial assets at fair value through other comprehensive income
|
|
References |
Carrying amount |
Gross carrying amount Annex V.Part 1.34(b) |
Accumulated impairment Annex V.Part 2.70(b), 71 |
Accumulated partial write-offs |
Accumulated total write-offs |
||||||
|
|
Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Credit-impaired assets (Stage 3) |
Assets without significant increase in credit risk since initial recognition (Stage 1) |
Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Credit-impaired assets (Stage 3) |
|||||||
|
Assets without significant increase in credit risk since initial recognition (Stage 1) |
of which: instruments with low credit risk |
|||||||||||
|
Annex V.Part 1.27 |
IFRS 9.5.5.5; IFRS 7.35M(a) |
IFRS 9.B5.5.22-24; Annex V.Part 2.75 |
IFRS 9.5.5.3, IFRS 7.35M(b)(i) |
IFRS 9.5.5.1, 7.35M(b)(ii) |
IFRS 9.5.5.5; IFRS7.35H(a), IFRS 7.16A |
IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i), IFRS 7.16A |
IFRS 9.5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii), IFRS 7.16A |
IFRS 9.5.4.4 and B5.4.9 ; Annex V.Part 2.72-74 |
IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74 |
|||
|
010 |
015 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
|||
|
010 |
Equity instruments |
IAS 32.11; Annex V.Part 1.44(b) |
|
|
|
|
|
|
|
|
|
|
|
020 |
of which: credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
030 |
of which: other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
040 |
of which: non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
050 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
|
060 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
070 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
080 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
090 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
100 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
110 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
|
120 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
130 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
140 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
150 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
160 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
170 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
|
180 |
FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME |
IFRS 7.8(h); IFRS 9.4.1.2A |
|
|
|
|
|
|
|
|
|
|
|
190 |
of which: purchased credit-impaired financial assets |
IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.77 |
|
|
|
|
|
|
|
|
|
|
4.4.1 Financial assets at amortised cost
|
|
References |
Carrying amount |
Gross carrying amount Annex V.Part 1.34(b) |
Accumulated impairment Annex V.Part 2.70(a), 71 |
Accumulated partial write-offs |
Accumulated total write-offs |
||||||
|
|
Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Credit-impaired assets (Stage 3) |
Assets without significant increase in credit risk since initial recognition (Stage 1) |
Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Credit-impaired assets (Stage 3) |
|||||||
|
Assets without significant increase in credit risk since initial recognition (Stage 1) |
of which: instruments with low credit risk |
|||||||||||
|
Annex V.Part 1.27 |
IFRS 9.5.5.5; IFRS 7.35M(a) |
IFRS 9.B5.5.22-24; Annex V.Part 2.75 |
IFRS 9.5.5.3, IFRS 7.35M(b)(i) |
IFRS 9.5.5.1, 7.35M(b)(ii) |
IFRS 9.5.5.5; IFRS7.35H(a) |
IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i) |
IFRS 5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii) |
IFRS 9.5.4.4 and B5.4.9 ; Annex V.Part 2.72-74 |
IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74 |
|||
|
010 |
015 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
|||
|
010 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
|
020 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
030 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
040 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
050 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
060 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
070 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
|
080 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
090 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
100 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
110 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
120 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
130 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
|
140 |
FINANCIAL ASSETS AT AMORTISED COST |
IFRS 7.8(f); IFRS 9.4.1.2 |
|
|
|
|
|
|
|
|
|
|
|
150 |
of which: purchased credit-impaired financial assets |
IFRS 9.5.13 and IFRS 7.35M(c); Annex V.Part 2.77 |
|
|
|
|
|
|
|
|
|
|
4.5 Subordinated financial assets
|
|
References |
Carrying amount |
|
|
Annex V.Part 1.27 |
|||
|
010 |
|||
|
010 |
Loans and advances |
Annex V.Part 1.32 |
|
|
020 |
Debt securities |
Annex V.Part 1.31 |
|
|
030 |
SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS |
Annex V.Part 2.78, 100 |
|
5. Breakdown of non-trading Loans and advances by product
5.1 Loans and advances other than held for trading and trading assets by product
|
|
|
References |
Gross carrying amount |
Carrying amount Annex V.Part 1.27 |
||||||
|
Central banks |
General governments |
Credit institutions |
Other financial corporations |
Non-financial corporations |
Households |
|||||
|
Annex V.Part 1.34 |
Annex V.Part 1.42(a) |
Annex V.Part 1.42(b) |
Annex V.Part 1.42(c) |
Annex V.Part 1.42(d) |
Annex V.Part 1.42(e) |
Annex V.Part 1.42(f) |
||||
|
005 |
010 |
020 |
030 |
040 |
050 |
060 |
||||
|
By product |
010 |
On demand [call] and short notice [current account] |
Annex V.Part 2.85(a) |
|
|
|
|
|
|
|
|
020 |
Credit card debt |
Annex V.Part 2.85(b) |
|
|
|
|
|
|
|
|
|
030 |
Trade receivables |
Annex V.Part 2.85(c) |
|
|
|
|
|
|
|
|
|
040 |
Finance leases |
Annex V.Part 2.85(d) |
|
|
|
|
|
|
|
|
|
050 |
Reverse repurchase loans |
Annex V.Part 2.85(e) |
|
|
|
|
|
|
|
|
|
060 |
Other term loans |
Annex V.Part 2.85(f) |
|
|
|
|
|
|
|
|
|
070 |
Advances that are not loans |
Annex V.Part 2.85(g) |
|
|
|
|
|
|
|
|
|
080 |
LOANS AND ADVANCES |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
By collateral |
090 |
of which: Loans collateralized by immovable property |
Annex V.Part 2.86(a), 87 |
|
|
|
|
|
|
|
|
100 |
of which: other collateralized loans |
Annex V.Part 2.86(b), 87 |
|
|
|
|
|
|
|
|
|
By purpose |
110 |
of which: credit for consumption |
Annex V.Part 2.88(a) |
|
|
|
|
|
|
|
|
120 |
of which: lending for house purchase |
Annex V.Part 2.88(b) |
|
|
|
|
|
|
|
|
|
By subordination |
130 |
of which: project finance loans |
Annex V.Part 2.89; CRR Art 147(8) |
|
|
|
|
|
|
|
6. Breakdown of non-trading loans and advances to non-financial corporations by NACE codes
6.1 Breakdown of loans and advances other than held for trading to non-financial corporations by NACE codes
|
|
References |
Non-financial corporations Annex V.Part 1.42(e), Part 2.91 |
|||||
|
|
Accumulated impairment |
Accumulated negative changes in fair value due to credit risk on non-performing exposures |
|||||
|
Gross carrying amount |
of which: loans and advances subject to impairment |
Of which: non-performing |
|||||
|
Annex V.Part 1.34 |
Annex V.Part 2.93 |
Annex V.Part 2. 213-232 |
Annex V.Part 2.70-71 |
Annex V.Part 2.69 |
|||
|
010 |
011 |
012 |
021 |
022 |
|||
|
010 |
A Agriculture, forestry and fishing |
NACE Regulation |
|
|
|
|
|
|
020 |
B Mining and quarrying |
NACE Regulation |
|
|
|
|
|
|
030 |
C Manufacturing |
NACE Regulation |
|
|
|
|
|
|
040 |
D Electricity, gas, steam and air conditioning supply |
NACE Regulation |
|
|
|
|
|
|
050 |
E Water supply |
NACE Regulation |
|
|
|
|
|
|
060 |
F Construction |
NACE Regulation |
|
|
|
|
|
|
070 |
G Wholesale and retail trade |
NACE Regulation |
|
|
|
|
|
|
080 |
H Transport and storage |
NACE Regulation |
|
|
|
|
|
|
090 |
I Accommodation and food service activities |
NACE Regulation |
|
|
|
|
|
|
100 |
J Information and communication |
NACE Regulation |
|
|
|
|
|
|
105 |
K Financial and insurance activities |
NACE Regulation, Annex V.Part 2.92 |
|
|
|
|
|
|
110 |
L Real estate activities |
NACE Regulation |
|
|
|
|
|
|
120 |
M Professional, scientific and technical activities |
NACE Regulation |
|
|
|
|
|
|
130 |
N Administrative and support service activities |
NACE Regulation |
|
|
|
|
|
|
140 |
O Public administration and defence, compulsory social security |
NACE Regulation |
|
|
|
|
|
|
150 |
P Education |
NACE Regulation |
|
|
|
|
|
|
160 |
Q Human health services and social work activities |
NACE Regulation |
|
|
|
|
|
|
170 |
R Arts, entertainment and recreation |
NACE Regulation |
|
|
|
|
|
|
180 |
S Other services |
NACE Regulation |
|
|
|
|
|
|
190 |
LOANS AND ADVANCES |
Annex V.Part 1.32, Part 2.90 |
|
|
|
|
|
7. Financial assets subject to impairment that are past due
7.1 Financial assets subject to impairment that are past due
|
|
References |
Carrying amount Annex V.Part 1.27 |
|||||||||
|
Assets without significant increase in credit risk since initial recognition (Stage 1) |
Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Credit-impaired assets (Stage 3) |
|||||||||
|
≤ 30 days |
> 30 days ≤ 90 days |
> 90 days |
≤ 30 days |
> 30 days ≤ 90 days |
> 90 days |
≤ 30 days |
> 30 days ≤ 90 days |
> 90 days |
|||
|
IFRS 9.5.5.11;B5.5.37; IFRS 7.B8I, Annex V.Part 2.96 |
|||||||||||
|
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
|||
|
060 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
070 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
080 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
090 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
100 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
110 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
120 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
130 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
140 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
150 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
160 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
170 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
180 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
190 |
TOTAL DEBT INSTRUMENTS |
Annex V Part 2.94-95 |
|
|
|
|
|
|
|
|
|
|
|
Loans and advances by product, by collateral and by subordination |
|
|||||||||
|
200 |
On demand [call] and short notice [current account] |
Annex V.Part 2.85(a) |
|
|
|
|
|
|
|
|
|
|
210 |
Credit card debt |
Annex V.Part 2.85(b) |
|
|
|
|
|
|
|
|
|
|
220 |
Trade receivables |
Annex V.Part 2.85(c) |
|
|
|
|
|
|
|
|
|
|
230 |
Finance leases |
Annex V.Part 2.85(d) |
|
|
|
|
|
|
|
|
|
|
240 |
Reverse repurchase loans |
Annex V.Part 2.85(e) |
|
|
|
|
|
|
|
|
|
|
250 |
Other term loans |
Annex V.Part 2.85(f) |
|
|
|
|
|
|
|
|
|
|
260 |
Advances that are not loans |
Annex V.Part 2.85(g) |
|
|
|
|
|
|
|
|
|
|
270 |
of which: Loans collateralized by immovable property |
Annex V.Part 2.86(a), 87 |
|
|
|
|
|
|
|
|
|
|
280 |
of which: other collateralized loans |
Annex V.Part 2.86(b), 87 |
|
|
|
|
|
|
|
|
|
|
290 |
of which: credit for consumption |
Annex V.Part 2.88(a) |
|
|
|
|
|
|
|
|
|
|
300 |
of which: lending for house purchase |
Annex V.Part 2.88(b) |
|
|
|
|
|
|
|
|
|
|
310 |
of which: project finance loans |
Annex V.Part 2.89; CRR Art 147(8) |
|
|
|
|
|
|
|
|
|
8. Breakdown of financial liabilities
8.1 Breakdown of financial liabilities by product and by counterparty sector
|
|
References National GAAP compatible IFRS |
Carrying amount Annex V.Part 1.27 |
Accumulated changes in fair value due to credit risk |
||||
|
Held for trading |
Designated at fair value through profit or loss |
Amortised cost |
Hedge accounting |
||||
|
IFRS 7.8(e)(ii); IFRS 9 Appendix A, IFRS 9.BA.6-BA.7, IFRS 9.6.7 |
IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5 |
IFRS 7.8(g); IFRS 9.4.2.1 |
IFRS 7.24A(a); IFRS 9.6 |
CRR art 33(1)(b), art 33(1)(c); Annex V.Part 2.101 |
|||
|
010 |
020 |
030 |
037 |
040 |
|||
|
010 |
Derivatives |
IFRS 9.BA.7(a) |
|
|
|
|
|
|
020 |
Short positions |
FRS 9.BA.7(b) |
|
|
|
|
|
|
030 |
Equity instruments |
IAS 32.11 |
|
|
|
|
|
|
040 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
050 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
|
|
|
060 |
Central banks |
Annex V.Part 1.42(a), 44(c) |
|
|
|
|
|
|
070 |
Current accounts / overnight deposits |
ECB/2013/33 Annex 2.Part 2.9.1 |
|
|
|
|
|
|
080 |
Deposits with agreed maturity |
ECB/2013/33 Annex 2.Part 2.9.2 |
|
|
|
|
|
|
090 |
Deposits redeemable at notice |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
|
|
|
|
|
|
100 |
Repurchase agreements |
ECB/2013/33 Annex 2.Part 2.9.4 |
|
|
|
|
|
|
110 |
General governments |
Annex V.Part 1.42(b), 44(c) |
|
|
|
|
|
|
120 |
Current accounts / overnight deposits |
ECB/2013/33 Annex 2.Part 2.9.1 |
|
|
|
|
|
|
130 |
Deposits with agreed maturity |
ECB/2013/33 Annex 2.Part 2.9.2 |
|
|
|
|
|
|
140 |
Deposits redeemable at notice |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
|
|
|
|
|
|
150 |
Repurchase agreements |
ECB/2013/33 Annex 2.Part 2.9.4 |
|
|
|
|
|
|
160 |
Credit institutions |
Annex V.Part 1.42(c),44(c) |
|
|
|
|
|
|
170 |
Current accounts / overnight deposits |
ECB/2013/33 Annex 2.Part 2.9.1 |
|
|
|
|
|
|
180 |
Deposits with agreed maturity |
ECB/2013/33 Annex 2.Part 2.9.2 |
|
|
|
|
|
|
190 |
Deposits redeemable at notice |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
|
|
|
|
|
|
200 |
Repurchase agreements |
ECB/2013/33 Annex 2.Part 2.9.4 |
|
|
|
|
|
|
210 |
Other financial corporations |
Annex V.Part 1.42(d),44(c) |
|
|
|
|
|
|
220 |
Current accounts / overnight deposits |
ECB/2013/33 Annex 2.Part 2.9.1 |
|
|
|
|
|
|
230 |
Deposits with agreed maturity |
ECB/2013/33 Annex 2.Part 2.9.2 |
|
|
|
|
|
|
240 |
Deposits redeemable at notice |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
|
|
|
|
|
|
250 |
Repurchase agreements |
ECB/2013/33 Annex 2.Part 2.9.4 |
|
|
|
|
|
|
260 |
Non-financial corporations |
Annex V.Part 1.42(e), 44(c) |
|
|
|
|
|
|
270 |
Current accounts / overnight deposits |
ECB/2013/33 Annex 2.Part 2.9.1 |
|
|
|
|
|
|
280 |
Deposits with agreed maturity |
ECB/2013/33 Annex 2.Part 2.9.2 |
|
|
|
|
|
|
290 |
Deposits redeemable at notice |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
|
|
|
|
|
|
300 |
Repurchase agreements |
ECB/2013/33 Annex 2.Part 2.9.4 |
|
|
|
|
|
|
310 |
Households |
Annex V.Part 1.42(f), 44(c) |
|
|
|
|
|
|
320 |
Current accounts / overnight deposits |
ECB/2013/33 Annex 2.Part 2.9.1 |
|
|
|
|
|
|
330 |
Deposits with agreed maturity |
ECB/2013/33 Annex 2.Part 2.9.2 |
|
|
|
|
|
|
340 |
Deposits redeemable at notice |
ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 |
|
|
|
|
|
|
350 |
Repurchase agreements |
ECB/2013/33 Annex 2.Part 2.9.4 |
|
|
|
|
|
|
360 |
Debt securities issued |
Annex V.Part 1.37, Part 2.98 |
|
|
|
|
|
|
370 |
Certificates of deposits |
Annex V.Part 2.98(a) |
|
|
|
|
|
|
380 |
Asset-backed securities |
CRR art 4(1)(61) |
|
|
|
|
|
|
390 |
Covered bonds |
CRR art 129 |
|
|
|
|
|
|
400 |
Hybrid contracts |
Annex V.Part 2.98(d) |
|
|
|
|
|
|
410 |
Other debt securities issued |
Annex V.Part 2.98(e) |
|
|
|
|
|
|
420 |
Convertible compound financial instruments |
IAS 32.AG 31 |
|
|
|
|
|
|
430 |
Non-convertible |
|
|
|
|
|
|
|
440 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
|
|
|
|
450 |
FINANCIAL LIABILITIES |
|
|
|
|
|
|
8.2 Subordinated financial liabilities
|
|
References |
Carriyng amount |
||
|
Designated at fair value through profit or loss |
At amortized cost |
|||
|
IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5 |
IFRS 7.8(g); IFRS 9.4.2.1 |
|||
|
010 |
020 |
|||
|
010 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
020 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
|
030 |
SUBORDINATED FINANCIAL LIABILITIES |
Annex V.Part 2.99-100 |
|
|
9. Loan commitments, financial guarantees and other commitments
9.1.1 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
|
|
References National GAAP compatible IFRS |
Nominal amount of off-balance sheet commitments and financial guarantees under IFRS 9 impairment Annex V.Part 2.107-108, 118 |
Provisions on off-balance sheet commitments and financial guarantees under IFRS 9 impairment Annex V Part 2.106-109 |
Other commitments measured under IAS 37 and financial guarantees measured under IFRS 4 |
Commitments and financial guarantees measured at fair value |
|||||||
|
Instruments without significant increase in credit risk since initial recognition (Stage 1) |
Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Credit-impaired instruments (Stage 3) |
Instruments without significant increase in credit risk since initial recognition (Stage 1) |
Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Credit-impaired instruments (Stage 3) |
Nominal amount |
Provision |
Nominal amount |
Accumulated negative changes in fair value due to credit risk on non-performing commitments |
|||
|
IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35M |
IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35M |
IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS9.B2.5; IFRS 7.35M |
IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(a) |
IFRS 9.2.1(e),(g), IFRS 9.4.2.(c),IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(i) |
IFRS 9.2.1(e),(g), IFRS 9.4.2.(c),IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(ii) |
IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.111, 118 |
IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.106, 111 |
IFRS 9.2.3(a), 9.B2.5; Annex V Part 2.110, 118 |
Annex V Part 2.69 |
|||
|
010 |
020 |
030 |
040 |
050 |
060 |
100 |
110 |
120 |
130 |
|||
|
010 |
Loan commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 |
|
|
|
|
|
|
|
|
|
|
|
021 |
of which: non-performing |
Annex V.Part 2.117 |
|
|
|
|
|
|
|
|
|
|
|
030 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
040 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
050 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
060 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
070 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
080 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
|
090 |
Financial guarantees given |
IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 |
|
|
|
|
|
|
|
|
|
|
|
101 |
of which: non-performing |
Annex V.Part 2.117 |
|
|
|
|
|
|
|
|
|
|
|
110 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
120 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
130 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
140 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
150 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
160 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
|
170 |
Other Commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 |
|
|
|
|
|
|
|
|
|
|
|
181 |
of which: non-performing |
Annex V.Part 2.117 |
|
|
|
|
|
|
|
|
|
|
|
190 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
200 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
210 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
220 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
230 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
240 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
9.2 Loan commitments, financial guarantees and other commitments received
|
|
References |
Maximum amount of the guarantee that can be considered |
Nominal amount |
|
|
IFRS 7.36 (b); Annex V.Part 2.119 |
Annex V.Part 2.119 |
|||
|
010 |
020 |
|||
|
010 |
Loan commitments received |
IFRS 9.2.1(g), .BCZ2.2; Annex V.Part 1.44(h), Part 2.102-103, 113 |
|
|
|
020 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
030 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
040 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
050 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
060 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
070 |
Households |
Annex V.Part 1.42(f) |
|
|
|
080 |
Financial guarantees received |
IFRS 9.2.1(e ), .B2.5, .BC2.17, IFRS 8.Appendix A; IFRS 4 Annex A; Annex V.Part 1.44(h), Part 2.102-103, 114 |
|
|
|
090 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
100 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
110 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
120 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
130 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
140 |
Households |
Annex V.Part 1.42(f) |
|
|
|
150 |
Other Commitments received |
Annex V.Part 1.44(h), Part 2.102-103, 115 |
|
|
|
160 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
170 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
180 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
190 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
200 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
210 |
Households |
Annex V.Part 1.42(f) |
|
|
10. Derivatives - Trading and economic hedges
|
By type of risk / By product or by type of market |
References |
Carrying amount |
Notional amount |
|||
|
Financial assets Held for trading and trading |
Financial liabilities Held for trading and trading |
Total Trading |
of which: sold |
|||
|
Annex V.Part 2.120, 131 |
IFRS 9.BA.7 (a); Annex V.Part 2.120, 131 |
Annex V.Part 2.133-135 |
Annex V.Part 2.133-135 |
|||
|
010 |
020 |
030 |
040 |
|||
|
010 |
Interest rate |
Annex V.Part 2.129(a) |
|
|
|
|
|
020 |
of which: economic hedges |
Annex V.Part 2.137-139 |
|
|
|
|
|
030 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
|
040 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
|
050 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
|
060 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
|
070 |
Equity |
Annex V.Part 2.129(b) |
|
|
|
|
|
080 |
of which: economic hedges |
Annex V.Part 2.137-139 |
|
|
|
|
|
090 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
|
100 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
|
110 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
|
120 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
|
130 |
Foreign exchange and gold |
Annex V.Part 2.129(c) |
|
|
|
|
|
140 |
of which: economic hedges |
Annex V.Part 2.137-139 |
|
|
|
|
|
150 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
|
160 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
|
170 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
|
180 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
|
190 |
Credit |
Annex V.Part 2.129(d) |
|
|
|
|
|
195 |
of which: economic hedges with use of the fair value option |
IFRS 9.6.7.1; Annex V.Part 2.140 |
|
|
|
|
|
201 |
of which: other economic hedges |
Annex V.Part 2.137-140 |
|
|
|
|
|
210 |
Credit default swap |
|
|
|
|
|
|
220 |
Credit spread option |
|
|
|
|
|
|
230 |
Total return swap |
|
|
|
|
|
|
240 |
Other |
|
|
|
|
|
|
250 |
Commodity |
Annex V.Part 2.129(e) |
|
|
|
|
|
260 |
of which: economic hedges |
Annex V.Part 2.137-139 |
|
|
|
|
|
270 |
Other |
Annex V.Part 2.129(f) |
|
|
|
|
|
280 |
of which: economic hedges |
Annex V.Part 2.137-139 |
|
|
|
|
|
290 |
DERIVATIVES |
IFRS 9.Appendix A |
|
|
|
|
|
300 |
of which: OTC - credit institutions |
Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142 |
|
|
|
|
|
310 |
of which: OTC - other financial corporations |
Annex V.Part 1.42(d), 44(e), Part 2.141(b) |
|
|
|
|
|
320 |
of which: OTC - rest |
Annex V.Part 1.44(e), Part 2.141(c) |
|
|
|
|
11. Hedge accounting
11.1 Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge
|
By product or by type of market |
References |
Carrying amount |
Notional amount |
|||
|
Assets |
Liabilities |
Total Hedging |
of which: sold |
|||
|
IFRS 7.24A; Annex V.Part 2.120, 131 |
IFRS 7.24A; Annex V.Part 2.120, 131 |
Annex V.Part 2.133-135 |
Annex V.Part 2.133-135 |
|||
|
010 |
020 |
030 |
040 |
|||
|
010 |
Interest rate |
Annex V.Part 2.129(a) |
|
|
|
|
|
020 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
|
030 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
|
040 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
|
050 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
|
060 |
Equity |
Annex V.Part 2.129(b) |
|
|
|
|
|
070 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
|
080 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
|
090 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
|
100 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
|
110 |
Foreign exchange and gold |
Annex V.Part 2.129(c) |
|
|
|
|
|
120 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
|
130 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
|
140 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
|
150 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
|
160 |
Credit |
Annex V.Part 2.129(d) |
|
|
|
|
|
170 |
Credit default swap |
Annex V.Part 2.136 |
|
|
|
|
|
180 |
Credit spread option |
Annex V.Part 2.136 |
|
|
|
|
|
190 |
Total return swap |
Annex V.Part 2.136 |
|
|
|
|
|
200 |
Other |
Annex V.Part 2.136 |
|
|
|
|
|
210 |
Commodity |
Annex V.Part 2.129(e) |
|
|
|
|
|
220 |
Other |
Annex V.Part 2.129(f) |
|
|
|
|
|
230 |
FAIR VALUE HEDGES |
IFRS 7.24A; IAS 39.86(a); IFRS 9.6.5.2(a) |
|
|
|
|
|
240 |
Interest rate |
Annex V.Part 2.129(a) |
|
|
|
|
|
250 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
|
260 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
|
270 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
|
280 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
|
290 |
Equity |
Annex V.Part 2.129(b) |
|
|
|
|
|
300 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
|
310 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
|
320 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
|
330 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
|
340 |
Foreign exchange and gold |
Annex V.Part 2.129(c) |
|
|
|
|
|
350 |
OTC options |
Annex V.Part 2.136 |
|
|
|
|
|
360 |
OTC other |
Annex V.Part 2.136 |
|
|
|
|
|
370 |
Organized market options |
Annex V.Part 2.136 |
|
|
|
|
|
380 |
Organized market other |
Annex V.Part 2.136 |
|
|
|
|
|
390 |
Credit |
Annex V.Part 2.129(d) |
|
|
|
|
|
400 |
Credit default swap |
Annex V.Part 2.136 |
|
|
|
|
|
410 |
Credit spread option |
Annex V.Part 2.136 |
|
|
|
|
|
420 |
Total return swap |
Annex V.Part 2.136 |
|
|
|
|
|
430 |
Other |
Annex V.Part 2.136 |
|
|
|
|
|
440 |
Commodity |
Annex V.Part 2.129(e) |
|
|
|
|
|
450 |
Other |
Annex V.Part 2.129(f) |
|
|
|
|
|
460 |
CASH FLOW HEDGES |
IFRS 7.24A; IAS 39.86(b); IFRS 9.6.5.2(b) |
|
|
|
|
|
470 |
HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION |
IFRS 7.24A; IAS 39.86(c); IFRS 9.6.5.2(c) |
|
|
|
|
|
480 |
PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK |
IAS 39.71, 81A, 89A, AG 114-132 |
|
|
|
|
|
490 |
PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK |
IAS 39.71 |
|
|
|
|
|
500 |
DERIVATIVES-HEDGE ACCOUNTING |
IFRS 7.24A; IAS 39.9; IFRS 9.6.1 |
|
|
|
|
|
510 |
of which: OTC - credit institutions |
Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142 |
|
|
|
|
|
520 |
of which: OTC - other financial corporations |
Annex V.Part 1.42(d), 44(e), Part 2.141(b) |
|
|
|
|
|
530 |
of which: OTC - rest |
Annex V.Part 1.44(e), Part 2.141(c) |
|
|
|
|
11.3 Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge
|
|
References |
Carrying amount |
|||
|
Fair value hedge |
Cash flow hedge |
Hedge of net investment in a foreign operation |
|||
|
Annex V.Part 2.145 |
Annex V.Part 2.145 |
Annex V.Part 2.145 |
|||
|
010 |
020 |
030 |
|||
|
010 |
Non-derivative financial assets |
IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2 |
|
|
|
|
020 |
of which: Financial assets held for trading |
IFRS 9.Appendix A |
|
|
|
|
030 |
of which: Non-trading financial assets mandatorily at fair value through profit or loss |
IFRS 9.4.1.4; IFRS 7.8(a)(ii) |
|
|
|
|
040 |
of which: Financial assets designated at fair value through profit or loss |
IFRS 9.4.1.5; IFRS 7.8(a)(i) |
|
|
|
|
050 |
Non-derivative financial liabilities |
IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2 |
|
|
|
|
060 |
Financial liabilities held for trading |
IFRS 9.Appendix A |
|
|
|
|
070 |
Financial liabilities designated at fair value through profit or loss |
IFRS 9.4.2.1; IFRS 9.6.2.2 |
|
|
|
|
080 |
Financial assets at amortised cost |
IFRS 9.4.2.1; IFRS 9.6.2.2 |
|
|
|
F11.4 Hedged items in fair value hedges
|
|
References |
Micro-hedges |
Micro-hedges - Net position hedge |
Hedge adjustments on micro-hedges |
Macro hedges |
||
|
Carrying amount |
Assets or liabilities included in hedge of a net position (before netting) |
Hedge adjustments included in the carrying amount of assets/liabilities |
Remaining adjustments for discontinued micro hedges including hedges of net positions |
Hedged items in portfolio hedge of interest rate risk |
|||
|
IFRS 7.24B(a), Annex V.Part 2.146, 147 |
IFRS 9.6.6.1; IFRS 9.6.6.6; Annex V.Part 2.147, 151 |
IFRS 7.24B(a)(ii); Annex V.Part 2.148, 149 |
IFRS 7.24B(a)(v); Annex V.Part 2.148, 150 |
IFRS 9.6.1.3; IFRS 9.6.6.1; Annex V.Part 2.152 |
|||
|
010 |
020 |
030 |
040 |
050 |
|||
|
|
ASSETS |
|
|
|
|
|
|
|
010 |
Financial assets measured at fair value through other comprehensive income |
IFRS 9.4.1.2A; IFRS 7.8(h); Annex V. Part 2.146, 151 |
|
|
|
|
|
|
020 |
Interest rate |
Annex V.Part 2.129(a) |
|
|
|
|
|
|
030 |
Equity |
Annex V.Part 2.129(b) |
|
|
|
|
|
|
040 |
Foreign exchange and gold |
Annex V.Part 2.129(c) |
|
|
|
|
|
|
050 |
Credit |
Annex V.Part 2.129(d) |
|
|
|
|
|
|
060 |
Commodity |
Annex V.Part 2.129(e) |
|
|
|
|
|
|
070 |
Other |
Annex V.Part 2.129(f) |
|
|
|
|
|
|
080 |
Financial assets measured at amortised cost |
IFRS 9.4.1.2A; IFRS 7.8(f); Annex V. Part 2.146, 151 |
|
|
|
|
|
|
090 |
Interest rate |
Annex V.Part 2.129(a) |
|
|
|
|
|
|
100 |
Equity |
Annex V.Part 2.129(b) |
|
|
|
|
|
|
110 |
Foreign exchange and gold |
Annex V.Part 2.129(c) |
|
|
|
|
|
|
120 |
Credit |
Annex V.Part 2.129(d) |
|
|
|
|
|
|
130 |
Commodity |
Annex V.Part 2.129(e) |
|
|
|
|
|
|
140 |
Other |
Annex V.Part 2.129(f) |
|
|
|
|
|
|
|
LIABILITIES |
|
|
|
|
|
|
|
150 |
Financial liabilities measured at amortised costs |
IFRS 9.4.2.1; IFRS 7.8(g); Annex V. Part 2.146, 151 |
|
|
|
|
|
|
160 |
Interest rate |
Annex V.Part 2.129(a) |
|
|
|
|
|
|
170 |
Equity |
Annex V.Part 2.129(b) |
|
|
|
|
|
|
180 |
Foreign exchange and gold |
Annex V.Part 2.129(c) |
|
|
|
|
|
|
190 |
Credit |
Annex V.Part 2.129(d) |
|
|
|
|
|
|
200 |
Commodity |
Annex V.Part 2.129(e) |
|
|
|
|
|
|
210 |
Other |
Annex V.Part 2.129(f) |
|
|
|
|
|
12. Movements in allowances and provisions for credit losses
12.1 Movements in allowances and provisions for credit losses
|
|
References |
Opening balance |
Increases due to origination and acquisition |
Decreases due to derecognition |
Changes due to change in credit risk (net) |
Changes due to modifications without derecognition (net) |
Changes due to update in the institution's methodology for estimation (net) |
Decrease in allowance account due to write-offs |
Other adjustments |
Closing balance |
Recoveries of previously written-off amounts recorded directly to the statement of profit or loss |
Amounts written-off directly to the statement of profit or loss |
|
|
|
IFRS 7.35I; Annex V.Part 2.159, 164(b) |
IFRS 7.35I; Annex V.Part 2.160, 164(b) |
IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.161-162 |
IFRS 7.35I; IFRS 7.35J; IFRS 9.5.5.12, B5.5.25, B5.5.27; Annex V.Part 2.164(c) |
IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.163 |
IFRS 7.35I; IFRS 9.5.4.4;IFRS 7.35L; Annex V.Part 2.72, 74, 164(a), 165 |
IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.166 |
|
|
IFRS 9.5.4.4; Annex V.Part 2.165 |
|||
|
010 |
020 |
030 |
040 |
050 |
070 |
080 |
090 |
100 |
110 |
120 |
|||
|
010 |
Allowances for financial assets without increase in credit risk since initial recognition (Stage 1) |
IFRS 9.5.5.5 |
|
|
|
|
|
|
|
|
|
|
|
|
020 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
|
|
030 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
|
040 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
|
050 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
060 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
070 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
|
080 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
|
|
090 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
|
100 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
|
110 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
120 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
130 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
|
140 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
|
|
160 |
of which: collectively measured allowances |
IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 |
|
|
|
|
|
|
|
|
|
|
|
|
170 |
of which: individually measured allowances |
IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 |
|
|
|
|
|
|
|
|
|
|
|
|
180 |
Allowances for debt instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
IFRS 9.5.5.3 |
|
|
|
|
|
|
|
|
|
|
|
|
190 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
|
|
200 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
|
210 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
|
220 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
230 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
240 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
|
250 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
|
|
260 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
|
270 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
|
280 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
290 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
300 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
|
310 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
|
|
330 |
of which: collectively measured allowances |
IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 |
|
|
|
|
|
|
|
|
|
|
|
|
340 |
of which: individually measured allowances |
IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 |
|
|
|
|
|
|
|
|
|
|
|
|
350 |
of which: non-performing |
Annex V.Part 2.213-232 |
|
|
|
|
|
|
|
|
|
|
|
|
360 |
Allowances for credit-impaired debt instruments (Stage 3) |
IFRS 9.5.5.1, 9. Appendix A |
|
|
|
|
|
|
|
|
|
|
|
|
370 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
|
|
380 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
|
390 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
|
400 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
410 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
420 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
|
430 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
|
|
440 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
|
450 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
|
460 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
470 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
480 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
|
490 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
|
|
500 |
of which: collectively measured allowances |
IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 |
|
|
|
|
|
|
|
|
|
|
|
|
510 |
of which: individually measured allowances |
IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 |
|
|
|
|
|
|
|
|
|
|
|
|
520 |
Total allowance for debt instruments |
IFRS 7.B8E |
|
|
|
|
|
|
|
|
|
|
|
|
530 |
Commitments and financial guarantees given (Stage 1) |
IFRS 9.2.1|(g); 2.3(c); 5.5, B2.5; Annex V.Part 2.157 |
|
|
|
|
|
|
|
|
|
|
|
|
540 |
Commitments and financial guarantees given (Stage 2) |
IFRS 9.2.1|(g); 2.3(c); 5.5.3, B2.5; Annex V.Part 2.157 |
|
|
|
|
|
|
|
|
|
|
|
|
550 |
of which: non-performing |
Annex V.Part 2.117 |
|
|
|
|
|
|
|
|
|
|
|
|
560 |
Commitments and financial guarantees given (Stage 3) |
IFRS 9.2.1|(g); 2.3(c); 5.5.1, B2.5; Annex V.Part 2.157 |
|
|
|
|
|
|
|
|
|
|
|
|
570 |
Total provisions on commitments and financial guarantees given |
IFRS 7.B8E; Annex V.Part 2.157 |
|
|
|
|
|
|
|
|
|
|
|
12.2 Transfers between impairment stages (gross basis presentation)
|
|
References |
Gross carrying amount / nominal amount Annex V.Part 1.34, Part 2.118, 167, 170 |
||||||
|
Transfers between Stage 1 and Stage 2 |
Transfers between Stage 2 and Stage 3 |
Transfers between Stage 1 and Stage 3 |
||||||
|
To Stage 2 from Stage 1 |
To Stage 1 from Stage 2 |
To Stage 3 from Stage 2 |
To Stage 2 from Stage 3 |
To Stage 3 from Stage 1 |
To Stage 1 from Stage 3 |
|||
|
Annex V.Part 2.168-169 |
||||||||
|
010 |
020 |
030 |
040 |
050 |
060 |
|||
|
010 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
020 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
030 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
040 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
050 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
060 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
070 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
080 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
090 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
100 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
110 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
120 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
130 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
140 |
Total debt instruments |
|
|
|
|
|
|
|
|
150 |
Commitments and financial guarantees given |
IFRS 9.2.1|(g); 2.3(c); 5.5.1, 5.5.3, 5.5.5 |
|
|
|
|
|
|
13. Collateral and guarantees received
13.1 Breakdown of collateral and guarantees by loans and advances other than held for trading
|
Guarantees and collateral |
References |
Maximum amount of the collateral or guarantee that can be considered Annex V.Part 2.171-172, 174 |
|||||
|
Loans collateralized by immovable property |
Other collateralized loans |
Financial guarantees received |
|||||
|
Residential |
Commercial |
Cash [Debt instruments issued] |
Rest |
||||
|
IFRS 7.36(b) |
Annex V.Part 2.173(a) |
Annex V.Part 2.173(a) |
Annex V.Part 2.173(b) |
Annex V.Part 2.173(b) |
Annex V.Part 2.173(c) |
||
|
010 |
020 |
030 |
040 |
050 |
|||
|
010 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
020 |
of which: Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
030 |
of which: Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
040 |
of which: Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
050 |
of which: lending for house purchase |
Annex V.Part 2.88(b) |
|
|
|
|
|
13.2 Collateral obtained by taking possession during the period [held at the reporting date]
|
|
References |
Carrying amount |
|
|
Annex V.Part 2.175 |
|||
|
010 |
|||
|
010 |
Non-current assets held-for-sale |
IFRS 7.38(a) |
|
|
020 |
Property, plant and equipment |
IFRS 7.38(a) |
|
|
030 |
Investment property |
IFRS 7.38(a) |
|
|
040 |
Equity and debt instruments |
IFRS 7.38(a) |
|
|
050 |
Other |
IFRS 7.38(a) |
|
|
060 |
Total |
|
|
13.3 Collateral obtained by taking possession [tangible assets] accumulated
|
|
References |
Carrying amount |
|
|
010 |
|||
|
010 |
Foreclosure [tangible assets] |
IFRS 7.38(a); Annex V.Part 2.176 |
|
14. Fair value hierachy: financial instruments at fair value
|
|
References |
Fair value hierarchy IFRS 13.93 (b) |
Change in fair value for the period Annex V.Part 2.178 |
Accumulated change in fair value before taxes Annex V.Part 2.179 |
||||||
|
Level 1 |
Level 2 |
Level 3 |
Level 2 |
Level 3 |
Level 1 |
Level 2 |
Level 3 |
|||
|
IFRS 13.76 |
IFRS 13.81 |
IFRS 13.86 |
IFRS 13.81 |
IFRS 13.86, 93(f) |
IFRS 13.76 |
IFRS 13.81 |
IFRS 13.86 |
|||
|
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
|||
|
ASSETS |
|
|
|
|
|
|
|
|
|
|
|
010 |
Financial assets held for trading |
IFRS 7.8(a)(ii);IFRS 9.Appendix A |
|
|
|
|
|
|
|
|
|
020 |
Derivatives |
IFRS 9.Appendix A |
|
|
|
|
|
|
|
|
|
030 |
Equity instruments |
IAS 32.11, |
|
|
|
|
|
|
|
|
|
040 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
050 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
056 |
Non-trading financial assets mandatorily at fair value through profit or loss |
IFRS 9.4.1.4; IFRS 7.8(a)(ii) |
|
|
|
|
|
|
|
|
|
057 |
Equity instruments |
IAS 32.11 |
|
|
|
|
|
|
|
|
|
058 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
059 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
060 |
Financial assets designated at fair value through profit or loss |
IFRS 7.8(a)(i); IFRS 9.4.1.5 |
|
|
|
|
|
|
|
|
|
080 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
090 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
101 |
Financial assets at fair value through other comprehensive income |
IFRS 7.8 (h); IFRS 9.4.1.2A |
|
|
|
|
|
|
|
|
|
102 |
Equity instruments |
IAS 32.11 |
|
|
|
|
|
|
|
|
|
103 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
104 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
140 |
Derivatives – Hedge accounting |
IFRS 9.6.2.1; Annex V.Part 1.22 |
|
|
|
|
|
|
|
|
|
LIABILITIES |
|
|
|
|
|
|
|
|
|
|
|
150 |
Financial liabilities held for trading |
IFRS 7.8 (e) (ii); IFRS 9.BA.6 |
|
|
|
|
|
|
|
|
|
160 |
Derivatives |
IFRS 9.BA.7(a) |
|
|
|
|
|
|
|
|
|
170 |
Short positions |
IFRS 9.BA.7(b) |
|
|
|
|
|
|
|
|
|
180 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
|
|
|
|
|
|
190 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
|
|
|
|
|
|
|
200 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
|
|
|
|
|
|
|
210 |
Financial liabilities designated at fair value through profit or loss |
IFRS 7.8 (e) (i); IFRS 9.4.1.5 |
|
|
|
|
|
|
|
|
|
220 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
|
|
|
|
|
|
230 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
|
|
|
|
|
|
|
240 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
|
|
|
|
|
|
|
250 |
Derivatives – Hedge accounting |
IFRS 9.6.2.1; Annex V.Part 1.26 |
|
|
|
|
|
|
|
|
15. Derecognition and financial liabilities associated with transferred financial assets
|
|
References |
Transferred financial assets entirely recognized |
Transferred financial assets recognized to the extent of the instution's continuing involvement |
Principal amount outstanting of transferred financial assets entirely derecognised for which the intitution retains servicing rights |
Amounts derecognised for capital purposes |
||||||||
|
Transferred assets |
Associated liabilities ITS V.Part 2.181 |
Principal amount outstanding of the original assets |
Carrying amount of assets still recognised [continuing involvement] |
Carrying amount of associated liabilites |
|||||||||
|
Carrying amount |
Of which: securitizations |
Of which: repurchase agreements |
Carrying amount |
Of which: securitizations |
Of which: repurchase agreements |
||||||||
|
IFRS 7.42D.(e), Annex V.Part 1.27 |
IFRS 7.42D(e); CRR art 4(1)(61) |
IFRS 7.42D(e); Annex V.Part 2.183-184 |
IFRS 7.42D(e) |
IFRS 7.42D.(e) |
IFRS 7.42D(e); Annex V.Part 2.183-184 |
|
IFRS 7.42D(f) |
IFRS 7.42D(f); Annex V.Part 1.27, Part 2.181 |
|
CRR art 109; Annex V.Part 2.182 |
|||
|
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
|||
|
010 |
Financial assets held for trading |
IFRS 7.8(a)(ii);IFRS 9. Appendix A |
|
|
|
|
|
|
|
|
|
|
|
|
020 |
Equity instruments |
IAS 32.11 |
|
|
|
|
|
|
|
|
|
|
|
|
030 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
|
|
040 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
|
|
|
045 |
Non-trading financial assets mandatorily at fair value through profit or loss |
IFRS 9.4.1.4 |
|
|
|
|
|
|
|
|
|
|
|
|
046 |
Equity instruments |
IAS 32.11 |
|
|
|
|
|
|
|
|
|
|
|
|
047 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
|
|
048 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
|
|
|
050 |
Financial assets designated at fair value through profit or loss |
IFRS 7.8(a)(i); IFRS 9.4.1.5 |
|
|
|
|
|
|
|
|
|
|
|
|
070 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
|
|
080 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
|
|
|
091 |
Financial assets at fair value through other comprehensive income |
IFRS 7.8(h); IFRS 9.4.1.2A |
|
|
|
|
|
|
|
|
|
|
|
|
092 |
Equity instruments |
IAS 32.11 |
|
|
|
|
|
|
|
|
|
|
|
|
093 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
|
|
094 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
|
|
|
131 |
Financial assets at amortised cost |
IFRS 7.8 (f); IFRS 9.4.1.2 |
|
|
|
|
|
|
|
|
|
|
|
|
132 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
|
|
|
|
|
|
|
|
|
133 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
|
|
|
|
|
|
|
|
|
190 |
Total |
|
|
|
|
|
|
|
|
|
|
|
|
16. Breakdown of selected statement of profit or loss items
16.1 Interest income and expenses by instrument and counterparty sector
|
|
References |
Current period |
||
|
Income |
Expenses |
|||
|
Annex V.Part 2.187, 189 |
Annex V.Part 2.188, 190 |
|||
|
010 |
020 |
|||
|
010 |
Derivatives -Trading |
IFRS 9.Appendix A, .BA.1, .BA.6; Annex V.Part 2.193 |
|
|
|
015 |
of which: interest income from derivatives in economic hedges |
Annex V.Part 2.193 |
|
|
|
020 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
030 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
040 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
050 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
060 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
070 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
080 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
090 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
100 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
110 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
120 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
130 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
140 |
Households |
Annex V.Part 1.42(f) |
|
|
|
150 |
Other assets |
Annex V.Part 2.5 |
|
|
|
160 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
170 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
180 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
190 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
200 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
210 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
220 |
Households |
Annex V.Part 1.42(f) |
|
|
|
230 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
|
240 |
Other financial liabilities |
Annex V.Part 1.32-34, Part 2.191 |
|
|
|
250 |
Derivatives - Hedge accounting, interest rate risk |
Annex V.Part 2.192 |
|
|
|
260 |
Other Liabilities |
Annex V.Part 1.38-41 |
|
|
|
270 |
INTEREST |
IAS 1.97 |
|
|
|
280 |
of which: interest-income on credit impaired financial assets |
IFRS 9.5.4.1; .B5.4.7; Annex V.Part 2.194 |
|
|
16.2 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument
|
|
References |
Current period |
|
|
Annex V. Part 2.195-196 |
|||
|
010 |
|||
|
020 |
Debt securities |
Annex V.Part 1.31 |
|
|
030 |
Loans and advances |
Annex V.Part 1.32 |
|
|
040 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
050 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
060 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
070 |
GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET |
Annex V.Part 2.45 |
|
16.3 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument
|
|
References |
Current period |
|
|
Annex V. Part 2.197-198 |
|||
|
010 |
|||
|
010 |
Derivatives |
IFRS 9.Appendix A, .BA.1, .BA.7(a) |
|
|
015 |
of which: Economic hedges with use of the fair value option |
IFRS 9.6.7.1; IFRS 7.9(d); Annex V.Part 2.199 |
|
|
020 |
Equity instruments |
IAS 32.11 |
|
|
030 |
Debt securities |
Annex V.Part 1.31 |
|
|
040 |
Loans and advances |
Annex V.Part 1.32 |
|
|
050 |
Short positions |
IFRS 9.BA.7(b) |
|
|
060 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
070 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
080 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
090 |
GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET |
IFRS 9.Appendix A, .BA.6;IFRS 7.20(a)(i) |
|
|
095 |
of which: gains and losses due to the reclassification of assets at amortised cost |
IFRS 9.5.6.2; annex V.Part 2.199 |
|
16.4 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk
|
|
References |
Current period |
|
|
010 |
|||
|
010 |
Interest rate instruments and related derivatives |
Annex V.Part 2.200(a) |
|
|
020 |
Equity instruments and related derivatives |
Annex V.Part 2.200(b) |
|
|
030 |
Foreign exchange trading and derivatives related with foreign exchange and gold |
Annex V.Part 2.200(c) |
|
|
040 |
Credit risk instruments and related derivatives |
Annex V.Part 2.200(d) |
|
|
050 |
Derivatives related with commodities |
Annex V.Part 2.200(e) |
|
|
060 |
Other |
Annex V.Part 2.200(f) |
|
|
070 |
GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET |
IFRS 7.20(a)(i) |
|
16.4.1 Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument
|
|
References |
Current period |
|
|
Annex V.Part 2.201 |
|||
|
010 |
|||
|
020 |
Equity instruments |
IAS 32.11 |
|
|
030 |
Debt securities |
Annex V.Part 1.31 |
|
|
040 |
Loans and advances |
Annex V.Part 1.32 |
|
|
090 |
GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT AND LOSS, NET |
IFRS 7.20(a)(i) |
|
|
100 |
of which: gains and losses due to the reclassification of assets at amortised cost |
IFRS 9.6.5.2; Annex V.Part 2.202 |
|
16.5 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument
|
|
References |
Current period |
Changes in fair value due to credit risk |
|
|
Annex V.Part 2.203 |
Annex V.Part 2.203 |
|||
|
010 |
020 |
|||
|
020 |
Debt securities |
Annex V.Part 1.31 |
|
|
|
030 |
Loans and advances |
Annex V.Part 1.32 |
|
|
|
040 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
|
050 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
|
060 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
|
070 |
GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET |
IFRS 7.20(a)(i) |
|
|
|
071 |
of which: gains or (-) losses upon designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net |
IFRS 9.6.7;IFRS 7.24G(b); Annex V.Part 2.204 |
|
|
|
072 |
of which: gains or (-) losses after designation on financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net |
IFRS 9.6.7; IFRS 7.20(a)(i); Annex V.Part 2.204 |
|
|
16.6 Gains or losses from hedge accounting
|
|
References |
Current period |
|
|
Annex V.Part 2.205 |
|||
|
010 |
|||
|
010 |
Fair value changes of the hedging instrument [including discontinuation] |
IFRS 7.24A(c);IFRS 7.24C(b)(vi) |
|
|
020 |
Fair value changes of the hedged item attributable to the hedged risk |
IFRS 9.6.3.7; .6.5.8; .B6.4.1; IFRS 7.24B(a)(iv); IFRS 7.24C(b)(vi); Annex V.Part 2.206 |
|
|
030 |
Ineffectiveness in profit or loss from cash flow hedges |
IFRS 7.24C(b)ii; IFRS 7.24C(b)(vi) |
|
|
040 |
Ineffectiveness in profit or loss from hedges of net investments in foreign operations |
IFRS 7.24C(b)(ii); IFRS 7.24C(b)(vi) |
|
|
050 |
GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET |
|
|
16.7 Impairment on non-financial assets
|
|
References |
Current period |
|||
|
Additions |
Reversals |
Accumulated impairment |
|||
|
Annex V.Part 2.208 |
Annex V.Part 2.208 |
|
|||
|
010 |
020 |
040 |
|||
|
060 |
Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates |
IAS 28.40-43 |
|
|
|
|
070 |
Subsidiaries |
IFRS 10 Appendix A |
|
|
|
|
080 |
Joint ventures |
IAS 28.3 |
|
|
|
|
090 |
Associates |
IAS 28.3 |
|
|
|
|
100 |
Impairment or (-) reversal of impairment on non-financial assets |
IAS 36.126(a),(b) |
|
|
|
|
110 |
Property, plant and equipment |
IAS 16.73(e)(v-vi) |
|
|
|
|
120 |
Investment properties |
IAS 40.79(d)(v) |
|
|
|
|
130 |
Goodwill |
IAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v) |
|
|
|
|
140 |
Other intangible assets |
IAS 38.118(e)(iv)(v) |
|
|
|
|
145 |
Other |
IAS 36.126(a),(b) |
|
|
|
|
150 |
TOTAL |
|
|
|
|
17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet
17.1 Assets
|
|
References |
Accounting scope of consolidation [Carrying amount] |
|
|
Annex V.Part 1.27, Part 2.209 |
|||
|
010 |
|||
|
010 |
Cash, cash balances at central banks and other demand deposits |
IAS 1.54 (i) |
|
|
020 |
Cash on hand |
Annex V.Part 2.1 |
|
|
030 |
Cash balances at central banks |
Annex V.Part 2.2 |
|
|
040 |
Other demand deposits |
Annex V.Part 2.3 |
|
|
050 |
Financial assets held for trading |
IFRS 7.8(a)(ii);IFRS 9.Appendix A |
|
|
060 |
Derivatives |
IFRS 9.Appendix A |
|
|
070 |
Equity instruments |
IAS 32.11 |
|
|
080 |
Debt securities |
Annex V.Part 1.31 |
|
|
090 |
Loans and advances |
Annex V.Part 1.32 |
|
|
096 |
Non-trading financial assets mandatorily at fair value through profit or loss |
IFRS 9.4.1.4 |
|
|
097 |
Equity instruments |
IAS 32.11 |
|
|
098 |
Debt securities |
Annex V.Part 1.31 |
|
|
099 |
Loans and advances |
Annex V.Part 1.32 |
|
|
100 |
Financial assets designated at fair value through profit or loss |
IFRS 7.8(a)(i); IFRS 9.4.1.5 |
|
|
120 |
Debt securities |
Annex V.Part 1.31 |
|
|
130 |
Loans and advances |
Annex V.Part 1.32 |
|
|
141 |
Financial assets at fair value through other comprehensive income |
IFRS 7.8(h); IFRS 9.4.1.2A |
|
|
142 |
Equity instruments |
IAS 32.11 |
|
|
143 |
Debt securities |
Annex V.Part 1.31 |
|
|
144 |
Loans and advances |
Annex V.Part 1.32 |
|
|
181 |
Financial assets at amortised cost |
IFRS 7.8(f); IFRS 9.4.1.2 |
|
|
182 |
Debt securities |
Annex V.Part 1.31 |
|
|
183 |
Loans and advances |
Annex V.Part 1.32 |
|
|
240 |
Derivatives – Hedge accounting |
IFRS 9.6.2.1; Annex V.Part 1.22 |
|
|
250 |
Fair value changes of the hedged items in portfolio hedge of interest rate risk |
IAS 39.89A(a); IFRS 9.6.5.8 |
|
|
260 |
Investments in subsidaries, joint ventures and associates |
IAS 1.54(e); Annex V.Part 1.21, Part 2.4, 210 |
|
|
270 |
Assets under reinsurance and insurance contracts |
IFRS 4.IG20.(b)-(c); Annex V.Part 2.211 |
|
|
280 |
Tangible assets |
|
|
|
290 |
Intangible assets |
IAS 1.54(c); CRR art 4(1)(115) |
|
|
300 |
Goodwill |
IFRS 3.B67(d); CRR art 4(1)(113) |
|
|
310 |
Other intangible assets |
IAS 38.8,118 |
|
|
320 |
Tax assets |
IAS 1.54(n-o) |
|
|
330 |
Current tax assets |
IAS 1.54(n); IAS 12.5 |
|
|
340 |
Deferred tax assets |
IAS 1.54(o); IAS 12.5; CRR art 4(1)(106) |
|
|
350 |
Other assets |
Annex V.Part 2.5 |
|
|
360 |
Non-current assets and disposal groups classified as held for sale |
IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6 |
|
|
370 |
TOTAL ASSETS |
IAS 1.9(a), IG 6 |
|
17.2 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
|
|
References |
Accounting scope of consolidation [Nominal amount] |
|
|
Annex V.Part 2.118, 209 |
|||
|
010 |
|||
|
010 |
Loan commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 |
|
|
020 |
Financial guarantees given |
IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 |
|
|
030 |
Other Commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 |
|
|
040 |
OFF-BALANCE SHEET EXPOSURES |
|
|
17.3 Liabilities and equity
|
|
References |
Accounting scope of consolidation [Carrying amount] |
|
|
Annex V.Part 1.27, Part 2.209 |
|||
|
010 |
|||
|
010 |
Financial liabilities held for trading |
IFRS 7.8 (e) (ii); IFRS 9.BA.6 |
|
|
020 |
Derivatives |
IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) |
|
|
030 |
Short positions |
IFRS 9.BA7(b) |
|
|
040 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
050 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
060 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
070 |
Financial liabilities designated at fair value through profit or loss |
IFRS 7.8 (e)(i); IFRS 9.4.2.2 |
|
|
080 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
090 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
100 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
110 |
Financial liabilities measured at amortised cost |
IFRS 7.8(g); IFRS 9.4.2.1 |
|
|
120 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
|
|
130 |
Debt securities issued |
Annex V.Part 1.37 |
|
|
140 |
Other financial liabilities |
Annex V.Part 1.38-41 |
|
|
150 |
Derivatives – Hedge accounting |
IFRS 9.6.2.1; Annex V.Part 1.26 |
|
|
160 |
Fair value changes of the hedged items in portfolio hedge of interest rate risk |
IAS 39.89A(b), IFRS 9.6.5.8 |
|
|
170 |
Liabilities under insurance and reinsurance contracts |
IFRS 4.IG20(a); Annex V.Part 2.212 |
|
|
180 |
Provisions |
IAS 37.10; IAS 1.54(l) |
|
|
190 |
Tax liabilities |
IAS 1.54(n-o) |
|
|
200 |
Current tax liabilities |
IAS 1.54(n); IAS 12.5 |
|
|
210 |
Deferred tax liabilities |
IAS 1.54(o); IAS 12.5; CRR art 4(1)(108) |
|
|
220 |
Share capital repayable on demand |
IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12 |
|
|
230 |
Other liabilities |
Annex V.Part 2.13 |
|
|
240 |
Liabilities included in disposal groups classified as held for sale |
IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 |
|
|
250 |
LIABILITIES |
IAS 1.9(b);IG 6 |
|
|
260 |
Capital |
IAS 1.54(r), BAD art 22 |
|
|
270 |
Share premium |
IAS 1.78(e); CRR art 4(1)(124) |
|
|
280 |
Equity instruments issued other than capital |
Annex V.Part 2.18-19 |
|
|
290 |
Other equity |
IFRS 2.10; Annex V.Part 2.20 |
|
|
300 |
Accumulated other comprehensive income |
CRR art 4(1)(100) |
|
|
310 |
Retained earnings |
CRR art 4(1)(123) |
|
|
320 |
Revaluation reserves |
IFRS 1.33, D5-D8 |
|
|
330 |
Other reserves |
IAS 1.54; IAS 1.78 (e) |
|
|
340 |
(-) Treasury shares |
IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.28 |
|
|
350 |
Profit or loss attributable to owners of the parent |
IFRS 10.B94 |
|
|
360 |
(-) Interim dividends |
IAS 32.35 |
|
|
370 |
Minority interests [Non-controlling interests] |
IAS 1.54(q); IFRS 10.22, .B94 |
|
|
380 |
TOTAL EQUITY |
IAS 1.9(c), IG 6 |
|
|
390 |
TOTAL EQUITY AND TOTAL LIABILITIES |
IAS 1.IG6 |
|
18. Information on performing and non-performing exposures
|
|
References |
Gross carrying amount / Nominal amount |
Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions |
Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 |
||||||||||||||||||||
|
|
Performing |
Non-performing |
|
Performing exposures - Accumulated impairment and provisions |
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions |
Collateral received and financial guarantees received |
||||||||||||||||||
|
|
Not past due or Past due <= 30 days |
Past due > 30 days <= 90 days |
|
Unlikely to pay that are not past-due or past-due < = 90 days |
Past due > 90 days <= 180 days |
Past due > 180 days <= 1 year |
Past due > 1 year <= 5 years |
Past due > 5 years |
Of which: defaulted |
Of which: impaired |
|
Unlikely to pay that are not past-due or past-due < = 90 days |
Past due > 90 days <= 180 days |
Past due > 180 days <= 1 year |
Past due > 1 year < = 5 year |
Past due > 5 years |
Collateral received on non-performing exposues |
Financial guarantees received on non-performing exposures |
||||||
|
010 |
020 |
030 |
055 |
060 |
070 |
080 |
090 |
100 |
105 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
195 |
200 |
210 |
|||
|
Annex V. Part 1.34, Part 2.118, 221 |
Annex V. Part 2. 213-216, 223-239 |
Annex V. Part 2. 222, 235 |
Annex V. Part 2. 222, 235 |
Annex V. Part 2. 213-216, 223-239 |
Annex V. Part 2. 222, 235-236 |
Annex V. Part 2. 222, 235-236 |
Annex V. Part 2. 222, 235-236 |
Annex V. Part 2. 222, 235-236 |
Annex V. Part 2. 222, 235-236 |
CRR art 178; Annex V.Part 2.238(b) |
IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.238(a) |
Annex V. Part 2. 238 |
Annex V. Part 2. 238 |
Annex V. Part 2. 238 |
Annex V. Part 2. 236, 238 |
Annex V. Part 2. 236, 238 |
Annex V. Part 2. 236, 238 |
Annex V. Part 2. 236, 238 |
Annex V. Part 2. 236, 238 |
Annex V. Part 2. 239 |
Annex V. Part 2. 239 |
|||
|
010 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
020 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
060 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
070 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
080 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
090 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
120 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
130 |
Of which: Small and Medium-sized Enterprises |
SME Art 1 2(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
140 |
Of which: Loans collateralised by commercial immovable property |
Annex V.Part 2.86(a), 87 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150 |
Households |
Annex V.Part 1.42(f) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
160 |
Of which: Loans collateralised by residential immovable property |
Annex V.Part 2.86(a), 87 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
170 |
Of which: Credit for consumption |
Annex V.Part 2.88(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
180 |
DEBT INSTRUMENTS AT COST OR AT AMORTISED COST |
Annex V.Part 2.233(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
181 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
182 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
183 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
184 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
185 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
186 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
191 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
192 |
Central banks |
Annex V.Part 1.42(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
193 |
General governments |
Annex V.Part 1.42(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
194 |
Credit institutions |
Annex V.Part 1.42(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
195 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
196 |
Non-financial corporations |
Annex V.Part 1.42(e) |
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197 |
Households |
Annex V.Part 1.42(f) |
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201 |
DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENT |
Annex V.Part 2.233(b) |
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211 |
Debt securities |
Annex V.Part 1.31, 44(b) |
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212 |
Central banks |
Annex V.Part 1.42(a) |
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213 |
General governments |
Annex V.Part 1.42(b) |
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214 |
Credit institutions |
Annex V.Part 1.42(c) |
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215 |
Other financial corporations |
Annex V.Part 1.42(d) |
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216 |
Non-financial corporations |
Annex V.Part 1.42(e) |
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221 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
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222 |
Central banks |
Annex V.Part 1.42(a) |
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223 |
General governments |
Annex V.Part 1.42(b) |
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224 |
Credit institutions |
Annex V.Part 1.42(c) |
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225 |
Other financial corporations |
Annex V.Part 1.42(d) |
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226 |
Non-financial corporations |
Annex V.Part 1.42(e) |
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227 |
Households |
Annex V.Part 1.42(f) |
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231 |
DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENT |
Annex V.Part 2.233(c), 234 |
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330 |
DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING |
Annex V.Part 2.217 |
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335 |
DEBT INSTRUMENTS HELD FOR SALE |
Annex V.Part 2.220 |
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340 |
Loan commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116, 224 |
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350 |
Central banks |
Annex V.Part 1.42(a) |
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360 |
General governments |
Annex V.Part 1.42(b) |
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370 |
Credit institutions |
Annex V.Part 1.42(c) |
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380 |
Other financial corporations |
Annex V.Part 1.42(d) |
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390 |
Non-financial corporations |
Annex V.Part 1.42(e) |
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400 |
Households |
Annex V.Part 1.42(f) |
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410 |
Financial guarantees given |
IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116, 225 |
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420 |
Central banks |
Annex V.Part 1.42(a) |
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430 |
General governments |
Annex V.Part 1.42(b) |
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440 |
Credit institutions |
Annex V.Part 1.42(c) |
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450 |
Other financial corporations |
Annex V.Part 1.42(d) |
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460 |
Non-financial corporations |
Annex V.Part 1.42(e) |
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470 |
Households |
Annex V.Part 1.42(f) |
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480 |
Other Commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116, 224 |
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490 |
Central banks |
Annex V.Part 1.42(a) |
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500 |
General governments |
Annex V.Part 1.42(b) |
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510 |
Credit institutions |
Annex V.Part 1.42(c) |
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520 |
Other financial corporations |
Annex V.Part 1.42(d) |
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530 |
Non-financial corporations |
Annex V.Part 1.42(e) |
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540 |
Households |
Annex V.Part 1.42(f) |
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550 |
OFF-BALANCE SHEET EXPOSURES |
Annex V.Part 2.217 |
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19. Information forborne exposures
|
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References |
Gross carrying amount / nominal amount of exposures with forbearance measures |
Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions |
Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 |
||||||||||||||||
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Performing exposures with forbearance measures |
Non-performing exposures with forbearance measures |
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Perfoming exposures with forbearance measures - Accumulated impairment and provisions |
Non-performing exposures with forbearance measures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions |
Collateral received and financial guarantees received |
||||||||||||||
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Instruments with modifications in their terms and conditions |
Refinancing |
of which: Performing forborne exposures under probation reclassified from non-performing |
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Instruments with modifications in their terms and conditions |
Refinancing |
of which: Defaulted |
of which: Impaired |
of which: Forbearance of exposures non-performing prior to forbearance |
|
Instruments with modifications in their terms and conditions |
Refinancing |
Collateral received on exposures with forbearance measures |
Financial guarantees received on exposures with forbearance measures |
||||||
|
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
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|
Annex V. Part 1.34, Part 2. 118, 240-245, 251-258 |
Annex V. Part 2. 256, 259-262 |
Annex V. Part 2.241(a), 266 |
Annex V. Part 2. 241 (b), 265-266 |
Annex V. Part 2. 256(b), 261 |
Annex V. Part 2. 259-263 |
Annex V. Part 2.241(a), 266 |
Annex V. Part 2. 241 (b), 265-266 |
CRR art 178; Annex V. Part 2.264(b) |
IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.264(a) |
Annex V. Part 2. 231, 252(a), 263 |
Annex V. Part 2. 267 |
Annex V. Part 2. 207 |
Annex V. Part 2. 207 |
Annex V. Part 2. 241(a), 267 |
Annex V. Part 2. 241(b), 267 |
Annex V. Part 2. 268 |
Annex V. Part 2. 268 |
|||
|
010 |
Debt securities |
Annex V.Part 1.31, 44(b) |
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020 |
Central banks |
Annex V.Part 1.42(a) |
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030 |
General governments |
Annex V.Part 1.42(b) |
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040 |
Credit institutions |
Annex V.Part 1.42(c) |
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050 |
Other financial corporations |
Annex V.Part 1.42(d) |
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060 |
Non-financial corporations |
Annex V.Part 1.42(e) |
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070 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
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080 |
Central banks |
Annex V.Part 1.42(a) |
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090 |
General governments |
Annex V.Part 1.42(b) |
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100 |
Credit institutions |
Annex V.Part 1.42(c) |
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110 |
Other financial corporations |
Annex V.Part 1.42(d) |
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120 |
Non-financial corporations |
Annex V.Part 1.42(e) |
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130 |
Of which: Small and Medium-sized Enterprises |
SME Art 1 2(a) |
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140 |
Of which: Loans collateralised by commercial immovable property |
Annex V.Part 2.86(a), 87 |
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150 |
Households |
Annex V.Part 1.42(f) |
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160 |
Of which: Loans collateralised by residential immovable property |
Annex V.Part 2.86(a), 87 |
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170 |
Of which: Credit for consumption |
Annex V.Part 2.88(a) |
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180 |
DEBT INSTRUMENTS AT COST OR AT AMORTISED COST |
Annex V.Part 2.249(a) |
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181 |
Debt securities |
Annex V.Part 1.31, 44(b) |
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182 |
Central banks |
Annex V.Part 1.42(a) |
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183 |
General governments |
Annex V.Part 1.42(b) |
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184 |
Credit institutions |
Annex V.Part 1.42(c) |
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185 |
Other financial corporations |
Annex V.Part 1.42(d) |
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186 |
Non-financial corporations |
Annex V.Part 1.42(e) |
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191 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
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192 |
Central banks |
Annex V.Part 1.42(a) |
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193 |
General governments |
Annex V.Part 1.42(b) |
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194 |
Credit institutions |
Annex V.Part 1.42(c) |
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195 |
Other financial corporations |
Annex V.Part 1.42(d) |
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196 |
Non-financial corporations |
Annex V.Part 1.42(e) |
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197 |
Households |
Annex V.Part 1.42(f) |
|
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201 |
DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENT |
Annex V.Part 2.249(b) |
|
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211 |
Debt securities |
Annex V.Part 1.31, 44(b) |
|
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212 |
Central banks |
Annex V.Part 1.42(a) |
|
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213 |
General governments |
Annex V.Part 1.42(b) |
|
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214 |
Credit institutions |
Annex V.Part 1.42(c) |
|
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215 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
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216 |
Non-financial corporations |
Annex V.Part 1.42(e) |
|
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221 |
Loans and advances |
Annex V.Part 1.32, 44(a) |
|
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222 |
Central banks |
Annex V.Part 1.42(a) |
|
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223 |
General governments |
Annex V.Part 1.42(b) |
|
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224 |
Credit institutions |
Annex V.Part 1.42(c) |
|
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225 |
Other financial corporations |
Annex V.Part 1.42(d) |
|
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226 |
Non-financial corporations |
Annex V.Part 1.42(e) |
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227 |
Households |
Annex V.Part 1.42(f) |
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231 |
DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENT |
Annex V.Part 2.249(c) |
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330 |
DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING |
Annex V.Part 2.246 |
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335 |
DEBT INSTRUMENTS HELD FOR SALE |
Annex V.Part 2.247 |
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340 |
Loan commitments given |
CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116, 246 |
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20. Geographical breakdown
20.1 Geographical breakdown of assets by location of the activities
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References |
Carrying amount Annex V.Part 1.27 |
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Domestic activitivies |
Non-domestic activities |
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Annex V.Part 2.270 |
Annex V.Part 2.270 |
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010 |
020 |
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010 |
Cash, cash balances at central banks and other demand deposits |
IAS 1.54 (i) |
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020 |
Cash on hand |
Annex V.Part 2.1 |
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030 |
Cash balances at central banks |
Annex V.Part 2.2 |
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040 |
Other demand deposits |
Annex V.Part 2.3 |
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050 |
Financial assets held for trading |
IFRS 9. Appendix A |
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060 |
Derivatives |
IFRS 9. Appendix A |
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070 |
Equity instruments |
IAS 32.11 |
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080 |
Debt securities |
Annex V.Part 1.31 |
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090 |
Loans and advances |
Annex V.Part 1.32 |
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096 |
Non-trading financial assets mandatorily at fair value through profit or loss |
IFRS 7.8(a)(ii); IFRS 9.4.1.4 |
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097 |
Equity instruments |
IAS 32.11 |
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098 |
Debt securities |
Annex V.Part 1.31 |
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099 |
Loans and advances |
Annex V.Part 1.32 |
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100 |
Financial assets designated at fair value through profit or loss |
IFRS 7.8(a)(i); IFRS 9.4.1.5 |
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120 |
Debt securities |
Annex V.Part 1.31 |
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130 |
Loans and advances |
Annex V.Part 1.32 |
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141 |
Financial assets at fair value through other comprehensive income |
IFRS 7.8(h); IFRS 9.4.1.2A |
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142 |
Equity instruments |
IAS 32.11 |
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143 |
Debt securities |
Annex V.Part 1.31 |
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144 |
Loans and advances |
Annex V.Part 1.32 |
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181 |
Financial assets at amortised cost |
IFRS 7.8(f); IFRS 9.4.1.2 |
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182 |
Debt securities |
Annex V.Part 1.31 |
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183 |
Loans and advances |
Annex V.Part 1.32 |
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240 |
Derivatives – Hedge accounting |
IFRS 9.6.2.1; Annex V.Part 1.22 |
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250 |
Fair value changes of the hedged items in portfolio hedge of interest rate risk |
IAS 39.89A(a); IFRS 9.6.5.8 |
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260 |
Tangible assets |
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270 |
Intangible assets |
IAS 1.54(c); CRR art 4(1)(115) |
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280 |
Investments in subsidaries, joint ventures and associates |
IAS 1.54(e); Annex V.Part 1.21, Part 2.4 |
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290 |
Tax assets |
IAS 1.54(n-o) |
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300 |
Other assets |
Annex V.Part 2.5 |
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310 |
Non-current assets and disposal groups classified as held for sale |
IAS 1.54(j); IFRS 5.38, Annex V.Part 2.7 |
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320 |
ASSETS |
IAS 1.9(a), IG 6 |
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20.2 Geographical breakdown of liabilities by location of the activities
|
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References |
Carrying amount Annex V.Part 1.27 |
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Domestic activitivies |
Non-domestic activities |
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Annex V.Part 2.270 |
Annex V.Part 2.270 |
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010 |
020 |
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010 |
Financial liabilities held for trading |
IFRS 7.8 (e) (ii); IFRS 9.BA.6 |
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020 |
Derivatives |
IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) |
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030 |
Short positions |
IFRS 9.BA7(b) |
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040 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
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050 |
Debt securities issued |
Annex V.Part 1.37 |
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060 |
Other financial liabilities |
Annex V.Part 1.38-41 |
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070 |
Financial liabilities designated at fair value through profit or loss |
IFRS 7.8 (e)(i); IFRS 9.4.2.2 |
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080 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
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090 |
Debt securities issued |
Annex V.Part 1.37 |
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100 |
Other financial liabilities |
Annex V.Part 1.38-41 |
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110 |
Financial liabilities measured at amortised cost |
IFRS 7.8(g); IFRS 9.4.2.1 |
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120 |
Deposits |
ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 |
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130 |
Debt securities issued |
Annex V.Part 1.37 |
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140 |
Other financial liabilities |
Annex V.Part 1.38-41 |
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150 |
Derivatives – Hedge accounting |
IFRS 9.6.2.1; Annex V.Part 1.26 |
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160 |
Fair value changes of the hedged items in portfolio hedge of interest rate risk |
IAS 39.89A(b), IFRS 9.6.5.8 |
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170 |
Provisions |
IAS 37.10; IAS 1.54(l) |
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180 |
Tax liabilities |
IAS 1.54(n-o) |
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190 |
Share capital repayable on demand |
IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12 |
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200 |
Other liabilities |
Annex V.Part 2.13 |
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210 |
Liabilities included in disposal groups classified as held for sale |
IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 |
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220 |
LIABILITIES |
IAS 1.9(b);IG 6 |
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20.3 Geographical breakdown of statement of profit or loss items by location of the activities
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References |
Current period |
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Domestic activitivies |
Non-domestic activities |
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Annex V.Part 2.270 |
Annex V.Part 2.270 |
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010 |
020 |
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010 |
Interest income |
IAS 1.97; Annex V.Part 2.31 |
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020 |
(Interest expenses) |
IAS 1.97; Annex V.Part 2.31 |
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030 |
(Expenses on share capital repayable on demand) |
IFRIC 2.11 |
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040 |
Dividend income |
Annex V.Part 2.40 |
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050 |
Fee and commission income |
IFRS 7.20(c) |
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060 |
(Fee and commission expenses) |
IFRS 7.20(c) |
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070 |
Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net |
Annex V.Part 2.45 |
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080 |
Gains or (-) losses on financial assets and liabilities held for trading, net |
IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 46 |
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083 |
Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss |
IFRS 9.5.7.1 |
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090 |
Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net |
IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.44 |
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100 |
Gains or (-) losses from hedge accounting, net |
Annex V.Part 2.47-48 |
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110 |
Exchange differences [gain or (-) loss], net |
IAS 21.28, 52 (a) |
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130 |
Gains or (-) losses on derecognition of non financial assets, net |
IAS 1.34 |
|
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140 |
Other operating income |
Annex V.Part 2.314-316 |
|
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150 |
(Other operating expenses) |
Annex V.Part 2.314-316 |
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155 |
TOTAL OPERATING INCOME, NET |
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160 |
(Administrative expenses) |
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170 |
(Depreciation) |
IAS 1.102, 104 |
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|
171 |
Modification gains or (-) losses, net |
IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49 |
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|
180 |
(Provisions or (-) reversal of provisions) |
IAS 37.59, 84; IAS 1.98(b)(f)(g) |
|
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|
190 |
(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) |
IFRS 7.20(a)(viii); Annex V Part 2.51, 53 |
|
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|
200 |
(Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates) |
IAS 28.40-43 |
|
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|
210 |
(Impairment or (-) reversal of impairment on non-financial assets) |
IAS 36.126(a)(b) |
|
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|
220 |
Negative goodwill recognised in profit or loss |
IFRS 3.Appendix B64(n)(i) |
|
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|
230 |
Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates |
Annex V.Part 2.54 |
|
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|
240 |
Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations |
IFRS 5.37; Annex V.Part 2.55 |
|
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|
250 |
PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS |
IAS 1.102, IG 6; IFRS 5.33 A |
|
|
|
260 |
(Tax expense or (-) income related to profit or loss from continuing operations) |
IAS 1.82(d); IAS 12.77 |
|
|
|
270 |
PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS |
IAS 1, IG 6 |
|
|
|
280 |
Profit or (-) loss after tax from discontinued operations |
IAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56 |
|
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|
290 |
PROFIT OR (-) LOSS FOR THE YEAR |
IAS 1.81A(a) |
|
|
20.4 Geographical breakdown of assets by residence of the counterparty
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z-axis |
Country of residence of the counterparty |
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|
|
References |
Gross carrying amount |
Accumulated impairment |
Accumulated negative changes in fair value due to credit risk on non-performing exposures |
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|
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Of which: held for trading or trading |
of which: financial assets subject to impairment |
Of which: debt forbearance |
Of which: non-perfoming |
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|
Annex V.Part 1.34, Part 2.271, 275 |
Annex V.Part 1.15(a), Part 2.273 |
Annex V.Part 2.273 |
Annex V.Part 2.275 |
Annex V.Part 2.275 |
Annex V.Part 2.274 |
Annex V.Part 2.274 |
|||
|
010 |
011 |
012 |
022 |
025 |
031 |
040 |
|||
|
010 |
Derivatives |
IFRS 9 Appendix A, Annex V.Part 2.272 |
|
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|
|
020 |
Of which: credit institutions |
Annex V.Part 1.42(c) |
|
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|
|
030 |
Of which: other financial corporations |
Annex V.Part 1.42(d) |
|
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|
040 |
Equity instruments |
IAS 32.11 |
|
|
|
|
|
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|
050 |
Of which: credit institutions |
Annex V.Part 1.42(c) |
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